DIREXION SHARES ETF TRUST
ANNUAL REPORT OCTOBER 31, 2021
1301 Avenue of the Americas (6th Ave.), 35th Floor New York, New York 10019 www.direxioninvestments.com
3X BULL FUNDS |
3X BEAR FUNDS |
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Direxion Daily Mid Cap Bull 3X Shares | |||||||
Direxion Daily S&P 500® Bull 3X Shares |
Direxion Daily S&P 500® Bear 3X Shares |
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Direxion Daily Small Cap Bull 3X Shares |
Direxion Daily Small Cap Bear 3X Shares |
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Direxion Daily FTSE China Bull 3X Shares |
Direxion Daily FTSE China Bear 3X Shares |
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Direxion Daily FTSE Europe Bull 3X Shares | |||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
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Direxion Daily MSCI Mexico Bull 3X Shares | |||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
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Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
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Direxion Daily Healthcare Bull 3X Shares | |||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||
Direxion Daily Industrials Bull 3X Shares | |||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
Direxion Daily MSCI Real Estate Bear 3X Shares |
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Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||
Direxion Daily Retail Bull 3X Shares | |||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bear 3X Shares |
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Direxion Daily S&P Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
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Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares |
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Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
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Direxion Daily Transportation Bull 3X Shares | |||||||
Direxion Daily Utilities Bull 3X Shares | |||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
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Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to [email protected].
IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the shareholder reports from your financial intermediary such as a broker-dealer or bank. Instead, annual and semi-annual shareholder reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to continue receive paper copies of shareholder reports through the mail or to otherwise change your delivery method, contact your financial intermediary or follow the instructions included with this disclosure. Your election to receive shareholder reports in paper will apply to all funds that you hold through the financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
Table of Contents
Letter to Shareholders (Unaudited) |
4 |
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Performance Summary (Unaudited) |
14 |
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Expense Example (Unaudited) |
54 |
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Allocation of Portfolio Holdings (Unaudited) |
57 |
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Schedules of Investments |
58 |
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Statements of Assets and Liabilities |
121 |
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Statements of Operations |
131 |
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Statements of Changes in Net Assets |
141 |
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Financial Highlights |
161 |
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Notes to the Financial Statements |
167 |
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Report of
Independent Registered Public Accounting Firm |
207 |
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Supplemental Information (Unaudited) |
210 |
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Board Review of
Investment Advisory Agreement (Unaudited) |
212 |
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Board Review of
Liquidity Risk Management Program (Unaudited) |
215 |
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Trustees and Officers (Unaudited) |
216 |
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Letter to Shareholders (Unaudited)
Dear Shareholders,
This Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2020 to October 31, 2021 (the "Annual Period").
Market Review:
Worsening COVID-19 case counts in the US, on the heels of a resurgence of the virus in Europe, bore fears of a second wave, all while hopes of a vaccine began to materialize to start the Annual Period. As a result, equity markets ended down for October. The election of Joseph Biden, as President of the United States, generated sharp returns for domestic equity markets in November, which was in stark contrast to what was widely expected if a Democrat were to win the race. A pledge of essentially unlimited monetary support from the Federal Reserve, coupled with stimulus for families and small businesses, served as necessary bolster to an economy reeling from the pandemic. Hopes of an effective vaccine began to emerge in November as well. Emerging markets performed well during the fourth quarter of 2020, largely on the back of U.S. dollar weakness. Equities were mixed amid higher volatility in January, on slower than expected vaccine rollout, frenzied retail trading and further stimulus expectations. Rising bond yields in February became a signal the economy was on the mend. On balance with dovish statements from the Federal Reserve, yields abated somewhat into the end of February as the global economy attempted to navigate the road to a post-COVID economy. Optimism took hold in March of 2021 as promises of a $1.9 trillion fiscal stimulus package, along with a $2 trillion infrastructure package, bolstered hopes for an economic recovery. Spring saw the re-opening trade, as COVID-19 vaccine rollout began to see broad traction, allowing an uptick in economic activity while also bringing inflation data into the broader discussion as the consumer price index rose from 3% to 3.8%. July saw added volatility in equity markets relating to the Delta variant of COVID-19, a more transmissible variant, along with concerns of a moderating economic recovery and tightening regulatory scrutiny in China on its tech sector, which hit emerging markets particularly hard. Despite the headwinds, the S&P 500 continued to post gains through summer on a strong second quarter 2021 earnings season. In August, dovish tones from Federal Reserve Chairman, Jerome Powell, regarding the pace and timing of tapering were enough to offset concerns of inflation running too hot in the near term, and that the COVID-19 Delta variant could potentially derail the ongoing economic recovery. Equities pulled back in September amid concerns that rising inflation would eat into growth, along with a statement from the Federal Reserve that it would announce a plan for tapering its asset purchases at its November meeting. Profit margins and the supply chain were the themes for Q3 earnings. The consumer discretionary sector was the big winner for October, as a broad swathe of companies were able to navigate supply-chain issues while, also maintaining margins that were under threat of being eaten away by rising inflation.
The Federal Reserve continued to keep the federal funds rate at the low range of .00 – .25bps, and pledged to continue through 2023, in hopes fiscal stimulus plans and the development and deployment of vaccines will encourage economic growth. At the end of the Annual Period, 67% of the US population has received at least one dose of a vaccine. The continued low benchmark set by the Federal Reserve, put in place in March of 2019, has increased expectations of inflation. This caused CPI to increase 6.2% through the end of the Annual Period, to a CPI of 276.724, marking the highest rate of inflation in years. This, in turn, drove bond prices lower, and yields even higher. The 2 to 10 year yield curve, which is an indication that short term yields have dropped more than long term yields, increased from .71% to 1.07%. For the Annual Period, the 10 year treasury yield finished at 1.55%, as the market rallied back from pandemic lows.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 300% or -300% of the performance of a particular benchmark. All ETF returns are NAV (net asset value) returns.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods of longer than one day and the performance of the ETFs over longer periods may not correlate to their benchmarks' performance. The ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who
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understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.
The ETFs with the word "Bull" in their name (the "Bull ETFs") attempt to provide investment results that correlate to 300% of the return of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
The Funds with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -300% of the return of a benchmark index, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target benchmark index.
In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the benchmark index will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.
Each ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.
Factors Affecting Direxion Shares Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results (before fees and expenses) of either 300% (for the Bull ETFs) or -300% (for the Bear ETFs) of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
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Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of LIBOR plus or minus a spread and a Bear ETF receives LIBOR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time, but deviates from its underlying index in the short-term.
Equity Dividends and Bond Interest – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Equity Bear ETFs are negatively impacted as they are obligated to pay the dividends. Treasury Bull ETFs receive interest, accrued on a daily basis, to account for the Treasury's semi-annual coupon payments while the Treasury Bear ETFs pay interest, accrued on a daily basis.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.
Direxion Shares Performance Review:
The Direxion Daily Mid Cap Bull 3X Shares seeks to provide 300% of the daily return of the S&P Mid Cap 400® Index. The S&P Mid Cap 400® Index is a float-adjusted market capitalization weighted index that attempts to measure the performance of 400 mid-sized companies in the United States. For the Annual Period, the S&P Mid Cap 400® Index returned 48.90%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Mid Cap Bull 3X Shares returned 193.19%, while the model indicated an expected return of 199.94%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily S&P 500® Bull 3X Shares and the Direxion Daily S&P 500® 3X Bear Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® Index. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The Index is a float-adjusted, market capitalization-weighted index. For the Annual Period, the S&P 500® Index returned 42.91%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® Bull 3X Shares returned 171.57%, while the model indicated an expected return of 177.71%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily S&P 500® Bear 3X Shares returned -69.21%, while the model indicated an expected return of -69.02%.
The Direxion Daily Small Cap Bull 3X Shares and the Direxion Daily Small Cap Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 2000® Index. The Russell 2000® Index measures the performance of approximately 2,000 small-capitalization companies in the Russell 3000® Index, based on a combination of their market capitalization and current index membership. For the Annual Period, the Russell 2000® Index returned 50.80%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Small Cap Bull 3X Shares returned 190.83%, while the model indicated an expected return of 197.44%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Small Cap Bear 3X Shares returned -78.38%, while the model indicated an expected return of -78.18%.
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The Direxion Daily FTSE China Bull 3X Shares and the Direxion Daily FTSE China Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the FTSE China 50 Index. The FTSE China 50 Index consists of the 50 largest and most liquid public Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the index are weighted based on the total market value of their shares, so that securities with higher total market values will generally have a higher representation in the index. Index constituents are screened for liquidity and weightings and are capped to prevent the index from being overly concentrated in any one stock. For the Annual Period, the FTSE China 50 Index returned -4.97%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily FTSE China Bull 3X Shares returned -32.82%, while the model indicated an expected return of -33.19%. The Direxion Daily FTSE China Bear 3X Shares returned -19.37%, while the model indicated an expected return of -15.30%.
The Direxion Daily FTSE Europe Bull 3X Shares seeks to provide 300% of the daily return of the FTSE Developed Europe All Cap Index. The FTSE Developed Europe All Cap Index is a market capitalization weighted index that is designed to measure the equity market performance of large-, mid- and small-cap companies in developed markets in Europe. For the Annual Period, the FTSE Developed Europe All Cap Index returned 42.33%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily FTSE Europe Bull 3X Shares returned 165.99%, while the model indicated an expected return of 173.18%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily MSCI Emerging Markets Bull 3X Shares and the Direxion Daily MSCI Emerging Markets Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI Emerging Markets IndexSM. The MSCI Emerging Market IndexSM is a free float-adjusted market capitalization index that is designed to represent the performance of large-and mid-capitalizations securities across 24 emerging markets countries. For the Annual Period, the MSCI Emerging Market IndexSM returned 16.96%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Emerging Markets MSCI Bull 3X Shares returned 36.04%, while the model indicated an expected return of 39.75%. The Direxion Daily MSCI Emerging Markets Bear 3X Shares returned -47.65%, while the model indicated an expected return of -46.91%.
The Direxion Daily MSCI Mexico Bull 3X Shares seeks to provide 300% of the daily return of the MSCI Mexico IMI 25/50 Index. The MSCI Mexico IMI 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the Mexican equity market, covering approximately 99% of the free float-adjusted market capitalization in Mexico. The index consists of stocks traded primarily on the Mexican Stock Market. For the Annual Period, the MSCI Mexico IMI 25/50 Index returned 45.78%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily MSCI Mexico Bull 3X Shares returned 160.49%, while the model indicated an expected return of 163.11%.
The Direxion Daily MSCI South Korea Bull 3X Shares seeks to provide 300% of the MSCI Korea 25/50 Index. The MSCI Korea 25/50 Index is designed to measure the performance of the large- and mid-cap segments of the South Korean equity market, covering approximately 85% of the free float-adjusted market capitalization of South Korean issuers. For the Annual Period, the MSCI Korea 25/50 Index returned 25.00%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI South Korea Bull 3X Shares returned 56.80%, while the model indicated an expected return of 61.43%.
The Direxion Daily Aerospace & Defense Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Aerospace & Defense Index. The Dow Jones U.S. Select Aerospace & Defense Index is provided by Dow Jones U.S. Index. The index attempts to measure the performance of the aerospace and defense industry of the U.S. equity market. The index provider selects the stocks comprising the index from the aerospace and defense sector on the basis of the float-adjusted, market capitalization-weight of each constituent. Aerospace companies include manufacturers, assemblers and distributors of aircraft and aircraft parts. Defense companies include producers of components and equipment for the defense industry, such as military aircraft, radar equipment and weapons. For the Annual Period, the Dow Jones U.S. Select Aerospace & Defense Index returned 40.01%. Given the daily investment objectives of the ETFs and the path dependency
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of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Aerospace & Defense Bull 3X Shares returned 132.19% for the same period, while the model indicated an expected return of 138.81%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Consumer Discretionary Bull 3X Shares seeks to provide 300% of the daily return of the Consumer Discretionary Select Sector Index. The Consumer Discretionary Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the consumer discretionary sector which includes the following industries: retail (specialty, multiline, internet & direct marketing); hotels, restaurants & leisure; textiles, apparel & luxury goods; household durables; automobiles; automobile components; distributors; leisure equipment & products; and diversified consumer services. For the Annual Period, the Consumer Discretionary Select Sector Index returned 41.78%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Consumer Discretionary Bull 3X Shares returned 154.94% for the same period, while the model indicated an expected return of 161.70%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Dow Jones Internet Bull 3X Shares and the Direxion Daily Dow Jones Internet Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Dow Jones Internet Composite Index. The Dow Jones Internet Composite Index includes companies that generate at least 50% of their annual sales/revenue from the internet as determined by the Index Provider. Additionally, each stock must have a minimum of three months' trading history and a three month average market capitalization of at least $100 million. The Index consists of 40 stocks that are included in two different sectors, internet commerce and internet services. For the Annual Period, the Dow Jones Internet Composite Index returned 31.46%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Dow Jones Internet Bull 3X Shares returned 91.18%, while the model indicated an expected return of 95.83%. The Direxion Daily Dow Jones Internet Bear 3X Shares returned -67.47%, while the model indicated an expected return of -67.22%.
The Direxion Daily Financial Bull 3X Shares and the Direxion Daily Financial Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 1000® Index – Financials. The Russell 1000® Index – Financials is a subset of the Russell 1000® Index that measures the performance of the securities classified in the financial services sector of the large-capitalization U.S. equity market. This includes companies that are classified as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, financial investments, and real estate, including real estate investment trusts (REITS). For the Annual Period, the Russell 1000® Index – Financials returned 70.87%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Financial Bull 3X Shares returned 332.26%, while the model indicated an expected return of 343.42%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Financial Bear 3X Shares returned -84.47%, while the model indicated an expected return of -84.42%.
The Direxion Daily Healthcare Bull 3X Shares seeks to provide 300% of the daily return of the Health Care Select Sector Index. The Health Care Select Sector Index is provided by Standard & Poor's and includes domestic companies from the healthcare sector, which includes the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care technology. For the Annual Period, the Health Care Select Sector Index returned 33.82%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Healthcare Bull 3X Shares returned 122.57%, while the model indicated an expected return of 128.45%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Homebuilders & Supplies 3X Bull Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Home Construction Index. The Dow Jones U.S. Select Home Construction Index measures U.S companies in the home construction sector that provide a wide range of products and services related to homebuilding, including home
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construction and producers, sellers and suppliers of building materials, furnishings and fixtures and also home improvement retailers. The index may include large-, mid- or small-capitalization companies. For the Annual Period, the Dow Jones U.S. Select Home Construction Index returned 39.76%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Homebuilders & Supplies 3X Bull Shares 110.41%, while the model indicated an expected return of 152.61%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Industrials Bull 3X Shares seeks to provide 300% of the daily return of the Industrials Select Sector Index. The Industrials Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the industrials sector which includes the following industries: aerospace and defense: industry conglomerates; machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction and engineering; trading companies and distributors; airlines; and building products. For the Annual Period, the Industrials Select Sector Index returned 39.83%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Industrials Bull 3X Shares returned 146.14%, while the model indicated an expected return of 137.02%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily MSCI Real Estate Bull 3X Shares and the Direxion Daily MSCI Real Estate Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI US IMI Real Estate 25/50 Index. The MSCI US IMI Real Estate 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the U.S. equity universe that are classified in the real estate sector as per the Global Industry Classification Standard (GICS). For Annual Period, the MSCI US IMI Real Estate 25/50 Index returned 47.63%. 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 MSCI Real Estate Bull 3X Shares returned 192.60%, while the model indicated an expected return of 199.68%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily MSCI Real Estate Bear 3X Shares returned -73.23%, while the model indicated an expected return of -73.09%.
The Direxion Daily Pharmaceutical & Medical Bull 3X Shares seeks to provide 300% of the daily return of the S&P Pharmaceuticals Select Industry Index. The S&P Pharmaceuticals Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard (GICS) pharmaceuticals subindustry. For the Annual Period, the S&P Pharmaceuticals Select Industry Index returned 9.58%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Pharmaceutical & Medical Bull 3X Shares returned 14.91%, while the model indicated an expected return of 17.97%.
The Direxion Daily Regional Banks Bull 3X Shares seeks to provide 300% of the daily return of the S&P Regional Banks Select Industry Index. The S&P Regional Banks Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard regional banks sub-industry. For the Annual Period, the S&P Regional Banks Select Industry Index returned 77.28%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Regional Banks Bull 3X Shares returned 290.09%, while the model indicated an expected return of 301.33%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Retail Bull 3X Shares seeks to provide 300% of the daily return of the S&P Retail Select Industry Index, respectively. The S&P Retail Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard retail sub-industry. For the Annual Period, the S&P Retail Select Industry Index returned 91.17%. Given the daily investment
DIREXION
ANNUAL REPORT
9
objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Retail Bull 3X Shares returned 389.07%, while the model indicated an expected return of 400.59%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily S&P 500® High Beta Bull 3X Shares and the Direxion Daily S&P 500® High Beta Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® High Beta Index. The S&P 500® High Beta Index selects 100 securities to include in the Index from the S&P 500® Index that have the highest sensitivity to market movements, or "beta" over the past 12 months as determined by the Index Provider. Securities with the highest beta are generally the most volatile securities of the S&P 500® Index. The Index is reviewed and rebalanced quarterly. For the Annual Period, the S&P 500® High Beta Index returned 88.66%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® High Beta Bull 3X Shares returned 423.32%, while the model indicated an expected return of 437.98%. The Direxion Daily S&P 500® High Beta Bear 3X Shares returned -91.03%, while the model indicated an expected return of -90.92%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily S&P Biotech Bull 3X Shares and the Direxion Daily S&P Biotech Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Biotechnology Select Industry Index. The S&P Biotechnology Select Industry Index is provided by Standard & Poor's and includes domestic companies from the biotechnology industry. The index is designed to measure the performance of the biotechnology sub-industry based on the Global Industry Classification Standards. For the Annual Period, the S&P Biotechnology Select Industry Index returned 11.16%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Biotech Bull 3X Shares returned -0.50%, while the model indicated an expected return of 1.90%. The Direxion Daily S&P Biotech Bear 3X Shares returned -60.87%, while the model indicated an expected return of -60.18%.
The Direxion Daily Semiconductor Bull 3X Shares and the Direxion Daily Semiconductor Bear 3X Shares sought to provide 300% and -300%, respectively, of the daily return of the PHLX Semiconductor Sector Index. The PHLX Semiconductor Sector Index measures the performance of domestic companies engaged in the design, distribution, manufacture and sale of semiconductors. From November 1, 2020 through August 24, 2021, the PHLX Semiconductor Index returned 50.46%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Semiconductor Bull 3X Shares returned 163.75%, while the model indicated an expected return of 168.96%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Semiconductor Bear 3X Shares returned -81.98%, while the model indicated an expected return of -81.73%.
The Direxion Daily Semiconductor Bull 3X Shares and the Direxion Daily Semiconductor Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE Semiconductor Index. The ICE Semiconductor Index is a rules-based, modified float-adjusted market capitalization-weighted index that tracks the performance of the thirty largest U.S. listed semiconductor companies. From August 25, 2021 through October 31, 2021, the ICE Semiconductor Index returned 3.87%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Semiconductor Bull 3X Shares returned 8.90%, while the model indicated an expected return of 9.42%. The Direxion Daily Semiconductor Bear 3X Shares returned -14.93%, while the model indicated an expected return of -14.83%.
The Direxion Daily Technology Bull 3X Shares and the Direxion Daily Technology Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Technology Select Sector Index. The Technology Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the technology sector which includes domestic companies from the technology sector which includes the following industries: computers and peripherals; software; diversified telecommunications services; communications equipment; semiconductors and semi-conductor equipment; internet software and services; IT services; electronic equipment, instruments and components; wireless telecommunication services; and office electronics. For the Annual Period, the Technology Select Sector Index returned 47.19%. Given the daily investment objectives
DIREXION
ANNUAL REPORT
10
of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Technology Bull 3X Shares returned 179.53%, while the model indicated an expected return of 187.00%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Technology Bear 3X Shares returned -74.86%, while the model indicated an expected return of -74.66%.
The Direxion Daily Transportation Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones Transportation Average. The Dow Jones Transportation Average is provided by Dow Jones U.S. Index and measures the performance of large, well-known companies within the transportation industry (e.g. shipping, railroad companies, airlines, etc.). For the Annual Period, the Dow Jones Transportation Average returned 44.91%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Transportation Bull 3X Shares returned 168.57%, while the model indicated an expected return of 175.49%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.
The Direxion Daily Utilities Bull 3X Shares seeks to provide 300% of the daily return of the Utilities Select Sector Index. The Utilities Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the utilities sector which includes the following industries: electric utilities; multi-utilities; water utilities; independent power producers and energy trades; and gas utilities. For the Annual Period, the Utilities Select Sector Index returned 10.68%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Utilities Bull 3X Shares returned 22.72%, while the model indicated an expected return of 26.19%.
The Direxion Daily 7-10 Year Treasury Bull 3X Shares and the Direxion Daily 7-10 Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 7-10 Year Bond Index. The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Annual Period, the ICE U.S. Treasury 7-10 Year Bond Index returned -3.79%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 7-10 Year Treasury Bull 3X Shares returned -12.64%, while the model indicated an expected return of -11.31%. The Direxion Daily 7-10 Year Treasury Bear 3X Shares returned 7.53%, while the model indicated and an expected return of 10.42%.
The Direxion Daily 20+ Year Treasury Bull 3X Shares and the Direxion Daily 20+ Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 20+ Year Bond Index. The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Annual Period, the ICE U.S. Treasury 20+ Year Bond Index returned -5.50%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 20+ Year Treasury Bull 3X Shares returned -19.90%, while the model indicated an expected return of -18.45%. The Direxion Daily 20+ Year Treasury Bear 3X Shares returned 2.74%, while the model indicated an expected return of 5.56%.
Index Volatility:
After the initial onslaught of the equity sell off during the height of the pandemic, the CBOE Volatility Index reached a low point in October 2021, trading around 15, which was a remarkable improvement from the index peak that touched 37 in late January 2021. The decline was a result of the decreasing case counts, an increase in vaccinations, and the passing of
DIREXION
ANNUAL REPORT
11
the initial uncertainty in the equity market. However, upon entering the Annual Period, the volatility spiked and the downward trend was due to the failure to agree on an economic aid package before the November 3rd election by lawmakers. Volatility spiked once again in mid-February, following the tech sector's rout due to the fear of rising 10 year rates. The tech and work from home thematic names, which were some of the best performing stocks during the pandemic in the prior year, were hit the hardest by the uptick in the interest rates. The rates have since stabilized through the summer, but continued to decrease through Period end. This further emphasized inflation fears. Even though the CBOE Volatility Index finished the period at 16.53, volatility is slated to remain tied to geopolitical risk, as the U.S. and world leaders continue to adjust to the pandemic and inflation fears.
Index |
Return |
Volatility |
|||||||||
S&P Mid Cap 400® Index |
48.90 |
% |
17.84 |
% |
|||||||
S&P 500® Index |
42.91 |
% |
12.75 |
% |
|||||||
Russell 2000® Index |
50.80 |
% |
21.78 |
% |
|||||||
FTSE China 50 Index |
-4.97 |
% |
25.24 |
% |
|||||||
FTSE Developed Europe All Cap Index |
42.33 |
% |
14.65 |
% |
|||||||
MSCI Emerging Markets IndexSM |
16.96 |
% |
18.30 |
% |
|||||||
MSCI Mexico IMI 25/50 Index |
45.78 |
% |
21.07 |
% |
|||||||
MSCI Korea 25/50 Index |
25.00 |
% |
22.61 |
% |
|||||||
Dow Jones U.S. Select Aerospace & Defense Index |
40.01 |
% |
21.66 |
% |
|||||||
Consumer Discretionary Select Sector Index |
41.78 |
% |
16.75 |
% |
|||||||
Dow Jones Internet Composite Index1 |
31.46 |
% |
22.19 |
% |
|||||||
Russell 1000® Index – Financials |
70.87 |
% |
19.84 |
% |
|||||||
Health Care Select Sector Index |
33.82 |
% |
12.59 |
% |
|||||||
Dow Jones U.S. Select Home Construction Index |
39.76 |
% |
27.82 |
% |
|||||||
Industrials Select Sector Index |
39.83 |
% |
16.25 |
% |
|||||||
MSCI US IMI Real Estate 25/50 Index |
47.63 |
% |
14.47 |
% |
|||||||
S&P Pharmaceuticals Select Industry Index |
9.58 |
% |
19.16 |
% |
|||||||
S&P Regional Banks Select Industry Index |
77.28 |
% |
33.64 |
% |
|||||||
S&P Retail Select Industry Index |
91.17 |
% |
33.15 |
% |
|||||||
S&P 500® High Beta Index |
88.66 |
% |
27.47 |
% |
|||||||
S&P Biotechnology Select Industry Index |
11.16 |
% |
31.64 |
% |
|||||||
PHLX Semiconductor Sector Index1 |
50.46 |
% |
31.04 |
% |
|||||||
ICE Semiconductor Index2 |
3.87 |
% |
20.69 |
% |
|||||||
Technology Select Sector Index |
47.19 |
% |
18.68 |
% |
|||||||
Dow Jones Transportation AverageTM |
44.91 |
% |
18.17 |
% |
|||||||
Utilities Select Sector Index |
10.68 |
% |
15.51 |
% |
|||||||
ICE U.S. Treasury 7-10 Year Bond Index |
-3.79 |
% |
4.81 |
% |
|||||||
ICE U.S. Treasury 20+ Year Bond Index |
-5.50 |
% |
12.89 |
% |
1 November 1, 2020 through August 24, 2021
2 August 25, 2021 through October 31, 2021
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
|
|
||||||
Patrick Rudnick |
Corey Nolter |
||||||
Principal Executive Officer |
Principal Financial Officer |
DIREXION
ANNUAL REPORT
12
An investor should carefully consider a Fund's investment objective, risks, charges, and expenses before investing. A Fund's prospectus and summary prospectus contain this and other information about the Direxion Shares. To obtain a Fund's prospectus and summary prospectus call 866-476-7523 or visit our website at direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
Investing in a Direxion Shares ETF may be more volatile than investing in broadly diversified funds. The use of leverage by an ETF increases the risk to the ETF. The Direxion Shares ETFs are not suitable for all investors and should be utilized only by sophisticated investors who understand leverage risk, consequences of seeking daily leveraged, or daily inverse leveraged, investment results and intend to actively monitor and manage their investment. The Direxion Shares ETFs are not designed to track their respective underlying indices over a period of time longer than one day.
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Funds website at direxion.com.
Short-term performance, in particular, is not a good indication of the Fund's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, fund performance may be subject to substantial short-term changes. For additional information, see the Fund's prospectus.
Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. Some performance results reflect expense reimbursements or recoupments and fee waivers in effect during certain periods shown. Absent these reimbursements or recoupments and fee waivers, results would have been less favorable.
LIBOR (London Interbank Offered Rate) is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks. REIT (Real Estate Investment Trust).
Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration risk that results from the ETFs' investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts, forward contracts, options and swaps are subject to market risks that may cause their price to fluctuate over time. The ETF does not attempt to, and should not be expected to; provide returns which are a multiple of the return of the Index for periods other than a single day. For other risks including correlation, leverage, compounding, market volatility and specific risks regarding each sector, please read the prospectus.
The views of this letter were those of the Adviser as of October 31, 2021 and may not necessarily reflect his views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.
Distributed by: Foreside Fund Services, LLC
DIREXION
ANNUAL REPORT
13
Direxion Daily Mid Cap Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily Mid
Cap Bull 3X Shares (NAV) |
193.19 |
% |
20.98 |
% |
23.34 |
% |
27.23 |
% |
|||||||||||
Direxion Daily Mid
Cap Bull 3X Shares (Market Price) |
193.28 |
% |
21.09 |
% |
23.35 |
% |
27.33 |
% |
|||||||||||
S&P Mid Cap 400® Index |
48.90 |
% |
17.07 |
% |
14.89 |
% |
13.90 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Mid Cap® 400 Index measures the performance of the mid-cap segment of the U.S. equity universe. The index is a capitalization-weighted index composed of 400 domestic common stocks. The performance of the S&P Mid Cap® 400 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
14
Direxion Daily S&P 500® Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares (NAV) |
171.57 |
% |
45.60 |
% |
43.29 |
% |
38.91 |
% |
|||||||||||
Direxion Daily
S&P 500® Bull 3X Shares (Market Price) |
171.07 |
% |
45.58 |
% |
43.23 |
% |
38.90 |
% |
|||||||||||
S&P 500® Index |
42.91 |
% |
21.48 |
% |
18.93 |
% |
16.21 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.03%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500 Index® are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
15
Direxion Daily S&P 500® Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares (NAV) |
(69.21 |
)% |
(58.07 |
)% |
(50.52 |
)% |
(45.33 |
)% |
|||||||||||
Direxion Daily
S&P 500® Bear 3X Shares (Market Price) |
(69.18 |
)% |
(58.08 |
)% |
(50.52 |
)% |
(45.33 |
)% |
|||||||||||
S&P 500® Index |
42.91 |
% |
21.48 |
% |
18.93 |
% |
16.21 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.13%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Most of the common stocks in the S&P 500 Index® are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and are generally listed on the New York Stock Exchange. The performance of the S&P 500® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
16
Direxion Daily Small Cap Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily Small
Cap Bull 3X Shares (NAV) |
190.83 |
% |
15.00 |
% |
22.29 |
% |
23.29 |
% |
|||||||||||
Direxion Daily Small
Cap Bull 3X Shares (Market Price) |
189.70 |
% |
14.98 |
% |
22.29 |
% |
23.29 |
% |
|||||||||||
Russell 2000® Index |
50.80 |
% |
16.47 |
% |
15.52 |
% |
13.50 |
% |
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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 2000® Index measures the small cap segment of the U.S. equity universe and includes the smallest 2,000 securities in the Russell 3000® Index based on market cap. The performance of the Russell 2000® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
17
Direxion Daily Small Cap Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily Small
Cap Bear 3X Shares (NAV) |
(78.38 |
)% |
(61.04 |
)% |
(53.24 |
)% |
(48.14 |
)% |
|||||||||||
Direxion Daily Small
Cap Bear 3X Shares (Market Price) |
(78.33 |
)% |
(61.05 |
)% |
(53.24 |
)% |
(48.17 |
)% |
|||||||||||
Russell 2000® Index |
50.80 |
% |
16.47 |
% |
15.52 |
% |
13.50 |
% |
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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 2000® Index measures the small cap segment of the U.S. equity universe and includes the smallest 2,000 securities in the Russell 3000® Index based on market cap. The performance of the Russell 2000® Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
18
Direxion Daily FTSE China Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily FTSE
China Bull 3X Shares (NAV) |
(32.82 |
)% |
(13.58 |
)% |
(7.44 |
)% |
(6.46 |
)% |
|||||||||||
Direxion Daily FTSE
China Bull 3X Shares (Market Price) |
(32.72 |
)% |
(13.45 |
)% |
(7.43 |
)% |
(6.50 |
)% |
|||||||||||
FTSE China 50 Index |
(4.97 |
)% |
4.44 |
% |
5.31 |
% |
4.21 |
% |
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 1.38%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The FTSE China 50 Index consists of the 50 largest and most liquid Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the FTSE China 50 Index are weighted based on the total market value of their shares, so that the securities with the higher total market values will generally have a higher representation in the Index. Index constituents are screened for liquidity and weightings are capped to prevent the Index from being overly concentrated in any one stock. The performance of The FTSE China 50 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
19
Direxion Daily FTSE China Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily FTSE
China Bear 3X Shares (NAV) |
(19.37 |
)% |
(37.71 |
)% |
(35.52 |
)% |
(37.94 |
)% |
|||||||||||
Direxion Daily FTSE
China Bear 3X Shares (Market Price) |
(19.30 |
)% |
(37.79 |
)% |
(35.52 |
)% |
(37.92 |
)% |
|||||||||||
FTSE China 50 Index |
(4.97 |
)% |
4.44 |
% |
5.31 |
% |
4.21 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.12%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The FTSE China 50 Index consists of the 50 largest and most liquid Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the FTSE China 50 Index are weighted based on the total market value of their shares, so that the securities with the higher total market values will generally have a higher representation in the Index. Index constituents are screened for liquidity and weightings are capped to prevent the Index from being overly concentrated in any one stock. The performance of The FTSE China 50 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
20
Direxion Daily FTSE Europe Bull 3X Shares
Performance Summary (Unaudited)
January 22, 20141 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
Since Inception |
||||||||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares (NAV) |
165.99 |
% |
17.20 |
% |
16.35 |
% |
0.17 |
% |
|||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares (Market Price) |
167.21 |
% |
17.12 |
% |
16.30 |
% |
0.15 |
% |
|||||||||||
FTSE Developed Europe All Cap Index |
42.33 |
% |
13.03 |
% |
11.16 |
% |
5.48 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.13%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The FTSE Developed Europe All Cap Index is a market capitalization weighted index that is designed to measure the equity market performance of large, mid, and small cap companies in developed markets in Europe. The performance of FTSE Developed Europe All Cap Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
21
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares (NAV) |
36.04 |
% |
10.01 |
% |
6.07 |
% |
(4.23 |
)% |
|||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares (Market Price) |
36.46 |
% |
9.83 |
% |
5.98 |
% |
(4.29 |
)% |
|||||||||||
MSCI Emerging Markets IndexSM |
16.96 |
% |
12.30 |
% |
9.39 |
% |
4.88 |
% |
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 1.30%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Emerging Markets IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The performance of the MSCI Emerging Markets IndexSM does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
22
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares (NAV) |
(47.65 |
)% |
(47.82 |
)% |
(39.57 |
)% |
(32.52 |
)% |
|||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares (Market Price) |
(47.42 |
)% |
(47.73 |
)% |
(39.49 |
)% |
(32.49 |
)% |
|||||||||||
MSCI Emerging Markets IndexSM |
16.96 |
% |
12.30 |
% |
9.39 |
% |
4.88 |
% |
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 1.20%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Emerging Markets IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The performance of the MSCI Emerging Markets IndexSM does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
23
Direxion Daily MSCI Mexico Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||
1 Year |
3 Years |
Since Inception |
|||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares (NAV) |
160.49 |
% |
(12.76 |
)% |
(23.95 |
)% |
|||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares (Market Price) |
162.51 |
% |
(12.91 |
)% |
(24.02 |
)% |
|||||||||
MSCI Mexico IMI 25/50 Index |
45.78 |
% |
7.32 |
% |
0.80 |
% |
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 1.46%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Mexico IMI 25/50 Index is designed to measure the performance of the large, mid, and small capitalization segments of the Mexican equity market, covering approximately 99% of the free float-adjusted market capitalization in Mexico. The Index consists of stocks traded primarily on the Mexican Stock Market. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
24
Direxion Daily MSCI South Korea Bull 3X Shares
Performance Summary (Unaudited)
April 10, 20131 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
Since Inception |
||||||||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares (NAV) |
56.80 |
% |
3.21 |
% |
0.79 |
% |
(3.97 |
)% |
|||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares (Market Price) |
58.02 |
% |
3.34 |
% |
0.91 |
% |
(3.91 |
)% |
|||||||||||
MSCI Korea 25/50 Index |
25.00 |
% |
13.29 |
% |
9.88 |
% |
6.44 |
% |
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 1.39%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI Korea 25/50 Index is designed to measure the performance of the large and mid cap segments of the South Korean equity market, covering approximately 85% of the free float-adjusted market capitalization of South Korean issuers. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
25
Direxion Daily Aerospace & Defense Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||
1 Year |
3 Years |
Since Inception |
|||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares (NAV) |
132.19 |
% |
(20.76 |
)% |
(3.41 |
)% |
|||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares (Market Price) |
131.76 |
% |
(20.82 |
)% |
(3.45 |
)% |
|||||||||
Dow Jones U.S.
Select Aerospace & Defense Index |
40.01 |
% |
4.64 |
% |
8.83 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.05%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones U.S. Select Aerospace & Defense Index attempts to measure the performance of the aerospace and defense industry of the U.S. equity market. The Index Provider selects the stocks comprising the Index from the aerospace and defense sector on the basis of the float-adjusted, market capitalization-weight of each constituent. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
26
Direxion Daily Consumer Discretionary Bull 3X Shares
Performance Summary (Unaudited)
November 29, 20181 - October 31, 2021
Average Annual Total Return2 |
|||||||||||
1 Year |
Since Inception |
||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares (NAV) |
154.94 |
% |
56.79 |
% |
|||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares (Market Price) |
155.27 |
% |
56.71 |
% |
|||||||
Consumer Discretionary Select Sector Index |
41.78 |
% |
25.37 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.45%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Consumer Discretionary Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the consumer discretionary sector which includes the following industries: media; retail (specialty, multiline, internet & catalog); hotels, restaurants & leisure; textiles, apparel & luxury goods; household durables; automobiles; automobile components; distributors; leisure equipment & products; and diversified consumer services. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
27
Direxion Daily Dow Jones Internet Bull 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2021
Average Annual Total Return2 |
|||||||||||
1 Year |
Since Inception |
||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares (NAV) |
91.18 |
% |
87.33 |
% |
|||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares (Market Price) |
91.62 |
% |
87.55 |
% |
|||||||
Dow Jones Internet Composite Index |
31.46 |
% |
36.23 |
% |
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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones Internet Composite Index is provided by S&P Dow Jones Indices and includes companies that generate at least 50% of their annual sales/revenue from the internet as determined by the Index Provider. Additionally, each stock must have a minimum of three months' trading history and a three month average market capitalization of at least $100 million. The Index consists of 40 stocks that are included in two different sectors, internet commerce and internet services. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
28
Direxion Daily Dow Jones Internet Bear 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2021
Average Annual Total Return2 |
|||||||||||
1 Year |
Since Inception |
||||||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares (NAV) |
(67.47 |
)% |
(76.21 |
)% |
|||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares (Market Price) |
(67.47 |
)% |
(76.20 |
)% |
|||||||
Dow Jones Internet Composite Index |
31.46 |
% |
36.23 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 2.25%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones Internet Composite Index is provided by S&P Dow Jones Indices and includes companies that generate at least 50% of their annual sales/revenue from the internet as determined by the Index Provider. Additionally, each stock must have a minimum of three months' trading history and a three month average market capitalization of at least $100 million. The Index consists of 40 stocks that are included in two different sectors, internet commerce and internet services. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
29
Direxion Daily Financial Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Financial Bull 3X Shares (NAV) |
332.26 |
% |
36.22 |
% |
38.48 |
% |
37.68 |
% |
|||||||||||
Direxion Daily
Financial Bull 3X Shares (Market Price) |
332.91 |
% |
36.32 |
% |
38.49 |
% |
37.68 |
% |
|||||||||||
Russell 1000® Index – Financials |
70.87 |
% |
22.55 |
% |
20.01 |
% |
17.51 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 1000® Index – Financials measures the performance of all financial services related securities in the Russell 1000® Index. The performance of the Russell 1000® Index – Financials does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
30
Direxion Daily Financial Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Financial Bear 3X Shares (NAV) |
(84.47 |
)% |
(65.38 |
)% |
(56.89 |
)% |
(51.41 |
)% |
|||||||||||
Direxion Daily
Financial Bear 3X Shares (Market Price) |
(84.41 |
)% |
(65.40 |
)% |
(56.88 |
)% |
(51.40 |
)% |
|||||||||||
Russell 1000® Financial Services Index |
70.87 |
% |
22.55 |
% |
20.01 |
% |
17.51 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.11%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Russell 1000® Index – Financials measures the performance of all financial services related to securities in the Russell 1000® Index. The performance of the Russell 1000® Index – Financials does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
31
Direxion Daily Healthcare Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares (NAV) |
122.57 |
% |
33.27 |
% |
37.30 |
% |
41.46 |
% |
|||||||||||
Direxion Daily
Healthcare Bull 3X Shares (Market Price) |
122.25 |
% |
33.27 |
% |
37.30 |
% |
41.01 |
% |
|||||||||||
Health Care Select Sector Index |
33.82 |
% |
16.96 |
% |
16.87 |
% |
16.99 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.04%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Health Care Select Sector Index includes companies from the following industries: pharmaceuticals; health care providers & services; health care equipment & supplies; biotechnology; life sciences tools & services; and health care technology. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
32
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Performance Summary (Unaudited)
August 19, 20151 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
Since Inception |
||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares (NAV) |
110.41 |
% |
43.54 |
% |
31.95 |
% |
12.92 |
% |
|||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares (Market Price) |
110.67 |
% |
43.55 |
% |
32.18 |
% |
12.90 |
% |
|||||||||||
Dow Jones U.S.
Select Home Construction Index |
39.76 |
% |
33.47 |
% |
23.92 |
% |
16.38 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.02%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones U.S. Select Home Construction Index measures U.S. companies in the home construction sector that provide a wide range of products and services related to homebuilding, including home construction and products, sellers and suppliers if building materials, furnishings and fixtures and also home improvement retailers. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
33
Direxion Daily Industrials Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||
1 Year |
3 Years |
Since Inception |
|||||||||||||
Direxion Daily
Industrials Bull 3X Shares (NAV) |
146.14 |
% |
21.18 |
% |
15.17 |
% |
|||||||||
Direxion Daily
Industrials Bull 3X Shares (Market Price) |
146.08 |
% |
21.06 |
% |
15.16 |
% |
|||||||||
Industrials Select Sector Index |
39.83 |
% |
16.66 |
% |
12.81 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. 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 1.46%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Industrials Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the industrials sector which includes the following industries: aerospace and defense; industry conglomerates; and machinery. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
34
Direxion Daily MSCI Real Estate Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares (NAV) |
192.60 |
% |
12.99 |
% |
7.67 |
% |
15.97 |
% |
|||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares (Market Price) |
192.67 |
% |
12.69 |
% |
7.51 |
% |
15.81 |
% |
|||||||||||
MSCI U.S. REIT IndexSM |
51.70 |
% |
14.00 |
% |
9.72 |
% |
10.55 |
% |
|||||||||||
MSCI U.S. IMI Real Estate 25/50 Index |
47.63 |
% |
15.84 |
% |
11.40 |
% |
N/A |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.07%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI US IMI Real Estate 25/50 Index is designed to measure the performance of the large-, mid- and small capitalization segments of the U.S. equity universe that are classified in the real estate sector as per the Global Industry Classification Standard (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
35
Direxion Daily MSCI Real Estate Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares (NAV) |
(73.23 |
)% |
(56.34 |
)% |
(43.28 |
)% |
(41.40 |
)% |
|||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares (Market Price) |
(73.20 |
)% |
(56.34 |
)% |
(43.31 |
)% |
(41.40 |
)% |
|||||||||||
MSCI U.S. REIT IndexSM |
51.70 |
% |
14.00 |
% |
9.72 |
% |
10.55 |
% |
|||||||||||
MSCI U.S. IMI Real Estate 25/50 Index |
47.63 |
% |
15.84 |
% |
11.40 |
% |
N/A |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.22%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The MSCI US IMI Real Estate 25/50 Index is designed to measure the performance of the large-, mid- and small capitalization segments of the U.S. equity universe that are classified in the real estate sector as per the Global Industry Classification Standard (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
36
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Performance Summary (Unaudited)
November 15, 20171 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||
1 Year |
3 Years |
Since Inception |
|||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares (NAV) |
14.91 |
% |
(11.67 |
)% |
(7.52 |
)% |
|||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares (Market Price) |
15.47 |
% |
(11.65 |
)% |
(7.48 |
)% |
|||||||||
S&P Pharmaceuticals Select Industry Index |
9.58 |
% |
4.39 |
% |
4.76 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.35%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Pharmaceuticals Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard (GICS) pharmaceuticals subindustry. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
37
Direxion Daily Regional Banks Bull 3X Shares
Performance Summary (Unaudited)
August 19, 20151 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
Since Inception |
||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares (NAV) |
290.09 |
% |
(18.72 |
)% |
(4.92 |
)% |
(6.16 |
)% |
|||||||||||
Direxion Daily
Regional Banks Bull 3X Shares (Market Price) |
290.53 |
% |
(18.81 |
)% |
(5.05 |
)% |
(6.16 |
)% |
|||||||||||
S&P Regional Banks Select Industry Index |
77.28 |
% |
12.95 |
% |
13.05 |
% |
11.01 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.05%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Regional Banks Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard (GICS) regional banks sub-industry. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
38
Direxion Daily Retail Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily Retail Bull 3X Shares (NAV) |
389.07 |
% |
42.94 |
% |
23.47 |
% |
37.37 |
% |
|||||||||||
Direxion Daily
Retail Bull 3X Shares (Market Price) |
395.67 |
% |
43.05 |
% |
23.56 |
% |
37.37 |
% |
|||||||||||
S&P Retail Select Industry® Index |
91.17 |
% |
27.61 |
% |
19.09 |
% |
15.17 |
% |
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 1.18%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Retail Select Industry® Index represents the retail sub-industry portion of the S&P TMI. The S&P TMI tracks all eligible U.S. common equities listed on the NYSE, NYSE Arca, NYSE MKT, NASDAQ Global Select Market, NASDAQ Select Market, NASDAQ Capital Market, Bats BZX, Bats BYX, Bats EDGA, or Bats EDGX exchanges. The Retail Index is a modified equal weight index. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
39
Direxion Daily S&P 500® High Beta Bull 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2021
Average Annual Total Return2 |
|||||||||||
1 Year |
Since Inception |
||||||||||
S&P 500® High Beta Bull 3X Shares (NAV) |
423.32 |
% |
46.63 |
% |
|||||||
S&P
500® High Beta Bull 3X Shares (Market Price) |
422.33 |
% |
46.68 |
% |
|||||||
S&P 500® High Beta Index |
88.66 |
% |
37.91 |
% |
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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® High Beta Index is provided by S&P Dow Jones Indices (the "Index Provider"). The Index Provider selects 100 securities to include in the Index from the S&P 500® Index that have the highest sensitivity to market movements, or "beta" over the past 12 months as determined by the Index Provider. Securities with the highest beta are generally the most volatile securities of the S&P 500® Index. The Index is reviewed and rebalanced quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
40
Direxion Daily S&P 500® High Beta Bear 3X Shares
Performance Summary (Unaudited)
November 7, 20191 - October 31, 2021
Average Annual Total Return2 |
|||||||||||
1 Year |
Since Inception |
||||||||||
S&P 500® High Beta Bear 3X Shares (NAV) |
(91.03 |
)% |
(86.71 |
)% |
|||||||
S&P
500® High Beta Bear 3X Shares (Market Price) |
(91.06 |
)% |
(86.72 |
)% |
|||||||
S&P 500® High Beta Index |
88.66 |
% |
37.91 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.23%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage, and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P 500® High Beta Index is provided by S&P Dow Jones Indices (the "Index Provider"). The Index Provider selects 100 securities to include in the Index from the S&P 500® Index that have the highest sensitivity to market movements, or "beta" over the past 12 months as determined by the Index Provider. Securities with the highest beta are generally the most volatile securities of the S&P 500® Index. The Index is reviewed and rebalanced quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
41
Direxion Daily S&P Biotech Bull 3X Shares
Performance Summary (Unaudited)
May 28, 20151 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
Since Inception |
||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares (NAV) |
(0.50 |
)% |
2.79 |
% |
13.27 |
% |
(15.61 |
)% |
|||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares (Market Price) |
(0.69 |
)% |
2.88 |
% |
13.23 |
% |
(15.57 |
)% |
|||||||||||
S&P Biotechnology Select Industry Index |
11.16 |
% |
16.51 |
% |
17.59 |
% |
7.58 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.03%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Biotechnology Select Industry Index is provided by Standard & Poor's and includes domestic companies from the biotechnology industry. The Index is designed to measure the performance of the biotechnology sub-industry based on the Global Industry Classification Standards (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
42
Direxion Daily S&P Biotech Bear 3X Shares
Performance Summary (Unaudited)
May 28, 20151 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
Since Inception |
||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares (NAV) |
(60.87 |
)% |
(69.73 |
)% |
(66.90 |
)% |
(60.07 |
)% |
|||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares (Market Price) |
(60.66 |
)% |
(69.75 |
)% |
(66.86 |
)% |
(60.06 |
)% |
|||||||||||
S&P Biotechnology Select Industry Index |
11.16 |
% |
16.51 |
% |
17.59 |
% |
7.58 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.11%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage, and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The S&P Biotechnology Select Industry Index is provided by Standard & Poor's and includes domestic companies from the biotechnology industry. The Index is designed to measure the performance of the biotechnology sub-industry based on the Global Industry Classification Standards (GICS). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
43
Direxion Daily Semiconductor Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares (NAV) |
187.22 |
% |
92.99 |
% |
75.43 |
% |
57.26 |
% |
|||||||||||
Direxion Daily
Semiconductor Bull 3X Shares (Market Price) |
187.27 |
% |
93.01 |
% |
75.45 |
% |
57.27 |
% |
|||||||||||
ICE Semiconductor Index |
58.24 |
% |
44.06 |
% |
33.35 |
% |
N/A |
||||||||||||
PHLX Semiconductor Sector Index |
55.57 |
% |
44.51 |
% |
35.47 |
% |
26.66 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The ICE Semiconductor Index is a rules-based, modified float-adjusted market capitalization-weighted index that tracks the performance of the thirty largest U.S. listed semiconductor companies. Semiconductor companies are defined as those classified within the Semiconductors Industry of the ICE Uniform Sector Classification schema. This includes companies that either manufacture materials that have electrical conductivity (semiconductors) to be used in electronic applications or utilize LED and OLED technology. This also includes companies that provide services or equipment associated with semiconductors such as packaging and testing. The Index is rebalanced quarterly and reconstituted annually. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
44
Direxion Daily Semiconductor Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares (NAV) |
(84.66 |
)% |
(84.58 |
)% |
(77.03 |
)% |
(67.93 |
)% |
|||||||||||
Direxion Daily
Semiconductor Bear 3X Shares (Market Price) |
(84.61 |
)% |
(84.58 |
)% |
(77.04 |
)% |
(67.93 |
)% |
|||||||||||
ICE Semiconductor Index |
58.24 |
% |
44.06 |
% |
33.35 |
% |
N/A |
||||||||||||
PHLX Semiconductor Sector Index |
55.57 |
% |
44.51 |
% |
35.47 |
% |
26.66 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.14%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The ICE Semiconductor Index is a rules-based, modified float-adjusted market capitalization-weighted index that tracks the performance of the thirty largest U.S. listed semiconductor companies. Semiconductor companies are defined as those classified within the Semiconductors Industry of the ICE Uniform Sector Classification schema. This includes companies that either manufacture materials that have electrical conductivity (semiconductors) to be used in electronic applications or utilize LED and OLED technology. This also includes companies that provide services or equipment associated with semiconductors such as packaging and testing. The Index is rebalanced quarterly and reconstituted annually. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
45
Direxion Daily Technology Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Technology Bull 3X Shares (NAV) |
179.53 |
% |
78.97 |
% |
72.45 |
% |
52.75 |
% |
|||||||||||
Direxion Daily
Technology Bull 3X Shares (Market Price) |
178.37 |
% |
78.96 |
% |
72.42 |
% |
52.72 |
% |
|||||||||||
Technology Select Sector Index |
47.19 |
% |
34.38 |
% |
29.67 |
% |
22.15 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.02%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Technology Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: computers & peripherals; software; diversified telecommunications services; communications equipment; semiconductors & semiconductors equipment; internet software and energy equipment & services; IT services; electronic equipment, instruments & components; wireless telecommunications services; and office electronics. Each of the component securities of the Index is a constituent company of the S&P 500® Index. The performance of Technology Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
46
Direxion Daily Technology Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily
Technology Bear 3X Shares (NAV) |
(74.86 |
)% |
(74.25 |
)% |
(66.93 |
)% |
(56.59 |
)% |
|||||||||||
Direxion Daily
Technology Bear 3X Shares (Market Price) |
(74.83 |
)% |
(74.26 |
)% |
(66.93 |
)% |
(56.59 |
)% |
|||||||||||
Technology Select Sector Index |
47.19 |
% |
34.38 |
% |
29.67 |
% |
22.15 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.17%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Technology Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: computers & peripherals; software; diversified telecommunications services; communications equipment; semiconductors & semiconductors equipment; internet software and energy equipment & services; IT services; electronic equipment, instruments & components; wireless telecommunications services; and office electronics. Each of the component securities of the Index is a constituent company of the S&P 500® Index. The performance of Technology Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
47
Direxion Daily Transportation Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||
1 Year |
3 Years |
Since Inception |
|||||||||||||
Direxion Daily
Transportation Bull 3X Shares (NAV) |
168.57 |
% |
22.08 |
% |
18.75 |
% |
|||||||||
Direxion Daily
Transportation Bull 3X Shares (Market Price) |
168.48 |
% |
22.11 |
% |
18.63 |
% |
|||||||||
Dow Jones Transportation Average |
44.91 |
% |
17.72 |
% |
14.73 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Dow Jones Transportation Average (DJTTR) is provided by Dow Jones and measures the performance of large, well-known companies within the transportation industry (e.g. shipping, railroad companies, airlines, etc.). Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
48
Direxion Daily Utilities Bull 3X Shares
Performance Summary (Unaudited)
May 3, 20171 - October 31, 2021
Average Annual Total Return2 |
|||||||||||||||
1 Year |
3 Years |
Since Inception |
|||||||||||||
Direxion Daily
Utilities Bull 3X Shares (NAV) |
22.72 |
% |
8.25 |
% |
8.47 |
% |
|||||||||
Direxion Daily
Utilities Bull 3X Shares (Market Price) |
23.65 |
% |
8.05 |
% |
8.32 |
% |
|||||||||
Utilities Select Sector Index |
10.68 |
% |
11.27 |
% |
9.67 |
% |
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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The Utilities Select Sector Index is provided by Standard & Poor's and includes domestic companies from the following industries: electric utilities, multi-utilities, water utilities, independent power producers and energy trades, and gas utilities. Each of the component securities of the Index is a constituent company of the S&P 500® Index. The performance of Utilities Select Sector Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 Commencement of operations.
2 As of October 31, 2021.
DIREXION
ANNUAL REPORT
49
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares (NAV) |
(12.64 |
)% |
14.12 |
% |
3.97 |
% |
5.72 |
% |
|||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares (Market Price) |
(12.63 |
)% |
14.17 |
% |
3.98 |
% |
5.74 |
% |
|||||||||||
ICE U.S. Treasury 7-10 Year Bond Index |
(3.79 |
)% |
6.14 |
% |
2.63 |
% |
2.95 |
% |
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 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. The performance of the ICE U.S. Treasury 7-10 Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
50
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares (NAV) |
7.53 |
% |
(16.99 |
)% |
(8.21 |
)% |
(11.42 |
)% |
|||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares (Market Price) |
7.82 |
% |
(16.95 |
)% |
(8.61 |
)% |
(11.43 |
)% |
|||||||||||
ICE U.S. Treasury 7-10 Year Bond Index |
(3.79 |
)% |
6.14 |
% |
2.63 |
% |
2.95 |
% |
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 1.52%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. The performance of the ICE U.S. Treasury 7-10 Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
51
Direxion Daily 20+ Year Treasury Bull 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares (NAV) |
(19.90 |
)% |
22.81 |
% |
4.24 |
% |
6.70 |
% |
|||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares (Market Price) |
(19.83 |
)% |
22.87 |
% |
4.32 |
% |
6.72 |
% |
|||||||||||
ICE U.S. Treasury 20+ Year Bond Index |
(5.50 |
)% |
11.38 |
% |
4.72 |
% |
5.17 |
% |
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 1.06%. 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, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation and the use of leverage. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified multiple (300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. The performance of the ICE U.S. Treasury 20+ Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of 300% of its NAV through a combination of equities and derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
52
Direxion Daily 20+ Year Treasury Bear 3X Shares
Performance Summary (Unaudited)
October 31, 2011 - October 31, 2021
Average Annual Total Return1 |
|||||||||||||||||||
1 Year |
3 Years |
5 Years |
10 Years |
||||||||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares (NAV) |
2.74 |
% |
(36.48 |
)% |
(20.77 |
)% |
(23.30 |
)% |
|||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares (Market Price) |
2.80 |
% |
(36.48 |
)% |
(20.78 |
)% |
(23.31 |
)% |
|||||||||||
ICE U.S. Treasury 20+ Year Bond Index |
(5.50 |
)% |
11.38 |
% |
4.72 |
% |
5.17 |
% |
The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.01%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.
A fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and a Bear Fund's inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund's specified inverse multiple (-300%) will not generally equal a fund's performance over that same period.
This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund's inception and is not intended to imply any future performance. Shares of Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Performance reflects reinvestment of all dividend and capital gains distributions. During this period, some of the Fund's fees were waived and/or expenses reimbursed; otherwise, the Fund's performance would have been lower.
The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. The performance of the ICE U.S. Treasury 20+ Year Bond Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.
Market Exposure
The Fund seeks daily exposure of -300% of its NAV through derivatives. "Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.
1 As of October 31, 2021.
DIREXION
ANNUAL REPORT
53
Expense Example (Unaudited)
October 31, 2021
As a shareholder of the Direxion Shares ETF Trust, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (May 1, 2021 to October 31, 2021).
Actual Expenses
The first line under each Fund in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period May 1, 2021 to October 31, 2021" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the following table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
October 31, 2021
Annualized
Expense Ratio |
Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses
Paid During Period* |
||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
$ |
1,000.00 |
$ |
1,048.40 |
$ |
4.96 |
|||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.90 |
% |
1,000.00 |
1,323.10 |
5.27 |
||||||||||||||
Based on hypothetical 5% return |
0.90 |
% |
1,000.00 |
1,020.67 |
4.58 |
||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
703.10 |
4.08 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.90 |
% |
1,000.00 |
992.50 |
4.52 |
||||||||||||||
Based on hypothetical 5% return |
0.90 |
% |
1,000.00 |
1,020.67 |
4.58 |
||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.93 |
% |
1,000.00 |
848.30 |
4.33 |
||||||||||||||
Based on hypothetical 5% return |
0.93 |
% |
1,000.00 |
1,020.52 |
4.74 |
DIREXION
ANNUAL REPORT
54
Expense Example (Unaudited)
October 31, 2021
Annualized
Expense Ratio |
Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses
Paid During Period* |
||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
$ |
1,000.00 |
$ |
599.10 |
$ |
3.83 |
|||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,209.50 |
5.29 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,149.40 |
5.20 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
805.10 |
4.32 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,080.10 |
4.98 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,173.80 |
5.26 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
628.80 |
3.94 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
905.80 |
4.61 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,373.80 |
5.74 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,158.00 |
5.22 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
741.40 |
4.17 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily Financial Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.85 |
% |
1,000.00 |
1,340.10 |
5.01 |
||||||||||||||
Based on hypothetical 5% return |
0.85 |
% |
1,000.00 |
1,020.92 |
4.33 |
||||||||||||||
Direxion Daily Financial Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
641.80 |
3.93 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,332.00 |
5.64 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
872.40 |
4.53 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,051.90 |
4.97 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.97 |
% |
1,000.00 |
1,330.40 |
5.70 |
||||||||||||||
Based on hypothetical 5% return |
0.97 |
% |
1,000.00 |
1,020.32 |
4.94 |
||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
677.70 |
4.02 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
DIREXION
ANNUAL REPORT
55
Expense Example (Unaudited)
October 31, 2021
Annualized
Expense Ratio |
Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses
Paid During Period* |
||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
$ |
1,000.00 |
$ |
882.60 |
$ |
4.51 |
|||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.88 |
% |
1,000.00 |
1,027.50 |
4.50 |
||||||||||||||
Based on hypothetical 5% return |
0.88 |
% |
1,000.00 |
1,020.77 |
4.48 |
||||||||||||||
Direxion Daily Retail Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.97 |
% |
1,000.00 |
962.60 |
4.80 |
||||||||||||||
Based on hypothetical 5% return |
0.97 |
% |
1,000.00 |
1,020.32 |
4.94 |
||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.97 |
% |
1,000.00 |
1,180.90 |
5.33 |
||||||||||||||
Based on hypothetical 5% return |
0.97 |
% |
1,000.00 |
1,020.32 |
4.94 |
||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
673.10 |
4.01 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.93 |
% |
1,000.00 |
677.10 |
3.93 |
||||||||||||||
Based on hypothetical 5% return |
0.93 |
% |
1,000.00 |
1,020.52 |
4.74 |
||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,049.70 |
4.96 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.82 |
% |
1,000.00 |
1,292.30 |
4.74 |
||||||||||||||
Based on hypothetical 5% return |
0.82 |
% |
1,000.00 |
1,021.07 |
4.18 |
||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
604.00 |
3.84 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily Technology Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.90 |
% |
1,000.00 |
1,493.30 |
5.66 |
||||||||||||||
Based on hypothetical 5% return |
0.90 |
% |
1,000.00 |
1,020.67 |
4.58 |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
591.70 |
3.81 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,068.70 |
5.01 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,009.30 |
4.86 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.37 |
4.89 |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,019.50 |
4.84 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
950.90 |
4.67 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.42 |
4.84 |
||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.87 |
% |
1,000.00 |
1,197.10 |
4.82 |
||||||||||||||
Based on hypothetical 5% return |
0.87 |
% |
1,000.00 |
1,020.82 |
4.43 |
||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.87 |
% |
1,000.00 |
760.30 |
3.86 |
||||||||||||||
Based on hypothetical 5% return |
0.87 |
% |
1,000.00 |
1,020.82 |
4.43 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days (the number of days in the period of May 1, 2021 to October 31, 2021), then divided by 365.
DIREXION
ANNUAL REPORT
56
Allocation of Portfolio Holdings (Unaudited)
October 31, 2021
Cash* |
Common Stocks |
Investment Companies |
Swaps |
Total |
|||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
7 |
% |
— |
67 |
% |
26 |
% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
6 |
% |
— |
70 |
% |
24 |
% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
121 |
% |
— |
— |
(21 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
30 |
% |
— |
61 |
% |
9 |
% |
100 |
% |
||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
113 |
% |
— |
— |
(13 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
49 |
% |
— |
61 |
% |
(10 |
)% |
100 |
% |
||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
112 |
% |
— |
— |
(12 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
37 |
% |
— |
44 |
% |
19 |
% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
54 |
% |
— |
52 |
% |
(6 |
)% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
92 |
% |
— |
— |
8 |
% |
100 |
% |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
65 |
% |
— |
1 |
% |
34 |
% |
100 |
% |
||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
66 |
% |
— |
44 |
% |
(10 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
19 |
% |
71 |
% |
— |
10 |
% |
100 |
% |
||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
24 |
% |
46 |
% |
— |
30 |
% |
100 |
% |
||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
9 |
% |
70 |
% |
— |
21 |
% |
100 |
% |
||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
110 |
% |
— |
— |
(10 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
5 |
% |
63 |
% |
— |
32 |
% |
100 |
% |
||||||||||||||
Direxion Daily Financial Bear 3X Shares |
123 |
% |
— |
— |
(23 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
8 |
% |
69 |
% |
— |
23 |
% |
100 |
% |
||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
9 |
% |
57 |
% |
— |
34 |
% |
100 |
% |
||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
15 |
% |
62 |
% |
— |
23 |
% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
(8 |
)% |
71 |
% |
— |
37 |
% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
126 |
% |
— |
— |
(26 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
34 |
% |
65 |
% |
— |
1 |
% |
100 |
% |
||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
42 |
% |
27 |
% |
— |
31 |
% |
100 |
% |
||||||||||||||
Direxion Daily Retail Bull 3X Shares |
4 |
% |
71 |
% |
— |
25 |
% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
3 |
% |
61 |
% |
— |
36 |
% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
133 |
% |
— |
— |
(33 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
31 |
% |
73 |
% |
— |
(4 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
98 |
% |
— |
— |
2 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
29 |
% |
58 |
% |
— |
13 |
% |
100 |
% |
||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
112 |
% |
— |
— |
(12 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
8 |
% |
60 |
% |
— |
32 |
% |
100 |
% |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
134 |
% |
— |
— |
(34 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
30 |
% |
41 |
% |
— |
29 |
% |
100 |
% |
||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
34 |
% |
54 |
% |
— |
12 |
% |
100 |
% |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
37 |
% |
— |
66 |
% |
(3 |
)% |
100 |
% |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
98 |
% |
— |
— |
2 |
% |
100 |
% |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
37 |
% |
— |
63 |
% |
0 |
%** |
100 |
% |
||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
109 |
% |
— |
— |
(9 |
)% |
100 |
% |
|||||||||||||||
Allocation of Portfolio Holdings reflects percentages of net assets. |
* Cash, cash equivalents and other assets less liabilities.
** Less than 0.5%.
DIREXION
ANNUAL REPORT
57
Direxion Daily Mid Cap Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 67.2% |
|||||||||||
218,395 |
iShares Core S&P Mid-Cap ETF (a) |
$ |
60,855,767 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $51,524,793) |
$ |
60,855,767 |
|||||||||
SHORT TERM INVESTMENTS - 32.8% |
|||||||||||
Money Market Funds - 32.8% |
|||||||||||
16,314,521 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
16,314,521 |
||||||||
13,358,247 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
13,358,247 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $29,672,768) |
$ |
29,672,768 |
|||||||||
TOTAL INVESTMENTS
(Cost $81,197,561) - 100.0% (c) |
$ |
90,528,535 |
|||||||||
Other Assets in
Excess of Liabilities - 0.0% (†)(†) |
55,640 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
90,584,175 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $64,626,286.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
S&P MidCap 400® Index |
0.5393% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
19,425 |
$ |
44,273,796 |
$ |
10,361,047 |
|||||||||||||||||||
Total return of
S&P MidCap 400® Index |
0.3858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
51,715 |
132,401,973 |
12,853,391 |
|||||||||||||||||||||
Total return of
S&P MidCap 400® Index |
0.5858% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/14/2021 |
3,928 |
10,890,324 |
86,413 |
|||||||||||||||||||||
Total return of
S&P MidCap 400® Index |
0.3858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
8/16/2022 |
411 |
1,132,741 |
15,826 |
|||||||||||||||||||||
$ |
188,698,834 |
$ |
23,316,677 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
58
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 70.4% |
|||||||||||
5,115,368 |
iShares Core S&P 500 ETF (a) |
$ |
2,358,133,494 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $2,097,438,569) |
$ |
2,358,133,494 |
|||||||||
SHORT TERM INVESTMENTS - 31.1% |
|||||||||||
Money Market Funds - 31.1% |
|||||||||||
524,886,856 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
524,886,856 |
||||||||
50,000,000 |
Dreyfus Treasury
Securities Cash Management Institutional Shares, 0.01% (b) |
50,000,000 |
|||||||||
225,604,519 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
225,604,519 |
Shares |
Fair Value |
||||||||||
Money Market Funds (continued) |
|||||||||||
242,369,896 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
$ |
242,369,896 |
||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,042,861,271) |
$ |
1,042,861,271 |
|||||||||
TOTAL INVESTMENTS
(Cost $3,140,299,840) - 101.5% (c) |
$ |
3,400,994,765 |
|||||||||
Liabilities in
Excess of Other Assets - (1.5)% |
(52,244,529 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,348,750,236 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,085,583,125.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5158% representing
1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
380,438 |
$ |
1,651,362,298 |
$ |
104,039,829 |
|||||||||||||||||||
Total return of
S&P 500® Index |
0.5393% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
224,708 |
940,690,610 |
97,485,867 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.7258% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
195,788 |
859,105,892 |
43,392,615 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.4358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
211,774 |
865,960,625 |
113,409,120 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.3358% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
291,931 |
1,136,999,291 |
216,009,511 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
12/15/2021 |
75,949 |
278,947,006 |
73,320,290 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
2/16/2022 |
60,000 |
228,296,168 |
49,768,851 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
3/16/2022 |
40,000 |
155,959,974 |
29,222,009 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
33,786 |
140,028,606 |
16,207,721 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
25,236 |
104,102,723 |
12,552,210 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
19,798 |
82,378,836 |
9,101,906 |
|||||||||||||||||||||
Total return of
S&P 500® Index |
0.5500% representing
1 month LIBOR rate + spread |
Goldman Sachs |
10/26/2022 |
110,000 |
482,801,609 |
23,916,772 |
|||||||||||||||||||||
$ |
6,926,633,638 |
$ |
788,426,701 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
59
Direxion Daily S&P 500® Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 121.4% |
|||||||||||
Money Market Funds - 121.4% |
|||||||||||
225,185,648 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
225,185,648 |
||||||||
33,101,146 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
33,101,146 |
|||||||||
213,073,957 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
213,073,957 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $471,360,751) (b) |
$ |
471,360,751 |
|||||||||
TOTAL INVESTMENTS
(Cost $471,360,751) - 121.4% |
$ |
471,360,751 |
|||||||||
Liabilities in
Excess of Other Assets - (21.4)% |
(83,004,132 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
388,356,619 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $312,793,669.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.1858% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
J.P. Morgan |
12/9/2021 |
106,466 |
$ |
462,328,569 |
$ |
(29,334,156 |
) |
||||||||||||||||||
0.2358% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
Barclays |
12/9/2021 |
26,587 |
119,052,114 |
(3,419,888 |
) |
||||||||||||||||||||
0.3393% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
Bank of America
Merrill Lynch |
12/9/2021 |
27,206 |
118,603,186 |
(6,776,483 |
) |
||||||||||||||||||||
0.4158% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
UBS Securities LLC |
12/9/2021 |
14,485 |
63,356,591 |
(3,395,513 |
) |
||||||||||||||||||||
0.1358% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
Citibank N.A. |
12/13/2021 |
37,626 |
154,470,554 |
(19,813,762 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
BNP Paribas |
3/16/2022 |
7,742 |
29,637,856 |
(6,301,725 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
BNP Paribas |
5/18/2022 |
14,087 |
58,473,086 |
(6,779,766 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
BNP Paribas |
6/15/2022 |
3,525 |
14,894,013 |
(1,413,950 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® Index |
BNP Paribas |
9/21/2022 |
15,257 |
68,012,950 |
(2,403,273 |
) |
||||||||||||||||||||
$ |
1,088,828,919 |
$ |
(79,638,516 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
60
Direxion Daily Small Cap Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 61.5% |
|||||||||||
4,043,016 |
iShares Russell 2000 ETF (a)(b) |
$ |
922,009,799 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $911,672,338) |
$ |
922,009,799 |
|||||||||
SHORT TERM INVESTMENTS - 58.5% |
|||||||||||
Money Market Funds - 58.5% |
|||||||||||
594,369,465 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
594,369,465 |
||||||||
12,091,624 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
12,091,624 |
|||||||||
270,346,979 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
270,346,979 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $876,808,068) |
$ |
876,808,068 |
|||||||||
TOTAL INVESTMENTS
(Cost $1,788,480,406) - 120.0% (e) |
$ |
1,798,817,867 |
|||||||||
Liabilities in
Excess of Other Assets - (20.0)% |
(299,299,008 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
1,499,518,859 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $939,333,599.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.5858% representing
1 month LIBOR rate + spread |
Credit Suisse
International |
12/8/2021 |
55,000 |
$ |
122,205,946 |
$ |
4,330,520 |
|||||||||||||||||||
Total return of
Russell 2000® Index |
0.3858% representing
1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
395,000 |
867,499,634 |
42,504,695 |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.4893% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
219,135 |
498,091,269 |
5,297,042 |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.3858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
76,269 |
170,376,868 |
4,908,780 |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.3258% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
376,275 |
821,802,654 |
45,421,886 |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.6558% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/14/2021 |
326,835 |
726,511,797 |
24,620,526 |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.3858% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
75,483 |
169,053,765 |
4,836,371 |
|||||||||||||||||||||
Total return of
Russell 2000® Index |
0.3858% representing
1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
32,905 |
72,181,790 |
3,593,442 |
|||||||||||||||||||||
$ |
3,447,723,723 |
$ |
135,513,262 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
61
Direxion Daily Small Cap Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 113.5% |
|||||||||||
Money Market Funds - 113.5% |
|||||||||||
376,900,327 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
376,900,327 |
||||||||
195,897,612 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
195,897,612 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $572,797,939) (b) |
$ |
572,797,939 |
|||||||||
TOTAL INVESTMENTS
(Cost $572,797,939) - 113.5% |
$ |
572,797,939 |
|||||||||
Liabilities in
Excess of Other Assets - (13.5)% |
(68,014,656 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
504,783,283 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $364,454,211.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.2893% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
Bank of America
Merrill Lynch |
12/9/2021 |
84,277 |
$ |
190,919,584 |
$ |
(2,691,239 |
) |
||||||||||||||||||
0.3158% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
UBS Securities LLC |
12/9/2021 |
117,429 |
250,221,373 |
(20,179,267 |
) |
||||||||||||||||||||
0.0358% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
Citibank N.A. |
12/13/2021 |
149,878 |
331,010,042 |
(13,942,405 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
J.P. Morgan |
12/16/2021 |
126,106 |
288,046,165 |
(2,234,393 |
) |
||||||||||||||||||||
0.1858% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
BNP Paribas |
1/19/2022 |
118,066 |
251,239,607 |
(21,524,642 |
) |
||||||||||||||||||||
0.1858% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
BNP Paribas |
2/16/2022 |
16,033 |
34,323,103 |
(2,716,967 |
) |
||||||||||||||||||||
0.1858% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
BNP Paribas |
7/20/2022 |
26,093 |
58,371,963 |
(1,725,819 |
) |
||||||||||||||||||||
0.1858% representing
1 month LIBOR rate + spread |
Total return of
Russell 2000® Index |
BNP Paribas |
8/17/2022 |
21,327 |
47,844,987 |
(1,227,287 |
) |
||||||||||||||||||||
$ |
1,451,976,824 |
$ |
(66,242,019 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
62
Direxion Daily FTSE China Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 60.6% |
|||||||||||
7,241,107 |
iShares China Large-Cap ETF (a) |
$ |
292,033,845 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $296,637,963) |
$ |
292,033,845 |
|||||||||
SHORT TERM INVESTMENTS - 53.1% |
|||||||||||
Money Market Funds - 53.1% |
|||||||||||
249,680,375 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
249,680,375 |
||||||||
6,578,251 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
6,578,251 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $256,258,626) |
$ |
256,258,626 |
|||||||||
TOTAL INVESTMENTS
(Cost $552,896,589) - 113.7% (c) |
$ |
548,292,471 |
|||||||||
Liabilities in
Excess of Other Assets - (13.7)% |
(66,004,726 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
482,287,745 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $384,440,030.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
iShares China Large-Cap ETF |
0.7458% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
9,379,987 |
$ |
383,617,805 |
$ |
(5,528,610 |
) |
||||||||||||||||||
Total return of
iShares China Large-Cap ETF |
0.3393% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
1/26/2022 |
10,850,501 |
432,156,011 |
5,287,645 |
|||||||||||||||||||||
Total return of
iShares China Large-Cap ETF |
0.4358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
3,348,836 |
156,040,768 |
(20,370,659 |
) |
||||||||||||||||||||
Total return of
iShares China Large-Cap ETF |
0.4358% representing
1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
5,055,846 |
231,929,930 |
(28,275,432 |
) |
||||||||||||||||||||
$ |
1,203,744,514 |
$ |
(48,887,056 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
63
Direxion Daily FTSE China Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 122.8% |
|||||||||||
Money Market Funds - 122.8% |
|||||||||||
24,502,492 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
24,502,492 |
||||||||
56,797,300 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
56,797,300 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $81,299,792) (b) |
$ |
81,299,792 |
|||||||||
TOTAL INVESTMENTS
(Cost $81,299,792) - 122.8% |
$ |
81,299,792 |
|||||||||
Liabilities in
Excess of Other Assets - (22.8)% |
(15,069,523 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
66,230,269 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $57,870,537.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
0.2158% representing
1 month LIBOR rate + spread |
Total return of
iShares China Large-Cap ETF |
UBS Securities LLC |
12/14/2021 |
289,787 |
$ |
11,899,139 |
$ |
210,943 |
|||||||||||||||||||
0.1393% representing
1 month LIBOR rate + spread |
Total return of
iShares China Large-Cap ETF |
Bank of America
Merrill Lynch |
12/13/2022 |
4,636,887 |
179,102,514 |
(7,881,541 |
) |
||||||||||||||||||||
$ |
191,001,653 |
$ |
(7,670,598 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
64
Direxion Daily FTSE Europe Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 44.3% |
|||||||||||
308,105 |
Vanguard FTSE Europe ETF (a) |
$ |
21,231,516 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $20,471,174) |
$ |
21,231,516 |
|||||||||
SHORT TERM INVESTMENTS - 58.4% |
|||||||||||
Money Market Funds - 58.4% |
|||||||||||
17,329,558 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
17,329,558 |
||||||||
10,634,338 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
10,634,338 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $27,963,896) |
$ |
27,963,896 |
|||||||||
TOTAL INVESTMENTS
(Cost $48,435,070) - 102.7% (c) |
$ |
49,195,412 |
|||||||||
Liabilities in
Excess of Other Assets - (2.7)% |
(1,271,589 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
47,923,823 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,636,847.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.7858% representing
1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
183,065 |
$ |
11,626,977 |
$ |
1,161,496 |
|||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.7858% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
84,943 |
5,894,378 |
(15,576 |
) |
||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.5358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
493,857 |
30,179,400 |
4,395,334 |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.5858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/10/2021 |
493,559 |
33,599,902 |
493,972 |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.5393% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/21/2021 |
99,227 |
6,802,379 |
34,335 |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
1/19/2022 |
269,753 |
16,188,257 |
2,729,447 |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
2/16/2022 |
70,776 |
4,412,792 |
551,236 |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
39,943 |
2,623,094 |
169,607 |
|||||||||||||||||||||
Total return of
Vanguard FTSE Europe ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
8/17/2022 |
43,157 |
2,928,649 |
59,537 |
|||||||||||||||||||||
$ |
114,255,828 |
$ |
9,579,388 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
65
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 52.2% |
|||||||||||
1,733,112 |
iShares MSCI
Emerging Markets ETF (a)(b) |
$ |
88,250,063 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $94,770,229) |
$ |
88,250,063 |
|||||||||
SHORT TERM INVESTMENTS - 55.4% |
|||||||||||
Money Market Funds - 55.4% |
|||||||||||
77,563,703 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
77,563,703 |
||||||||
16,179,958 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
16,179,958 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $93,743,661) |
$ |
93,743,661 |
|||||||||
TOTAL INVESTMENTS
(Cost $188,513,890) - 107.6% (e) |
$ |
181,993,724 |
|||||||||
Liabilities in
Excess of Other Assets - (7.6)% |
(12,812,695 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
169,181,029 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $98,337,677.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
Total return of
iShares MSCI Emerging Markets ETF |
0.8458% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
11/23/2021 |
5,957,465 |
$ |
307,559,664 |
$ |
(4,526,389 |
) |
||||||||||||||||||
Total return of
iShares MSCI Emerging Markets ETF |
0.4358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
1,277,067 |
67,166,953 |
(2,176,524 |
) |
||||||||||||||||||||
Total return of
iShares MSCI Emerging Markets ETF |
0.3658% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
1,000,000 |
54,147,828 |
(3,112,848 |
) |
||||||||||||||||||||
$ |
428,874,445 |
$ |
(9,815,761 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
66
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 101.5% |
|||||||||||
Money Market Funds - 101.5% |
|||||||||||
17,420,717 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
17,420,717 |
||||||||
9,560,202 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
9,560,202 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $26,980,919) (b) |
$ |
26,980,919 |
|||||||||
TOTAL INVESTMENTS
(Cost $26,980,919) - 101.5% |
$ |
26,980,919 |
|||||||||
Liabilities in
Excess of Other Assets - (1.5)% |
(390,465 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
26,590,454 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,913,412.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
0.3158% representing 1 month LIBOR rate + spread |
Total return of
iShares MSCI Emerging Markets ETF |
UBS Securities
LLC |
12/7/2021 |
663,448 |
$ |
33,700,785 |
$ |
(76,546 |
) |
||||||||||||||||||
(0.2143)% representing 1 month LIBOR rate + spread |
Total return of
iShares MSCI Emerging Markets ETF |
J.P. Morgan |
12/9/2021 |
403,160 |
22,103,797 |
1,515,915 |
|||||||||||||||||||||
0.0858% representing 1 month LIBOR rate + spread |
Total return of
iShares MSCI Emerging Markets ETF |
Citibank N.A. |
12/13/2021 |
500,000 |
26,077,336 |
623,577 |
|||||||||||||||||||||
$ |
81,881,918 |
$ |
2,062,946 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
67
Direxion Daily MSCI Mexico Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 0.8% |
|||||||||||
2,478 |
iShares MSCI Mexico ETF (a)(b) |
$ |
119,812 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $122,981) |
$ |
119,812 |
|||||||||
SHORT TERM INVESTMENTS - 102.8% |
|||||||||||
Money Market Funds - 102.8% |
|||||||||||
10,814,662 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
10,814,662 |
||||||||
3 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
3 |
|||||||||
4,842,192 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
4,842,192 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $15,656,857) |
$ |
15,656,857 |
|||||||||
TOTAL INVESTMENTS
(Cost $15,779,838) - 103.6% (e) |
$ |
15,776,669 |
|||||||||
Liabilities in
Excess of Other Assets - (3.6)% |
(551,464 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
15,225,205 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $8,314,122.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid/(Received) at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
iShares MSCI Mexico ETF |
0.0358% representing
1 month LIBOR rate + spread |
BNP Paribas |
12/7/2021 |
73,273 |
$ |
3,455,900 |
$ |
129,018 |
|||||||||||||||||||
Total return of
iShares MSCI Mexico ETF |
0.4858% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
403,583 |
17,276,229 |
2,375,694 |
|||||||||||||||||||||
Total return of
iShares MSCI Mexico ETF |
(0.9143)%
representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
465,364 |
20,135,651 |
2,687,099 |
|||||||||||||||||||||
$ |
40,867,780 |
$ |
5,191,811 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
68
Direxion Daily MSCI South Korea Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 44.3% |
|||||||||||
261,797 |
iShares MSCI South Korea ETF (a) |
$ |
20,810,244 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $21,701,888) |
$ |
20,810,244 |
|||||||||
SHORT TERM INVESTMENTS - 67.4% |
|||||||||||
Money Market Funds - 67.4% |
|||||||||||
4,811,247 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
4,811,247 |
||||||||
26,888,414 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
26,888,414 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $31,699,661) |
$ |
31,699,661 |
|||||||||
TOTAL INVESTMENTS
(Cost $53,401,549) - 111.7% (c) |
$ |
52,509,905 |
|||||||||
Liabilities in
Excess of Other Assets - (11.7)% |
(5,488,012 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
47,021,893 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $45,198,538.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
Total return of
iShares MSCI South Korea ETF |
0.5893% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
438,788 |
$ |
36,989,020 |
$ |
(2,160,371 |
) |
||||||||||||||||||
Total return of
iShares MSCI South Korea ETF |
0.5358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
788,074 |
63,668,483 |
(1,052,992 |
) |
||||||||||||||||||||
Total return of
iShares MSCI South Korea ETF |
0.5358% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
286,000 |
24,327,597 |
(1,615,976 |
) |
||||||||||||||||||||
$ |
124,985,100 |
$ |
(4,829,339 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
69
Direxion Daily Aerospace & Defense Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 71.0% |
|||||||||||
Computer and
Electronic Product Manufacturing - 23.3% |
|||||||||||
48,717 |
Aerojet Rocketdyne
Holdings, Inc. |
$ |
2,144,035 |
||||||||
38,233 |
L3 Harris Technologies, Inc. |
8,814,236 |
|||||||||
36,728 |
Mercury Computer
Systems, Inc. (a) |
1,892,961 |
|||||||||
19,155 |
Moog, Inc. Class A |
1,446,777 |
|||||||||
24,494 |
Northrop Grumman Corp. |
8,749,746 |
|||||||||
476,838 |
Raytheon Technologies Corp. |
42,371,825 |
|||||||||
65,419,580 |
|||||||||||
Credit Intermediation and Related Activities - 0.2% |
|||||||||||
31,391 |
Smith & Wesson Brands, Inc. |
674,906 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.8% |
|||||||||||
42,955 |
Axon Enterprise, Inc. (a) |
7,730,182 |
|||||||||
Fabricated Metal Product Manufacturing - 4.3% |
|||||||||||
62,256 |
BWX Technologies, Inc. |
3,532,405 |
|||||||||
26,741 |
Curtiss-Wright Corp. |
3,414,291 |
|||||||||
18,593 |
RBC Bearings, Inc. (a) |
4,349,461 |
|||||||||
11,513 |
Sturm, Ruger & Co, Inc. |
908,145 |
|||||||||
12,204,302 |
|||||||||||
Merchant Wholesalers, Durable Goods - 3.2% |
|||||||||||
54,848 |
Hexcel Corp. (a) |
3,112,075 |
|||||||||
26,248 |
Huntington Ingalls
Industries, Inc. |
5,321,257 |
|||||||||
18,211 |
Kaman Corp. |
651,772 |
|||||||||
9,085,104 |
|||||||||||
Miscellaneous Manufacturing - 3.3% |
|||||||||||
123,982 |
Textron, Inc. |
9,156,071 |
|||||||||
Primary Metal Manufacturing - 2.7% |
|||||||||||
252,485 |
Howmet Aerospace, Inc. |
7,496,280 |
|||||||||
Professional, Scientific, and Technical Services - 0.7% |
|||||||||||
47,418 |
Maxar Technologies, Inc. |
1,258,948 |
|||||||||
17,434 |
Parsons Corp. (a) |
603,914 |
|||||||||
1,862,862 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.9% |
|||||||||||
40,793 |
PAE, Inc. (a) |
404,666 |
|||||||||
116,105 |
Virgin Galactic Holdings, Inc. (a)(b) |
2,176,969 |
|||||||||
2,581,635 |
|||||||||||
Textile Mills - 0.1% |
|||||||||||
3,319 |
National Presto Industries, Inc. |
275,975 |
|||||||||
Transportation Equipment Manufacturing - 29.5% |
|||||||||||
21,765 |
AAR Corp. (a) |
769,828 |
|||||||||
15,073 |
AeroVironment, Inc. (a) |
1,343,155 |
|||||||||
174,237 |
Boeing Co. (a) |
36,072,286 |
|||||||||
43,186 |
General Dynamics Corp. |
8,755,962 |
|||||||||
48,232 |
HEICO Corp. |
6,061,798 |
|||||||||
27,334 |
HEICO Corp. Class A |
3,810,086 |
|||||||||
81,082 |
Kratos Defense &
Security Solutions, Inc. (a) |
1,734,344 |
|||||||||
33,944 |
Lockheed Martin Corp. |
11,280,270 |
|||||||||
68,956 |
Spirit AeroSystems Holdings, Inc. |
2,847,193 |
Shares |
Fair Value |
||||||||||
Transportation Equipment Manufacturing (continued) |
|||||||||||
15,092 |
TransDigm Group, Inc. (a) |
$ |
9,414,692 |
||||||||
42,256 |
Triumph Group, Inc. (a) |
864,135 |
|||||||||
82,953,749 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $197,296,599) |
$ |
199,440,646 |
|||||||||
SHORT TERM INVESTMENTS - 30.1% |
|||||||||||
Money Market Funds - 30.1% |
|||||||||||
41,997,632 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
41,997,632 |
||||||||
42,555,081 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
42,555,081 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $84,552,713) |
$ |
84,552,713 |
|||||||||
TOTAL INVESTMENTS
(Cost $281,849,312) - 101.1% (e) |
$ |
283,993,359 |
|||||||||
Liabilities in
Excess of Other Assets - (1.1)% |
(3,103,212 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
280,890,147 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $213,266,395.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
70
Direxion Daily Aerospace & Defense Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.7358% representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
3,829 |
$ |
96,440,047 |
$ |
4,680,313 |
|||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.5358% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
6,555 |
156,325,279 |
17,202,638 |
|||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.5358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/20/2021 |
6,233 |
166,943,869 |
(2,565,550 |
) |
||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
2/16/2022 |
3,886 |
92,843,433 |
9,924,450 |
|||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
1,199 |
31,869,242 |
(220,340 |
) |
||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
1,342 |
35,203,756 |
250,732 |
|||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
712 |
18,960,094 |
(157,054 |
) |
||||||||||||||||||||
Total return of Dow
Jones U.S. Select Aerospace & Defense Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
630 |
16,720,219 |
(96,033 |
) |
||||||||||||||||||||
$ |
615,305,939 |
$ |
29,019,156 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
71
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 46.1% |
|||||||||||
Accommodation - 1.6% |
|||||||||||
1,242 |
Caesars Entertainment Inc. (a) |
$ |
135,949 |
||||||||
1,621 |
Hilton Worldwide Holdings, Inc. (a) |
233,343 |
|||||||||
2,000 |
Las Vegas Sands Corp. (a) |
77,620 |
|||||||||
1,591 |
Marriott
International, Inc. Class A (a) |
254,592 |
|||||||||
2,326 |
MGM Resorts International |
109,694 |
|||||||||
967 |
Penn National Gaming, Inc. (a) |
69,237 |
|||||||||
880,435 |
|||||||||||
Administrative and Support Services - 1.1% |
|||||||||||
239 |
Booking Holdings, Inc. (a) |
578,566 |
|||||||||
Amusement, Gambling, and Recreation Industries - 0.1% |
|||||||||||
612 |
Wynn Resorts Ltd. (a) |
54,958 |
|||||||||
Apparel Manufacturing - 0.5% |
|||||||||||
2,031 |
Hanesbrands, Inc. |
34,608 |
|||||||||
416 |
PVH Corp. (a) |
45,481 |
|||||||||
282 |
Ralph Lauren Corp. |
35,862 |
|||||||||
1,098 |
Under Armour, Inc. Class A (a) |
24,112 |
|||||||||
1,213 |
Under Armour, Inc. Class C (a) |
22,901 |
|||||||||
1,896 |
V F Corp. |
138,181 |
|||||||||
301,145 |
|||||||||||
Building Material and Garden Equipment and Supplies Dealers - 5.8% |
|||||||||||
4,112 |
Lowe's Companies, Inc. |
961,468 |
|||||||||
6,098 |
The Home Depot, Inc. |
2,266,870 |
|||||||||
3,228,338 |
|||||||||||
Clothing and Clothing Accessories Stores - 1.5% |
|||||||||||
1,540 |
Bath & Body Works, Inc. |
106,398 |
|||||||||
1,252 |
Gap, Inc. |
28,408 |
|||||||||
2,078 |
Ross Stores, Inc. |
235,230 |
|||||||||
7,017 |
TJX Companies, Inc. |
459,543 |
|||||||||
829,579 |
|||||||||||
Construction of Buildings - 0.9% |
|||||||||||
1,896 |
D.R. Horton, Inc. |
169,256 |
|||||||||
1,598 |
Lennar Corp. Class A |
159,688 |
|||||||||
19 |
NVR, Inc. (a) |
93,001 |
|||||||||
1,510 |
PulteGroup, Inc. |
72,601 |
|||||||||
494,546 |
|||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.1% |
|||||||||||
365 |
Whirlpool Corp. |
76,953 |
|||||||||
Electronics and Appliance Stores - 0.3% |
|||||||||||
1,311 |
Best Buy Co., Inc. |
160,257 |
|||||||||
Food Services and Drinking Places - 4.6% |
|||||||||||
164 |
Chipotle Mexican Grill, Inc. (a) |
291,761 |
|||||||||
758 |
Darden Restaurants, Inc. |
109,258 |
|||||||||
214 |
Domino's Pizza, Inc. |
104,639 |
|||||||||
4,343 |
McDonald's Corp. |
1,066,424 |
|||||||||
6,859 |
Starbucks Corp. |
727,534 |
|||||||||
1,719 |
Yum! Brands, Inc. |
214,772 |
|||||||||
2,514,388 |
|||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.2% |
|||||||||||
883 |
Garmin Ltd. ADR (Switzerland) |
126,799 |
Shares |
Fair Value |
||||||||||
General Merchandise Stores - 2.2% |
|||||||||||
1,374 |
Dollar General Corp. |
$ |
304,368 |
||||||||
1,350 |
Dollar Tree, Inc. (a) |
145,476 |
|||||||||
2,877 |
Target Corp. |
746,927 |
|||||||||
1,196,771 |
|||||||||||
Health and Personal Care Stores - 0.2% |
|||||||||||
319 |
Ulta Salon,
Cosmetics & Fragrance, Inc. (a) |
117,188 |
|||||||||
Leather and Allied Product Manufacturing - 2.0% |
|||||||||||
6,362 |
NIKE, Inc. Class B |
1,064,299 |
|||||||||
1,622 |
Tapestry, Inc. |
63,226 |
|||||||||
1,127,525 |
|||||||||||
Management of Companies and Enterprises - 0.1% |
|||||||||||
2,153 |
Norwegian Cruise
Line Holdings Ltd. ADR (a) |
55,375 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.5% |
|||||||||||
775 |
Leggett & Platt, Inc. |
36,309 |
|||||||||
1,573 |
LKQ Corp. (a) |
86,641 |
|||||||||
325 |
Mohawk Industries, Inc. (a) |
57,593 |
|||||||||
234 |
Pool Corp. |
120,547 |
|||||||||
301,090 |
|||||||||||
Miscellaneous Manufacturing - 0.1% |
|||||||||||
752 |
Hasbro, Inc. |
72,012 |
|||||||||
Miscellaneous Store Retailers - 0.6% |
|||||||||||
737 |
Etsy, Inc. (a) |
184,759 |
|||||||||
665 |
Tractor Supply Co. |
144,418 |
|||||||||
329,177 |
|||||||||||
Motor Vehicle and Parts Dealers - 1.3% |
|||||||||||
380 |
Advance Auto Parts, Inc. |
85,698 |
|||||||||
125 |
AutoZone, Inc. (a) |
223,105 |
|||||||||
947 |
CarMax, Inc. (a) |
129,663 |
|||||||||
401 |
O'Reilly Automotive, Inc. (a) |
249,550 |
|||||||||
688,016 |
|||||||||||
Nonstore Retailers - 9.9% |
|||||||||||
1,534 |
Amazon.com, Inc. (a) |
5,173,308 |
|||||||||
3,781 |
eBay, Inc. |
290,078 |
|||||||||
5,463,386 |
|||||||||||
Plastics and Rubber Products Manufacturing - 0.1% |
|||||||||||
2,203 |
Newell Rubbermaid, Inc. |
50,427 |
|||||||||
Support Activities for Transportation - 0.3% |
|||||||||||
846 |
Expedia, Inc. (a) |
139,091 |
|||||||||
Transportation Equipment Manufacturing - 11.5% |
|||||||||||
1,574 |
Aptiv PLC ADR (Ireland) (a) |
272,129 |
|||||||||
1,394 |
BorgWarner, Inc. |
62,828 |
|||||||||
22,824 |
Ford Motor Co. (a) |
389,834 |
|||||||||
8,445 |
General Motors Co. (a) |
459,661 |
|||||||||
4,654 |
Tesla Motors, Inc. (a) |
5,184,556 |
|||||||||
6,369,008 |
|||||||||||
Water Transportation - 0.4% |
|||||||||||
4,645 |
Carnival Corp. ADR (a) |
102,933 |
|||||||||
1,304 |
Royal Caribbean
Cruises Ltd. ADR (Liberia) (a) |
110,097 |
|||||||||
213,030 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
72
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Wholesale Electronic
Markets and Agents and Brokers - 0.2% |
|||||||||||
834 |
Genuine Parts Co. |
$ |
109,346 |
||||||||
TOTAL COMMON STOCKS
(Cost $22,811,127) |
$ |
25,477,406 |
|||||||||
SHORT TERM INVESTMENTS - 69.9% |
|||||||||||
Money Market Funds - 69.9% |
|||||||||||
16,805,629 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
16,805,629 |
||||||||
21,827,221 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
21,827,221 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $38,632,850) |
$ |
38,632,850 |
|||||||||
TOTAL INVESTMENTS
(Cost $61,443,977) - 116.0% (c) |
$ |
64,110,256 |
|||||||||
Liabilities in
Excess of Other Assets - (16.0)% |
(8,846,746 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
55,263,510 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $41,121,131.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
Consumer Discretionary Select Sector Index |
0.6893% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
11/24/2021 |
19,489 |
$ |
36,936,060 |
$ |
2,659,552 |
|||||||||||||||||||
Total return of
Consumer Discretionary Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/8/2021 |
37,751 |
64,281,693 |
12,472,000 |
|||||||||||||||||||||
Total return of
Consumer Discretionary Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
250 |
463,972 |
44,017 |
|||||||||||||||||||||
Total return of
Consumer Discretionary Select Sector Index |
0.5858% representing
1 month LIBOR rate + spread |
BNP Paribas |
12/15/2021 |
1,724 |
2,678,118 |
832,684 |
|||||||||||||||||||||
Total return of
Consumer Discretionary Select Sector Index |
0.5858% representing
1 month LIBOR rate + spread |
BNP Paribas |
9/21/2022 |
2,609 |
4,704,588 |
597,958 |
|||||||||||||||||||||
Total return of
Consumer Discretionary Select Sector Index |
0.5858% representing
1 month LIBOR rate + spread |
BNP Paribas |
11/16/2022 |
7,226 |
14,523,936 |
158,766 |
|||||||||||||||||||||
$ |
123,588,367 |
$ |
16,764,977 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
73
Direxion Daily Dow Jones Internet Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 69.7% |
|||||||||||
Administrative and Support Services - 1.2% |
|||||||||||
8,153 |
Teladoc Health, Inc. (a) |
$ |
1,219,607 |
||||||||
Computer and Electronic Product Manufacturing - 3.1% |
|||||||||||
54,362 |
Cisco Systems, Inc. |
3,042,641 |
|||||||||
Data Processing, Hosting and Related Services - 1.8% |
|||||||||||
10,794 |
Airbnb, Inc. (a) |
1,842,104 |
|||||||||
Data Processing, Hosting, and Related Services - 1.5% |
|||||||||||
9,976 |
Match Group, Inc. (a) |
1,504,181 |
|||||||||
Food Services and Drinking Places - 1.0% |
|||||||||||
4,137 |
Wayfair, Inc. (a) |
1,030,527 |
|||||||||
Miscellaneous Store Retailers - 1.5% |
|||||||||||
5,840 |
Etsy, Inc. (a) |
1,464,030 |
|||||||||
Motion Picture and Sound Recording Industries - 3.8% |
|||||||||||
5,479 |
Netflix, Inc. (a) |
3,782,209 |
|||||||||
Nonstore Retailers - 8.2% |
|||||||||||
1,931 |
Amazon.com, Inc. (a) |
6,512,163 |
|||||||||
22,353 |
eBay, Inc. |
1,714,922 |
|||||||||
8,227,085 |
|||||||||||
Other Information Services - 9.9% |
|||||||||||
1,274 |
Alphabet, Inc. Class A (a) |
3,772,212 |
|||||||||
1,194 |
Alphabet, Inc. Class C (a) |
3,540,700 |
|||||||||
24,274 |
Pinterest, Inc. (a) |
1,083,591 |
|||||||||
26,982 |
Twitter, Inc. (a) |
1,444,616 |
|||||||||
9,841,119 |
|||||||||||
Professional, Scientific, and Technical Services - 13.6% |
|||||||||||
12,935 |
Ciena Corp. (a) |
702,241 |
|||||||||
11,606 |
GoDaddy, Inc. (a) |
802,787 |
|||||||||
26,446 |
Juniper Networks, Inc. |
780,686 |
|||||||||
14,283 |
Meta Platforms, Inc. (a) |
4,621,550 |
|||||||||
17,006 |
Nutanix, Inc. (a) |
583,476 |
|||||||||
5,232 |
Okta, Inc. (a) |
1,293,246 |
|||||||||
28,197 |
Snap, Inc. (a) |
1,482,598 |
|||||||||
6,355 |
Snowflake, Inc. (a) |
2,248,653 |
|||||||||
5,052 |
VeriSign, Inc. (a) |
1,124,929 |
|||||||||
13,640,166 |
|||||||||||
Publishing Industries (except Internet) - 16.0% |
|||||||||||
9,160 |
Akamai Technologies, Inc. (a) |
966,014 |
|||||||||
20,122 |
Box, Inc. (a) |
519,751 |
|||||||||
8,361 |
Citrix Systems, Inc. |
792,037 |
|||||||||
4,127 |
Coupa Software, Inc. (a) |
939,718 |
|||||||||
9,952 |
Datadog, Inc. (a) |
1,662,482 |
|||||||||
6,265 |
DocuSign, Inc. (a) |
1,743,487 |
|||||||||
23,472 |
Dropbox, Inc. (a) |
715,661 |
|||||||||
12,476 |
Fastly, Inc. (a) |
631,410 |
|||||||||
12,337 |
Salesforce.com, Inc. (a) |
3,697,276 |
|||||||||
5,060 |
Veeva Systems, Inc. (a) |
1,604,071 |
|||||||||
6,280 |
Workday, Inc. (a) |
1,821,074 |
|||||||||
13,123 |
ZoomInfo Technologies, Inc. (a) |
882,128 |
|||||||||
15,975,109 |
|||||||||||
Real Estate - 1.2% |
|||||||||||
2,016 |
Zillow Group, Inc. Class A (a) |
213,131 |
|||||||||
9,271 |
Zillow Group, Inc. Class C (a) |
960,754 |
|||||||||
1,173,885 |
Shares |
Fair Value |
||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.3% |
|||||||||||
30,282 |
CommScope Holding Co., Inc. (a) |
$ |
324,320 |
||||||||
Support Activities for Transportation - 1.3% |
|||||||||||
7,631 |
Expedia, Inc. (a) |
1,254,613 |
|||||||||
Telecommunications - 5.3% |
|||||||||||
12,943 |
PayPal Holdings, Inc. (a) |
3,010,413 |
|||||||||
33,678 |
Vonage Holdings Corp. (a) |
542,889 |
|||||||||
6,451 |
Zoom Video
Communications, Inc. (a) |
1,771,767 |
|||||||||
5,325,069 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $66,787,668) |
$ |
69,646,665 |
|||||||||
SHORT TERM INVESTMENTS - 29.5% |
|||||||||||
Money Market Funds - 29.5% |
|||||||||||
9,034,457 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
9,034,457 |
||||||||
8 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
8 |
|||||||||
20,455,226 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
20,455,226 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $29,489,691) |
$ |
29,489,691 |
|||||||||
TOTAL INVESTMENTS
(Cost $96,277,359) - 99.2% (c) |
$ |
99,136,356 |
|||||||||
Other Assets in
Excess of Liabilities - 0.8% |
832,035 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
99,968,391 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $52,461,500.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
74
Direxion Daily Dow Jones Internet Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of Dow
Jones Internet Composite Index |
0.6393% representing 1 month LIBOR rate + spread |
Bank of America Merrill Lynch |
12/9/2021 |
62,492 |
$ |
62,770,021 |
$ |
6,448,826 |
|||||||||||||||||||
Total return of Dow
Jones Internet Composite Index |
0.7358% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
47,851 |
46,828,654 |
6,084,364 |
|||||||||||||||||||||
Total return of Dow
Jones Internet Composite Index |
0.3858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
55,172 |
53,189,657 |
7,928,223 |
|||||||||||||||||||||
Total return of Dow
Jones Internet Composite Index |
0.5358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
10/31/2022 |
42,074 |
46,134,335 |
522,640 |
|||||||||||||||||||||
$ |
208,922,667 |
$ |
20,984,053 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
75
Direxion Daily Dow Jones Internet Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 109.6% |
|||||||||||
Money Market Funds - 109.6% |
|||||||||||
1,801,269 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
1,801,269 |
||||||||
3,243,671 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
3,243,671 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $5,044,940) (b) |
$ |
5,044,940 |
|||||||||
TOTAL INVESTMENTS
(Cost $5,044,940) - 109.6% |
$ |
5,044,940 |
|||||||||
Liabilities in
Excess of Other Assets - (9.6)% |
(441,200 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
4,603,740 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,243,671.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.4393% representing 1 month LIBOR rate + spread |
Total return of
Dow Jones Internet Composite Index |
Bank of America Merrill Lynch |
12/13/2022 |
12,452 |
$ |
13,372,204 |
$ |
(437,962 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
76
Direxion Daily Financial Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 62.5% |
|||||||||||
Administrative and Support Services - 1.5% |
|||||||||||
52,335 |
Broadridge Financial
Solutions, Inc. |
$ |
9,337,087 |
||||||||
17,153 |
FactSet Research System, Inc. |
7,614,045 |
|||||||||
73,504 |
Moody's Corp. |
29,706,642 |
|||||||||
20,403 |
Upstart Holdings, Inc. (a) |
6,570,582 |
|||||||||
53,228,356 |
|||||||||||
Credit Intermediation and Related Activities - 25.5% |
|||||||||||
163,064 |
Ally Financial, Inc. |
7,784,675 |
|||||||||
3,355,311 |
Bank of America Corp. |
160,316,760 |
|||||||||
17,996 |
Bank of Hawaii Corp. |
1,520,662 |
|||||||||
358,075 |
Bank of New York
Mellon Corp. |
21,198,040 |
|||||||||
55,601 |
Bank OZK |
2,483,697 |
|||||||||
13,825 |
BOK Financial Corp. |
1,398,675 |
|||||||||
918,196 |
Citigroup, Inc. |
63,502,435 |
|||||||||
192,314 |
Citizens Financial Group, Inc. |
9,111,837 |
|||||||||
60,570 |
Comerica, Inc. |
5,153,901 |
|||||||||
48,135 |
Commerce Bancshares, Inc. |
3,393,999 |
|||||||||
3,942 |
Credit Acceptance Corp. (a)(b) |
2,358,144 |
|||||||||
135,468 |
Discover Financial Services |
15,351,234 |
|||||||||
63,871 |
East West Bancorp, Inc. |
5,076,467 |
|||||||||
144,064 |
F.N.B. Corp. |
1,678,346 |
|||||||||
311,654 |
Fifth Third Bancorp |
13,566,299 |
|||||||||
2,738 |
First Citizens
BancShares, Inc. Class A |
2,228,458 |
|||||||||
58,890 |
First Hawaiian, Inc. |
1,624,775 |
|||||||||
247,654 |
First Horizon National Corp. |
4,202,688 |
|||||||||
80,605 |
First Republic Bank |
17,437,280 |
|||||||||
663,450 |
Huntington Bancshares, Inc. |
10,442,703 |
|||||||||
1,345,231 |
JPMorgan Chase & Co. |
228,541,295 |
|||||||||
431,433 |
KeyCorp |
10,039,446 |
|||||||||
58,058 |
M&T Bank Corp. |
8,541,493 |
|||||||||
204,240 |
New York Community
Bancorp, Inc. |
2,538,703 |
|||||||||
92,924 |
Northern Trust Corp. |
11,433,369 |
|||||||||
47,003 |
OneMain Holdings, Inc. |
2,482,228 |
|||||||||
52,472 |
PacWest Bancorp |
2,490,846 |
|||||||||
192,400 |
People's United Financial, Inc. |
3,297,736 |
|||||||||
33,627 |
Pinnacle Financial Partners, Inc. |
3,247,359 |
|||||||||
192,219 |
PNC Financial
Services Group, Inc. |
40,563,976 |
|||||||||
35,822 |
Popular, Inc. ADR |
2,917,344 |
|||||||||
40,403 |
Prosperity Bancshares, Inc. |
3,042,750 |
|||||||||
435,148 |
Regions Financial Corp. |
10,304,305 |
|||||||||
62,502 |
Rocket Cos., Inc. |
1,030,033 |
|||||||||
26,844 |
Signature Bank |
7,994,680 |
|||||||||
165,237 |
State Street Corp. |
16,284,106 |
|||||||||
86,443 |
Sterling Bancorp |
2,199,974 |
|||||||||
25,620 |
SVB Financial Group (a) |
18,379,788 |
|||||||||
65,695 |
Synovus Financial Corp. |
3,060,730 |
|||||||||
22,275 |
TFS Financial Corp. |
433,471 |
|||||||||
608,462 |
Truist Financial Corp. |
38,619,083 |
|||||||||
608,099 |
U.S. Bancorp |
36,710,937 |
|||||||||
41,932 |
UWM Holdings Corp. (b) |
285,138 |
|||||||||
40,725 |
Webster Financial Corp. |
2,278,971 |
|||||||||
1,874,303 |
Wells Fargo & Co. |
95,889,341 |
|||||||||
45,621 |
Western Alliance Bancorp |
5,296,142 |
Shares |
Fair Value |
||||||||||
Credit Intermediation and Related Activities (continued) |
|||||||||||
25,639 |
Wintrust Financial Corp. |
$ |
2,269,051 |
||||||||
72,243 |
Zions Bancorp |
4,550,587 |
|||||||||
914,553,957 |
|||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.2% |
|||||||||||
237,204 |
AGNC Investment Corp. |
3,776,288 |
|||||||||
73,443 |
Carlyle Group, Inc. |
4,123,824 |
|||||||||
7,900,112 |
|||||||||||
Insurance Carriers and Related Activities - 18.3% |
|||||||||||
300,033 |
Aflac, Inc. |
16,102,771 |
|||||||||
6,108 |
Alleghany Corp. (a) |
3,978,629 |
|||||||||
133,545 |
Allstate Corp. |
16,515,510 |
|||||||||
30,684 |
American Financial Group, Inc. |
4,174,251 |
|||||||||
388,806 |
American
International Group, Inc. |
22,974,547 |
|||||||||
101,340 |
AON PLC ADR
(United Kingdom) |
32,420,693 |
|||||||||
172,580 |
Arch Capital Group Ltd. ADR (a) |
7,217,296 |
|||||||||
92,723 |
Arthur J. Gallagher & Co. |
15,546,865 |
|||||||||
26,540 |
Assurant, Inc. |
4,281,167 |
|||||||||
31,846 |
Assured Guaranty Ltd. ADR |
1,770,001 |
|||||||||
52,243 |
Athene Holding Ltd. ADR (a) |
4,545,663 |
|||||||||
35,040 |
Axis Capital Holdings Ltd. ADR |
1,824,533 |
|||||||||
841,216 |
Berkshire Hathaway,
Inc. Class B (a) |
241,437,404 |
|||||||||
37,415 |
Brighthouse Financial, Inc. (a) |
1,879,355 |
|||||||||
106,099 |
Brown & Brown, Inc. |
6,695,908 |
|||||||||
197,844 |
Chubb Limited ADR
(Switzerland) |
38,654,761 |
|||||||||
67,801 |
Cincinnati Financial Corp. |
8,233,753 |
|||||||||
12,500 |
CNA Financial Corp. |
560,750 |
|||||||||
167,109 |
Equitable Holdings, Inc. |
5,598,152 |
|||||||||
11,352 |
Erie Indemnity Co. Class A |
2,336,355 |
|||||||||
17,945 |
Everest Re Group Ltd. ADR |
4,692,618 |
|||||||||
48,174 |
First American Financial Corp. |
3,523,446 |
|||||||||
45,320 |
Globe Life, Inc. |
4,034,386 |
|||||||||
21,698 |
GoHealth, Inc. (a) |
117,169 |
|||||||||
16,145 |
Hanover Insurance Group, Inc. |
2,034,270 |
|||||||||
156,955 |
Hartford Financial
Services Group, Inc. |
11,446,728 |
|||||||||
27,178 |
Kemper Corp. |
1,725,259 |
|||||||||
17,292 |
Lemonade, Inc. (a)(b) |
1,074,871 |
|||||||||
84,635 |
Lincoln National Corp. |
6,106,415 |
|||||||||
98,118 |
Loews Corp. |
5,501,476 |
|||||||||
6,116 |
Markel Corp. (a) |
8,031,103 |
|||||||||
230,146 |
Marsh & McLennan
Companies, Inc. |
38,388,353 |
|||||||||
12,045 |
Mercury General Corp. |
656,332 |
|||||||||
328,488 |
MetLife, Inc. |
20,629,046 |
|||||||||
152,891 |
MGIC Investment Corp. |
2,470,719 |
|||||||||
126,659 |
Old Republic
International Corp. |
3,271,602 |
|||||||||
17,731 |
Primerica, Inc. |
2,983,063 |
|||||||||
119,994 |
Principal Financial Group, Inc. |
8,050,398 |
|||||||||
264,595 |
Progressive Corp. |
25,104,774 |
|||||||||
174,910 |
Prudential Financial, Inc. |
19,248,846 |
|||||||||
30,708 |
Reinsurance Group of
America, Inc. |
3,626,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
77
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Insurance Carriers and Related Activities (continued) |
|||||||||||
21,092 |
RenaissanceRe
Holdings Ltd. ADR |
$ |
2,990,846 |
||||||||
113,775 |
Travelers Companies, Inc. |
18,304,122 |
|||||||||
92,211 |
Unum Group |
2,348,614 |
|||||||||
50,996 |
Voya Financial, Inc. |
3,557,991 |
|||||||||
62,477 |
W.R. Berkley Corp. |
4,973,169 |
|||||||||
1,372 |
White Mountains
Insurance Group Ltd. ADR |
1,447,446 |
|||||||||
58,138 |
Willis Towers Watson
PLC ADR (Ireland) |
14,085,675 |
|||||||||
657,173,102 |
|||||||||||
Management of Companies and Enterprises - 0.2% |
|||||||||||
25,834 |
Cullen/Frost Bankers, Inc. |
3,345,503 |
|||||||||
99,490 |
Umpqua Holdings Corp. |
2,034,570 |
|||||||||
5,380,073 |
|||||||||||
Merchant Wholesalers, Durable Goods - 0.1% |
|||||||||||
98,999 |
Jefferies Financial Group, Inc. |
4,256,957 |
|||||||||
Real Estate - 0.3% |
|||||||||||
632,430 |
Annaly Capital
Management, Inc. |
5,350,358 |
|||||||||
195,802 |
New Residential
Investment Corp. |
2,224,311 |
|||||||||
124,096 |
Starwood Property Trust, Inc. |
3,160,725 |
|||||||||
10,735,394 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 16.4% |
|||||||||||
18,588 |
Affiliated Managers Group, Inc. |
3,120,553 |
|||||||||
51,471 |
Ameriprise Financial, Inc. |
15,550,933 |
|||||||||
82,024 |
Apollo Global
Management, Inc. |
6,311,747 |
|||||||||
62,222 |
Ares Management Corp. |
5,272,692 |
|||||||||
64,755 |
BlackRock, Inc. |
61,093,752 |
|||||||||
48,125 |
CBOE Holdings, Inc. |
6,349,613 |
|||||||||
681,446 |
Charles Schwab Corp. |
55,899,015 |
|||||||||
162,394 |
CME Group, Inc. |
35,815,997 |
|||||||||
17,516 |
Evercore, Inc. |
2,659,629 |
|||||||||
123,430 |
FNF Group |
5,913,531 |
|||||||||
130,846 |
Franklin Resources, Inc. |
4,120,341 |
|||||||||
149,520 |
Goldman Sachs Group, Inc. |
61,804,092 |
|||||||||
36,334 |
Interactive Brokers
Group, Inc. Class A |
2,574,264 |
|||||||||
251,892 |
IntercontinentalExchange, Inc. |
34,876,966 |
|||||||||
150,932 |
Invesco Ltd. ADR |
3,835,182 |
|||||||||
77,291 |
Janus Henderson
Group PLC ADR (United Kingdom) |
3,594,032 |
|||||||||
251,816 |
KKR & Co., Inc. |
20,062,181 |
|||||||||
45,256 |
Lazard Ltd. Class A ADR |
2,217,091 |
|||||||||
36,031 |
LPL Investment Holdings, Inc. |
5,909,805 |
|||||||||
16,904 |
MarketAxess Holdings, Inc. |
6,908,158 |
|||||||||
616,852 |
Morgan Stanley |
63,400,049 |
|||||||||
10,584 |
Morningstar, Inc. |
3,352,482 |
|||||||||
36,308 |
MSCI, Inc. Class A |
24,140,463 |
|||||||||
52,661 |
NASDAQ OMX Group, Inc. |
11,051,964 |
|||||||||
83,570 |
Raymond James Financial, Inc. |
8,239,166 |
|||||||||
109,078 |
S&P Global, Inc. |
51,720,424 |
|||||||||
27,268 |
Santander Consumer
USA Holdings, Inc. |
1,137,076 |
Shares |
Fair Value |
||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities (continued) |
|||||||||||
48,963 |
SEI Investments Co. |
$ |
3,086,628 |
||||||||
137,926 |
SLM Corp. |
2,530,942 |
|||||||||
46,162 |
Stifel Financial Corp. |
3,363,825 |
|||||||||
101,998 |
T. Rowe Price Group, Inc. |
22,121,326 |
|||||||||
308,449 |
The Blackstone Group, Inc. |
42,695,511 |
|||||||||
47,489 |
Tradeweb Markets, Inc. |
4,231,270 |
|||||||||
41,466 |
Virtu Financial, Inc. |
1,031,674 |
|||||||||
585,992,374 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $1,842,187,434) |
$ |
2,239,220,325 |
|||||||||
SHORT TERM INVESTMENTS - 38.8% |
|||||||||||
Money Market Funds - 38.8% |
|||||||||||
881,602,590 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
881,602,590 |
||||||||
105,760,000 |
Dreyfus Treasury
Securities Cash Management Institutional Shares, 0.01% (c) |
105,760,000 |
|||||||||
12,008,838 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
12,008,838 |
|||||||||
391,820,830 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
391,820,830 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,391,192,258) |
$ |
1,391,192,258 |
|||||||||
TOTAL INVESTMENTS
(Cost $3,233,379,692) - 101.3% (e) |
$ |
3,630,412,583 |
|||||||||
Liabilities in
Excess of Other Assets - (1.3)% |
(48,252,595 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,582,159,988 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,519,361,400.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
78
Direxion Daily Financial Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.9358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
11/17/2021 |
95,000 |
$ |
180,434,939 |
$ |
108,391,888 |
|||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.7358%
representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/8/2021 |
375,579 |
978,877,042 |
156,353,724 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.7358%
representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/9/2021 |
595,506 |
1,594,125,814 |
202,424,215 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.4858%
representing 1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
546,637 |
1,254,393,147 |
406,002,321 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.7893%
representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/9/2021 |
523,614 |
1,480,348,138 |
97,437,662 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.5858%
representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
370,157 |
1,021,781,904 |
94,601,495 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.9358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
12/13/2021 |
42,534 |
127,423,697 |
514,856 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.9358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
12/15/2021 |
30,000 |
64,264,003 |
26,838,428 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.9358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
2/16/2022 |
30,605 |
68,209,552 |
24,507,292 |
|||||||||||||||||||||
Total return of
Russell 1000® Index – Financials |
0.6000%
representing 1 month LIBOR rate + spread |
Goldman Sachs |
10/18/2022 |
220,000 |
639,540,897 |
22,307,671 |
|||||||||||||||||||||
$ |
7,409,399,133 |
$ |
1,139,379,552 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
79
Direxion Daily Financial Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 127.9% |
|||||||||||
Money Market Funds - 127.9% |
|||||||||||
60,363,924 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
60,363,924 |
||||||||
106,143,401 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
106,143,401 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $166,507,325) (b) |
$ |
166,507,325 |
|||||||||
TOTAL INVESTMENTS
(Cost $166,507,325) - 127.9% |
$ |
166,507,325 |
|||||||||
Liabilities in
Excess of Other Assets - (27.9)% |
(36,273,062 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
130,234,263 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $115,289,788.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized Depreciation |
|||||||||||||||||||||
0.5893% representing 1 month LIBOR rate + spread |
Total return of
Russell 1000® Index – Financials |
Bank of America
Merrill Lynch |
12/9/2021 |
62,243 |
$ |
169,101,246 |
$ |
(18,533,361 |
) |
||||||||||||||||||
0.4358% representing 1 month LIBOR rate + spread |
Total return of
Russell 1000® Index – Financials |
UBS Securities LLC |
12/9/2021 |
15,792 |
45,392,402 |
(2,123,632 |
) |
||||||||||||||||||||
0.3358% representing 1 month LIBOR rate + spread |
Total return of
Russell 1000® Index – Financials |
J.P. Morgan |
12/15/2021 |
51,916 |
147,493,003 |
(8,818,119 |
) |
||||||||||||||||||||
$ |
361,986,651 |
$ |
(29,475,112 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
80
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 68.6% |
|||||||||||
Ambulatory Health Care Services - 0.9% |
|||||||||||
2,297 |
DaVita, Inc. (a) |
$ |
237,142 |
||||||||
3,311 |
Laboratory Corp. of
America Holdings (a) |
950,323 |
|||||||||
4,185 |
Quest Diagnostics, Inc. |
614,274 |
|||||||||
41,407 |
Viatris, Inc. |
552,784 |
|||||||||
2,354,523 |
|||||||||||
Chemical Manufacturing - 29.8% |
|||||||||||
60,704 |
Abbott Laboratories |
7,824,139 |
|||||||||
60,511 |
AbbVie, Inc. |
6,938,796 |
|||||||||
19,445 |
Amgen, Inc. |
4,024,532 |
|||||||||
5,103 |
Biogen, Inc. (a) |
1,360,868 |
|||||||||
1,331 |
Bio-Techne Corp. |
696,978 |
|||||||||
76,089 |
Bristol-Myers Squibb Co. |
4,443,598 |
|||||||||
5,833 |
Catalent, Inc. (a) |
804,137 |
|||||||||
27,187 |
Eli Lilly and Company |
6,926,160 |
|||||||||
42,932 |
Gilead Sciences, Inc. |
2,785,428 |
|||||||||
6,427 |
Incyte Corp. (a) |
430,480 |
|||||||||
90,140 |
Johnson & Johnson |
14,682,003 |
|||||||||
86,678 |
Merck & Co., Inc. |
7,631,998 |
|||||||||
8,681 |
Organon & Co. |
319,027 |
|||||||||
191,978 |
Pfizer, Inc. |
8,397,118 |
|||||||||
3,599 |
Regeneron
Pharmaceuticals, Inc. (a) |
2,303,144 |
|||||||||
8,882 |
Vertex Pharmaceuticals, Inc. (a) |
1,642,548 |
|||||||||
2,533 |
West Pharmaceutical Services, Inc. |
1,088,886 |
|||||||||
16,229 |
Zoetis, Inc. |
3,508,710 |
|||||||||
75,808,550 |
|||||||||||
Computer and Electronic Product Manufacturing - 9.5% |
|||||||||||
1,554 |
Abiomed, Inc. (a) |
515,990 |
|||||||||
10,391 |
Agilent Technologies, Inc. |
1,636,479 |
|||||||||
736 |
Bio-Rad Laboratories, Inc. (a) |
584,884 |
|||||||||
21,756 |
Danaher Corp. |
6,782,868 |
|||||||||
8,680 |
Hologic, Inc. (a) |
636,331 |
|||||||||
2,914 |
IDEXX Laboratories, Inc. (a) |
1,941,132 |
|||||||||
5,022 |
Illumina, Inc. (a) |
2,084,431 |
|||||||||
3,839 |
PerkinElmer, Inc. |
679,081 |
|||||||||
13,470 |
Thermo Fisher Scientific, Inc. |
8,527,453 |
|||||||||
2,100 |
Waters Corp. (a) |
771,855 |
|||||||||
24,160,504 |
|||||||||||
Health and Personal Care Stores - 1.6% |
|||||||||||
45,183 |
CVS Health Corp. |
4,033,938 |
|||||||||
Hospitals - 1.0% |
|||||||||||
8,444 |
HCA Healthcare, Inc. |
2,114,884 |
|||||||||
2,598 |
Universal Health
Services, Inc. Class B |
322,412 |
|||||||||
2,437,296 |
|||||||||||
Insurance Carriers and Related Activities - 9.6% |
|||||||||||
8,349 |
Anthem, Inc. |
3,632,901 |
|||||||||
19,964 |
Centene Corp. (a) |
1,422,235 |
Shares |
Fair Value |
||||||||||
Insurance Carriers and Related Activities (continued) |
|||||||||||
11,646 |
Cigna Corp. |
$ |
2,487,702 |
||||||||
4,400 |
Humana, Inc. |
2,037,904 |
|||||||||
32,287 |
UnitedHealth Group, Inc. |
14,867,195 |
|||||||||
24,447,937 |
|||||||||||
Machinery Manufacturing - 0.5% |
|||||||||||
792 |
Mettler-Toledo
International, Inc. (a) |
1,172,857 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.1% |
|||||||||||
4,783 |
Henry Schein, Inc. (a) |
365,182 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 0.9% |
|||||||||||
5,123 |
AmerisourceBergen Corp. |
625,109 |
|||||||||
9,935 |
Cardinal Health, Inc. |
474,992 |
|||||||||
5,297 |
McKesson Corp. |
1,101,140 |
|||||||||
2,201,241 |
|||||||||||
Miscellaneous Manufacturing - 11.8% |
|||||||||||
2,516 |
Align Technology, Inc. (a) |
1,570,915 |
|||||||||
17,118 |
Baxter International, Inc. |
1,351,637 |
|||||||||
9,834 |
Becton, Dickinson & Co. |
2,356,128 |
|||||||||
48,754 |
Boston Scientific Corp. (a) |
2,102,760 |
|||||||||
7,483 |
Dentsply Sirona, Inc. |
428,103 |
|||||||||
3,313 |
DexCom, Inc. (a) |
2,064,695 |
|||||||||
21,343 |
Edwards Lifesciences Corp. (a) |
2,557,318 |
|||||||||
12,215 |
Intuitive Surgical, Inc. (a) |
4,411,203 |
|||||||||
46,017 |
Medtronic PLC ADR (Ireland) |
5,515,598 |
|||||||||
4,983 |
ResMed, Inc. |
1,310,081 |
|||||||||
3,415 |
STERIS PLC ADR (Ireland) |
798,222 |
|||||||||
11,491 |
Stryker Corp. |
3,057,410 |
|||||||||
1,602 |
Teleflex, Inc. |
571,818 |
|||||||||
1,686 |
The Cooper Companies, Inc. |
702,927 |
|||||||||
7,152 |
Zimmer Biomet Holdings, Inc. |
1,023,594 |
|||||||||
29,822,409 |
|||||||||||
Professional, Scientific, and Technical Services - 2.9% |
|||||||||||
10,122 |
Cerner Corp. |
751,963 |
|||||||||
1,726 |
Charles River
Laboratories International, Inc. (a) |
774,422 |
|||||||||
6,561 |
IQVIA Holdings, Inc. (a) |
1,715,177 |
|||||||||
12,018 |
Moderna, Inc. (a) |
4,148,734 |
|||||||||
7,390,296 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $160,155,536) |
$ |
174,194,733 |
|||||||||
SHORT TERM INVESTMENTS - 29.3% |
|||||||||||
Money Market Funds - 29.3% |
|||||||||||
24,910,686 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
24,910,686 |
||||||||
20,320,721 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
20,320,721 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
81
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Money Market Funds (continued) |
|||||||||||
29,328,192 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
$ |
29,328,192 |
||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $74,559,599) |
$ |
74,559,599 |
|||||||||
TOTAL INVESTMENTS
(Cost $234,715,135) - 97.9% (c) |
$ |
248,754,332 |
|||||||||
Other Assets in
Excess of Liabilities - 2.1% |
5,361,298 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
254,115,630 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $156,919,946.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return
of Health Care Select Sector Index |
0.6358% representing 1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
187,343 |
$ |
232,801,392 |
$ |
21,004,012 |
|||||||||||||||||||
Total return
of Health Care Select Sector Index |
0.6893% representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/9/2021 |
127,128 |
159,868,153 |
12,547,970 |
|||||||||||||||||||||
Total return of
Health Care Select Sector Index |
0.6858% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
110,244 |
124,900,383 |
25,376,594 |
|||||||||||||||||||||
Total return
of Health Care Select Sector Index |
0.7858% representing 1 month LIBOR rate + spread |
BNP Paribas |
11/16/2022 |
10,296 |
13,923,594 |
(2,784 |
) |
||||||||||||||||||||
$ |
531,493,522 |
$ |
58,925,792 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
82
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 57.1% |
|||||||||||
Building Material
and Garden Equipment and Supplies Dealers - 5.7% |
|||||||||||
47,472 |
Lowe's Companies, Inc. |
$ |
11,099,903 |
||||||||
29,218 |
The Home Depot, Inc. |
10,861,499 |
|||||||||
21,961,402 |
|||||||||||
Construction of Buildings - 31.9% |
|||||||||||
30,113 |
Beazer Homes USA, Inc. (a) |
545,347 |
|||||||||
30,414 |
Century Communities, Inc. |
2,039,563 |
|||||||||
333,687 |
D.R. Horton, Inc. |
29,788,239 |
|||||||||
49,365 |
Green Brick Partners , Inc. (a) |
1,285,958 |
|||||||||
92,090 |
KB Home |
3,697,414 |
|||||||||
15,791 |
Lennar Corp. |
1,296,125 |
|||||||||
281,223 |
Lennar Corp. Class A |
28,102,614 |
|||||||||
22,174 |
LGI Homes, Inc. (a) |
3,310,578 |
|||||||||
57,834 |
M.D.C Holdings, Inc. |
2,832,709 |
|||||||||
30,020 |
M/I Homes, Inc. (a) |
1,718,945 |
|||||||||
38,541 |
Meritage Homes Corp. (a) |
4,189,792 |
|||||||||
3,444 |
NVR, Inc. (a) |
16,857,691 |
|||||||||
265,691 |
PulteGroup, Inc. |
12,774,423 |
|||||||||
128,267 |
Taylor Morrison Home Corp. (a) |
3,915,992 |
|||||||||
118,726 |
Toll Brothers, Inc. |
7,143,743 |
|||||||||
116,492 |
TRI Pointe Group, Inc. (a) |
2,817,942 |
|||||||||
122,317,075 |
|||||||||||
Fabricated Metal Product Manufacturing - 0.5% |
|||||||||||
18,402 |
PGT Innovations, Inc. (a) |
392,883 |
|||||||||
13,413 |
Simpson
Manufacturing Company, Inc. |
1,422,985 |
|||||||||
1,815,868 |
|||||||||||
Furniture and Home Furnishings Stores - 1.2% |
|||||||||||
6,767 |
Ethan Allen Interiors, Inc. |
157,062 |
|||||||||
32,499 |
Floor & Decor Holdings, Inc. (a) |
4,417,264 |
|||||||||
4,574,326 |
|||||||||||
Furniture and Related Product Manufacturing - 0.1% |
|||||||||||
5,186 |
American Woodmark Corp. (a) |
356,486 |
|||||||||
Management of Companies and Enterprises - 0.3% |
|||||||||||
34,403 |
AZEK Company, Inc. (a) |
1,262,246 |
|||||||||
Merchant Wholesalers, Durable Goods - 5.3% |
|||||||||||
17,089 |
Beacon Roofing Supply, Inc. (a) |
903,495 |
|||||||||
63,990 |
Builders FirstSource, Inc. (a) |
3,728,697 |
|||||||||
42,578 |
Fortune Brands Home
& Security, Inc. |
4,317,409 |
|||||||||
41,166 |
Leggett & Platt, Inc. |
1,928,627 |
|||||||||
10,560 |
Lennox International, Inc. |
3,160,397 |
|||||||||
8,982 |
Lumber Liquidators
Holdings, Inc. (a) |
162,395 |
|||||||||
17,268 |
Mohawk Industries, Inc. (a) |
3,060,062 |
|||||||||
10,184 |
Watsco, Inc. |
2,949,083 |
|||||||||
20,210,165 |
|||||||||||
Merchant Wholesalers, Nondurable Goods - 2.7% |
|||||||||||
32,654 |
The Sherwin Williams Co. |
10,338,583 |
|||||||||
Miscellaneous Store Retailers - 0.5% |
|||||||||||
8,748 |
Cavco Industries, Inc. (a) |
2,102,844 |
Shares |
Fair Value |
||||||||||
Nonmetallic Mineral Product Manufacturing - 1.3% |
|||||||||||
12,930 |
Eagle Materials, Inc. |
$ |
1,918,295 |
||||||||
31,845 |
Owens Corning |
2,974,641 |
|||||||||
10,373 |
Quanex Building Products Corp. |
214,929 |
|||||||||
5,107,865 |
|||||||||||
Specialty Trade Contractors - 3.1% |
|||||||||||
24,021 |
Installed Building Products, Inc. |
3,051,868 |
|||||||||
33,719 |
TopBuild Corp. (a) |
8,664,772 |
|||||||||
11,716,640 |
|||||||||||
Wood Product Manufacturing - 4.5% |
|||||||||||
28,447 |
JELD-WEN Holding, Inc. (a) |
779,732 |
|||||||||
29,406 |
Louisiana-Pacific Corp. |
1,732,896 |
|||||||||
76,326 |
Masco Corp. |
5,003,169 |
|||||||||
7,438 |
Masonite
International Corp. ADR (a) |
892,635 |
|||||||||
54,040 |
Skyline Champion Corp. (a) |
3,421,813 |
|||||||||
35,620 |
Trex Company, Inc. (a) |
3,789,968 |
|||||||||
19,098 |
UFP Industries, Inc. |
1,562,788 |
|||||||||
17,183,001 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $211,136,042) |
$ |
218,946,501 |
|||||||||
SHORT TERM INVESTMENTS - 44.8% |
|||||||||||
Money Market Funds - 44.8% |
|||||||||||
147,152,638 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
147,152,638 |
||||||||
44,195 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
44,195 |
|||||||||
24,328,522 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
24,328,522 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $171,525,355) |
$ |
171,525,355 |
|||||||||
TOTAL INVESTMENTS
(Cost $382,661,397) - 101.9% (c) |
$ |
390,471,856 |
|||||||||
Liabilities in
Excess of Other Assets - (1.9)% |
(7,396,461 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
383,075,395 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $287,185,085.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
83
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
Dow Jones U.S. Select Home Construction Index |
0.4358% representing 1 month LIBOR rate + spread |
Barclays |
11/26/2021 |
20,694 |
$ |
206,012,565 |
$ |
61,098,785 |
|||||||||||||||||||
Total return of
Dow Jones U.S. Select Home Construction Index |
0.5358% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
13,819 |
151,385,210 |
26,670,727 |
|||||||||||||||||||||
Total return of
Dow Jones U.S. Select Home Construction Index |
0.6393% representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/20/2021 |
7,418 |
93,855,561 |
1,502,091 |
|||||||||||||||||||||
Total return of
Dow Jones U.S. Select Home Construction Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
8/17/2022 |
8,964 |
95,532,870 |
19,892,165 |
|||||||||||||||||||||
Total return of
Dow Jones U.S. Select Home Construction Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
9/21/2022 |
1,374 |
14,991,044 |
2,693,457 |
|||||||||||||||||||||
Total return of
Dow Jones U.S. Select Home Construction Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
10/19/2022 |
96 |
1,114,353 |
120,667 |
|||||||||||||||||||||
Total return of Dow
Jones U.S. Select Home Construction Index |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
12/21/2022 |
20,000 |
240,574,455 |
16,545,172 |
|||||||||||||||||||||
$ |
803,466,058 |
$ |
128,523,064 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
84
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 62.2% |
|||||||||||
Administrative and Support Services - 3.6% |
|||||||||||
1,128 |
Allegion PLC ADR (Ireland) |
$ |
144,722 |
||||||||
1,534 |
Equifax, Inc. |
425,577 |
|||||||||
5,018 |
IHS Markit Ltd. ADR
(United Kingdom) |
655,953 |
|||||||||
1,409 |
Robert Half International, Inc. |
159,316 |
|||||||||
2,848 |
Rollins, Inc. |
100,335 |
|||||||||
4,877 |
Waste Management, Inc. |
781,442 |
|||||||||
2,267,345 |
|||||||||||
Air Transportation - 1.7% |
|||||||||||
1,576 |
Alaska Air Group, Inc. (a) |
83,213 |
|||||||||
8,151 |
American Airlines Group, Inc. (a) |
156,499 |
|||||||||
8,055 |
Delta Air Lines, Inc. (a) |
315,192 |
|||||||||
7,447 |
Southwest Airlines Co. (a) |
352,094 |
|||||||||
4,075 |
United Continental Holdings, Inc. (a) |
188,021 |
|||||||||
1,095,019 |
|||||||||||
Computer and Electronic Product Manufacturing - 10.5% |
|||||||||||
2,912 |
AMETEK, Inc. |
385,549 |
|||||||||
4,511 |
Fortive Corp. |
341,528 |
|||||||||
8,691 |
Honeywell International, Inc. |
1,900,026 |
|||||||||
2,531 |
L3 Harris Technologies, Inc. |
583,497 |
|||||||||
1,894 |
Northrop Grumman Corp. |
676,575 |
|||||||||
5,372 |
Otis Worldwide Corp. |
431,425 |
|||||||||
18,982 |
Raytheon Technologies Corp. |
1,686,740 |
|||||||||
1,326 |
Roper Technologies, Inc. |
646,916 |
|||||||||
6,652,256 |
|||||||||||
Couriers and Messengers - 4.2% |
|||||||||||
3,097 |
FedEx Corp. |
729,436 |
|||||||||
9,167 |
United Parcel Service, Inc. Class B |
1,956,880 |
|||||||||
2,686,316 |
|||||||||||
Electrical
Equipment, Appliance, and Component Manufacturing - 4.0% |
|||||||||||
1,677 |
A.O. Smith Corp. |
122,538 |
|||||||||
5,018 |
Eaton Corp PLC ADR (Ireland) |
826,766 |
|||||||||
7,525 |
Emerson Electric Co. |
730,000 |
|||||||||
794 |
Generac Holdings, Inc. (a) |
395,857 |
|||||||||
1,460 |
Rockwell Automation, Inc. |
466,324 |
|||||||||
2,541,485 |
|||||||||||
Fabricated Metal Product Manufacturing - 0.8% |
|||||||||||
2,088 |
Pentair PLC (Ireland) |
154,450 |
|||||||||
2,051 |
Stanley Black & Decker, Inc. |
368,626 |
|||||||||
523,076 |
|||||||||||
Machinery Manufacturing - 11.1% |
|||||||||||
10,923 |
Carrier Global Corp. |
570,508 |
|||||||||
6,892 |
Caterpillar, Inc. |
1,406,037 |
|||||||||
1,808 |
Cummins, Inc. |
433,631 |
|||||||||
3,573 |
Deere & Co. |
1,223,073 |
|||||||||
13,818 |
General Electric Co. |
1,449,094 |
|||||||||
957 |
IDEX Corp. |
212,999 |
|||||||||
5,100 |
Ingersoll Rand, Inc. (a) |
274,176 |
|||||||||
1,625 |
Parker Hannifin Corp. |
481,959 |
|||||||||
679 |
Snap-on, Inc. |
137,993 |
|||||||||
2,991 |
Trane Technologies
PLC ADR (Ireland) |
541,162 |
Shares |
Fair Value |
||||||||||
Machinery Manufacturing (continued) |
|||||||||||
2,269 |
Xylem, Inc. |
$ |
296,309 |
||||||||
7,026,941 |
|||||||||||
Merchant Wholesalers, Durable Goods - 1.7% |
|||||||||||
2,680 |
Copart, Inc. (a) |
416,177 |
|||||||||
7,235 |
Fastenal Co. |
412,974 |
|||||||||
1,735 |
Fortune Brands Home
& Security, Inc. |
175,929 |
|||||||||
505 |
Huntington Ingalls Industries, Inc. |
102,379 |
|||||||||
1,107,459 |
|||||||||||
Merchant Wholesalers, Nondurable Goods - 1.3% |
|||||||||||
3,608 |
Illinois Tool Works, Inc. |
822,155 |
|||||||||
Miscellaneous Manufacturing - 0.8% |
|||||||||||
1,813 |
Dover Corp. |
306,542 |
|||||||||
2,822 |
Textron, Inc. |
208,405 |
|||||||||
514,947 |
|||||||||||
National Security and International Affairs - 0.3% |
|||||||||||
1,782 |
Leidos Holdings, Inc. |
178,164 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 2.1% |
|||||||||||
7,284 |
3M Co. |
1,301,505 |
|||||||||
Nonstore Retailers - 0.4% |
|||||||||||
550 |
W.W. Grainger, Inc. |
254,710 |
|||||||||
Personal and Laundry Services - 0.8% |
|||||||||||
1,104 |
Cintas Corp. |
478,142 |
|||||||||
Primary Metal Manufacturing - 0.2% |
|||||||||||
4,859 |
Howmet Aerospace, Inc. |
144,264 |
|||||||||
Professional, Scientific, and Technical Services - 1.2% |
|||||||||||
1,640 |
Jacobs Engineering Group, Inc. |
230,289 |
|||||||||
4,518 |
Nielsen Holdings PLC |
91,489 |
|||||||||
2,030 |
Verisk Analytics, Inc. Class A |
426,848 |
|||||||||
748,626 |
|||||||||||
Rail Transportation - 6.7% |
|||||||||||
28,380 |
CSX Corp. |
1,026,505 |
|||||||||
1,143 |
Kansas City Southern Railway Co. |
354,616 |
|||||||||
3,109 |
Norfolk Southern Corp. |
911,092 |
|||||||||
8,208 |
Union Pacific Corp. |
1,981,411 |
|||||||||
4,273,624 |
|||||||||||
Rental and Leasing Services - 0.5% |
|||||||||||
912 |
United Rentals, Inc. (a) |
345,748 |
|||||||||
Specialty Trade Contractors - 1.4% |
|||||||||||
8,965 |
Johnson Controls
International PLC ADR (Ireland) |
657,762 |
|||||||||
1,750 |
Quanta Services, Inc. |
212,240 |
|||||||||
870,002 |
|||||||||||
Support Activities for Transportation - 1.0% |
|||||||||||
1,658 |
C.H. Robinson Worldwide, Inc. |
160,810 |
|||||||||
2,139 |
Expeditors
International of Washington, Inc. |
263,653 |
|||||||||
1,059 |
J.B. Hunt Transport Services, Inc. |
208,824 |
|||||||||
633,287 |
|||||||||||
Transportation Equipment Manufacturing - 6.4% |
|||||||||||
6,936 |
Boeing Co. (a) |
1,435,960 |
|||||||||
2,920 |
General Dynamics Corp. |
592,030 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
85
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Transportation Equipment Manufacturing (continued) |
|||||||||||
3,102 |
Lockheed Martin Corp. |
$ |
1,030,857 |
||||||||
4,369 |
Paccar, Inc. |
391,550 |
|||||||||
659 |
TransDigm Group, Inc. (a) |
411,097 |
|||||||||
2,379 |
Wabtec Corp. |
215,847 |
|||||||||
4,077,341 |
|||||||||||
Truck Transportation - 0.6% |
|||||||||||
1,180 |
Old Dominion Freight Line, Inc. |
402,793 |
|||||||||
Waste Management and Remediation Services - 0.6% |
|||||||||||
2,646 |
Republic Services, Inc. |
356,152 |
|||||||||
Wood Product Manufacturing - 0.3% |
|||||||||||
3,111 |
Masco Corp. |
203,926 |
|||||||||
TOTAL COMMON STOCKS
(Cost $39,980,473) |
$ |
39,505,283 |
|||||||||
SHORT TERM INVESTMENTS - 38.2% |
|||||||||||
Money Market Funds - 38.2% |
|||||||||||
8,635,984 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
8,635,984 |
||||||||
2,106,679 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
2,106,679 |
|||||||||
13,550,120 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
13,550,120 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $24,292,783) |
$ |
24,292,783 |
|||||||||
TOTAL INVESTMENTS
(Cost $64,273,256) - 100.4% (c) |
$ |
63,798,066 |
|||||||||
Liabilities in
Excess of Other Assets - (0.4)% |
(278,146 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
63,519,920 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $42,540,291.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
Industrials Select Sector Index |
0.7358% representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
14,073 |
$ |
13,717,146 |
$ |
1,143,007 |
|||||||||||||||||||
Total return of
Industrials Select Sector Index |
0.3858% representing 1 month LIBOR rate + spread |
Barclays |
12/10/2021 |
37,032 |
32,954,441 |
6,329,152 |
|||||||||||||||||||||
Total return
of Industrials Select Sector Index |
0.6858% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
66,245 |
64,160,493 |
5,860,806 |
|||||||||||||||||||||
Total return of
Industrials Select Sector Index |
0.5358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
9/12/2022 |
26,155 |
26,496,809 |
1,035,050 |
|||||||||||||||||||||
$ |
137,328,889 |
$ |
14,368,015 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
86
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 71.2% |
|||||||||||
Accommodation - 1.1% |
|||||||||||
3,179 |
Chatham Lodging Trust (a) |
$ |
40,341 |
||||||||
46,194 |
Host Hotels & Resorts, Inc. (a) |
777,445 |
|||||||||
15,469 |
Park Hotels & Resorts, Inc. (a) |
286,641 |
|||||||||
10,784 |
Service Property Trust |
116,144 |
|||||||||
6,942 |
Summit Hotel Properties, Inc. (a) |
69,420 |
|||||||||
14,149 |
Sunstone Hotel Investors, Inc. (a) |
174,599 |
|||||||||
7,443 |
Xenia Hotels & Resorts, Inc. (a) |
132,485 |
|||||||||
1,597,075 |
|||||||||||
Administrative and Support Services - 0.6% |
|||||||||||
18,887 |
Iron Mountain, Inc. |
862,003 |
|||||||||
Data Processing, Hosting and Related Services - 0.4% |
|||||||||||
8,018 |
CyrusOne, Inc. |
657,636 |
|||||||||
Forestry and Logging - 0.2% |
|||||||||||
9,095 |
Rayonier, Inc. |
339,516 |
|||||||||
Funds, Trusts, and Other Financial Vehicles - 2.3% |
|||||||||||
5,646 |
Acadia Realty Trust |
120,711 |
|||||||||
4,195 |
Agree Realty Corp. |
298,097 |
|||||||||
13,757 |
Diamondrock Hospitality Co. (a) |
124,363 |
|||||||||
2,621 |
EastGroup Properties, Inc. |
518,381 |
|||||||||
8,448 |
First Industrial Realty Trust, Inc. |
491,927 |
|||||||||
6,669 |
Franklin Street Properties Corp. |
30,011 |
|||||||||
2,468 |
Getty Realty Corp. |
79,272 |
|||||||||
2,379 |
Gladstone Commercial Corp. |
52,005 |
|||||||||
18,161 |
Lexington Realty Trust |
264,606 |
|||||||||
6,107 |
Monmouth Real Estate
Investment Corp. Class A |
115,117 |
|||||||||
2,848 |
National Health Investors, Inc. |
153,165 |
|||||||||
1,085 |
One Liberty Properties, Inc. |
33,917 |
|||||||||
1,353 |
PS Business Parks, Inc. |
240,428 |
|||||||||
922 |
Saul Centers, Inc. |
42,781 |
|||||||||
11,048 |
SITE Centers Corp. |
175,553 |
|||||||||
7,524 |
Spirit Realty Capital, Inc. |
368,149 |
|||||||||
6,593 |
Tanger Factory
Outlet Centers, Inc. (b) |
110,762 |
|||||||||
2,957 |
UMH Properties, Inc. |
70,791 |
|||||||||
904 |
Universal Health
Realty Income Trust |
51,501 |
|||||||||
1,967 |
Urstadt Biddle
Properties, Inc. Class A |
38,632 |
|||||||||
3,380,169 |
|||||||||||
Heavy and Civil Engineering Construction - 0.1% |
|||||||||||
2,116 |
St. Joe Co. |
99,494 |
|||||||||
Paper Manufacturing - 0.1% |
|||||||||||
4,387 |
PotlatchDeltic Corp. |
229,309 |
|||||||||
Professional, Scientific, and Technical Services - 1.8% |
|||||||||||
8,748 |
Extra Space Storage, Inc. |
1,726,593 |
|||||||||
5,670 |
Lamar Advertising Co. |
641,844 |
|||||||||
9,521 |
Outfront Media, Inc. |
236,977 |
|||||||||
2,605,414 |
|||||||||||
Real Estate - 59.5% |
|||||||||||
4,744 |
Alexander & Baldwin, Inc. |
116,370 |
|||||||||
147 |
Alexander's, Inc. |
40,981 |
|||||||||
9,165 |
Alexandria Real Estate Equities, Inc. |
1,870,943 |
|||||||||
3,361 |
American Assets Trust, Inc. |
127,147 |
Shares |
Fair Value |
||||||||||
Real Estate (continued) |
|||||||||||
9,020 |
American Campus
Communities, Inc. |
$ |
484,554 |
||||||||
18,965 |
American Homes 4 Rent |
769,979 |
|||||||||
29,745 |
American Tower Corp. |
8,387,198 |
|||||||||
16,524 |
Americold Realty Trust |
486,962 |
|||||||||
10,262 |
Apartment Income REIT Corp. |
550,146 |
|||||||||
9,819 |
Apartment Investment
and Management Co. |
74,428 |
|||||||||
13,899 |
Apple Hospitality REIT, Inc. |
218,353 |
|||||||||
3,947 |
Armada Hoffler Properties, Inc. |
54,113 |
|||||||||
9,138 |
AvalonBay Communities, Inc. |
2,162,782 |
|||||||||
9,698 |
Boston Properties, Inc. |
1,102,081 |
|||||||||
11,180 |
Brandywine Realty Trust |
148,135 |
|||||||||
19,429 |
Brixmor Property Group, Inc. |
455,416 |
|||||||||
9,539 |
Broadstone Net Lease, Inc. |
253,642 |
|||||||||
6,390 |
Camden Property Trust |
1,042,209 |
|||||||||
6,332 |
CareTrust REIT, Inc. |
131,389 |
|||||||||
3,198 |
CatchMark Timber Trust, Inc. |
27,375 |
|||||||||
21,963 |
CBRE Group, Inc. Class A (a) |
2,285,909 |
|||||||||
862 |
Centerspace |
87,269 |
|||||||||
2,838 |
City Office REIT, Inc. |
53,837 |
|||||||||
7,517 |
Columbia Property Trust, Inc. |
144,101 |
|||||||||
1,517 |
Community Healthcare Trust, Inc. |
72,573 |
|||||||||
2,679 |
CorePoint Lodging, Inc. (a) |
46,186 |
|||||||||
2,811 |
CoreSite Realty Corp. |
400,455 |
|||||||||
7,352 |
Corporate Office Properties Trust |
199,386 |
|||||||||
9,725 |
Cousins Properties, Inc. |
385,207 |
|||||||||
28,275 |
Crown Castle International Corp. |
5,097,983 |
|||||||||
13,185 |
CubeSmart |
725,307 |
|||||||||
8,749 |
Cushman &
Wakefield PLC ADR (United Kingdom) (a) |
160,894 |
|||||||||
18,422 |
Digital Realty Trust, Inc. |
2,907,176 |
|||||||||
31,822 |
DigitalBridge Group, Inc. (a) |
213,207 |
|||||||||
15,591 |
Diversified Healthcare Trust |
56,751 |
|||||||||
11,482 |
Douglas Emmett, Inc. |
375,232 |
|||||||||
24,535 |
Duke Realty Corp. |
1,379,848 |
|||||||||
5,483 |
Easterly Government
Properties, Inc. |
115,308 |
|||||||||
9,561 |
Empire State Realty Trust, Inc. |
92,550 |
|||||||||
4,892 |
EPR Properties |
245,627 |
|||||||||
7,979 |
Equity Commonwealth (a) |
206,895 |
|||||||||
11,331 |
Equity Lifestyle Properties, Inc. |
957,583 |
|||||||||
23,245 |
Equity Residential |
2,008,368 |
|||||||||
7,691 |
Essential Properties
Realty Trust, Inc. |
229,115 |
|||||||||
4,253 |
Essex Property Trust, Inc. |
1,445,722 |
|||||||||
4,261 |
eXp World Holdings, Inc. |
219,868 |
|||||||||
4,583 |
Federal Realty Investment Trust |
551,564 |
|||||||||
3,824 |
Five Point Holdings, LLC (a) |
28,145 |
|||||||||
1,122 |
Forestar Group, Inc. (a) |
21,958 |
|||||||||
4,984 |
Four Corners Property Trust, Inc. |
144,536 |
|||||||||
400 |
FRP Holdings, Inc. (a) |
22,880 |
|||||||||
14,472 |
Gaming & Leisure Properties, Inc. |
701,747 |
|||||||||
1,828 |
Gladstone Land Corp. |
40,472 |
|||||||||
3,780 |
Global Medical REIT, Inc. |
62,672 |
|||||||||
6,240 |
Global Net Lease, Inc. |
99,965 |
|||||||||
9,267 |
Healthcare Realty Trust, Inc. |
306,367 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
87
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Real Estate (continued) |
|||||||||||
14,316 |
Healthcare Trust of
America, Inc. Class A |
$ |
478,011 |
||||||||
35,260 |
Healthpeak Properties, Inc. |
1,252,083 |
|||||||||
6,810 |
Highwoods Properties, Inc. |
305,360 |
|||||||||
2,707 |
Howard Hughes Corp. (a) |
235,861 |
|||||||||
9,872 |
Hudson Pacific Properties, Inc. |
254,204 |
|||||||||
6,680 |
Independence Realty Trust, Inc. |
157,848 |
|||||||||
4,272 |
Industrial Logistics Properties Trust |
120,000 |
|||||||||
1,563 |
Innovative
Industrial Properties, Inc. |
411,210 |
|||||||||
37,137 |
Invitation Homes, Inc. |
1,531,901 |
|||||||||
4,788 |
iStar, Inc. |
120,849 |
|||||||||
7,742 |
JBG SMITH Properties |
223,434 |
|||||||||
3,355 |
Jones Lang LaSalle, Inc. (a) |
866,362 |
|||||||||
8,289 |
Kennedy-Wilson Holdings, Inc. |
185,425 |
|||||||||
6,854 |
Kilroy Realty Corp. |
461,823 |
|||||||||
38,173 |
Kimco Realty Corp. |
862,710 |
|||||||||
14,279 |
Kite Realty Group Trust |
289,864 |
|||||||||
5,032 |
Life Storage, Inc. |
673,332 |
|||||||||
2,577 |
LTC Properties, Inc. |
82,103 |
|||||||||
13,508 |
Macerich Co. |
244,360 |
|||||||||
4,749 |
Mack-Cali Realty Corp. (a) |
86,384 |
|||||||||
1,554 |
Marcus & Millichap, Inc. (a) |
73,193 |
|||||||||
38,483 |
Medical Properties Trust, Inc. |
820,842 |
|||||||||
10,030 |
MGM Growth Properties LLC |
394,981 |
|||||||||
7,490 |
Mid-America
Apartment Communities, Inc. |
1,529,533 |
|||||||||
11,487 |
National Retail Properties, Inc. |
521,050 |
|||||||||
5,424 |
National Storage Affiliates Trust |
338,783 |
|||||||||
2,579 |
Netstreit Corp. |
62,515 |
|||||||||
11,102 |
Newmark Group, Inc. |
165,198 |
|||||||||
1,476 |
NexPoint Residential Trust, Inc. |
104,530 |
|||||||||
3,161 |
Office Properties Income Trust |
80,985 |
|||||||||
15,396 |
Omega Healthcare Investors, Inc. |
452,027 |
|||||||||
7,556 |
Opendoor Technologies, Inc. (a) |
179,153 |
|||||||||
11,457 |
Paramount Group, Inc. |
97,155 |
|||||||||
8,597 |
Pebblebrook Hotel Trust |
193,089 |
|||||||||
14,096 |
Physicians Realty Trust |
267,965 |
|||||||||
8,115 |
Piedmont Office
Realty Trust, Inc. Class A |
144,122 |
|||||||||
3,277 |
Preferred Apartment
Communities, Inc. |
41,323 |
|||||||||
48,399 |
Prologis, Inc. |
7,015,919 |
|||||||||
10,299 |
Public Storage |
3,421,122 |
|||||||||
7,618 |
Realogy Holdings Corp. (a) |
131,944 |
|||||||||
24,439 |
Realty Income Corp. |
1,745,678 |
|||||||||
6,126 |
Redfin Corp. (a) |
314,509 |
|||||||||
10,005 |
Regency Centers Corp. |
704,452 |
|||||||||
7,775 |
Retail Opportunity
Investments Corp. |
138,162 |
|||||||||
8,772 |
Rexford Industrial Realty, Inc. |
589,478 |
|||||||||
10,792 |
RLJ Lodging Trust |
155,621 |
|||||||||
5,308 |
RPT Realty |
70,543 |
|||||||||
3,421 |
Ryman Hospitality
Properties, Inc. (a) |
292,632 |
|||||||||
14,131 |
Sabra Health Care REIT, Inc. |
199,954 |
|||||||||
1,043 |
Safehold, Inc. |
77,912 |
|||||||||
2,518 |
Seritage Growth Properties (a) |
38,777 |
Shares |
Fair Value |
||||||||||
Real Estate (continued) |
|||||||||||
21,494 |
Simon Property Group, Inc. |
$ |
3,150,591 |
||||||||
4,535 |
SL Green Realty Corp. (b) |
317,767 |
|||||||||
10,447 |
Stag Industrial, Inc. |
454,758 |
|||||||||
15,924 |
Store Capital Corp. |
546,671 |
|||||||||
7,315 |
Sun Communities, Inc. |
1,433,594 |
|||||||||
4,550 |
Terreno Realty Corp. |
332,742 |
|||||||||
7,957 |
The GEO Group, Inc. (b) |
65,088 |
|||||||||
1,008 |
The RMR Group LLC |
35,068 |
|||||||||
19,420 |
UDR, Inc. |
1,078,393 |
|||||||||
15,274 |
Uniti Group, Inc. |
218,571 |
|||||||||
7,657 |
Urban Edge Properties |
134,227 |
|||||||||
25,736 |
Ventas, Inc. |
1,373,530 |
|||||||||
14,990 |
VEREIT, Inc. |
753,997 |
|||||||||
40,109 |
VICI Properties, Inc. |
1,177,199 |
|||||||||
10,650 |
Vornado Realty Trust |
454,010 |
|||||||||
5,537 |
Washington REIT, Inc. |
140,363 |
|||||||||
27,318 |
Welltower, Inc. |
2,196,367 |
|||||||||
49,016 |
Weyerhaeuser Co. |
1,750,852 |
|||||||||
11,644 |
WP Carey, Inc. |
897,869 |
|||||||||
4,012 |
Zillow Group, Inc. Class A (a) |
424,149 |
|||||||||
10,603 |
Zillow Group, Inc. Class C (a) |
1,098,789 |
|||||||||
87,837,732 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% |
|||||||||||
7,122 |
American Finance Trust, Inc. |
58,970 |
|||||||||
1,238 |
RE/MAX Holdings, Inc. |
39,381 |
|||||||||
98,351 |
|||||||||||
Telecommunications - 5.0% |
|||||||||||
5,860 |
Equinix, Inc. |
4,905,230 |
|||||||||
7,153 |
SBA Communications Corp. |
2,470,146 |
|||||||||
7,375,376 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $97,593,046) |
$ |
105,082,075 |
|||||||||
SHORT TERM INVESTMENTS - 31.3% |
|||||||||||
Money Market Funds - 31.3% |
|||||||||||
27,812,788 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
27,812,788 |
||||||||
855 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
855 |
|||||||||
18,479,579 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
18,479,579 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $46,293,222) |
$ |
46,293,222 |
|||||||||
TOTAL INVESTMENTS
(Cost $143,886,268) - 102.5% (e) |
$ |
151,375,297 |
|||||||||
Liabilities in
Excess of Other Assets - (2.5)% |
(3,671,410 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
147,703,887 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
88
Direxion Daily MSCI Real Estate Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $86,261,626.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return
of MSCI US IMI Real Estate 25/50 Index |
0.7758% representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
66,263 |
$ |
73,927,725 |
$ |
15,168,102 |
|||||||||||||||||||
Total return of
MSCI US IMI Real Estate 25/50 Index |
0.5893% representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/9/2021 |
58,763 |
60,540,907 |
19,042,535 |
|||||||||||||||||||||
Total return of
MSCI US IMI Real Estate 25/50 Index |
0.3358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
65,765 |
71,063,234 |
17,602,138 |
|||||||||||||||||||||
Total return of
MSCI US IMI Real Estate 25/50 Index |
0.6858% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/13/2021 |
63,818 |
81,430,182 |
3,370,681 |
|||||||||||||||||||||
$ |
286,962,048 |
$ |
55,183,456 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
89
Direxion Daily MSCI Real Estate Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 115.8% |
|||||||||||
Money Market Funds - 115.8% |
|||||||||||
9,198,184 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
9,198,184 |
||||||||
13,877,243 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
13,877,243 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $23,075,427) (b) |
$ |
23,075,427 |
|||||||||
TOTAL INVESTMENTS
(Cost $23,075,427) - 115.8% |
$ |
23,075,427 |
|||||||||
Liabilities in
Excess of Other Assets - (15.8)% |
(3,149,081 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
19,926,346 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $16,828,752.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
0.4158% representing 1 month LIBOR rate + spread |
Total return of
MSCI US IMI Real Estate 25/50 Index |
Credit
Suisse International |
12/7/2021 |
4,037 |
$ |
4,454,130 |
$ |
(980,129 |
) |
||||||||||||||||||
0.3893% representing 1 month LIBOR rate + spread |
Total return of
MSCI US IMI Real Estate 25/50 Index |
Bank of
America Merrill Lynch |
12/9/2021 |
22,881 |
27,655,054 |
(3,044,428 |
) |
||||||||||||||||||||
0.4858% representing 1 month LIBOR rate + spread |
Total return of MSCI
US IMI Real Estate 25/50 Index |
UBS Securities LLC |
12/9/2021 |
13,069 |
16,759,357 |
(596,264 |
) |
||||||||||||||||||||
(0.1643)%
representing 1 month LIBOR rate + spread |
Total return of
MSCI US IMI Real Estate 25/50 Index |
J.P. Morgan |
12/16/2021 |
5,040 |
6,274,737 |
(486,213 |
) |
||||||||||||||||||||
$ |
55,143,278 |
$ |
(5,107,034 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
90
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 65.0% |
|||||||||||
Administrative and Support Services - 3.0% |
|||||||||||
23,962 |
Royalty Pharma PLC
ADR (United Kingdom) |
$ |
947,218 |
||||||||
Ambulatory Health Care Services - 5.4% |
|||||||||||
20,955 |
Axsome Therapeutics, Inc. (a) |
806,768 |
|||||||||
1,260 |
Fulcrum Therapeutics, Inc. (a) |
27,896 |
|||||||||
66,811 |
Viatris, Inc. |
891,927 |
|||||||||
1,726,591 |
|||||||||||
Chemical Manufacturing - 48.1% |
|||||||||||
10,816 |
Aclaris Therapeutics, Inc. (a) |
187,658 |
|||||||||
8,559 |
Aerie Pharmaceuticals, Inc. (a) |
90,982 |
|||||||||
4,916 |
Amphastar Pharmaceuticals, Inc. (a) |
91,831 |
|||||||||
19,434 |
Antares Pharma, Inc. (a) |
72,683 |
|||||||||
10,670 |
BioDelivery Sciences
International, Inc. (a) |
43,534 |
|||||||||
14,607 |
Bristol-Myers Squibb Co. |
853,049 |
|||||||||
11,410 |
Cara Therapeutics, Inc. (a) |
192,030 |
|||||||||
18,206 |
Cassava Sciences, Inc. (a)(b) |
785,225 |
|||||||||
6,698 |
Catalent, Inc. (a) |
923,386 |
|||||||||
6,049 |
Collegium Pharmaceutical, Inc. (a) |
118,742 |
|||||||||
11,563 |
Corcept Therapeutics, Inc. (a) |
208,134 |
|||||||||
15,254 |
Durect Corp. (a) |
19,525 |
|||||||||
27,620 |
Elanco Animal Health, Inc. (a) |
908,146 |
|||||||||
3,848 |
Eli Lilly and Company |
980,317 |
|||||||||
12,416 |
Innoviva, Inc. (a) |
216,659 |
|||||||||
11,488 |
Intra-Cellular Therapies, Inc. (a) |
494,788 |
|||||||||
6,850 |
Jazz Pharmaceuticals
PLC ADR (Ireland) (a) |
911,324 |
|||||||||
5,523 |
Johnson & Johnson |
899,586 |
|||||||||
6,612 |
Marinus Pharmaceuticals, Inc. (a) |
76,038 |
|||||||||
12,553 |
Merck & Co., Inc. |
1,105,292 |
|||||||||
19,930 |
Nektar Therapeutics (a) |
302,139 |
|||||||||
5,591 |
NGM Biopharmaceuticals, Inc. (a) |
103,266 |
|||||||||
27,213 |
Organon & Co. |
1,000,078 |
|||||||||
8,592 |
Pacira Pharmaceuticals, Inc. (a) |
449,190 |
|||||||||
21,101 |
Perrigo Co. PLC ADR (Ireland) |
952,710 |
|||||||||
20,223 |
Pfizer, Inc. |
884,554 |
|||||||||
1,708 |
Phathom Pharmaceuticals, Inc. (a) |
40,189 |
|||||||||
4,762 |
Prestige Consumer
Healthcare, Inc. (a) |
285,672 |
|||||||||
25,794 |
Provention Bio, Inc. (a)(b) |
161,470 |
|||||||||
3,011 |
Relmada Therapeutics, Inc. (a) |
70,668 |
|||||||||
9,387 |
Revance Therapeutics, Inc. (a) |
129,071 |
|||||||||
10,223 |
Supernus Pharmaceuticals, Inc. (a) |
305,157 |
|||||||||
15,217 |
Theravance Biopharma, Inc. (a) |
118,236 |
|||||||||
4,455 |
Zoetis, Inc. |
963,171 |
|||||||||
18,883 |
Zogenix, Inc. (a) |
289,476 |
|||||||||
15,233,976 |
|||||||||||
Computer and Electronic Product Manufacturing - 0.4% |
|||||||||||
19,290 |
Ocular Therapeutix, Inc. (a) |
128,086 |
Shares |
Fair Value |
||||||||||
Merchant Wholesalers, Nondurable Goods - 2.8% |
|||||||||||
18,054 |
Amneal Pharmaceuticals, Inc. (a) |
$ |
99,116 |
||||||||
173,079 |
Endo International
PLC ADR (Ireland) (a) |
735,586 |
|||||||||
2,878 |
Phibro Animal Health Corp. |
63,143 |
|||||||||
897,845 |
|||||||||||
Professional, Scientific, and Technical Services - 4.9% |
|||||||||||
8,333 |
Arvinas, Inc. (a) |
721,471 |
|||||||||
9,120 |
Omeros Corp. (a)(b) |
57,183 |
|||||||||
8,203 |
Reata Pharmaceuticals, Inc. (a) |
787,570 |
|||||||||
1,566,224 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.4% |
|||||||||||
12,056 |
Nuvation Bio, Inc. (a) |
110,553 |
|||||||||
TOTAL COMMON STOCKS
(Cost $20,252,943) |
$ |
20,610,493 |
|||||||||
SHORT TERM INVESTMENTS - 37.4% |
|||||||||||
Money Market Funds - 37.4% |
|||||||||||
2,719,892 | Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
2,719,892 |
||||||||
2,402,383 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
2,402,383 |
|||||||||
6,720,009 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
6,720,009 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $11,842,284) |
$ |
11,842,284 |
|||||||||
TOTAL INVESTMENTS
(Cost $32,095,227) - 102.4% (e) |
$ |
32,452,777 |
|||||||||
Liabilities in
Excess of Other Assets - (2.4)% |
(760,012 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
31,692,765 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $23,046,214.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
91
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional
Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
S&P Pharmaceuticals Select Industry Index |
0.6858% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
678 |
$ |
3,776,219 |
$ |
(37,623 |
) |
||||||||||||||||||
Total return
of S&P Pharmaceuticals Select Industry Index |
0.4358% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/16/2021 |
6,366 |
34,716,273 |
395,948 |
|||||||||||||||||||||
Total return of
S&P Pharmaceuticals Select Industry Index |
0.6358% representing 1 month LIBOR rate + spread |
Barclays |
7/28/2022 |
6,457 |
35,612,952 |
(5,112 |
) |
||||||||||||||||||||
$ |
74,105,444 |
$ |
353,213 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
92
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 26.6% |
|||||||||||
Credit Intermediation and Related Activities - 24.7% |
|||||||||||
2,579 |
1st Source Corp. |
$ |
124,514 |
||||||||
2,632 |
Allegiance Bancshares, Inc. |
103,095 |
|||||||||
20,141 |
Ameris Bancorp |
1,055,187 |
|||||||||
71,143 |
Associated Banc-Corp |
1,585,066 |
|||||||||
16,292 |
Atlantic Union Bankshares Corp. |
584,394 |
|||||||||
4,776 |
BancFirst Corp. |
310,488 |
|||||||||
11,350 |
Bank of Hawaii Corp. |
959,075 |
|||||||||
27,750 |
Bank OZK |
1,239,592 |
|||||||||
28,262 |
BankUnited, Inc. |
1,146,307 |
|||||||||
7,297 |
Banner Corp. |
421,475 |
|||||||||
18,803 |
Berkshire Hills Bancorp, Inc. |
510,501 |
|||||||||
7,016 |
BOK Financial Corp. |
709,809 |
|||||||||
12,537 |
Brookline Bancorp, Inc. |
201,219 |
|||||||||
39,053 |
Cadence Bank |
1,133,318 |
|||||||||
1,858 |
Camden National Corp. |
88,441 |
|||||||||
14,132 |
Cathay General Bancorp |
596,229 |
|||||||||
31,575 |
CIT Group, Inc. |
1,563,910 |
|||||||||
49,644 |
Citizens Financial Group, Inc. |
2,352,133 |
|||||||||
2,769 |
City Holding Co. |
220,357 |
|||||||||
15,386 |
Columbia Banking System, Inc. |
525,124 |
|||||||||
29,219 |
Comerica, Inc. |
2,486,245 |
|||||||||
19,211 |
Commerce Bancshares, Inc. |
1,354,568 |
|||||||||
8,349 |
Community Bank System, Inc. |
598,373 |
|||||||||
6,307 |
ConnectOne Bancorp, Inc. |
212,735 |
|||||||||
13,161 |
Customers Bancorp, Inc. (a) |
701,350 |
|||||||||
22,777 |
CVB Financial Corp. |
455,996 |
|||||||||
6,942 |
Dime Community
Bancshares, Inc. |
247,691 |
|||||||||
6,124 |
Eagle Bancorp, Inc. |
346,557 |
|||||||||
29,605 |
East West Bancorp, Inc. |
2,353,005 |
|||||||||
33,398 |
Eastern Bankshares, Inc. |
693,676 |
|||||||||
6,819 |
Enterprise Financial
Services Corp. |
320,629 |
|||||||||
109,280 |
F.N.B. Corp. |
1,273,112 |
|||||||||
7,569 |
FB Financial Corp. |
343,103 |
|||||||||
55,024 |
Fifth Third Bancorp |
2,395,195 |
|||||||||
6,847 |
First Bancorp |
331,532 |
|||||||||
87,941 |
First BanCorp ADR |
1,200,395 |
|||||||||
8,353 |
First Busey Corp. |
212,918 |
|||||||||
2,289 |
First Citizens
BancShares, Inc. Class A |
1,863,017 |
|||||||||
22,983 |
First Commonwealth
Financial Corp. |
351,640 |
|||||||||
17,301 |
First Financial Bancorp |
411,418 |
|||||||||
21,363 |
First Financial Bankshares, Inc. |
1,083,531 |
|||||||||
2,686 |
First Financial Corp. |
115,095 |
|||||||||
34,238 |
First Hawaiian, Inc. |
944,626 |
|||||||||
139,584 |
First Horizon National Corp. |
2,368,740 |
|||||||||
7,498 |
First Merchants Corp. |
311,767 |
|||||||||
32,330 |
First Midwest Bancorp, Inc. |
622,352 |
|||||||||
10,768 |
First Republic Bank |
2,329,441 |
|||||||||
5,846 |
Flushing Finanicial Corp. |
140,421 |
|||||||||
43,007 |
Fulton Financial Corp. |
692,413 |
|||||||||
16,985 |
Glacier Bancorp, Inc. |
939,101 |
|||||||||
13,856 |
Great Western Bancorp, Inc. |
471,797 |
|||||||||
18,450 |
Hancock Holding Co. |
912,906 |
|||||||||
6,700 |
Hanmi Financial Corp. Class A |
148,673 |
|||||||||
12,049 |
HarborOne Bancorp, Inc. |
173,144 |
Shares |
Fair Value |
||||||||||
Credit
Intermediation and Related Activities (continued) |
|||||||||||
5,743 |
Heartland Financial USA, Inc. |
$ |
287,839 |
||||||||
9,411 |
Heritage Commerce Corp. |
112,838 |
|||||||||
6,617 |
Heritage Financial Corp. |
164,366 |
|||||||||
25,889 |
Hilltop Holdings, Inc. |
917,506 |
|||||||||
36,527 |
Hope Bancorp, Inc. |
532,929 |
|||||||||
138,581 |
Huntington Bancshares, Inc. |
2,181,265 |
|||||||||
9,865 |
Independent Bank
Corp. (Massachusetts) |
833,592 |
|||||||||
4,896 |
Independent Bank
Corp. (Michigan) |
110,307 |
|||||||||
7,401 |
Independent Bank Group, Inc. |
535,018 |
|||||||||
11,149 |
International Bancshares Corp. |
472,718 |
|||||||||
92,285 |
Investors Bancorp, Inc. |
1,411,961 |
|||||||||
107,062 |
KeyCorp |
2,491,333 |
|||||||||
8,719 |
Lakeland Bancorp, Inc. |
156,768 |
|||||||||
6,348 |
Lakeland Financial Corp. |
456,231 |
|||||||||
11,629 |
Live Oak Bancshares, Inc. |
1,037,074 |
|||||||||
15,669 |
M&T Bank Corp. |
2,305,223 |
|||||||||
3,761 |
Midland States Bancorp, Inc. |
96,507 |
|||||||||
6,321 |
NBT Bancorp, Inc. |
231,917 |
|||||||||
2,262 |
Nicolet Bankshares, Inc. (a) |
162,615 |
|||||||||
10,806 |
OceanFirst Financial Corp. |
239,569 |
|||||||||
10,145 |
OFG Bancorp ADR |
262,756 |
|||||||||
68,777 |
Old National Bancorp |
1,174,711 |
|||||||||
17,478 |
Pacific Premier Bancorp, Inc. |
733,901 |
|||||||||
32,930 |
PacWest Bancorp |
1,563,187 |
|||||||||
1,519 |
Park National Corp. |
195,328 |
|||||||||
3,450 |
Peoples Bancorp, Inc. |
110,262 |
|||||||||
133,033 |
People's United Financial, Inc. |
2,280,186 |
|||||||||
14,114 |
Pinnacle Financial Partners, Inc. |
1,362,989 |
|||||||||
11,099 |
PNC Financial
Services Group, Inc. |
2,342,222 |
|||||||||
25,896 |
Popular, Inc. ADR |
2,108,970 |
|||||||||
2,597 |
Preferred Bank |
178,076 |
|||||||||
19,575 |
Prosperity Bancshares, Inc. |
1,474,193 |
|||||||||
109,090 |
Regions Financial Corp. |
2,583,251 |
|||||||||
14,182 |
Renasant Corp. |
530,549 |
|||||||||
5,988 |
S&T Bancorp, Inc. |
182,993 |
|||||||||
6,762 |
Sandy Spring Bancorp, Inc. |
320,925 |
|||||||||
9,495 |
Seacoast Banking
Corp. of Florida |
345,903 |
|||||||||
8,092 |
Signature Bank |
2,409,959 |
|||||||||
19,161 |
Silvergate Capital Corp. (a) |
3,000,996 |
|||||||||
17,812 |
Simmons First National Corp. |
532,401 |
|||||||||
5,280 |
Southside Bancshares, Inc. |
218,170 |
|||||||||
95,608 |
Sterling Bancorp |
2,433,224 |
|||||||||
3,596 |
SVB Financial Group (a) |
2,579,770 |
|||||||||
47,826 |
Synovus Financial Corp. |
2,228,213 |
|||||||||
21,712 |
Texas Capital Bancshares, Inc. (a) |
1,315,747 |
|||||||||
14,898 |
The Bancorp, Inc. (a) |
455,134 |
|||||||||
1,403 |
Tompkins Financial Corp. |
115,200 |
|||||||||
4,385 |
TriCo Bancshares |
192,195 |
|||||||||
5,546 |
Triumph Bancorp, Inc. (a) |
650,546 |
|||||||||
38,540 |
Truist Financial Corp. |
2,446,134 |
|||||||||
10,104 |
Trustmark Corp. |
321,408 |
|||||||||
7,687 |
UMB Financial Corp. |
759,629 |
|||||||||
22,850 |
United Bankshares, Inc. |
845,222 |
|||||||||
19,354 |
United Community Banks, Inc. |
674,293 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
93
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Credit
Intermediation and Related Activities (continued) |
|||||||||||
3,736 |
Univest Corp. of Pennsylvania |
$ |
107,223 |
||||||||
98,238 |
Valley National Bancorp |
1,302,636 |
|||||||||
3,445 |
Washington Trust Bancorp, Inc. |
188,304 |
|||||||||
37,571 |
Webster Financial Corp. |
2,102,473 |
|||||||||
12,470 |
WesBanco, Inc. |
433,582 |
|||||||||
4,289 |
Westamerica Bancorp |
239,155 |
|||||||||
22,182 |
Western Alliance Bancorp |
2,575,108 |
|||||||||
13,665 |
Wintrust Financial Corp. |
1,209,353 |
|||||||||
37,070 |
Zions Bancorp |
2,335,039 |
|||||||||
108,996,488 |
|||||||||||
Management of Companies and Enterprises - 1.8% |
|||||||||||
12,269 |
Banc of California, Inc. |
249,429 |
|||||||||
3,628 |
Bryn Mawr Bank Corp. |
168,122 |
|||||||||
6,523 |
Central Pacific Financial Corp. |
179,317 |
|||||||||
14,221 |
Cullen/Frost Bankers, Inc. |
1,841,620 |
|||||||||
7,874 |
First Foundation, Inc. |
209,527 |
|||||||||
8,472 |
First Interstate BancSystem, Inc. |
352,181 |
|||||||||
33,582 |
Home Bancshares, Inc. |
797,908 |
|||||||||
6,102 |
National Bank Holdings Corp. |
264,644 |
|||||||||
6,585 |
ServisFirst Bancshares, Inc. |
528,841 |
|||||||||
21,172 |
South State Corp. |
1,653,321 |
|||||||||
66,871 |
Umpqua Holdings Corp. |
1,367,512 |
|||||||||
9,195 |
Veritex Holdings, Inc. |
376,535 |
|||||||||
7,988,957 |
|||||||||||
Securities,
Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% |
|||||||||||
2,614 |
QCR Holdings, Inc. |
144,136 |
|||||||||
4,125 |
TriState Capital Holdings, Inc. (a) |
123,956 |
|||||||||
268,092 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $108,291,023) |
$ |
117,253,537 |
|||||||||
SHORT TERM INVESTMENTS - 73.9% |
|||||||||||
Money Market Funds - 73.9% |
|||||||||||
220,259,401 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
220,259,401 |
||||||||
28,418,212 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
28,418,212 |
|||||||||
77,530,733 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
77,530,733 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $326,208,346) |
$ |
326,208,346 |
|||||||||
TOTAL INVESTMENTS
(Cost $434,499,369) - 100.5% (c) |
$ |
443,461,883 |
|||||||||
Liabilities in
Excess of Other Assets - (0.5)% |
(2,185,829 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
441,276,054 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $263,822,817.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
94
Direxion Daily Regional Banks Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
S&P Regional Banks Select Industry Index |
0.4858% representing 1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
150,791 |
$ |
293,586,568 |
$ |
45,188,586 |
|||||||||||||||||||
Total return of
S&P Regional Banks Select Industry Index |
0.6893% representing 1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
193,192 |
383,677,897 |
48,246,510 |
|||||||||||||||||||||
Total return of
S&P Regional Banks Select Industry Index |
0.6358% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
21,930 |
48,568,611 |
272,062 |
|||||||||||||||||||||
Total return of
S&P Regional Banks Select Industry Index |
0.9358% representing 1 month LIBOR rate + spread |
BNP Paribas |
8/17/2022 |
29,721 |
57,416,495 |
9,021,629 |
|||||||||||||||||||||
Total return of
S&P Regional Banks Select Industry Index |
0.9358% representing 1 month LIBOR rate + spread |
BNP Paribas |
9/21/2022 |
39,163 |
77,831,685 |
9,541,391 |
|||||||||||||||||||||
Total return of
S&P Regional Banks Select Industry Index |
0.5858% representing 1 month LIBOR rate + spread |
UBS Securities
LLC |
12/14/2022 |
107,185 |
213,176,814 |
25,715,237 |
|||||||||||||||||||||
$ |
1,074,258,070 |
$ |
137,985,415 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
95
Direxion Daily Retail Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 70.8% |
|||||||||||
Administrative and Support Services - 0.8% |
|||||||||||
14,517 |
Revolve Group, Inc. (a) |
$ |
1,089,356 |
||||||||
Broadcasting (except Internet) - 0.7% |
|||||||||||
87,568 |
Qurate Retail, Inc. |
914,210 |
|||||||||
Clothing and Clothing Accessories Stores - 16.2% |
|||||||||||
25,685 |
Abercrombie & Fitch Co. Class A (a) |
1,015,585 |
|||||||||
19,858 |
Academy Sports &
Outdoors Inc. (a) |
849,525 |
|||||||||
33,596 |
American Eagle Outfitters, Inc. |
797,569 |
|||||||||
14,267 |
Bath & Body Works, Inc. |
985,707 |
|||||||||
10,888 |
Boot Barn Holdings, Inc. (a) |
1,137,687 |
|||||||||
40,112 |
Caleres, Inc. |
924,983 |
|||||||||
196,557 |
Chicos FAS, Inc. (a) |
1,073,201 |
|||||||||
11,346 |
Childrens Place
Retail Stores, Inc. (a) |
940,470 |
|||||||||
11,453 |
Citi Trends, Inc. (a) |
886,004 |
|||||||||
73,352 |
Designer Brands, Inc. (a) |
992,453 |
|||||||||
38,056 |
Gap, Inc. |
863,491 |
|||||||||
9,197 |
Genesco, Inc. (a) |
557,246 |
|||||||||
41,292 |
Guess?, Inc. |
855,157 |
|||||||||
34,243 |
Nordstrom, Inc. (a) |
983,801 |
|||||||||
8,046 |
Ross Stores, Inc. |
910,807 |
|||||||||
21,010 |
Shoe Carnival, Inc. |
711,609 |
|||||||||
11,805 |
Signet Jewelers Ltd. ADR |
1,052,770 |
|||||||||
23,299 |
The Buckle, Inc. |
969,704 |
|||||||||
72,124 |
The RealReal, Inc. (a) |
939,776 |
|||||||||
13,183 |
TJX Companies, Inc. |
863,355 |
|||||||||
29,047 |
Urban Outfitters, Inc. (a) |
927,471 |
|||||||||
14,729 |
Victoria's Secret & Co. (a) |
743,373 |
|||||||||
20,675 |
Zumiez, Inc. (a) |
841,472 |
|||||||||
20,823,216 |
|||||||||||
Data Processing, Hosting and Related Services - 0.8% |
|||||||||||
8,172 |
Shutterstock, Inc. |
990,038 |
|||||||||
Electronics and Appliance Stores - 1.9% |
|||||||||||
8,156 |
Best Buy Co., Inc. |
996,989 |
|||||||||
24,338 |
Conn's, Inc. (a) |
542,007 |
|||||||||
4,766 |
GameStop Corp. Class A (a)(b) |
874,609 |
|||||||||
2,413,605 |
|||||||||||
Food and Beverage Stores - 2.6% |
|||||||||||
36,310 |
Grocery Outlet Holding Corp. (a) |
805,719 |
|||||||||
6,618 |
Ingles Markets, Inc. |
457,899 |
|||||||||
21,278 |
Kroger Co. |
851,546 |
|||||||||
39,223 |
Sprouts Farmers Market, Inc. (a) |
868,397 |
|||||||||
6,511 |
Weis Markets, Inc. |
366,634 |
|||||||||
3,350,195 |
|||||||||||
Food Services and Drinking Places - 1.4% |
|||||||||||
4,767 |
Casey's General Stores, Inc. |
913,071 |
|||||||||
3,467 |
Wayfair, Inc. (a)(b) |
863,630 |
|||||||||
1,776,701 |
|||||||||||
Gasoline Stations - 0.3% |
|||||||||||
7,869 |
TravelCenters of America Inc. (a) |
424,218 |
|||||||||
General Merchandise Stores - 9.4% |
|||||||||||
19,750 |
Big Lots, Inc. |
873,938 |
|||||||||
15,585 |
BJ's Wholesale Club
Holdings, Inc. (a) |
910,787 |
Shares |
Fair Value |
||||||||||
General Merchandise Stores (continued) |
|||||||||||
3,167 |
Burlington Stores, Inc. (a) |
$ |
875,010 |
||||||||
1,955 |
Costco Wholesale Corp. |
960,961 |
|||||||||
4,694 |
Dillard's, Inc. Class A |
1,084,971 |
|||||||||
4,162 |
Dollar General Corp. |
921,966 |
|||||||||
10,071 |
Dollar Tree, Inc. (a) |
1,085,251 |
|||||||||
4,875 |
Five Below, Inc. (a) |
961,838 |
|||||||||
17,539 |
Kohl's Corp. |
851,168 |
|||||||||
43,998 |
Macy's, Inc. |
1,164,627 |
|||||||||
6,994 |
PriceSmart, Inc. |
503,218 |
|||||||||
3,715 |
Target Corp. |
964,488 |
|||||||||
6,229 |
Wal-Mart Stores, Inc. |
930,737 |
|||||||||
12,088,960 |
|||||||||||
Health and Personal Care Stores - 3.3% |
|||||||||||
30,242 |
Albertsons
Companies, Inc. Class A (b) |
935,990 |
|||||||||
32,017 |
Petmed Express, Inc. (b) |
910,243 |
|||||||||
51,190 |
Rite Aid Corp. (a) |
695,672 |
|||||||||
2,426 |
Ulta Salon,
Cosmetics & Fragrance, Inc. (a) |
891,216 |
|||||||||
18,363 |
Walgreens Boots Alliance, Inc. |
863,428 |
|||||||||
4,296,549 |
|||||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.1% |
|||||||||||
604 |
Winmark Corp. |
140,623 |
|||||||||
Machinery Manufacturing - 0.6% |
|||||||||||
36,467 |
Leslie's, Inc. (a) |
754,138 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.4% |
|||||||||||
4,749 |
America's Car-Mart, Inc. (a) |
567,458 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 0.6% |
|||||||||||
17,401 |
Foot Locker, Inc. |
829,506 |
|||||||||
Miscellaneous Manufacturing - 1.5% |
|||||||||||
15,494 |
National Vision Holdings, Inc. (a) |
955,050 |
|||||||||
41,730 |
Petco Health &
Wellness Co., Inc. (a)(b) |
1,031,983 |
|||||||||
1,987,033 |
|||||||||||
Miscellaneous Store Retailers - 5.8% |
|||||||||||
27,771 |
1-800-Flowers.com, Inc. (a) |
892,005 |
|||||||||
12,108 |
Chewy, Inc. (a)(b) |
917,786 |
|||||||||
4,185 |
Etsy, Inc. (a) |
1,049,138 |
|||||||||
12,821 |
Ollie's Bargain
Outlet Holdings, Inc. (a) |
867,469 |
|||||||||
136,350 |
Party City Holdings Inc. (a) |
991,264 |
|||||||||
55,646 |
Sally Beauty Holdings, Inc. (a) |
849,158 |
|||||||||
21,263 |
The ODP Corp. (a) |
920,688 |
|||||||||
4,431 |
Tractor Supply Co. |
962,280 |
|||||||||
7,449,788 |
|||||||||||
Motor Vehicle and Parts Dealers - 10.6% |
|||||||||||
4,544 |
Advance Auto Parts, Inc. |
1,024,763 |
|||||||||
5,308 |
Asbury Automotive Group, Inc. (a) |
1,038,829 |
|||||||||
8,692 |
AutoNation, Inc. (a) |
1,052,775 |
|||||||||
581 |
AutoZone, Inc. (a) |
1,036,992 |
|||||||||
6,747 |
CarMax, Inc. (a) |
923,799 |
|||||||||
52,548 |
CarParts.com, Inc. (a) |
800,306 |
|||||||||
2,753 |
Carvana Co. (a) |
834,655 |
|||||||||
5,737 |
Group 1 Automotive, Inc. |
1,031,513 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
96
Direxion Daily Retail Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Motor Vehicle and Parts Dealers (continued) |
|||||||||||
18,975 |
MarineMax, Inc. (a) |
$ |
982,715 |
||||||||
6,141 |
Murphy USA, Inc. |
1,000,676 |
|||||||||
1,529 |
O'Reilly Automotive, Inc. (a) |
951,527 |
|||||||||
7,739 |
OneWater Marine. Inc. |
343,147 |
|||||||||
10,157 |
Penske Automotive Group, Inc. |
1,077,150 |
|||||||||
18,171 |
Sonic Automotive, Inc. |
898,192 |
|||||||||
34,318 |
Vroom, Inc. (a) |
656,503 |
|||||||||
13,653,542 |
|||||||||||
Nonstore Retailers - 4.2% |
|||||||||||
263 |
Amazon.com, Inc. (a) |
886,949 |
|||||||||
4,317 |
DoorDash, Inc. (a) |
840,951 |
|||||||||
12,518 |
eBay, Inc. |
960,381 |
|||||||||
21,714 |
Lands' End, Inc. (a) |
570,644 |
|||||||||
13,186 |
Overstock.com, Inc. (a) |
1,255,703 |
|||||||||
24,895 |
Stitch Fix, Inc. (a) |
861,367 |
|||||||||
5,375,995 |
|||||||||||
Printing and Related Support Activities - 0.2% |
|||||||||||
22,810 |
Arko Corp. (a) |
218,748 |
|||||||||
Professional, Scientific, and Technical Services - 2.0% |
|||||||||||
133,542 |
ContextLogic, Inc. (a)(b) |
681,064 |
|||||||||
13,857 |
Franchise Group, Inc. |
509,938 |
|||||||||
41,390 |
Groupon, Inc. (a)(b) |
878,296 |
|||||||||
83,885 |
Quotient Technology, Inc. (a) |
540,219 |
|||||||||
2,609,517 |
|||||||||||
Publishing Industries (except Internet) - 1.3% |
|||||||||||
40,865 |
Porch Group, Inc. (a)(b) |
859,391 |
|||||||||
35,990 |
Poshmark, Inc. (a)(b) |
875,637 |
|||||||||
1,735,028 |
|||||||||||
Rental and Leasing Services - 0.6% |
|||||||||||
15,157 |
Rent-A-Center, Inc. |
807,262 |
|||||||||
Repair and Maintenance - 1.0% |
|||||||||||
17,418 |
Liquidity Services, Inc. (a) |
384,589 |
|||||||||
14,077 |
Monro Muffler Brake, Inc. |
869,396 |
|||||||||
1,253,985 |
|||||||||||
Securities,
Commodity Contracts, and Other Financial Investments and Related Activities - 0.6% |
|||||||||||
109,011 |
Shift Technologies, Inc. (a)(b) |
744,545 |
|||||||||
Sporting Goods, Hobby, Musical Instrument, and Book Stores - 3.2% |
|||||||||||
32,608 |
Big 5 Sporting Goods Corp. (b) |
788,461 |
|||||||||
22,883 |
Camping World Holdings, Inc. |
852,392 |
|||||||||
6,879 |
Dick's Sporting Goods, Inc. |
854,441 |
|||||||||
11,248 |
Hibbett Sports, Inc. |
871,045 |
|||||||||
42,537 |
Sportsman's
Warehouse Holdings, Inc. (a) |
734,189 |
|||||||||
4,100,528 |
|||||||||||
Truck Transportation - 0.7% |
|||||||||||
2,734 |
Lithia Motors, Inc. Class A |
872,747 |
|||||||||
TOTAL COMMON STOCKS
(Cost $90,939,143) |
$ |
91,267,491 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 31.5% |
|||||||||||
Money Market Funds - 31.5% |
|||||||||||
31,475,947 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
31,475,947 |
||||||||
24 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
24 |
|||||||||
9,118,663 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
9,118,663 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $40,594,634) |
$ |
40,594,634 |
|||||||||
TOTAL INVESTMENTS
(Cost $131,533,777) - 102.3% (e) |
$ |
131,862,125 |
|||||||||
Liabilities in
Excess of Other Assets - (2.3)% |
(3,023,145 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
128,838,980 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $84,182,971.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
97
Direxion Daily Retail Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid/(Received) at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
S&P Retail Select Industry® Index |
0.7358% representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
1,513 |
$ |
14,556,187 |
$ |
293,852 |
|||||||||||||||||||
Total return of
S&P Retail Select Industry® Index |
0.4858% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
11,972 |
109,063,635 |
8,637,513 |
|||||||||||||||||||||
Total return of
S&P Retail Select Industry® Index |
(0.0143)% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
7,103 |
50,393,654 |
19,700,476 |
|||||||||||||||||||||
Total return of
S&P Retail Select Industry® Index |
0.6358% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/21/2021 |
9,482 |
89,636,484 |
3,459,831 |
|||||||||||||||||||||
$ |
263,649,960 |
$ |
32,091,672 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
98
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 60.5% |
|||||||||||
Accommodation - 3.4% |
|||||||||||
9,259 |
Caesars Entertainment Inc. (a) |
$ |
1,013,490 |
||||||||
34,133 |
Host Hotels & Resorts, Inc. (a) |
574,458 |
|||||||||
4,378 |
Marriott
International, Inc. Class A (a) |
700,568 |
|||||||||
16,857 |
MGM Resorts International |
794,976 |
|||||||||
11,541 |
Penn National Gaming, Inc. (a) |
826,336 |
|||||||||
3,909,828 |
|||||||||||
Administrative and Support Services - 1.1% |
|||||||||||
288 |
Booking Holdings, Inc. (a) |
697,185 |
|||||||||
6,713 |
Live Nation Entertainment, Inc. (a) |
679,020 |
|||||||||
1,376,205 |
|||||||||||
Air Transportation - 1.0% |
|||||||||||
9,163 |
Alaska Air Group, Inc. (a) |
483,807 |
|||||||||
12,567 |
United Continental
Holdings, Inc. (a) |
579,841 |
|||||||||
1,063,648 |
|||||||||||
Amusement, Gambling, and Recreation Industries - 0.5% |
|||||||||||
6,171 |
Wynn Resorts Ltd. (a) |
554,156 |
|||||||||
Apparel Manufacturing - 0.5% |
|||||||||||
5,052 |
PVH Corp. (a) |
552,335 |
|||||||||
Broadcasting (except Internet) - 0.5% |
|||||||||||
13,106 |
Dish Network Corp. (a) |
538,263 |
|||||||||
Chemical Manufacturing - 0.6% |
|||||||||||
2,708 |
Albemarle Corp. |
678,273 |
|||||||||
Clothing and Clothing Accessories Stores - 1.6% |
|||||||||||
9,340 |
Bath & Body Works, Inc. |
645,301 |
|||||||||
24,195 |
Gap, Inc. |
548,985 |
|||||||||
4,892 |
Ross Stores, Inc. |
553,774 |
|||||||||
1,748,060 |
|||||||||||
Computer and Electronic Product Manufacturing - 13.0% |
|||||||||||
5,948 |
Advanced Micro Devices, Inc. (a) |
715,128 |
|||||||||
3,554 |
Analog Devices, Inc. |
616,583 |
|||||||||
4,814 |
Apple, Inc. |
721,137 |
|||||||||
1,343 |
Broadcom, Inc. |
714,033 |
|||||||||
4,421 |
Enphase Energy, Inc. (a) |
1,024,036 |
|||||||||
1,950 |
Fortinet, Inc. (a) |
655,863 |
|||||||||
10,480 |
Microchip Technology, Inc. |
776,463 |
|||||||||
8,721 |
Micron Technology, Inc. |
602,621 |
|||||||||
1,695 |
Monolithic Power Systems, Inc. |
890,655 |
|||||||||
6,626 |
NetApp, Inc. |
591,702 |
|||||||||
3,937 |
NVIDIA Corp. |
1,006,573 |
|||||||||
3,493 |
NXP Semiconductors
NV ADR (Netherlands) |
701,604 |
|||||||||
4,364 |
Qorvo, Inc. (a) |
734,156 |
|||||||||
4,875 |
Qualcomm, Inc. |
648,570 |
|||||||||
4,454 |
Skyworks Solutions, Inc. |
744,397 |
|||||||||
6,664 |
Teradyne, Inc. |
921,231 |
|||||||||
3,321 |
Texas Instruments, Inc. |
622,621 |
|||||||||
7,405 |
Trimble, Inc. (a) |
646,975 |
|||||||||
8,450 |
Western Digital Corp. (a) |
441,851 |
|||||||||
1,020 |
Zebra Technologies
Corp. Class A (a) |
544,629 |
|||||||||
14,320,828 |
Shares |
Fair Value |
||||||||||
Credit Intermediation and Related Activities - 3.1% |
|||||||||||
4,299 |
Discover Financial Services |
$ |
487,163 |
||||||||
1,701 |
MasterCard, Inc. Class A |
570,719 |
|||||||||
27,437 |
Regions Financial Corp. |
649,708 |
|||||||||
5,952 |
State Street Corp. |
586,570 |
|||||||||
915 |
SVB Financial Group (a) |
656,421 |
|||||||||
10,943 |
Synchrony Financial |
508,302 |
|||||||||
3,458,883 |
|||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.1% |
|||||||||||
1,316 |
Generac Holdings, Inc. (a) |
656,105 |
|||||||||
3,509 |
IPG Photonics Corp. (a) |
557,966 |
|||||||||
1,214,071 |
|||||||||||
Insurance Carriers and Related Activities - 0.6% |
|||||||||||
9,204 |
Lincoln National Corp. |
664,069 |
|||||||||
Machinery Manufacturing - 1.5% |
|||||||||||
6,254 |
Applied Materials, Inc. |
854,609 |
|||||||||
1,344 |
Lam Research Corp. |
757,438 |
|||||||||
1,612,047 |
|||||||||||
Management of Companies and Enterprises - 0.6% |
|||||||||||
24,266 |
Norwegian Cruise
Line Holdings Ltd. ADR (a) |
624,122 |
|||||||||
Merchant Wholesalers, Durable Goods - 1.3% |
|||||||||||
2,431 |
KLA-Tencor Corp. |
906,180 |
|||||||||
2,716 |
Mohawk Industries, Inc. (a) |
481,302 |
|||||||||
1,387,482 |
|||||||||||
Mining (except Oil and Gas) - 0.6% |
|||||||||||
18,795 |
Freeport-McMoRan
Copper & Gold, Inc. |
708,947 |
|||||||||
Miscellaneous Manufacturing - 2.4% |
|||||||||||
983 |
Align Technology, Inc. (a) |
613,756 |
|||||||||
1,236 |
DexCom, Inc. (a) |
770,287 |
|||||||||
1,790 |
Intuitive Surgical, Inc. (a) |
646,423 |
|||||||||
7,766 |
Textron, Inc. |
573,519 |
|||||||||
2,603,985 |
|||||||||||
Miscellaneous Store Retailers - 0.7% |
|||||||||||
3,125 |
Etsy, Inc. (a) |
783,406 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 0.4% |
|||||||||||
13,820 |
Corning, Inc. |
491,577 |
|||||||||
Nonstore Retailers - 0.5% |
|||||||||||
168 |
Amazon.com, Inc. (a) |
566,568 |
|||||||||
Oil and Gas Extraction - 4.6% |
|||||||||||
34,087 |
APA Corp. |
893,420 |
|||||||||
25,318 |
Devon Energy Corp. |
1,014,745 |
|||||||||
8,806 |
EOG Resources, Inc. |
814,203 |
|||||||||
54,330 |
Marathon Oil Corp. |
886,666 |
|||||||||
25,449 |
Occidental Petroleum Corp. |
853,305 |
|||||||||
7,707 |
Phillips 66 |
576,330 |
|||||||||
5,038,669 |
|||||||||||
Other Information Services - 1.0% |
|||||||||||
211 |
Alphabet, Inc. Class C (a) |
625,702 |
|||||||||
9,397 |
Twitter, Inc. (a) |
503,115 |
|||||||||
1,128,817 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
99
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Personal and Laundry Services - 0.6% |
|||||||||||
1,472 |
Cintas Corp. |
$ |
637,523 |
||||||||
Petroleum and Coal Products Manufacturing - 1.9% |
|||||||||||
9,678 |
ConocoPhillips |
720,914 |
|||||||||
10,172 |
Marathon Petroleum Corp. |
670,640 |
|||||||||
8,819 |
Valero Energy Corp. |
681,973 |
|||||||||
2,073,527 |
|||||||||||
Primary Metal Manufacturing - 0.5% |
|||||||||||
18,485 |
Howmet Aerospace, Inc. |
548,820 |
|||||||||
Professional, Scientific, and Technical Services - 1.0% |
|||||||||||
15,925 |
DXC Technology Co. (a) |
518,677 |
|||||||||
1,752 |
Meta Platforms, Inc. (a) |
566,895 |
|||||||||
1,085,572 |
|||||||||||
Publishing Industries (except Internet) - 6.3% |
|||||||||||
943 |
Adobe Systems, Inc. (a) |
613,290 |
|||||||||
1,895 |
ANSYS, Inc. (a) |
719,304 |
|||||||||
1,954 |
Autodesk, Inc. (a) |
620,610 |
|||||||||
4,262 |
Cadence Design Systems, Inc. (a) |
737,795 |
|||||||||
1,172 |
Intuit, Inc. |
733,660 |
|||||||||
2,014 |
Microsoft Corp. |
667,883 |
|||||||||
1,386 |
Paycom Software, Inc. (a) |
759,320 |
|||||||||
5,178 |
PTC, Inc. (a) |
659,418 |
|||||||||
2,332 |
Salesforce.com, Inc. (a) |
698,877 |
|||||||||
2,252 |
Synopsys, Inc. (a) |
750,321 |
|||||||||
6,960,478 |
|||||||||||
Real Estate - 1.1% |
|||||||||||
4,198 |
Simon Property Group, Inc. |
615,343 |
|||||||||
15,537 |
Weyerhaeuser Co. |
554,982 |
|||||||||
1,170,325 |
|||||||||||
Rental and Leasing Services - 0.6% |
|||||||||||
1,754 |
United Rentals, Inc. (a) |
664,959 |
|||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.5% |
|||||||||||
23,541 |
Invesco Ltd. ADR (b) |
598,177 |
|||||||||
Support Activities for Mining - 2.2% |
|||||||||||
9,034 |
Diamondback Energy, Inc. |
968,354 |
|||||||||
31,455 |
Halliburton Co. |
786,060 |
|||||||||
7,608 |
Hess Corp. |
628,193 |
|||||||||
2,382,607 |
|||||||||||
Support Activities for Transportation - 0.6% |
|||||||||||
3,953 |
Expedia, Inc. (a) |
649,913 |
|||||||||
Telecommunications - 0.5% |
|||||||||||
2,338 |
PayPal Holdings, Inc. (a) |
543,795 |
|||||||||
Transportation Equipment Manufacturing - 2.4% |
|||||||||||
3,454 |
Aptiv PLC ADR (Ireland) (a) |
597,162 |
|||||||||
2,878 |
Boeing Co. (a) |
595,832 |
|||||||||
1,325 |
Tesla Motors, Inc. (a) |
1,476,050 |
|||||||||
2,669,044 |
|||||||||||
Utilities - 0.6% |
|||||||||||
10,449 |
ONEOK, Inc. |
664,765 |
Shares |
Fair Value |
||||||||||
Water Transportation - 1.1% |
|||||||||||
26,431 |
Carnival Corp. ADR (a) |
$ |
585,711 |
||||||||
7,310 |
Royal Caribbean
Cruises Ltd. ADR (Liberia) (a) |
617,183 |
|||||||||
1,202,894 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $63,527,085) |
$ |
66,876,638 |
|||||||||
SHORT TERM INVESTMENTS - 56.4% |
|||||||||||
Money Market Funds - 56.4% |
|||||||||||
33,414,984 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
33,414,984 |
||||||||
6,508,655 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
6,508,655 |
|||||||||
22,444,750 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
22,444,750 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $62,368,389) |
$ |
62,368,389 |
|||||||||
TOTAL INVESTMENTS
(Cost $125,895,474) - 116.9% (c) |
$ |
129,245,027 |
|||||||||
Liabilities in
Excess of Other Assets - (16.9)% |
(18,716,263 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
110,528,764 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $84,956,003.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
100
Direxion Daily S&P 500® High Beta Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
S&P 500® High Beta Index |
0.5558% representing 1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
8,907 |
$ |
144,692,867 |
$ |
20,663,940 |
|||||||||||||||||||
Total return of
S&P 500® High Beta Index |
0.6393% representing 1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
4,444 |
63,893,194 |
18,931,080 |
|||||||||||||||||||||
Total return of
S&P 500® High Beta Index |
0.5858% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/14/2021 |
896 |
16,417,907 |
162,365 |
|||||||||||||||||||||
Total return of
S&P 500® High Beta Index |
0.5858% representing 1 month LIBOR rate + spread |
Citibank N.A. |
9/16/2022 |
60 |
1,052,237 |
55,682 |
|||||||||||||||||||||
$ |
226,056,205 |
$ |
39,813,067 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
101
Direxion Daily S&P 500® High Beta Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 134.9% |
|||||||||||
Money Market Funds - 134.9% |
|||||||||||
12,376,397 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
12,376,397 |
||||||||
12,380,388 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
12,380,388 |
|||||||||
7,108,082 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
7,108,082 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $31,864,867) (b) |
$ |
31,864,867 |
|||||||||
TOTAL INVESTMENTS
(Cost $31,864,867) - 134.9% |
$ |
31,864,867 |
|||||||||
Liabilities in
Excess of Other Assets - (34.9)% |
(8,238,901 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
23,625,966 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $20,705,877.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.3393% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® High Beta Index |
Bank of America
Merrill Lynch |
12/9/2021 |
383 |
$ |
5,526,720 |
$ |
(1,625,765 |
) |
||||||||||||||||||
0.3658% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® High Beta Index |
UBS Securities LLC |
12/9/2021 |
326 |
5,942,072 |
(90,821 |
) |
||||||||||||||||||||
0.2858% representing
1 month LIBOR rate + spread |
Total return of
S&P 500® High Beta Index |
Barclays |
4/5/2022 |
2,287 |
37,550,275 |
(4,863,361 |
) |
||||||||||||||||||||
(0.1643)%
representing 1 month LIBOR rate + spread |
Total return of
S&P 500® High Beta Index |
J.P. Morgan |
7/29/2022 |
835 |
14,214,147 |
(1,274,555 |
) |
||||||||||||||||||||
$ |
63,233,214 |
$ |
(7,854,502 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
102
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 72.9% |
|||||||||||
Ambulatory Health Care Services - 2.6% |
|||||||||||
42,431 |
ALX Oncology Holdings, Inc. (a) |
$ |
2,377,833 |
||||||||
62,130 |
CareDx, Inc. (a) |
3,168,630 |
|||||||||
138,447 |
Invitae Corp. (a)(b) |
3,668,846 |
|||||||||
33,731 |
Keros Therapeutics, Inc. (a) |
1,407,257 |
|||||||||
35,895 |
Natera, Inc. (a) |
4,112,490 |
|||||||||
206,578 |
Organogenesis Holdings, Inc. (a) |
2,268,227 |
|||||||||
51,164 |
Prelude Therapeutics, Inc. (a)(b) |
899,463 |
|||||||||
75,139 |
TCR2 Therapeutics, Inc. (a) |
473,376 |
|||||||||
56,202 |
Y-mAbs Therapeutics, Inc. (a) |
1,380,321 |
|||||||||
19,756,443 |
|||||||||||
Apparel Manufacturing - 0.3% |
|||||||||||
100,299 |
Sana Biotechnology, Inc. (a)(b) |
2,080,201 |
|||||||||
Chemical Manufacturing - 47.3% |
|||||||||||
40,430 |
AbbVie, Inc. |
4,636,108 |
|||||||||
268,192 |
Acadia Pharmaceuticals Inc. (a) |
4,814,046 |
|||||||||
32,576 |
Acceleron Pharma, Inc. (a) |
5,674,088 |
|||||||||
95,521 |
Agios Pharmaceuticals, Inc. (a) |
4,489,487 |
|||||||||
933,300 |
Akebia Therapeutics, Inc. (a) |
2,678,571 |
|||||||||
57,899 |
Albireo Pharma, Inc. (a) |
1,691,809 |
|||||||||
200,560 |
Aldeyra Therapeutics, Inc. (a)(b) |
1,825,096 |
|||||||||
141,380 |
Alkermes PLC ADR (Ireland) (a) |
4,282,400 |
|||||||||
54,151 |
AlloVir, Inc. (a) |
1,300,166 |
|||||||||
22,745 |
Alnylam Pharmaceuticals, Inc. (a) |
3,629,192 |
|||||||||
227,199 |
Altimmune, Inc. (a) |
2,453,749 |
|||||||||
20,182 |
Amgen, Inc. |
4,177,069 |
|||||||||
394,793 |
Amicus Therapeutics, Inc. (a) |
4,145,326 |
|||||||||
81,016 |
Arcturus
Therapeutics Holdings Inc. (a)(b) |
3,641,669 |
|||||||||
114,004 |
Arcus Biosciences Inc. (a) |
3,812,294 |
|||||||||
41,837 |
Arcutis Biotherapeutics, Inc. (a) |
886,108 |
|||||||||
72,638 |
Arena Pharmaceuticals, Inc. (a) |
4,168,695 |
|||||||||
161,176 |
Avid Bioservices, Inc. (a) |
4,944,880 |
|||||||||
39,620 |
Beam Therapeutics Inc. (a) |
3,517,067 |
|||||||||
283,886 |
BioCryst Pharmaceuticals, Inc. (a) |
4,238,418 |
|||||||||
14,385 |
Biogen, Inc. (a) |
3,836,192 |
|||||||||
55,335 |
BioMarin Pharmaceutical, Inc. (a) |
4,384,192 |
|||||||||
241,335 |
bluebird bio, Inc. (a) |
5,649,652 |
|||||||||
43,735 |
Blueprint Medicines Corp. (a) |
4,919,750 |
|||||||||
85,675 |
BridgeBio Pharma, Inc. (a) |
4,230,632 |
|||||||||
266,997 |
Catalyst Pharmaceuticals, Inc. (a) |
1,575,282 |
|||||||||
79,130 |
Celldex Therapeutics, Inc. (a) |
3,366,190 |
|||||||||
279,840 |
ChemoCentryx, Inc. (a) |
9,741,230 |
|||||||||
176,314 |
Chimerix, Inc. (a) |
923,885 |
|||||||||
63,906 |
Chinook Therapeutics, Inc. (a) |
686,350 |
|||||||||
989,706 |
Clovis Oncology, Inc. (a)(b) |
4,285,427 |
|||||||||
164,343 |
Coherus BioSciences, Inc. (a) |
2,749,458 |
|||||||||
37,282 |
Cortexyme, Inc. (a)(b) |
492,122 |
|||||||||
38,114 |
Crinetics Pharmaceuticals, Inc. (a) |
950,182 |
|||||||||
53,998 |
Cue Biopharma Inc. (a) |
659,316 |
|||||||||
494,850 |
Curis, Inc. (a) |
3,216,525 |
|||||||||
219,227 |
CytomX Therapeutics, Inc. (a) |
1,300,016 |
|||||||||
91,291 |
Deciphera
Pharmaceuticals, Inc. (a) |
3,048,206 |
|||||||||
83,583 |
Denali Therapeutics, Inc. (a) |
4,041,238 |
|||||||||
198,864 |
Dicerna Pharmaceuticals, Inc. (a) |
4,138,360 |
|||||||||
26,477 |
Eagle Pharmaceuticals, Inc. (a) |
1,386,600 |
|||||||||
75,583 |
Emergent Biosolutions, Inc. (a) |
3,603,042 |
Shares |
Fair Value |
||||||||||
Chemical Manufacturing (continued) |
|||||||||||
35,402 |
Enanta Pharmaceuticals, Inc. (a) |
$ |
3,039,262 |
||||||||
380,539 |
FibroGen, Inc. (a) |
4,231,594 |
|||||||||
72,346 |
Forma Therapeutics
Holdings, Inc. (a) |
1,342,742 |
|||||||||
290,564 |
G1 Therapeutics, Inc. (a)(b) |
4,210,272 |
|||||||||
78,837 |
Generation Bio Co. (a) |
1,652,424 |
|||||||||
539,741 |
Geron Corp. (a) |
831,201 |
|||||||||
60,785 |
Gilead Sciences, Inc. |
3,943,731 |
|||||||||
102,010 |
Gossamer Bio, Inc. (a) |
1,266,964 |
|||||||||
104,627 |
Halozyme Therapeutics, Inc. (a) |
3,983,150 |
|||||||||
370,382 |
Heron Therapeutics, Inc. (a) |
4,077,906 |
|||||||||
40,048 |
Horizon Therapeutics
PLC ADR (Ireland) (a) |
4,802,156 |
|||||||||
627,182 |
Humanigen, Inc. (a)(b) |
4,503,167 |
|||||||||
316,396 |
ImmunityBio, Inc. (a) |
2,477,381 |
|||||||||
420,007 |
Immunogen, Inc. (a) |
2,532,642 |
|||||||||
60,679 |
Incyte Corp. (a) |
4,064,279 |
|||||||||
158,970 |
Insmed, Inc. (a) |
4,792,946 |
|||||||||
26,845 |
Intellia Therapeutics, Inc. (a) |
3,569,848 |
|||||||||
204,402 |
Intercept
Pharmaceuticals, Inc. (a)(b) |
3,446,218 |
|||||||||
119,560 |
Ionis Pharmaceuticals, Inc. (a) |
3,810,377 |
|||||||||
353,706 |
Ironwood
Pharmaceuticals, Inc. Class A (a) |
4,516,826 |
|||||||||
349,056 |
Kadmon Holdings, Inc. (a) |
3,298,579 |
|||||||||
53,455 |
KalVista Pharmaceuticals, Inc. (a) |
961,121 |
|||||||||
36,251 |
Karuna Therapeutics, Inc. (a) |
5,088,915 |
|||||||||
513,746 |
Karyopharm Therapeutics, Inc. (a) |
2,805,053 |
|||||||||
119,371 |
Kiniksa
Pharmaceuticals, Ltd. ADR (a) |
1,240,265 |
|||||||||
32,187 |
Krystal Biotech, Inc. (a) |
1,612,247 |
|||||||||
31,524 |
Ligand Pharmaceuticals, Inc. (a) |
4,600,613 |
|||||||||
268,315 |
Lineage Cell
Therapeutics, Inc. (a)(b) |
611,758 |
|||||||||
143,919 |
MacroGenics, Inc. (a) |
2,810,738 |
|||||||||
43,570 |
Madrigal Pharmaceuticals, Inc. (a) |
3,387,568 |
|||||||||
695,301 |
MannKind Corp. (a) |
3,274,868 |
|||||||||
224,405 |
Mersana Therapeutics Inc. (a) |
1,920,907 |
|||||||||
40,414 |
Morphic Holding, Inc. (a) |
2,323,805 |
|||||||||
157,535 |
Myovant Sciences,
Ltd. ADR (United Kingdom) (a)(b) |
3,446,866 |
|||||||||
129,855 |
Myriad Genetics, Inc. (a) |
3,995,638 |
|||||||||
44,618 |
Neurocrine Biosciences, Inc. (a) |
4,703,183 |
|||||||||
17,838 |
Novavax, Inc. (a) |
2,654,830 |
|||||||||
1,165,089 |
OPKO Health, Inc. (a)(b) |
4,415,687 |
|||||||||
40,293 |
ORIC Pharmaceuticals Inc. (a) |
589,890 |
|||||||||
110,002 |
PMV Pharmaceuticals, Inc. (a) |
2,598,247 |
|||||||||
56,491 |
Prothena Corp. PLC (a) |
3,126,777 |
|||||||||
103,029 |
PTC Therapeutics, Inc. (a) |
3,907,890 |
|||||||||
6,633 |
Regeneron
Pharmaceuticals, Inc. (a) |
4,244,722 |
|||||||||
98,003 |
REGENXBIO, Inc. (a) |
3,473,226 |
|||||||||
86,379 |
Replimune Group Inc. (a) |
2,549,044 |
|||||||||
114,737 |
Rhythm Pharmaceuticals, Inc. (a) |
1,320,623 |
|||||||||
409,190 |
Rigel Pharmaceuticals, Inc. (a) |
1,374,878 |
|||||||||
122,126 |
Rocket Pharmaceuticals, Inc. (a) |
3,628,363 |
|||||||||
119,231 |
Rubius Therapeutics, Inc. (a) |
1,694,273 |
|||||||||
95,479 |
Sage Therapeutics, Inc. (a) |
3,853,532 |
|||||||||
275,836 |
Sangamo Therapeutics, Inc. (a) |
2,239,788 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
103
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Chemical Manufacturing (continued) |
|||||||||||
53,592 |
Sarepta Therapeutics, Inc. (a) |
$ |
4,240,735 |
||||||||
51,532 |
Scholar Rock Holding Corp. (a) |
1,355,292 |
|||||||||
28,478 |
Seagen Inc. (a) |
5,021,526 |
|||||||||
688,184 |
Seres Therapeutics, Inc. (a)(b) |
4,184,159 |
|||||||||
956,035 |
Spectrum
Pharmaceuticals, Inc. (a) |
1,749,544 |
|||||||||
26,013 |
Spero Therapeutics, Inc. (a) |
456,788 |
|||||||||
63,118 |
SpringWorks
Therapeutics, Inc. (a) |
4,232,693 |
|||||||||
45,043 |
Stoke Therapeutics, Inc. (a) |
1,028,332 |
|||||||||
77,153 |
Sutro Biopharma, Inc. (a) |
1,555,404 |
|||||||||
102,107 |
Syndax Pharmaceuticals Inc. (a) |
1,985,981 |
|||||||||
144,838 |
TG Therapeutics, Inc. (a) |
4,521,842 |
|||||||||
132,173 |
Travere Therapeutics, Inc. (a) |
3,807,904 |
|||||||||
54,823 |
Turning Point
Therapeutics, Inc. (a) |
2,279,540 |
|||||||||
35,530 |
Twist Bioscience Corp. (a) |
4,220,964 |
|||||||||
42,424 |
Ultragenyx
Pharmaceutical, Inc. (a) |
3,560,222 |
|||||||||
84,630 |
uniQure N.V. ADR
(Netherlands) (a) |
2,578,676 |
|||||||||
20,528 |
United Therapeutics Corp. (a) |
3,915,921 |
|||||||||
113,065 |
Vanda Pharmaceuticals, Inc. (a) |
1,935,673 |
|||||||||
88,674 |
Veracyte, Inc. (a) |
4,245,711 |
|||||||||
599,358 |
Verastem, Inc. (a) |
1,558,331 |
|||||||||
83,583 |
Vericel Corp. (a)(b) |
3,846,490 |
|||||||||
22,873 |
Vertex Pharmaceuticals, Inc. (a) |
4,229,904 |
|||||||||
341,594 |
VistaGen Therapeutics, Inc. (a) |
782,250 |
|||||||||
62,760 |
Xencor, Inc. (a) |
2,482,786 |
|||||||||
555,837 |
Ziopharm Oncology, Inc (a) |
833,756 |
|||||||||
365,649,489 |
|||||||||||
Hospitals - 0.2% |
|||||||||||
55,127 |
BioAtla, Inc. (a) |
1,611,362 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 4.2% |
|||||||||||
58,197 |
Akero Therapeutics, Inc. (a) |
1,250,653 |
|||||||||
40,973 |
Allakos, Inc. (a) |
4,121,064 |
|||||||||
169,931 |
Atara Biotherapeutics, Inc. (a) |
2,630,532 |
|||||||||
27,736 |
Avita Medical, Inc. (a) |
456,812 |
|||||||||
82,819 |
Bioxcel Therapeutics Inc. (a) |
2,413,346 |
|||||||||
81,780 |
C4 Therapeutics, Inc. (a) |
3,632,668 |
|||||||||
153,515 |
Global Blood
Therapeutics, Inc. (a) |
5,606,368 |
|||||||||
95,723 |
Protagonist Therapeutics Inc. (a) |
2,982,729 |
|||||||||
128,682 |
Relay Therapeutics, Inc. (a) |
4,278,676 |
|||||||||
181,954 |
Viking Therapeutics, Inc. (a) |
1,058,972 |
|||||||||
52,052 |
Zentalis Pharmaceuticals, Inc. (a) |
4,187,063 |
|||||||||
32,618,883 |
|||||||||||
Miscellaneous Manufacturing - 2.3% |
|||||||||||
20,344 |
Anika Therapeutics, Inc. (a) |
847,328 |
|||||||||
542,773 |
Inovio Pharmaceuticals, Inc. (a)(b) |
3,875,399 |
|||||||||
109,481 |
MiMedx Group, Inc. (a)(b) |
749,945 |
|||||||||
26,062 |
Mirati Therapeutics, Inc. (a) |
4,926,239 |
|||||||||
603,512 |
Ocugen, Inc. (a)(b) |
7,145,582 |
|||||||||
17,544,493 |
|||||||||||
Nursing and Residential Care Facilities - 0.3% |
|||||||||||
109,439 |
Radius Health, Inc. (a) |
2,363,882 |
Shares |
Fair Value |
||||||||||
Professional, Scientific, and Technical Services - 13.2% |
|||||||||||
663,850 |
Agenus, Inc. (a) |
$ |
2,549,184 |
||||||||
189,596 |
Alector, Inc. (a) |
4,121,817 |
|||||||||
174,414 |
Allogene Therapeutics, Inc. (a) |
3,006,897 |
|||||||||
41,778 |
AnaptysBio, Inc. (a) |
1,374,496 |
|||||||||
230,771 |
Anavex Life Sciences Corp. (a) |
4,324,649 |
|||||||||
123,537 |
Apellis Pharmaceuticals, Inc. (a) |
3,797,527 |
|||||||||
64,629 |
Applied Molecular
Transport Inc. (a) |
1,455,445 |
|||||||||
67,470 |
Arrowhead
Pharmaceuticals, Inc. (a) |
4,305,935 |
|||||||||
57,446 |
Avidity Biosciences, Inc. (a) |
1,292,535 |
|||||||||
32,067 |
Biohaven
Pharmaceutical Holding Co. Ltd. (a) |
4,563,775 |
|||||||||
294,915 |
CEL-SCI Corp. (a)(b) |
3,303,048 |
|||||||||
146,194 |
Cytokinetics, Inc. (a) |
5,103,633 |
|||||||||
245,885 |
Dynavax Technologies Corp. (a) |
4,910,324 |
|||||||||
65,289 |
Editas Medicine, Inc. (a) |
2,397,412 |
|||||||||
330,048 |
Epizyme, Inc. (a) |
1,386,202 |
|||||||||
41,626 |
Exact Sciences Corp. (a) |
3,963,628 |
|||||||||
216,180 |
Exelixis, Inc. (a) |
4,650,032 |
|||||||||
63,064 |
Fate Therapeutics, Inc. (a) |
3,392,843 |
|||||||||
43,589 |
IDEAYA Biosciences, Inc. (a) |
934,548 |
|||||||||
40,107 |
IGM Biosciences Inc. (a) |
1,881,820 |
|||||||||
236,679 |
Iveric Bio, Inc. (a) |
4,189,218 |
|||||||||
44,761 |
Kodiak Sciences, Inc. (a) |
5,241,066 |
|||||||||
156,028 |
Kura Oncology, Inc. (a) |
2,561,980 |
|||||||||
64,732 |
Kymera Therapeutics, Inc. (a) |
3,811,420 |
|||||||||
9,612 |
Moderna, Inc. (a) |
3,318,159 |
|||||||||
70,649 |
Nkarta, Inc. (a) |
1,107,776 |
|||||||||
81,533 |
Nurix Therapeutics, Inc. (a) |
2,727,279 |
|||||||||
242,875 |
Precigen, Inc. (a)(b) |
1,173,086 |
|||||||||
117,007 |
Precision BioSciences, Inc. (a) |
1,110,396 |
|||||||||
94,185 |
Recursion
Pharmaceuticals, Inc. (a)(b) |
1,803,643 |
|||||||||
137,476 |
Revolution Medicines, Inc. (a) |
4,045,919 |
|||||||||
215,107 |
Selecta Biosciences, Inc. (a) |
772,234 |
|||||||||
544,831 |
Sorrento Therapeutics Inc. (a)(b) |
3,737,541 |
|||||||||
38,877 |
Vaxcyte, Inc. (a) |
909,722 |
|||||||||
83,455 |
Vir Biotechnology, Inc. (a) |
3,148,757 |
|||||||||
102,373,946 |
|||||||||||
Real Estate - 0.2% |
|||||||||||
651,339 |
VBI Vaccines Inc.
ADR (Canada) (a)(b) |
1,888,883 |
|||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.3% |
|||||||||||
113,419 |
Cerevel Therapeutics
Holdings, Inc. (a) |
4,610,482 |
|||||||||
122,126 |
DermTech, Inc. (a)(b) |
3,340,146 |
|||||||||
262,165 |
Immunovant Inc. (a) |
2,107,807 |
|||||||||
10,058,435 |
|||||||||||
Specialty Trade Contractors - 0.4% |
|||||||||||
492,586 |
Vaxart, Inc. (a)(b) |
3,305,252 |
|||||||||
Support Activities for Transportation - 0.6% |
|||||||||||
189,511 |
Iovance Biotherapeutics, Inc. (a) |
4,607,013 |
|||||||||
TOTAL COMMON STOCKS
(Cost $634,250,962) |
$ |
563,858,282 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
104
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 36.5% |
|||||||||||
Money Market Funds - 36.5% |
|||||||||||
149,463,923 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
149,463,923 |
||||||||
132,426,371 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
132,426,371 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $281,890,294) |
$ |
281,890,294 |
|||||||||
TOTAL INVESTMENTS
(Cost $916,141,256) - 109.4% (e) |
$ |
845,748,576 |
|||||||||
Liabilities in
Excess of Other Assets - (9.4)% |
(72,952,323 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
772,796,253 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $526,943,642.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of
Payments to be Paid/(Received) at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
S&P Biotechnology Select Industry Index |
0.5393% representing 1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
7,999 |
$ |
77,414,795 |
$ |
128,769 |
|||||||||||||||||||
Total return of
S&P Biotechnology Select Industry Index |
0.8058% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
58,946 |
573,244,506 |
(2,604,182 |
) |
||||||||||||||||||||
Total return of
S&P Biotechnology Select Industry Index |
(0.0143)% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
46,681 |
465,299,374 |
(12,656,229 |
) |
||||||||||||||||||||
Total return of
S&P Biotechnology Select Industry Index |
0.3358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/16/2021 |
50,848 |
494,424,868 |
(1,732,819 |
) |
||||||||||||||||||||
Total return of
S&P Biotechnology Select Industry Index |
0.6358% representing 1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
9,500 |
93,826,735 |
(1,960,157 |
) |
||||||||||||||||||||
Total return of
S&P Biotechnology Select Industry Index |
0.6358% representing 1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
7,000 |
74,359,545 |
(6,656,337 |
) |
||||||||||||||||||||
$ |
1,778,569,823 |
$ |
(25,480,955 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
105
Direxion Daily S&P Biotech Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 91.7% |
|||||||||||
Money Market Funds - 91.7% |
|||||||||||
16,420,605 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
16,420,605 |
||||||||
26,908,146 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
26,908,146 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $43,328,751) (b) |
$ |
43,328,751 |
|||||||||
TOTAL INVESTMENTS
(Cost $43,328,751) - 91.7% |
$ |
43,328,751 |
|||||||||
Other Assets in
Excess of Liabilities - 8.3% |
3,938,723 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
47,267,474 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,090,903.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
(0.2643)%
representing 1 month LIBOR rate + spread |
Total return of
S&P Biotechnology Select Industry Index |
Citibank N.A. |
12/13/2021 |
2,307 |
$ |
22,468,155 |
$ |
95,583 |
|||||||||||||||||||
0.2658% representing
1 month LIBOR rate + spread |
Total return of
S&P Biotechnology Select Industry Index |
UBS Securities LLC |
12/13/2021 |
2,525 |
24,218,368 |
(256,432 |
) |
||||||||||||||||||||
(0.0643)%
representing 1 month LIBOR rate + spread |
Total return of
S&P Biotechnology Select Industry Index |
J.P. Morgan |
12/16/2021 |
3,297 |
33,164,408 |
1,192,140 |
|||||||||||||||||||||
0.3379% representing
1 month LIBOR rate + spread |
Total return of
S&P Biotechnology Select Industry Index |
Bank of America
Merrill Lynch |
12/13/2022 |
6,497 |
62,676,532 |
(307,494 |
) |
||||||||||||||||||||
$ |
142,527,463 |
$ |
723,797 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
106
Direxion Daily Semiconductor Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 57.6% |
|||||||||||
Computer and Electronic Product Manufacturing - 47.7% |
|||||||||||
850,238 |
Advanced Micro
Devices, Inc. (a) |
$ |
102,224,115 |
||||||||
578,007 |
Analog Devices, Inc. |
100,278,434 |
|||||||||
1,541,790 |
ASE Technology
Holding Co., Ltd. ADR (Taiwan) |
10,977,545 |
|||||||||
378,523 |
Broadcom, Inc. |
201,249,323 |
|||||||||
3,482,265 |
Intel Corp. |
170,630,985 |
|||||||||
293,611 |
Lattice
Semiconductor Corp. (a) |
20,388,348 |
|||||||||
1,538,062 |
Marvell Technology, Inc. |
105,357,247 |
|||||||||
1,174,740 |
Microchip Technology, Inc. |
87,036,486 |
|||||||||
1,277,346 |
Micron Technology, Inc. |
88,264,609 |
|||||||||
120,603 |
MKS Instruments, Inc. |
18,096,480 |
|||||||||
94,669 |
Monolithic Power
Systems, Inc. |
49,744,773 |
|||||||||
841,042 |
NVIDIA Corp. |
215,029,208 |
|||||||||
437,794 |
NXP Semiconductors
NV ADR (Netherlands) |
87,935,303 |
|||||||||
928,302 |
ON Semiconductor Corp. (a) |
44,623,477 |
|||||||||
241,328 |
Qorvo, Inc. (a) |
40,598,609 |
|||||||||
914,744 |
Qualcomm, Inc. |
121,697,542 |
|||||||||
359,882 |
Skyworks Solutions, Inc. |
60,147,079 |
|||||||||
640,920 |
STMicroelectronics
NV ADR (Netherlands) (b) |
30,533,429 |
|||||||||
725,311 |
Taiwan Semiconductor
Manufacturing Co. Ltd. ADR (Taiwan) |
82,467,861 |
|||||||||
359,882 |
Teradyne, Inc. |
49,750,088 |
|||||||||
702,994 |
Texas Instruments, Inc. |
131,797,315 |
|||||||||
1,746,984 |
United
Microelectronics Corp. ADR (Taiwan) (b) |
17,941,526 |
|||||||||
94,669 |
Universal Display Corp. |
17,343,361 |
|||||||||
251,495 |
Wolfspeed, Inc. (a) |
30,207,064 |
|||||||||
539,653 |
Xilinx, Inc. |
97,137,540 |
|||||||||
1,981,457,747 |
|||||||||||
Machinery Manufacturing - 6.4% |
|||||||||||
696,442 |
Applied Materials, Inc. |
95,168,799 |
|||||||||
103,260 |
ASML Holding NV ADR
(Netherlands) ADR |
83,937,989 |
|||||||||
155,446 |
Lam Research Corp. |
87,604,702 |
|||||||||
266,711,490 |
|||||||||||
Merchant Wholesalers, Durable Goods - 3.5% |
|||||||||||
294,882 |
Entegris, Inc. |
41,513,488 |
|||||||||
276,745 |
KLA-Tencor Corp. |
103,159,466 |
|||||||||
144,672,954 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $2,287,521,325) |
$ |
2,392,842,191 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 43.2% |
|||||||||||
Money Market Funds - 43.2% |
|||||||||||
1,127,166,222 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
1,127,166,222 |
||||||||
205,145,067 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
205,145,067 |
|||||||||
463,378,558 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
463,378,558 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,795,689,847) |
$ |
1,795,689,847 |
|||||||||
TOTAL INVESTMENTS
(Cost $4,083,211,172) - 100.8% (e) |
$ |
4,188,532,038 |
|||||||||
Liabilities in
Excess of Other Assets - (0.8)% |
(33,433,079 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
4,155,098,959 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,632,252,411.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
107
Direxion Daily Semiconductor Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.5893% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
1,242,127 |
$ |
954,551,179 |
$ |
48,493,233 |
|||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.8258% representing
1 month LIBOR rate + spread |
UBS Securities
LLC |
12/14/2021 |
3,120,466 |
2,366,331,239 |
153,660,348 |
|||||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.3858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
8/22/2022 |
3,776,335 |
2,849,691,679 |
202,442,213 |
|||||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.4758% representing
1 month LIBOR rate + spread |
Barclays |
8/23/2022 |
1,550,039 |
1,196,720,410 |
54,353,378 |
|||||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.9358% representing
1 month LIBOR rate + spread |
BNP Paribas |
9/21/2022 |
1,877,684 |
1,462,373,861 |
53,799,649 |
|||||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.3858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
9/26/2022 |
437,737 |
331,908,074 |
21,432,350 |
|||||||||||||||||||||
Total return of ICE
Semiconductor Index |
0.5500% representing
1 month LIBOR rate + spread |
Goldman Sachs |
11/16/2022 |
475,000 |
364,517,419 |
18,904,607 |
|||||||||||||||||||||
$ |
9,526,093,861 |
$ |
553,085,778 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
108
Direxion Daily Semiconductor Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 97.6% |
|||||||||||
Money Market Funds - 97.6% |
|||||||||||
56,055,745 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
56,055,745 |
||||||||
5,510,000 |
Dreyfus Treasury
Securities Cash Management Institutional Shares, 0.01% (a) |
5,510,000 |
|||||||||
40,990,745 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
40,990,745 |
|||||||||
39,341,711 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
39,341,711 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $141,898,201) (b) |
$ |
141,898,201 |
|||||||||
TOTAL INVESTMENTS
(Cost $141,898,201) - 97.6% |
$ |
141,898,201 |
|||||||||
Other Assets in
Excess of Liabilities - 2.4% |
3,519,825 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
145,418,026 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $99,003,192.
Short Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.3893% representing
1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
Bank of America
Merrill Lynch |
12/9/2021 |
67,071 |
$ |
51,245,958 |
$ |
(2,934,983 |
) |
||||||||||||||||||
0.4958% representing
1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
UBS Securities
LLC |
12/14/2021 |
49,104 |
37,161,907 |
(2,526,053 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
Citibank N.A. |
8/22/2022 |
109,486 |
82,391,496 |
(6,158,363 |
) |
||||||||||||||||||||
0.1858% representing
1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
Barclays |
8/23/2022 |
253,114 |
200,211,166 |
(4,139,238 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
BNP Paribas |
9/21/2022 |
22,941 |
17,865,074 |
(687,382 |
) |
||||||||||||||||||||
(0.0643)%
representing 1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
J.P. Morgan |
9/26/2022 |
8,798 |
7,033,209 |
(78,341 |
) |
||||||||||||||||||||
0.2000% representing
1 month LIBOR rate + spread |
Total return of ICE
Semiconductor Index |
Goldman Sachs |
10/24/2022 |
30,000 |
23,295,405 |
(940,351 |
) |
||||||||||||||||||||
$ |
419,204,215 |
$ |
(17,464,711 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
109
Direxion Daily Technology Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 60.2% |
|||||||||||
Administrative and Support Services - 4.2% |
|||||||||||
106,948 |
Accenture PLC Class
A ADR (Ireland) |
$ |
38,371,873 |
||||||||
71,370 |
Automatic Data
Processing, Inc. |
16,021,851 |
|||||||||
19,591 |
Broadridge Financial
Solutions, Inc. |
3,495,230 |
|||||||||
13,932 |
FleetCor Technologies, Inc. (a) |
3,446,916 |
|||||||||
14,116 |
Gartner, Inc. (a) |
4,685,242 |
|||||||||
284,656 |
Visa, Inc. Class A (b) |
60,281,601 |
|||||||||
126,302,713 |
|||||||||||
Amusement, Gambling,
and Recreation Industries - 0.2% |
|||||||||||
49,542 |
Global Payments, Inc. |
7,084,011 |
|||||||||
Computer and
Electronic Product Manufacturing - 27.5% |
|||||||||||
204,579 |
Advanced Micro
Devices, Inc. (a) |
24,596,533 |
|||||||||
100,900 |
Amphenol Corp. Class A |
7,746,093 |
|||||||||
90,719 |
Analog Devices, Inc. |
15,738,839 |
|||||||||
2,648,707 |
Apple, Inc. |
396,776,309 |
|||||||||
9,440 |
Arista Networks, Inc. (a) |
3,867,474 |
|||||||||
69,206 |
Broadcom, Inc. |
36,794,754 |
|||||||||
710,808 |
Cisco Systems, Inc. |
39,783,924 |
|||||||||
22,716 |
Enphase Energy, Inc. (a) |
5,261,707 |
|||||||||
22,859 |
Fortinet, Inc. (a) |
7,688,396 |
|||||||||
202,619 |
HP, Inc. |
6,145,434 |
|||||||||
684,278 |
Intel Corp. |
33,529,622 |
|||||||||
151,186 |
International
Business Machines Corp. |
18,913,369 |
|||||||||
31,083 |
Keysight Technologies, Inc. (a) |
5,595,562 |
|||||||||
92,446 |
Microchip Technology, Inc. |
6,849,324 |
|||||||||
189,886 |
Micron Technology, Inc. |
13,121,123 |
|||||||||
7,264 |
Monolithic Power
Systems, Inc. |
3,816,941 |
|||||||||
28,566 |
Motorola Solutions, Inc. |
7,101,222 |
|||||||||
37,784 |
NetApp, Inc. |
3,374,111 |
|||||||||
420,321 |
NVIDIA Corp. |
107,463,470 |
|||||||||
44,718 |
NXP Semiconductors
NV ADR (Netherlands) |
8,982,057 |
|||||||||
18,752 |
Qorvo, Inc. (a) |
3,154,649 |
|||||||||
190,255 |
Qualcomm, Inc. |
25,311,525 |
|||||||||
35,325 |
Seagate Technology
Holdings PLC ADR (Ireland) |
3,146,398 |
|||||||||
27,857 |
Skyworks Solutions, Inc. |
4,655,740 |
|||||||||
27,825 |
Teradyne, Inc. |
3,846,528 |
|||||||||
155,720 |
Texas Instruments, Inc. |
29,194,386 |
|||||||||
42,450 |
Trimble, Inc. (a) |
3,708,857 |
|||||||||
51,680 |
Western Digital Corp. (a) |
2,702,347 |
|||||||||
41,743 |
Xilinx, Inc. |
7,513,740 |
|||||||||
8,998 |
Zebra Technologies
Corp. Class A (a) |
4,804,482 |
|||||||||
841,184,916 |
|||||||||||
Credit Intermediation and Related Activities - 2.0% |
|||||||||||
104,177 |
Fidelity National
Information Services, Inc. |
11,536,561 |
|||||||||
146,933 |
MasterCard, Inc. Class A |
49,298,960 |
Shares |
Fair Value |
||||||||||
Credit Intermediation and Related Activities (continued) |
|||||||||||
68,542 |
Western Union Co. |
$ |
1,248,835 |
||||||||
62,084,356 |
|||||||||||
Data Processing, Hosting and Related Services - 0.4% |
|||||||||||
22,743 |
Ceridian HCM Holding, Inc. (a) |
2,848,561 |
|||||||||
100,523 |
Fiserv, Inc. (a) |
9,900,510 |
|||||||||
12,749,071 |
|||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% |
|||||||||||
6,050 |
IPG Photonics Corp. (a) |
962,010 |
|||||||||
55,331 |
TE Connectivity Ltd.
ADR (Switzerland) |
8,078,326 |
|||||||||
9,040,336 |
|||||||||||
Machinery Manufacturing - 1.1% |
|||||||||||
154,162 |
Applied Materials, Inc. |
21,066,238 |
|||||||||
24,032 |
Lam Research Corp. |
13,543,714 |
|||||||||
34,609,952 |
|||||||||||
Merchant Wholesalers, Durable Goods - 0.3% |
|||||||||||
25,772 |
KLA-Tencor Corp. |
9,606,771 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 0.2% |
|||||||||||
129,646 |
Corning, Inc. |
4,611,508 |
|||||||||
Professional, Scientific, and Technical Services - 1.8% |
|||||||||||
23,198 |
CDW Corp. |
4,329,907 |
|||||||||
88,644 |
Cognizant Technology
Solutions Corp. Class A |
6,922,210 |
|||||||||
42,497 |
DXC Technology Co. (a) |
1,384,127 |
|||||||||
10,165 |
F5 Networks, Inc. (a) |
2,146,340 |
|||||||||
12,533 |
Jack Henry & Associates, Inc. |
2,086,494 |
|||||||||
54,839 |
Juniper Networks, Inc. |
1,618,847 |
|||||||||
54,022 |
Paychex, Inc. |
6,659,832 |
|||||||||
33,413 |
ServiceNow, Inc. (a) |
23,314,255 |
|||||||||
7,847 |
Teledyne Technologies, Inc. (a) |
3,525,029 |
|||||||||
16,415 |
VeriSign, Inc. (a) |
3,655,128 |
|||||||||
55,642,169 |
|||||||||||
Publishing Industries (except Internet) - 20.7% |
|||||||||||
80,361 |
Adobe Systems, Inc. (a) |
52,263,580 |
|||||||||
27,467 |
Akamai Technologies, Inc. (a) |
2,896,670 |
|||||||||
14,711 |
ANSYS, Inc. (a) |
5,584,001 |
|||||||||
37,115 |
Autodesk, Inc. (a) |
11,788,095 |
|||||||||
46,686 |
Cadence Design
Systems, Inc. (a) |
8,081,814 |
|||||||||
20,954 |
Citrix Systems, Inc. |
1,984,972 |
|||||||||
220,263 |
Hewlett Packard Enterprise Co. |
3,226,853 |
|||||||||
46,089 |
Intuit, Inc. |
28,851,253 |
|||||||||
1,267,516 |
Microsoft Corp. |
420,333,656 |
|||||||||
98,038 |
NortonLifeLock, Inc. |
2,495,067 |
|||||||||
277,837 |
Oracle Corp. |
26,655,682 |
|||||||||
8,125 |
Paycom Software, Inc. (a) |
4,451,281 |
|||||||||
17,828 |
PTC, Inc. (a) |
2,270,396 |
|||||||||
163,865 |
Salesforce.com, Inc. (a) |
49,108,702 |
|||||||||
25,747 |
Synopsys, Inc. (a) |
8,578,386 |
|||||||||
6,883 |
Tyler Technologies, Inc. (a) |
3,738,983 |
|||||||||
632,309,391 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
110
Direxion Daily Technology Bull 3X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Telecommunications - 1.5% |
|||||||||||
198,187 |
PayPal Holdings, Inc. (a) |
$ |
46,096,314 |
||||||||
TOTAL COMMON
STOCKS (Cost $1,525,298,932) |
$ |
1,841,321,508 |
|||||||||
SHORT TERM INVESTMENTS - 39.0% |
|||||||||||
Money Market Funds - 39.0% |
|||||||||||
705,917,854 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c) |
$ |
705,917,854 |
||||||||
238,305,858 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
238,305,858 |
|||||||||
249,993,677 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
249,993,677 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,194,217,389) |
$ |
1,194,217,389 |
|||||||||
TOTAL INVESTMENTS
(Cost $2,719,516,321) - 99.2% (d) |
$ |
3,035,538,897 |
|||||||||
Other Assets in
Excess of Liabilities - 0.8% |
25,820,449 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,061,359,346 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,822,805,023.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.5258% representing
1 month LIBOR rate + spread |
Barclays |
11/1/2021 |
1,204,856 |
$ |
1,775,610,100 |
$ |
185,907,890 |
|||||||||||||||||||
Total return of
Technology Select Sector Index |
0.6893% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
615,332 |
790,461,398 |
213,015,124 |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.7258% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
483,810 |
605,444,672 |
183,406,762 |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
468,360 |
657,855,724 |
105,122,253 |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.7858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
987,319 |
1,523,828,267 |
82,491,725 |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.8358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
522,886 |
700,488,423 |
150,527,851 |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.8358% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
80,000 |
107,729,009 |
22,453,679 |
|||||||||||||||||||||
Total return of
Technology Select Sector Index |
0.8358% representing
1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
150,000 |
209,176,334 |
34,834,369 |
|||||||||||||||||||||
$ |
6,370,593,927 |
$ |
977,759,653 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
111
Direxion Daily Technology Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 128.9% |
|||||||||||
Money Market Funds - 128.9% |
|||||||||||
51,935,273 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
51,935,273 |
||||||||
17,210,713 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
17,210,713 |
|||||||||
17,173,819 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
17,173,819 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $86,319,805) (b) |
$ |
86,319,805 |
|||||||||
TOTAL INVESTMENTS
(Cost $86,319,805) - 128.9% |
$ |
86,319,805 |
|||||||||
Liabilities in
Excess of Other Assets - (28.9)% |
(19,377,612 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
66,942,193 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $55,259,543.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.2158% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
Barclays |
12/9/2021 |
43,689 |
$ |
66,976,305 |
$ |
(4,150,022 |
) |
||||||||||||||||||
0.4893% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
Bank of
America Merrill Lynch |
12/9/2021 |
11,938 |
14,980,161 |
(4,520,749 |
) |
||||||||||||||||||||
0.4358% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
UBS Securities
LLC |
12/9/2021 |
31,640 |
40,880,243 |
(10,788,837 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
J.P. Morgan |
12/9/2021 |
15,016 |
23,745,898 |
(709,685 |
) |
||||||||||||||||||||
0.3358% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
Citibank N.A. |
12/13/2021 |
14,439 |
23,286,830 |
(209,270 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
BNP Paribas |
3/16/2022 |
697 |
911,054 |
(227,925 |
) |
||||||||||||||||||||
0.0858% representing
1 month LIBOR rate + spread |
Total return of
Technology Select Sector Index |
BNP Paribas |
4/20/2022 |
6,000 |
7,977,186 |
(1,824,365 |
) |
||||||||||||||||||||
$178,757,677 | $(22,430,853) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
112
Direxion Daily Transportation Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 41.0% |
|||||||||||
Air Transportation - 3.5% |
|||||||||||
14,514 |
Alaska Air Group, Inc. (a) |
$ |
766,339 |
||||||||
14,514 |
American Airlines Group, Inc. (a) |
278,669 |
|||||||||
14,514 |
Delta Air Lines, Inc. (a) |
567,933 |
|||||||||
14,514 |
JetBlue Airways Corp. (a) |
203,631 |
|||||||||
14,514 |
Southwest Airlines Co. (a) |
686,222 |
|||||||||
14,514 |
United Continental Holdings, Inc. (a) |
669,676 |
|||||||||
3,172,470 |
|||||||||||
Couriers and Messengers - 7.3% |
|||||||||||
14,514 |
FedEx Corp. |
3,418,482 |
|||||||||
14,514 |
United Parcel Service, Inc. Class B |
3,098,304 |
|||||||||
6,516,786 |
|||||||||||
Rail Transportation - 14.2% |
|||||||||||
14,514 |
CSX Corp. |
524,971 |
|||||||||
14,514 |
Kansas City Southern Railway Co. |
4,502,968 |
|||||||||
14,514 |
Norfolk Southern Corp. |
4,253,328 |
|||||||||
14,514 |
Union Pacific Corp. |
3,503,680 |
|||||||||
12,784,947 |
|||||||||||
Rental and Leasing Services - 4.2% |
|||||||||||
14,514 |
Avis Budget Group, Inc. (a) |
2,515,422 |
|||||||||
14,514 |
Ryder System, Inc. |
1,232,964 |
|||||||||
3,748,386 |
|||||||||||
Support Activities for Transportation - 8.1% |
|||||||||||
14,514 |
C.H. Robinson Worldwide, Inc. |
1,407,713 |
|||||||||
14,514 |
Expeditors
International of Washington, Inc. |
1,788,995 |
|||||||||
14,514 |
J.B. Hunt Transport Services, Inc. |
2,862,016 |
|||||||||
14,514 |
Matson, Inc. |
1,208,726 |
|||||||||
7,267,450 |
|||||||||||
Truck Transportation - 2.8% |
|||||||||||
14,514 |
Landstar System, Inc. |
2,551,706 |
|||||||||
Water Transportation - 0.9% |
|||||||||||
14,514 |
Kirby Corp. (a) |
760,679 |
|||||||||
TOTAL COMMON
STOCKS (Cost $35,479,911) |
$ |
36,802,424 |
|||||||||
SHORT TERM INVESTMENTS - 59.4% |
|||||||||||
Money Market Funds - 59.4% |
|||||||||||
34,843,436 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
34,843,436 |
||||||||
3,566,342 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
3,566,342 |
Shares |
Fair Value |
||||||||||
Money Market Funds (continued) |
|||||||||||
14,920,804 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
$ |
14,920,804 |
||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $53,330,582) |
$ |
53,330,582 |
|||||||||
TOTAL INVESTMENTS
(Cost $88,810,493) - 100.4% (c) |
$ |
90,133,006 |
|||||||||
Liabilities in
Excess of Other Assets - (0.4)% |
(334,960 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
89,798,046 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $57,973,002.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
113
Direxion Daily Transportation Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of Dow
Jones Transportation Average Index |
0.7858% representing
1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
2,838 |
$ |
39,109,461 |
$ |
6,096,259 |
|||||||||||||||||||
Total return of Dow
Jones Transportation Average Index |
0.6858%
representing 1 month LIBOR rate + spread |
UBS Securities
LLC |
12/9/2021 |
3,401 |
43,282,563 |
11,024,883 |
|||||||||||||||||||||
Total return of Dow
Jones Transportation Average Index |
0.5858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/10/2021 |
2,447 |
35,503,191 |
3,402,616 |
|||||||||||||||||||||
Total return of Dow
Jones Transportation Average Index |
0.5858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
4,153 |
60,971,604 |
5,188,004 |
|||||||||||||||||||||
Total return of Dow
Jones Transportation Average Index |
0.5858% representing
1 month LIBOR rate + spread |
Barclays |
12/13/2021 |
1,783 |
27,527,049 |
829,766 |
|||||||||||||||||||||
$ |
206,393,868 |
$ |
26,541,528 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
114
Direxion Daily Utilities Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 53.7% |
|||||||||||
Utilities - 53.7% |
|||||||||||
14,201 |
AES Corp. |
$ |
356,871 |
||||||||
5,335 |
Alliant Energy Corp. |
301,801 |
|||||||||
5,480 |
Ameren Corp. |
461,909 |
|||||||||
10,664 |
American Electric Power Co., Inc. |
903,348 |
|||||||||
3,869 |
American Water Works Co., Inc. |
673,902 |
|||||||||
2,787 |
Atmos Energy Corp. |
256,738 |
|||||||||
12,639 |
CenterPoint Energy, Inc. |
329,120 |
|||||||||
6,174 |
CMS Energy Corp. |
372,601 |
|||||||||
7,533 |
Consolidated Edison, Inc. |
567,988 |
|||||||||
17,228 |
Dominion Energy, Inc. |
1,308,122 |
|||||||||
4,126 |
DTE Energy Co. |
467,682 |
|||||||||
16,400 |
Duke Energy Corp. |
1,672,964 |
|||||||||
8,093 |
Edison International |
509,293 |
|||||||||
4,280 |
Entergy Corp. |
440,926 |
|||||||||
4,887 |
Evergy, Inc. |
311,546 |
|||||||||
7,322 |
Eversource Energy |
621,638 |
|||||||||
20,843 |
Exelon Corp. |
1,108,639 |
|||||||||
11,596 |
FirstEnergy Corp. |
446,794 |
|||||||||
41,808 |
NextEra Energy, Inc. |
3,567,477 |
|||||||||
8,362 |
NiSource, Inc. |
206,291 |
|||||||||
5,218 |
NRG Energy, Inc. |
208,146 |
|||||||||
2,407 |
Pinnacle West Capital Corp. |
155,227 |
|||||||||
16,402 |
PPL Corp. |
472,378 |
|||||||||
10,774 |
Public Service Enterprise Group, Inc. |
687,381 |
|||||||||
6,806 |
Sempra Energy |
868,650 |
|||||||||
22,567 |
Southern Co. |
1,406,375 |
|||||||||
6,722 |
WEC Energy Group, Inc. |
605,383 |
|||||||||
11,476 |
Xcel Energy, Inc. |
741,235 |
|||||||||
TOTAL COMMON STOCKS
(Cost $19,534,314) |
$ |
20,030,425 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 47.1% |
|||||||||||
Money Market Funds - 47.1% |
|||||||||||
7,627,991 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
7,627,991 |
||||||||
3,741,752 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
3,741,752 |
|||||||||
6,204,195 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
6,204,195 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $17,573,938) |
$ |
17,573,938 |
|||||||||
TOTAL INVESTMENTS
(Cost $37,108,252) - 100.8% (b) |
$ |
37,604,363 |
|||||||||
Liabilities in
Excess of Other Assets - (0.8)% |
(330,258 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
37,274,105 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $27,613,952.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation |
|||||||||||||||||||||
Total return of
Utilities Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
41,076 |
$ |
26,785,042 |
$ |
1,088,507 |
|||||||||||||||||||
Total return of
Utilities Select Sector Index |
0.5858% representing
1 month LIBOR rate + spread |
Barclays |
6/29/2022 |
94,397 |
60,909,044 |
3,373,156 |
|||||||||||||||||||||
$ |
87,694,086 |
$ |
4,461,663 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
115
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 65.6% |
|||||||||||
133,526 |
iShares 7-10 Year
Treasury Bond ETF (a)(b) |
$ |
15,306,085 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $15,042,161) |
$ |
15,306,085 |
|||||||||
SHORT TERM INVESTMENTS - 44.3% |
|||||||||||
Money Market Funds - 44.3% |
|||||||||||
5,827,291 | Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
5,827,291 |
||||||||
440,029 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
440,029 |
|||||||||
4,064,985 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
4,064,985 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $10,332,305) |
$ |
10,332,305 |
|||||||||
TOTAL INVESTMENTS
(Cost $25,374,466) - 109.9% (e) |
$ |
25,638,390 |
|||||||||
Liabilities in
Excess of Other Assets - (9.9)% |
(2,299,587 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
23,338,803 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $15,940,917.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid/(Received) at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
iShares 7-10 Year Treasury Bond ETF |
0.2393% representing
1 month LIBOR rate + spread |
Bank of America Merrill Lynch |
12/9/2021 |
121,302 |
$ |
13,892,156 |
$ |
44,931 |
|||||||||||||||||||
Total return of
iShares 7-10 Year Treasury Bond ETF |
0.2858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
216,438 |
25,393,092 |
(570,943 |
) |
||||||||||||||||||||
Total return of
iShares 7-10 Year Treasury Bond ETF |
(0.5443)%
representing 1 month LIBOR rate + spread |
BNP Paribas |
3/16/2022 |
113,013 |
13,224,781 |
(149,658 |
) |
||||||||||||||||||||
Total return of
iShares 7-10 Year Treasury Bond ETF |
(0.5443)%
representing 1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
4,230 |
482,070 |
6,239 |
|||||||||||||||||||||
Total return of
iShares 7-10 Year Treasury Bond ETF |
0.6358% representing
1 month LIBOR rate + spread |
Barclays |
5/6/2022 |
22,295 |
2,540,779 |
14,712 |
|||||||||||||||||||||
$ |
55,532,878 |
$ |
(654,719 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
116
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 100.1% |
|||||||||||
Money Market Funds - 100.1% |
|||||||||||
13,009,856 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
13,009,856 |
||||||||
250,017 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
250,017 |
|||||||||
16,387,545 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
16,387,545 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $29,647,418) (b) |
$ |
29,647,418 |
|||||||||
TOTAL INVESTMENTS
(Cost $29,647,418) - 100.1% |
$ |
29,647,418 |
|||||||||
Liabilities in
Excess of Other Assets - (0.1)% |
(24,203 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
29,623,215 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $19,411,185.
Short Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received/(Paid) at Termination |
Terms of
Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
0.1893% representing
1 month LIBOR rate + spread |
Total return of
iShares 7-10 Year Treasury Bond ETF |
Bank of America Merrill Lynch |
12/9/2021 |
232,988 |
$ |
26,738,220 |
$ |
(11,101 |
) |
||||||||||||||||||
(0.8643)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 7-10 Year Treasury Bond ETF |
J.P. Morgan |
12/15/2021 |
417,828 |
48,555,860 |
511,645 |
|||||||||||||||||||||
(0.8443)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 7-10 Year Treasury Bond ETF |
BNP Paribas |
3/16/2022 |
96,503 |
11,292,781 |
104,421 |
|||||||||||||||||||||
(0.8443)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 7-10 Year Treasury Bond ETF |
BNP Paribas |
4/20/2022 |
19,848 |
2,259,223 |
(37,180 |
) |
||||||||||||||||||||
0.1358% representing
1 month LIBOR rate + spread |
Total return of
iShares 7-10 Year Treasury Bond ETF |
Barclays |
5/6/2022 |
4,228 |
484,414 |
(215 |
) |
||||||||||||||||||||
(0.8443)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 7-10 Year Treasury Bond ETF |
BNP Paribas |
5/18/2022 |
3,880 |
443,312 |
(5,288 |
) |
||||||||||||||||||||
$ |
89,773,810 |
$ |
562,282 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
117
Direxion Daily 20+ Year Treasury Bull 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 63.4% |
|||||||||||
1,544,563 |
iShares 20+ Year
Treasury Bond ETF (a)(b) |
$ |
228,116,510 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $225,251,572) |
$ |
228,116,510 |
|||||||||
SHORT TERM INVESTMENTS - 65.1% |
|||||||||||
Money Market Funds - 65.1% |
|||||||||||
151,207,550 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
151,207,550 |
||||||||
82,907,537 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
82,907,537 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $234,115,087) |
$ |
234,115,087 |
|||||||||
TOTAL INVESTMENTS
(Cost $459,366,659) - 128.5% (e) |
$ |
462,231,597 |
|||||||||
Liabilities in
Excess of Other Assets - (28.5)% |
(102,496,780 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
359,734,817 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $247,888,794.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
118
Direxion Daily 20+ Year Treasury Bull 3X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments
to be Paid/(Received) at Termination |
Counterparty |
Termination Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3893% representing
1 month LIBOR rate + spread |
Bank of America Merrill Lynch |
12/9/2021 |
1,019,993 |
$ |
153,013,433 |
$ |
(1,565,295 |
) |
||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3658% representing
1 month LIBOR rate + spread |
UBS Securities
LLC |
12/9/2021 |
896,577 |
138,920,480 |
(5,569,903 |
) |
||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
681,833 |
105,225,603 |
(3,849,712 |
) |
||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
(0.3143)%
representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/10/2021 |
31,519 |
4,482,269 |
224,329 |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.1858% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
1,981,312 |
291,712,634 |
979,843 |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3558% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
162,026 |
22,693,775 |
2,035,835 |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3558% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
285,725 |
39,940,113 |
2,547,999 |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3558% representing
1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
191,686 |
26,384,235 |
2,099,431 |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3558% representing
1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
366,179 |
53,020,541 |
1,332,860 |
|||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3558% representing
1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
56,253 |
8,330,192 |
(562 |
) |
||||||||||||||||||||
Total return of
iShares 20+ Year Treasury Bond ETF |
0.3558% representing
1 month LIBOR rate + spread |
BNP Paribas |
8/17/2022 |
89,528 |
13,271,184 |
(12,963 |
) |
||||||||||||||||||||
$ |
856,994,459 |
$ |
(1,778,138 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
119
Direxion Daily 20+ Year Treasury Bear 3X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 109.0% |
|||||||||||
Money Market Funds - 109.0% |
|||||||||||
204,503,919 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
204,503,919 |
||||||||
150,213,290 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
150,213,290 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $354,717,209) (b) |
$ |
354,717,209 |
|||||||||
TOTAL INVESTMENTS
(Cost $354,717,209) - 109.0% |
$ |
354,717,209 |
|||||||||
Liabilities in
Excess of Other Assets - (9.0)% |
(29,383,711 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
325,333,498 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at October 31, 2021.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $207,410,989.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
(0.6643)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
Credit
Suisse International |
12/7/2021 |
1,013,766 |
$ |
151,935,999 |
$ |
84,210 |
|||||||||||||||||||
(0.4108)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
Bank of
America Merrill Lynch |
12/9/2021 |
1,002,705 |
138,246,319 |
(11,330,926 |
) |
||||||||||||||||||||
0.1058%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
UBS Securities LLC |
12/9/2021 |
1,079,994 |
162,825,449 |
2,215,440 |
|||||||||||||||||||||
(0.1143)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
J.P. Morgan |
12/10/2021 |
573,319 |
79,493,546 |
(5,758,869 |
) |
||||||||||||||||||||
(0.1343)%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
Citibank N.A. |
12/13/2021 |
2,006,538 |
288,176,340 |
(8,208,065 |
) |
||||||||||||||||||||
0.1358%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
BNP Paribas |
6/15/2022 |
199,605 |
27,726,923 |
(2,463,102 |
) |
||||||||||||||||||||
0.1358%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
BNP Paribas |
7/20/2022 |
528,350 |
75,684,559 |
(2,800,819 |
) |
||||||||||||||||||||
0.1358%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
BNP Paribas |
8/17/2022 |
39,166 |
5,804,793 |
966 |
|||||||||||||||||||||
0.1358%
representing 1 month LIBOR rate + spread |
Total return of
iShares 20+ Year Treasury Bond ETF |
BNP Paribas |
8/17/2022 |
164,967 |
24,117,537 |
(300,588 |
) |
||||||||||||||||||||
$ |
954,011,465 |
$ |
(28,561,753 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
120
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Mid Cap Bull 3X Shares |
Direxion Daily
S&P 500® Bull 3X Shares |
Direxion Daily
S&P 500® Bear 3X Shares |
Direxion Daily
Small Cap Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
90,528,535 |
$ |
3,400,994,765 |
$ |
471,360,751 |
$ |
1,798,817,867 |
|||||||||||
Receivable for Fund shares sold |
— |
— |
563 |
23,317,377 |
|||||||||||||||
Dividend and interest receivable |
390 |
16,633 |
7,634 |
99,829 |
|||||||||||||||
Due from broker for swap contracts |
3,022 |
4,672,613 |
6,705 |
47,580 |
|||||||||||||||
Unrealized appreciation on swap contracts |
23,316,677 |
788,426,701 |
— |
135,513,262 |
|||||||||||||||
Prepaid expenses and other assets |
11,001 |
30,413 |
6,202 |
27,512 |
|||||||||||||||
Total Assets |
113,859,625 |
4,194,141,125 |
471,381,855 |
1,957,823,427 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
— |
— |
319,154,351 |
|||||||||||||||
Payable for Fund shares redeemed |
— |
249,187 |
1,878,221 |
890,610 |
|||||||||||||||
Payable for investments purchased |
— |
69,019,350 |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
— |
79,638,516 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
61,590 |
2,047,640 |
292,331 |
1,036,228 |
|||||||||||||||
Due to broker for swap contracts |
23,160,000 |
772,779,999 |
1,002,072 |
136,825,000 |
|||||||||||||||
Accrued expenses and other liabilities |
53,860 |
1,294,713 |
214,096 |
398,379 |
|||||||||||||||
Total Liabilities |
23,275,450 |
845,390,889 |
83,025,236 |
458,304,568 |
|||||||||||||||
Net Assets |
$ |
90,584,175 |
$ |
3,348,750,236 |
$ |
388,356,619 |
$ |
1,499,518,859 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
60,187,368 |
$ |
2,352,093,555 |
$ |
3,150,737,936 |
$ |
1,417,435,217 |
|||||||||||
Total distributable earnings (loss) |
30,396,807 |
996,656,681 |
(2,762,381,317 |
) |
82,083,642 |
||||||||||||||
Net Assets |
$ |
90,584,175 |
$ |
3,348,750,236 |
$ |
388,356,619 |
$ |
1,499,518,859 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
90,584,175 |
$ |
3,348,750,236 |
$ |
388,356,619 |
$ |
1,499,518,859 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
1,350,132 |
25,700,002 |
20,676,918 |
16,100,002 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
67.09 |
$ |
130.30 |
$ |
18.78 |
$ |
93.14 |
|||||||||||
Cost of Investments |
$ |
81,197,561 |
$ |
3,140,299,840 |
$ |
471,360,751 |
$ |
1,788,480,406 |
* Securities loaned with values of $–, $–, $– and $313,246,743, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
121
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Small Cap Bear 3X Shares |
Direxion Daily
FTSE China Bull 3X Shares |
Direxion Daily
FTSE China Bear 3X Shares |
Direxion Daily
FTSE Europe Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (Note 2) |
$ |
572,797,939 |
$ |
548,292,471 |
$ |
81,299,792 |
$ |
49,195,412 |
|||||||||||
Receivable for Fund shares sold |
12,104,050 |
— |
759 |
— |
|||||||||||||||
Dividend and interest receivable |
9,752 |
6,108 |
944 |
444 |
|||||||||||||||
Due from broker for swap contracts |
— |
— |
1,186 |
30,798 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
5,287,645 |
210,943 |
9,594,964 |
|||||||||||||||
Prepaid expenses and other assets |
14,042 |
11,195 |
9,965 |
11,939 |
|||||||||||||||
Total Assets |
584,925,783 |
553,597,419 |
81,523,589 |
58,833,557 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
13,444,463 |
278,672 |
7,319,841 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
66,242,019 |
54,174,701 |
7,881,541 |
15,576 |
|||||||||||||||
Due to Adviser, net (Note 6) |
300,988 |
347,234 |
44,695 |
32,183 |
|||||||||||||||
Due to broker for swap contracts |
35,602 |
16,201,283 |
— |
10,837,739 |
|||||||||||||||
Accrued expenses and other liabilities |
119,428 |
307,784 |
47,243 |
24,236 |
|||||||||||||||
Total Liabilities |
80,142,500 |
71,309,674 |
15,293,320 |
10,909,734 |
|||||||||||||||
Net Assets |
$ |
504,783,283 |
$ |
482,287,745 |
$ |
66,230,269 |
$ |
47,923,823 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
4,372,424,006 |
$ |
765,976,447 |
$ |
181,324,335 |
$ |
52,034,702 |
|||||||||||
Total distributable loss |
(3,867,640,723 |
) |
(283,688,702 |
) |
(115,094,066 |
) |
(4,110,879 |
) |
|||||||||||
Net Assets |
$ |
504,783,283 |
$ |
482,287,745 |
$ |
66,230,269 |
$ |
47,923,823 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
504,783,283 |
$ |
482,287,745 |
$ |
66,230,269 |
$ |
47,923,823 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
18,772,797 |
43,100,013 |
3,927,337 |
1,250,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
26.89 |
$ |
11.19 |
$ |
16.86 |
$ |
38.34 |
|||||||||||
Cost of Investments |
$ |
572,797,939 |
$ |
552,896,589 |
$ |
81,299,792 |
$ |
48,435,070 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
122
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
MSCI Emerging Markets Bull 3X Shares |
Direxion Daily
MSCI Emerging Markets Bear 3X Shares |
Direxion Daily
MSCI Mexico Bull 3X Shares |
Direxion Daily
MSCI South Korea Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
181,993,724 |
$ |
26,980,919 |
$ |
15,776,669 |
$ |
52,509,905 |
|||||||||||
Receivable for Fund shares sold |
— |
271 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
2,067 |
515 |
904 |
222 |
|||||||||||||||
Due from broker for swap contracts |
— |
— |
19,582 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
2,139,492 |
5,191,811 |
— |
|||||||||||||||
Prepaid expenses and other assets |
20,252 |
50,614 |
6,374 |
9,098 |
|||||||||||||||
Total Assets |
182,016,043 |
29,171,811 |
20,995,340 |
52,519,225 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
715,290 |
— |
119,780 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
7,807 |
902,834 |
— |
58,410 |
|||||||||||||||
Unrealized depreciation on swap contracts |
9,815,761 |
76,546 |
— |
4,829,339 |
|||||||||||||||
Due to Adviser, net (Note 6) |
123,382 |
12,950 |
10,760 |
29,637 |
|||||||||||||||
Due to broker for swap contracts |
2,089,149 |
1,524,537 |
5,620,339 |
547,001 |
|||||||||||||||
Accrued expenses and other liabilities |
83,625 |
64,490 |
19,256 |
32,945 |
|||||||||||||||
Total Liabilities |
12,835,014 |
2,581,357 |
5,770,135 |
5,497,332 |
|||||||||||||||
Net Assets |
$ |
169,181,029 |
$ |
26,590,454 |
$ |
15,225,205 |
$ |
47,021,893 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
331,836,672 |
$ |
371,669,920 |
$ |
11,375,700 |
$ |
59,145,202 |
|||||||||||
Total distributable earnings (loss) |
(162,655,643 |
) |
(345,079,466 |
) |
3,849,505 |
(12,123,309 |
) |
||||||||||||
Net Assets |
$ |
169,181,029 |
$ |
26,590,454 |
$ |
15,225,205 |
$ |
47,021,893 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
169,181,029 |
$ |
26,590,454 |
$ |
15,225,205 |
$ |
47,021,893 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
2,081,598 |
2,945,232 |
183,205 |
1,800,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
81.27 |
$ |
9.03 |
$ |
83.10 |
$ |
26.12 |
|||||||||||
Cost of Investments |
$ |
188,513,890 |
$ |
26,980,919 |
$ |
15,779,838 |
$ |
53,401,549 |
* Securities loaned with values of $690,475, $–, $116,040 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
123
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Aerospace & Defense Bull 3X Shares |
Direxion Daily
Consumer Discretionary Bull 3X Shares |
Direxion Daily
Dow Jones Internet Bull 3X Shares |
Direxion Daily
Dow Jones Internet Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
283,993,359 |
$ |
64,110,256 |
$ |
99,136,356 |
$ |
5,044,940 |
|||||||||||
Receivable for Fund shares sold |
6,694 |
2,763 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
56,082 |
4,213 |
405 |
76 |
|||||||||||||||
Due from broker for swap contracts |
277,795 |
63,567 |
— |
23 |
|||||||||||||||
Unrealized appreciation on swap contracts |
32,058,133 |
16,764,977 |
20,984,053 |
— |
|||||||||||||||
Prepaid expenses and other assets |
33,718 |
33,050 |
12,279 |
14,142 |
|||||||||||||||
Total Assets |
316,425,781 |
80,978,826 |
120,133,093 |
5,059,181 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
497,498 |
— |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
9,210,593 |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
3,038,977 |
— |
— |
437,962 |
|||||||||||||||
Due to Adviser, net (Note 6) |
211,093 |
36,930 |
65,875 |
546 |
|||||||||||||||
Due to broker for swap contracts |
31,649,001 |
16,431,170 |
20,071,900 |
10,327 |
|||||||||||||||
Accrued expenses and other liabilities |
139,065 |
36,623 |
26,927 |
6,606 |
|||||||||||||||
Total Liabilities |
35,535,634 |
25,715,316 |
20,164,702 |
455,441 |
|||||||||||||||
Net Assets |
$ |
280,890,147 |
$ |
55,263,510 |
$ |
99,968,391 |
$ |
4,603,740 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
252,089,617 |
$ |
36,318,927 |
$ |
72,810,375 |
$ |
14,338,276 |
|||||||||||
Total distributable earnings (loss) |
28,800,530 |
18,944,583 |
27,158,016 |
(9,734,536 |
) |
||||||||||||||
Net Assets |
$ |
280,890,147 |
$ |
55,263,510 |
$ |
99,968,391 |
$ |
4,603,740 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
280,890,147 |
$ |
55,263,510 |
$ |
99,968,391 |
$ |
4,603,740 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
13,650,001 |
600,001 |
1,150,001 |
319,952 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
20.58 |
$ |
92.11 |
$ |
86.93 |
$ |
14.39 |
|||||||||||
Cost of Investments |
$ |
281,849,312 |
$ |
61,443,977 |
$ |
96,277,359 |
$ |
5,044,940 |
* Securities loaned with values of $1,317,544, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
124
Statements of Assets and Liabilities
October 31, 2021
Direxion
Daily Financial Bull 3X Shares |
Direxion Daily
Financial Bear 3X Shares |
Direxion Daily
Healthcare Bull 3X Shares |
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
3,630,412,583 |
$ |
166,507,325 |
$ |
248,754,332 |
$ |
390,471,856 |
|||||||||||
Receivable for Fund shares sold |
527,319 |
1,100 |
— |
2,082 |
|||||||||||||||
Dividend and interest receivable |
3,568,454 |
1,765 |
159,837 |
53,430 |
|||||||||||||||
Due from broker for swap contracts |
20,690,084 |
1 |
110,588 |
1,805,918 |
|||||||||||||||
Unrealized appreciation on swap contracts |
1,139,379,552 |
— |
58,928,576 |
128,523,064 |
|||||||||||||||
Prepaid expenses and other assets |
48,528 |
7,801 |
17,458 |
39,880 |
|||||||||||||||
Total Assets |
4,794,626,520 |
166,517,992 |
307,970,791 |
520,896,230 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
1,436,537 |
— |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
6,382,433 |
— |
4,136,741 |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
29,475,112 |
2,784 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
2,124,027 |
81,674 |
154,879 |
249,430 |
|||||||||||||||
Due to broker for swap contracts |
1,208,178,400 |
290,241 |
53,580,001 |
133,261,000 |
|||||||||||||||
Accrued expenses and other liabilities |
727,568 |
54,269 |
117,497 |
173,664 |
|||||||||||||||
Total Liabilities |
1,212,466,532 |
36,283,729 |
53,855,161 |
137,820,835 |
|||||||||||||||
Net Assets |
$ |
3,582,159,988 |
$ |
130,234,263 |
$ |
254,115,630 |
$ |
383,075,395 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
2,204,741,803 |
$ |
3,282,089,360 |
$ |
186,077,993 |
$ |
263,932,638 |
|||||||||||
Total distributable earnings (loss) |
1,377,418,185 |
(3,151,855,097 |
) |
68,037,637 |
119,142,757 |
||||||||||||||
Net Assets |
$ |
3,582,159,988 |
$ |
130,234,263 |
$ |
254,115,630 |
$ |
383,075,395 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
3,582,159,988 |
$ |
130,234,263 |
$ |
254,115,630 |
$ |
383,075,395 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
24,799,289 |
7,103,351 |
2,050,008 |
4,600,000 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
144.45 |
$ |
18.33 |
$ |
123.96 |
$ |
83.28 |
|||||||||||
Cost of Investments |
$ |
3,233,379,692 |
$ |
166,507,325 |
$ |
234,715,135 |
$ |
382,661,397 |
* Securities loaned with values of $2,343,985, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
125
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Industrials Bull 3X Shares |
Direxion Daily
MSCI Real Estate Bull 3X Shares |
Direxion Daily
MSCI Real Estate Bear 3X Shares |
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
63,798,066 |
$ |
151,375,297 |
$ |
23,075,427 |
$ |
32,452,777 |
|||||||||||
Receivable for Fund shares sold |
— |
— |
1,984,585 |
— |
|||||||||||||||
Dividend and interest receivable |
22,264 |
28,596 |
353 |
8,170 |
|||||||||||||||
Due from broker for swap contracts |
1,459 |
1,583,232 |
65,996 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
14,368,015 |
55,183,456 |
— |
395,948 |
|||||||||||||||
Prepaid expenses and other assets |
35,280 |
115,392 |
15,418 |
14,592 |
|||||||||||||||
Total Assets |
78,225,084 |
208,285,973 |
25,141,779 |
32,871,487 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
201,005 |
— |
614,035 |
|||||||||||||||
Payable for investments purchased |
— |
1,523,069 |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
— |
5,107,034 |
42,735 |
|||||||||||||||
Due to Adviser, net (Note 6) |
42,927 |
96,474 |
9,268 |
19,461 |
|||||||||||||||
Due to broker for swap contracts |
14,624,000 |
58,649,182 |
83,216 |
482,083 |
|||||||||||||||
Accrued expenses and other liabilities |
38,237 |
112,356 |
15,915 |
20,408 |
|||||||||||||||
Total Liabilities |
14,705,164 |
60,582,086 |
5,215,433 |
1,178,722 |
|||||||||||||||
Net Assets |
$ |
63,519,920 |
$ |
147,703,887 |
$ |
19,926,346 |
$ |
31,692,765 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
50,513,262 |
$ |
85,288,781 |
$ |
156,512,937 |
$ |
33,480,637 |
|||||||||||
Total distributable earnings (loss) |
13,006,658 |
62,415,106 |
(136,586,591 |
) |
(1,787,872 |
) |
|||||||||||||
Net Assets |
$ |
63,519,920 |
$ |
147,703,887 |
$ |
19,926,346 |
$ |
31,692,765 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
63,519,920 |
$ |
147,703,887 |
$ |
19,926,346 |
$ |
31,692,765 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
1,400,001 |
5,650,000 |
485,144 |
1,750,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
45.37 |
$ |
26.14 |
$ |
41.07 |
$ |
18.11 |
|||||||||||
Cost of Investments |
$ |
64,273,256 |
$ |
143,886,268 |
$ |
23,075,427 |
$ |
32,095,227 |
* Securities loaned with values of $–, $197,037, $– and $701,764, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
126
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Regional Banks Bull 3X Shares |
Direxion Daily
Retail Bull 3X Shares |
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
443,461,883 |
$ |
131,862,125 |
$ |
129,245,027 |
$ |
31,864,867 |
|||||||||||
Receivable for Fund shares sold |
15,304 |
— |
5,661 |
— |
|||||||||||||||
Receivable for investments sold |
1,850,340 |
— |
— |
— |
|||||||||||||||
Dividend and interest receivable |
125,590 |
12,798 |
21,571 |
612 |
|||||||||||||||
Due from broker for swap contracts |
16,642 |
17,481 |
217,644 |
1 |
|||||||||||||||
Unrealized appreciation on swap contracts |
137,985,415 |
32,091,672 |
39,813,067 |
— |
|||||||||||||||
Prepaid expenses and other assets |
109,664 |
59,553 |
31,563 |
13,664 |
|||||||||||||||
Total Assets |
583,564,838 |
164,043,629 |
169,334,533 |
31,879,144 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
5,063,758 |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
88,360 |
69,497 |
18,869,677 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
— |
— |
7,854,502 |
|||||||||||||||
Due to Adviser, net (Note 6) |
316,153 |
101,577 |
71,100 |
15,464 |
|||||||||||||||
Due to broker for swap contracts |
141,751,563 |
29,926,000 |
39,816,181 |
374,059 |
|||||||||||||||
Accrued expenses and other liabilities |
132,708 |
43,817 |
48,811 |
9,153 |
|||||||||||||||
Total Liabilities |
142,288,784 |
35,204,649 |
58,805,769 |
8,253,178 |
|||||||||||||||
Net Assets |
$ |
441,276,054 |
$ |
128,838,980 |
$ |
110,528,764 |
$ |
23,625,966 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
311,616,038 |
$ |
99,676,452 |
$ |
74,054,114 |
$ |
140,192,867 |
|||||||||||
Total distributable earnings (loss) |
129,660,016 |
29,162,528 |
36,474,650 |
(116,566,901 |
) |
||||||||||||||
Net Assets |
$ |
441,276,054 |
$ |
128,838,980 |
$ |
110,528,764 |
$ |
23,625,966 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
441,276,054 |
$ |
128,838,980 |
$ |
110,528,764 |
$ |
23,625,966 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
8,648,590 |
3,071,105 |
1,464,370 |
2,606,828 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
51.02 |
$ |
41.95 |
$ |
75.48 |
$ |
9.06 |
|||||||||||
Cost of Investments |
$ |
434,499,369 |
$ |
131,533,777 |
$ |
125,895,474 |
$ |
31,864,867 |
* Securities loaned with values of $–, $5,986,652, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
127
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
S&P Biotech Bull 3X Shares |
Direxion Daily
S&P Biotech Bear 3X Shares |
Direxion Daily
Semiconductor Bull 3X Shares |
Direxion Daily
Semiconductor Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
845,748,576 |
$ |
43,328,751 |
$ |
4,188,532,038 |
$ |
141,898,201 |
|||||||||||
Receivable for Fund shares sold |
3,994 |
6,221,996 |
27,383 |
21,147,712 |
|||||||||||||||
Dividend and interest receivable |
65,341 |
713 |
928,460 |
2,159 |
|||||||||||||||
Due from broker for swap contracts |
— |
— |
12,387,478 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
128,769 |
1,287,723 |
553,085,778 |
— |
|||||||||||||||
Prepaid expenses and other assets |
261,537 |
13,618 |
48,364 |
15,859 |
|||||||||||||||
Total Assets |
846,208,217 |
50,852,801 |
4,755,009,501 |
163,063,931 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
27,785,823 |
— |
46,046,332 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
9,216,960 |
2,132,986 |
26,254,344 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
25,609,724 |
563,926 |
— |
17,464,711 |
|||||||||||||||
Due to Adviser, net (Note 6) |
478,320 |
31,013 |
2,394,831 |
83,014 |
|||||||||||||||
Due to broker for swap contracts |
9,970,281 |
820,002 |
523,968,522 |
32,051 |
|||||||||||||||
Accrued expenses and other liabilities |
350,856 |
37,400 |
1,246,513 |
66,129 |
|||||||||||||||
Total Liabilities |
73,411,964 |
3,585,327 |
599,910,542 |
17,645,905 |
|||||||||||||||
Net Assets |
$ |
772,796,253 |
$ |
47,267,474 |
$ |
4,155,098,959 |
$ |
145,418,026 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
1,010,879,074 |
$ |
375,351,546 |
$ |
3,607,776,407 |
$ |
921,465,092 |
|||||||||||
Total distributable earnings (loss) |
(238,082,821 |
) |
(328,084,072 |
) |
547,322,552 |
(776,047,066 |
) |
||||||||||||
Net Assets |
$ |
772,796,253 |
$ |
47,267,474 |
$ |
4,155,098,959 |
$ |
145,418,026 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
772,796,253 |
$ |
47,267,474 |
$ |
4,155,098,959 |
$ |
145,418,026 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
14,511,600 |
2,216,024 |
87,250,060 |
25,301,071 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
53.25 |
$ |
21.33 |
$ |
47.62 |
$ |
5.75 |
|||||||||||
Cost of Investments |
$ |
916,141,256 |
$ |
43,328,751 |
$ |
4,083,211,172 |
$ |
141,898,201 |
* Securities loaned with values of $35,084,479, $–, $51,297,516 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
128
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Technology Bull 3X Shares |
Direxion Daily
Technology Bear 3X Shares |
Direxion Daily
Transportation Bull 3X Shares |
Direxion Daily
Utilities Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
3,035,538,897 |
$ |
86,319,805 |
$ |
90,133,006 |
$ |
37,604,363 |
|||||||||||
Receivable for Fund shares sold |
3,200 |
3,715,945 |
— |
20,506 |
|||||||||||||||
Dividend and interest receivable |
412,927 |
1,720 |
729 |
13,387 |
|||||||||||||||
Due from broker for swap contracts |
1,166 |
— |
53,059 |
90,310 |
|||||||||||||||
Unrealized appreciation on swap contracts |
977,759,653 |
— |
26,541,528 |
4,461,663 |
|||||||||||||||
Prepaid expenses and other assets |
32,924 |
12,053 |
23,215 |
20,644 |
|||||||||||||||
Total Assets |
4,013,748,767 |
90,049,523 |
116,751,537 |
42,210,873 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
4,005,574 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
22,430,853 |
— |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
1,766,061 |
43,862 |
61,262 |
26,369 |
|||||||||||||||
Due to broker for swap contracts |
945,444,000 |
592,636 |
26,849,575 |
4,893,000 |
|||||||||||||||
Accrued expenses and other liabilities |
1,173,786 |
39,979 |
42,654 |
17,399 |
|||||||||||||||
Total Liabilities |
952,389,421 |
23,107,330 |
26,953,491 |
4,936,768 |
|||||||||||||||
Net Assets |
$ |
3,061,359,346 |
$ |
66,942,193 |
$ |
89,798,046 |
$ |
37,274,105 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
1,935,984,777 |
$ |
382,137,439 |
$ |
66,693,836 |
$ |
33,248,191 |
|||||||||||
Total distributable earnings (loss) |
1,125,374,569 |
(315,195,246 |
) |
23,104,210 |
4,025,914 |
||||||||||||||
Net Assets |
$ |
3,061,359,346 |
$ |
66,942,193 |
$ |
89,798,046 |
$ |
37,274,105 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
3,061,359,346 |
$ |
66,942,193 |
$ |
89,798,046 |
$ |
37,274,105 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
43,050,000 |
1,801,485 |
1,850,001 |
1,150,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
71.11 |
$ |
37.16 |
$ |
48.54 |
$ |
32.41 |
|||||||||||
Cost of Investments |
$ |
2,719,516,321 |
$ |
86,319,805 |
$ |
88,810,493 |
$ |
37,108,252 |
* Securities loaned with values of $25,605,322, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
129
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
7-10 Year Treasury Bull 3X Shares |
Direxion Daily
7-10 Year Treasury Bear 3X Shares |
Direxion Daily
20+ Year Treasury Bull 3X Shares |
Direxion
Daily 20+ Year Treasury Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
25,638,390 |
$ |
29,647,418 |
$ |
462,231,597 |
$ |
354,717,209 |
|||||||||||
Receivable for Fund shares sold |
— |
— |
— |
2,866,749 |
|||||||||||||||
Dividend and interest receivable |
741 |
411 |
18,082 |
5,982 |
|||||||||||||||
Due from broker for swap contracts |
— |
867 |
1 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
65,882 |
616,066 |
9,220,297 |
2,300,616 |
|||||||||||||||
Prepaid expenses and other assets |
36,788 |
37,720 |
11,412 |
19,691 |
|||||||||||||||
Total Assets |
25,741,801 |
30,302,482 |
471,481,389 |
359,910,247 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
1,601,530 |
— |
92,509,544 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
— |
19,367 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
720,601 |
53,784 |
10,998,435 |
30,862,369 |
|||||||||||||||
Due to Adviser, net (Note 6) |
13,975 |
17,581 |
220,137 |
224,545 |
|||||||||||||||
Due to broker for swap contracts |
— |
541,065 |
7,854,226 |
3,340,129 |
|||||||||||||||
Accrued expenses and other liabilities |
66,892 |
66,837 |
144,863 |
149,706 |
|||||||||||||||
Total Liabilities |
2,402,998 |
679,267 |
111,746,572 |
34,576,749 |
|||||||||||||||
Net Assets |
$ |
23,338,803 |
$ |
29,623,215 |
$ |
359,734,817 |
$ |
325,333,498 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
24,681,701 |
$ |
92,335,815 |
$ |
419,751,881 |
$ |
1,389,619,079 |
|||||||||||
Total distributable loss |
(1,342,898 |
) |
(62,712,600 |
) |
(60,017,064 |
) |
(1,064,285,581 |
) |
|||||||||||
Net Assets |
$ |
23,338,803 |
$ |
29,623,215 |
$ |
359,734,817 |
$ |
325,333,498 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
23,338,803 |
$ |
29,623,215 |
$ |
359,734,817 |
$ |
325,333,498 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
450,000 |
3,400,000 |
12,800,000 |
5,674,261 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
51.86 |
$ |
8.71 |
$ |
28.10 |
$ |
57.33 |
|||||||||||
Cost of Investments |
$ |
25,374,466 |
$ |
29,647,418 |
$ |
459,366,659 |
$ |
354,717,209 |
* Securities loaned with values of $6,571,623, $–, $90,924,758 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
130
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Mid Cap Bull 3X Shares |
Direxion Daily
S&P 500® Bull 3X Shares |
Direxion Daily
S&P 500® Bear 3X Shares |
Direxion Daily
Small Cap Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
744,838 |
$ |
23,116,781 |
$ |
— |
$ |
9,002,428 |
|||||||||||
Interest income |
5,439 |
154,030 |
115,034 |
113,642 |
|||||||||||||||
Securities lending income |
— |
1,108 |
— |
1,061,286 |
|||||||||||||||
Total investment income |
750,277 |
23,271,919 |
115,034 |
10,177,356 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
689,949 |
16,608,968 |
3,417,416 |
12,079,585 |
|||||||||||||||
Licensing fees |
73,595 |
1,771,623 |
364,524 |
966,367 |
|||||||||||||||
Fund servicing fees |
35,245 |
825,375 |
171,836 |
601,954 |
|||||||||||||||
Management service fees (Note 6) |
22,769 |
547,595 |
112,990 |
398,850 |
|||||||||||||||
Professional fees |
16,414 |
162,691 |
41,879 |
122,362 |
|||||||||||||||
Interest expense |
11,727 |
268,064 |
247 |
222,697 |
|||||||||||||||
Reports to shareholders |
10,055 |
241,767 |
49,817 |
176,051 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,711 |
5,404 |
|||||||||||||||
Trustees' fees and expenses |
1,796 |
42,988 |
8,909 |
31,461 |
|||||||||||||||
Insurance fees |
1,623 |
39,569 |
8,104 |
28,664 |
|||||||||||||||
Other |
1,217 |
33,025 |
22,278 |
21,127 |
|||||||||||||||
Total Expenses |
875,795 |
20,553,070 |
4,209,712 |
14,660,523 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
11,374 |
123,148 |
120,578 |
111,078 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(1,507 |
) |
(448 |
) |
(1,315 |
) |
(226 |
) |
|||||||||||
Less: Investment advisory fees waived (Note 6) |
— |
(464,529 |
) |
— |
(55,306 |
) |
|||||||||||||
Net Expenses |
885,662 |
20,211,241 |
4,328,975 |
14,716,069 |
|||||||||||||||
Net investment income (loss) |
(135,385 |
) |
3,060,678 |
(4,213,941 |
) |
(4,538,713 |
) |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(907,932 |
) |
(14,066,546 |
) |
— |
(29,481,536 |
) |
||||||||||||
In-kind redemptions |
12,310,549 |
253,658,653 |
— |
300,668,495 |
|||||||||||||||
Swap contracts |
41,133,067 |
894,022,188 |
(586,097,391 |
) |
1,483,941,827 |
||||||||||||||
Net realized gain (loss) |
52,535,684 |
1,133,614,295 |
(586,097,391 |
) |
1,755,128,786 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
5,444,117 |
234,039,884 |
— |
17,381,351 |
|||||||||||||||
Swap contracts |
15,764,045 |
654,856,910 |
(3,130,432 |
) |
(275,226,144 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
21,208,162 |
888,896,794 |
(3,130,432 |
) |
(257,844,793 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
73,743,846 |
2,022,511,089 |
(589,227,823 |
) |
1,497,283,993 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
73,608,461 |
$ |
2,025,571,767 |
$ |
(593,441,764 |
) |
$ |
1,492,745,280 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
131
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Small Cap Bear 3X Shares |
Direxion Daily
FTSE China Bull 3X Shares |
Direxion Daily
FTSE China Bear 3X Shares |
Direxion Daily
FTSE Europe Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
— |
$ |
3,271,226 |
$ |
— |
$ |
615,979 |
|||||||||||
Interest income |
105,593 |
42,815 |
9,494 |
4,399 |
|||||||||||||||
Securities lending income |
— |
880,671 |
— |
3,226 |
|||||||||||||||
Total investment income |
105,593 |
4,194,712 |
9,494 |
623,604 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
2,914,036 |
2,803,228 |
301,132 |
330,725 |
|||||||||||||||
Licensing fees |
233,123 |
325,548 |
34,971 |
14,403 |
|||||||||||||||
Fund servicing fees |
146,238 |
140,297 |
15,995 |
17,383 |
|||||||||||||||
Management service fees (Note 6) |
96,215 |
92,475 |
9,929 |
10,904 |
|||||||||||||||
Reports to shareholders |
42,437 |
40,817 |
4,381 |
4,818 |
|||||||||||||||
Professional fees |
36,895 |
35,793 |
12,759 |
13,068 |
|||||||||||||||
Exchange listing fees |
9,932 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Trustees' fees and expenses |
7,555 |
7,266 |
777 |
860 |
|||||||||||||||
Insurance fees |
6,928 |
6,687 |
730 |
771 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Interest expense |
2,082 |
16,170 |
364 |
4,358 |
|||||||||||||||
Other |
14,857 |
4,906 |
533 |
579 |
|||||||||||||||
Total Expenses |
3,516,299 |
3,484,592 |
392,976 |
409,274 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
145,497 |
82,712 |
282 |
15,057 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(3,683 |
) |
(379 |
) |
(11,460 |
) |
(1,054 |
) |
|||||||||||
Net Expenses |
3,658,113 |
3,566,925 |
381,798 |
423,277 |
|||||||||||||||
Net investment income (loss) |
(3,552,520 |
) |
627,787 |
(372,304 |
) |
200,327 |
|||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
— |
(47,614,468 |
) |
— |
(543,447 |
) |
|||||||||||||
In-kind redemptions |
— |
28,849,108 |
— |
3,067,386 |
|||||||||||||||
Swap contracts |
(670,785,693 |
) |
(26,829,068 |
) |
(10,622,978 |
) |
14,960,932 |
||||||||||||
Net realized gain (loss) |
(670,785,693 |
) |
(45,594,428 |
) |
(10,622,978 |
) |
17,484,871 |
||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
— |
(9,076,394 |
) |
— |
987,961 |
||||||||||||||
Swap contracts |
69,207,089 |
(68,633,048 |
) |
989,076 |
8,698,182 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
69,207,089 |
(77,709,442 |
) |
989,076 |
9,686,143 |
||||||||||||||
Net realized and unrealized gain (loss) |
(601,578,604 |
) |
(123,303,870 |
) |
(9,633,902 |
) |
27,171,014 |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
(605,131,124 |
) |
$ |
(122,676,083 |
) |
$ |
(10,006,206 |
) |
$ |
27,371,341 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
132
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
MSCI Emerging Markets Bull 3X Shares |
Direxion Daily
MSCI Emerging Markets Bear 3X Shares |
Direxion Daily
MSCI Mexico Bull 3X Shares |
Direxion Daily
MSCI South Korea Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
1,651,104 |
$ |
— |
$ |
180,941 |
$ |
116,634 |
|||||||||||
Interest income |
22,940 |
5,386 |
3,257 |
6,288 |
|||||||||||||||
Securities lending income |
125,517 |
— |
9,843 |
696 |
|||||||||||||||
Total investment income |
1,799,561 |
5,386 |
194,041 |
123,618 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
1,684,355 |
202,478 |
158,349 |
401,759 |
|||||||||||||||
Licensing fees |
— |
67,499 |
— |
— |
|||||||||||||||
Fund servicing fees |
84,930 |
11,119 |
8,905 |
21,026 |
|||||||||||||||
Management service fees (Note 6) |
55,659 |
6,686 |
5,228 |
13,276 |
|||||||||||||||
Professional fees |
25,697 |
11,885 |
11,481 |
13,740 |
|||||||||||||||
Reports to shareholders |
24,556 |
2,951 |
2,326 |
5,856 |
|||||||||||||||
Interest expense |
20,048 |
593 |
1,823 |
3,476 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Trustees' fees and expenses |
4,393 |
536 |
421 |
1,046 |
|||||||||||||||
Insurance fees |
3,990 |
492 |
377 |
967 |
|||||||||||||||
Excise tax |
— |
— |
911 |
— |
|||||||||||||||
Other |
200,109 |
311 |
8,786 |
43,557 |
|||||||||||||||
Total Expenses |
2,115,142 |
315,955 |
210,012 |
516,108 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
39,361 |
— |
23 |
1,032 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(939 |
) |
(58,889 |
) |
(6,726 |
) |
(4,769 |
) |
|||||||||||
Net Expenses |
2,153,564 |
257,066 |
203,309 |
512,371 |
|||||||||||||||
Net investment loss |
(354,003 |
) |
(251,680 |
) |
(9,268 |
) |
(388,753 |
) |
|||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
766,317 |
— |
(231,387 |
) |
(2,455,921 |
) |
|||||||||||||
In-kind redemptions |
15,610,573 |
— |
2,058,932 |
4,821,829 |
|||||||||||||||
Swap contracts |
114,995,325 |
(39,406,431 |
) |
8,763,790 |
27,519,867 |
||||||||||||||
Net realized gain (loss) |
131,372,215 |
(39,406,431 |
) |
10,591,335 |
29,885,775 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(6,338,288 |
) |
— |
(418,459 |
) |
(1,099,639 |
) |
||||||||||||
Swap contracts |
(67,795,637 |
) |
20,478,769 |
4,266,294 |
(13,176,070 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(74,133,925 |
) |
20,478,769 |
3,847,835 |
(14,275,709 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
57,238,290 |
(18,927,662 |
) |
14,439,170 |
15,610,066 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
56,884,287 |
$ |
(19,179,342 |
) |
$ |
14,429,902 |
$ |
15,221,313 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
133
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Aerospace & Defense Bull 3X Shares |
Direxion Daily
Consumer Discretionary Bull 3X Shares |
Direxion Daily
Dow Jones Internet Bull 3X Shares |
Direxion Daily
Dow Jones Internet Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
2,482,437 |
$ |
142,562 |
$ |
98,273 |
$ |
— |
|||||||||||
Interest income |
21,277 |
2,090 |
4,691 |
755 |
|||||||||||||||
Securities lending income |
30,213 |
23 |
1,049 |
— |
|||||||||||||||
Total investment income |
2,533,927 |
144,675 |
104,013 |
755 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
2,405,103 |
258,001 |
524,419 |
33,603 |
|||||||||||||||
Licensing fees |
256,543 |
27,657 |
55,939 |
10,001 |
|||||||||||||||
Fund servicing fees |
120,698 |
13,756 |
26,981 |
2,677 |
|||||||||||||||
Management service fees (Note 6) |
79,416 |
8,508 |
17,288 |
1,115 |
|||||||||||||||
Reports to shareholders |
35,060 |
3,755 |
7,635 |
497 |
|||||||||||||||
Professional fees |
32,573 |
12,376 |
14,827 |
10,314 |
|||||||||||||||
Interest expense |
27,904 |
3,816 |
6,665 |
19 |
|||||||||||||||
Trustees' fees and expenses |
6,270 |
667 |
1,359 |
88 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Insurance fees |
5,706 |
600 |
1,231 |
81 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Other |
7,916 |
470 |
1,272 |
190 |
|||||||||||||||
Total Expenses |
2,988,594 |
341,011 |
669,021 |
69,990 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
85,916 |
8,376 |
6,026 |
— |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(141 |
) |
(18,769 |
) |
(4,118 |
) |
(27,407 |
) |
|||||||||||
Net Expenses |
3,074,369 |
330,618 |
670,929 |
42,583 |
|||||||||||||||
Net investment loss |
(540,442 |
) |
(185,943 |
) |
(566,916 |
) |
(41,828 |
) |
|||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(9,760,709 |
) |
(42,133 |
) |
(1,547,254 |
) |
— |
||||||||||||
In-kind redemptions |
46,954,410 |
3,131,774 |
11,451,040 |
— |
|||||||||||||||
Swap contracts |
131,568,954 |
12,307,374 |
16,958,017 |
(4,367,139 |
) |
||||||||||||||
Net realized gain (loss) |
168,762,655 |
15,397,015 |
26,861,803 |
(4,367,139 |
) |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
10,645,864 |
2,646,404 |
622,604 |
— |
|||||||||||||||
Swap contracts |
48,499,050 |
11,123,890 |
13,805,841 |
(402,322 |
) |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
59,144,914 |
13,770,294 |
14,428,445 |
(402,322 |
) |
||||||||||||||
Net realized and unrealized gain (loss) |
227,907,569 |
29,167,309 |
41,290,248 |
(4,769,461 |
) |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
227,367,127 |
$ |
28,981,366 |
$ |
40,723,332 |
$ |
(4,811,289 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
134
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Financial Bull 3X Shares |
Direxion Daily
Financial Bear 3X Shares |
Direxion Daily
Healthcare Bull 3X Shares |
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
40,443,324 |
$ |
— |
$ |
1,534,223 |
$ |
2,372,005 |
|||||||||||
(net of foreign
withholding tax of $17,296, $—, $2,149 and $—, respectively) |
|||||||||||||||||||
Interest income |
192,444 |
25,136 |
12,378 |
30,434 |
|||||||||||||||
Securities lending income |
111,669 |
— |
— |
5 |
|||||||||||||||
Total investment income |
40,747,437 |
25,136 |
1,546,601 |
2,402,444 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
21,473,795 |
1,095,313 |
1,271,343 |
3,050,156 |
|||||||||||||||
Licensing fees |
1,717,904 |
87,625 |
135,609 |
325,350 |
|||||||||||||||
Fund servicing fees |
1,066,955 |
55,850 |
64,123 |
152,922 |
|||||||||||||||
Management service fees (Note 6) |
708,385 |
36,247 |
41,910 |
100,767 |
|||||||||||||||
Interest expense |
351,362 |
466 |
11,417 |
80,135 |
|||||||||||||||
Reports to shareholders |
312,748 |
15,964 |
18,508 |
44,452 |
|||||||||||||||
Professional fees |
214,277 |
26,206 |
21,693 |
38,364 |
|||||||||||||||
Trustees' fees and expenses |
55,731 |
2,853 |
3,293 |
7,941 |
|||||||||||||||
Insurance fees |
51,065 |
2,596 |
3,025 |
7,235 |
|||||||||||||||
Exchange listing fees |
6,913 |
6,913 |
5,404 |
5,404 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Other |
46,323 |
6,139 |
2,225 |
6,490 |
|||||||||||||||
Total Expenses |
26,011,459 |
1,342,173 |
1,584,551 |
3,825,217 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
50,235 |
37,618 |
92,979 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
— |
(4,546 |
) |
(384 |
) |
— |
|||||||||||||
Less: Investment advisory fees waived (Note 6) |
(1,294,760 |
) |
— |
— |
— |
||||||||||||||
Net Expenses |
24,716,699 |
1,387,862 |
1,621,785 |
3,918,196 |
|||||||||||||||
Net investment income (loss) |
16,030,738 |
(1,362,726 |
) |
(75,184 |
) |
(1,515,752 |
) |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(64,613,753 |
) |
— |
148,636 |
(18,933,869 |
) |
|||||||||||||
In-kind redemptions |
488,687,095 |
— |
9,256,713 |
90,568,432 |
|||||||||||||||
Swap contracts |
1,588,678,863 |
(303,582,709 |
) |
45,280,152 |
301,070,089 |
||||||||||||||
Net realized gain (loss) |
2,012,752,205 |
(303,582,709 |
) |
54,685,501 |
372,704,652 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
375,306,416 |
— |
13,557,368 |
12,235,969 |
|||||||||||||||
Swap contracts |
1,105,063,901 |
(11,913,059 |
) |
48,573,410 |
(63,750,988 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
1,480,370,317 |
(11,913,059 |
) |
62,130,778 |
(51,515,019 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
3,493,122,522 |
(315,495,768 |
) |
116,816,279 |
321,189,633 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
3,509,153,260 |
$ |
(316,858,494 |
) |
$ |
116,741,095 |
$ |
319,673,881 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
135
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Industrials Bull 3X Shares |
Direxion Daily MSCI Real Estate Bull 3X Shares |
Direxion Daily MSCI Real Estate Bear 3X Shares |
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
619,435 |
$ |
2,537,048 |
$ |
— |
$ |
96,787 |
|||||||||||
(net of foreign
withholding tax of $2,950, $—, $— and $1,180, respectively) |
|||||||||||||||||||
Interest income |
3,878 |
9,088 |
4,534 |
1,011 |
|||||||||||||||
Securities lending income |
47 |
1,320 |
— |
1,360 |
|||||||||||||||
Total investment income |
623,360 |
2,547,456 |
4,534 |
99,158 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
493,493 |
891,167 |
162,446 |
133,899 |
|||||||||||||||
Licensing fees |
52,639 |
— |
50,001 |
20,068 |
|||||||||||||||
Fund servicing fees |
25,412 |
45,152 |
9,149 |
7,673 |
|||||||||||||||
Management service fees (Note 6) |
16,273 |
29,364 |
5,375 |
4,415 |
|||||||||||||||
Professional fees |
14,587 |
18,235 |
11,517 |
11,224 |
|||||||||||||||
Reports to shareholders |
7,192 |
12,979 |
2,368 |
1,957 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Interest expense |
5,942 |
16,174 |
69 |
722 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Trustees' fees and expenses |
1,285 |
2,312 |
424 |
346 |
|||||||||||||||
Insurance fees |
1,171 |
2,119 |
385 |
323 |
|||||||||||||||
Other |
1,024 |
97,565 |
1,110 |
235 |
|||||||||||||||
Total Expenses |
630,423 |
1,126,472 |
254,249 |
192,267 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
5,683 |
21,174 |
— |
— |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(5,072 |
) |
(2,655 |
) |
(48,415 |
) |
(21,940 |
) |
|||||||||||
Net Expenses |
631,034 |
1,144,991 |
205,834 |
170,327 |
|||||||||||||||
Net investment income (loss) |
(7,674 |
) |
1,402,465 |
(201,300 |
) |
(71,169 |
) |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(17,884 |
) |
(1,387,981 |
) |
— |
(1,872,381 |
) |
||||||||||||
In-kind redemptions |
8,942,592 |
15,862,851 |
— |
2,338,879 |
|||||||||||||||
Swap contracts |
16,056,721 |
26,836,128 |
(22,402,448 |
) |
5,370,599 |
||||||||||||||
Net realized gain (loss) |
24,981,429 |
41,310,998 |
(22,402,448 |
) |
5,837,097 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(450,876 |
) |
7,566,296 |
— |
360,238 |
||||||||||||||
Swap contracts |
11,514,677 |
57,789,003 |
(8,904,990 |
) |
(2,853,103 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
11,063,801 |
65,355,299 |
(8,904,990 |
) |
(2,492,865 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
36,045,230 |
106,666,297 |
(31,307,438 |
) |
3,344,232 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
36,037,556 |
$ |
108,068,762 |
$ |
(31,508,738 |
) |
$ |
3,273,063 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
136
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Regional Banks Bull 3X Shares |
Direxion Daily
Retail Bull 3X Shares |
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
6,104,361 |
$ |
667,708 |
$ |
948,144 |
$ |
— |
|||||||||||
(net of foreign
withholding tax of $13,160, $—, $904 and $—, respectively) |
|||||||||||||||||||
Interest income |
21,781 |
6,618 |
7,357 |
5,631 |
|||||||||||||||
Securities lending income |
350 |
127,379 |
251 |
— |
|||||||||||||||
Total investment income |
6,126,492 |
801,705 |
955,752 |
5,631 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
2,855,663 |
825,078 |
761,833 |
189,523 |
|||||||||||||||
Licensing fees |
152,313 |
44,004 |
101,579 |
25,271 |
|||||||||||||||
Fund servicing fees |
142,435 |
41,855 |
38,768 |
10,490 |
|||||||||||||||
Management service fees (Note 6) |
94,127 |
27,190 |
25,118 |
6,265 |
|||||||||||||||
Reports to shareholders |
41,598 |
12,019 |
11,100 |
2,762 |
|||||||||||||||
Professional fees |
36,399 |
17,615 |
17,071 |
11,765 |
|||||||||||||||
Interest expense |
27,867 |
17,193 |
13,843 |
81 |
|||||||||||||||
Trustees' fees and expenses |
7,419 |
2,144 |
1,981 |
494 |
|||||||||||||||
Insurance fees |
6,795 |
1,964 |
1,809 |
450 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Excise tax |
— |
1,074 |
— |
— |
|||||||||||||||
Other |
6,120 |
1,444 |
1,696 |
1,544 |
|||||||||||||||
Total Expenses |
3,382,141 |
1,002,985 |
986,203 |
260,050 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
68,826 |
61,803 |
1,157 |
— |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(1,603 |
) |
(1,422 |
) |
(8,528 |
) |
(19,907 |
) |
|||||||||||
Net Expenses |
3,449,364 |
1,063,366 |
978,832 |
240,143 |
|||||||||||||||
Net investment income (loss) |
2,677,128 |
(261,661 |
) |
(23,080 |
) |
(234,512 |
) |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(20,510,845 |
) |
(5,907,547 |
) |
(3,449,173 |
) |
— |
||||||||||||
In-kind redemptions |
82,875,276 |
36,983,254 |
16,060,570 |
— |
|||||||||||||||
Swap contracts |
148,826,637 |
71,778,193 |
55,027,522 |
(67,826,311 |
) |
||||||||||||||
Net realized gain (loss) |
211,191,068 |
102,853,900 |
67,638,919 |
(67,826,311 |
) |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
6,713,005 |
(421,109 |
) |
3,770,125 |
— |
||||||||||||||
Swap contracts |
105,455,673 |
18,802,222 |
34,155,234 |
(4,975,326 |
) |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
112,168,678 |
18,381,113 |
37,925,359 |
(4,975,326 |
) |
||||||||||||||
Net realized and unrealized gain (loss) |
323,359,746 |
121,235,013 |
105,564,278 |
(72,801,637 |
) |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
326,036,874 |
$ |
120,973,352 |
$ |
105,541,198 |
$ |
(73,036,149 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
137
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
S&P Biotech Bull 3X Shares |
Direxion Daily
S&P Biotech Bear 3X Shares |
Direxion Daily
Semiconductor Bull 3X Shares |
Direxion Daily
Semiconductor Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
326,662 |
$ |
— |
$ |
28,616,935 |
$ |
— |
|||||||||||
(net of foreign
withholding tax of $—, $—, $637,883 and $—, respectively) |
|||||||||||||||||||
Interest income |
64,372 |
14,306 |
288,063 |
19,875 |
|||||||||||||||
Securities lending income |
407,455 |
— |
43,202 |
— |
|||||||||||||||
Total investment income |
798,489 |
14,306 |
28,948,200 |
19,875 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
4,596,318 |
556,152 |
26,631,560 |
768,525 |
|||||||||||||||
Licensing fees |
490,274 |
59,323 |
1,933,281 |
55,041 |
|||||||||||||||
Fund servicing fees |
228,890 |
28,848 |
1,321,728 |
39,226 |
|||||||||||||||
Management service fees (Note 6) |
151,574 |
18,400 |
878,530 |
25,333 |
|||||||||||||||
Reports to shareholders |
66,927 |
8,113 |
387,908 |
11,194 |
|||||||||||||||
Professional fees |
52,453 |
15,219 |
256,301 |
17,120 |
|||||||||||||||
Interest expense |
44,960 |
1,694 |
339,972 |
486 |
|||||||||||||||
Trustees' fees and expenses |
11,919 |
1,455 |
69,158 |
1,995 |
|||||||||||||||
Insurance fees |
10,927 |
1,315 |
63,298 |
1,828 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Other |
8,044 |
1,447 |
46,598 |
3,673 |
|||||||||||||||
Total Expenses |
5,673,691 |
703,371 |
31,939,739 |
935,826 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
126,187 |
5,608 |
— |
38,193 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(1,384 |
) |
(2,825 |
) |
— |
(67 |
) |
||||||||||||
Less: Investment advisory fees waived (Note 6) |
— |
— |
(2,627,187 |
) |
— |
||||||||||||||
Net Expenses |
5,798,494 |
706,154 |
29,312,552 |
973,952 |
|||||||||||||||
Net investment loss |
(5,000,005 |
) |
(691,848 |
) |
(364,352 |
) |
(954,077 |
) |
|||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(115,472,213 |
) |
— |
(251,310,468 |
) |
— |
|||||||||||||
In-kind redemptions |
124,073,832 |
— |
849,910,629 |
— |
|||||||||||||||
Swap contracts |
92,126,283 |
(95,689,771 |
) |
2,255,567,817 |
(134,480,560 |
) |
|||||||||||||
Net realized gain (loss) |
100,727,902 |
(95,689,771 |
) |
2,854,167,978 |
(134,480,560 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(53,164,942 |
) |
— |
88,179,566 |
— |
||||||||||||||
Swap contracts |
(128,884,134 |
) |
10,819,563 |
89,184,973 |
(6,837,423 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(182,049,076 |
) |
10,819,563 |
177,364,539 |
(6,837,423 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
(81,321,174 |
) |
(84,870,208 |
) |
3,031,532,517 |
(141,317,983 |
) |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
(86,321,179 |
) |
$ |
(85,562,056 |
) |
$ |
3,031,168,165 |
$ |
(142,272,060 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
138
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Technology Bull 3X Shares |
Direxion Daily
Technology Bear 3X Shares |
Direxion Daily
Transportation Bull 3X Shares |
Direxion Daily
Utilities Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
13,478,278 |
$ |
— |
$ |
583,528 |
$ |
451,838 |
|||||||||||
(net of foreign
withholding tax of $29,800, $—, $— and $—, respectively) |
|||||||||||||||||||
Interest income |
177,433 |
14,963 |
6,095 |
1,192 |
|||||||||||||||
Securities lending income |
8,963 |
— |
83 |
— |
|||||||||||||||
Total investment income |
13,664,674 |
14,963 |
589,706 |
453,030 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
16,607,833 |
482,814 |
618,445 |
169,606 |
|||||||||||||||
Licensing fees |
1,771,502 |
51,500 |
65,966 |
20,159 |
|||||||||||||||
Fund servicing fees |
826,618 |
25,038 |
31,655 |
9,417 |
|||||||||||||||
Management service fees (Note 6) |
547,864 |
15,951 |
20,397 |
5,596 |
|||||||||||||||
Interest expense |
309,923 |
139 |
6,150 |
1,303 |
|||||||||||||||
Reports to shareholders |
241,820 |
7,036 |
9,011 |
2,459 |
|||||||||||||||
Professional fees |
163,142 |
14,492 |
15,736 |
11,549 |
|||||||||||||||
Trustees' fees and expenses |
43,048 |
1,256 |
1,608 |
438 |
|||||||||||||||
Insurance fees |
39,509 |
1,146 |
1,469 |
406 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Other |
35,458 |
2,047 |
1,298 |
419 |
|||||||||||||||
Total Expenses |
20,598,122 |
612,824 |
783,140 |
232,757 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
114,924 |
1,557 |
9,702 |
409 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
— |
(2,677 |
) |
(3,328 |
) |
(17,028 |
) |
||||||||||||
Less: Investment advisory fees waived (Note 6) |
(464,378 |
) |
— |
— |
— |
||||||||||||||
Net Expenses |
20,248,668 |
611,704 |
789,514 |
216,138 |
|||||||||||||||
Net investment income (loss) |
(6,583,994 |
) |
(596,741 |
) |
(199,808 |
) |
236,892 |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(26,691,994 |
) |
— |
(2,270,194 |
) |
(738,791 |
) |
||||||||||||
In-kind redemptions |
282,371,967 |
— |
10,792,283 |
1,957,572 |
|||||||||||||||
Swap contracts |
1,258,813,679 |
(69,922,392 |
) |
35,389,654 |
4,658,699 |
||||||||||||||
Net realized gain (loss) |
1,514,493,652 |
(69,922,392 |
) |
43,911,743 |
5,877,480 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
257,007,360 |
— |
404,785 |
299,858 |
|||||||||||||||
Swap contracts |
444,554,692 |
(17,326,206 |
) |
14,940,322 |
1,611,680 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
701,562,052 |
(17,326,206 |
) |
15,345,107 |
1,911,538 |
||||||||||||||
Net realized and unrealized gain (loss) |
2,216,055,704 |
(87,248,598 |
) |
59,256,850 |
7,789,018 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
2,209,471,710 |
$ |
(87,845,339 |
) |
$ |
59,057,042 |
$ |
8,025,910 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
139
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
7-10 Year Treasury Bull 3X Shares |
Direxion Daily
7-10 Year Treasury Bear 3X Shares |
Direxion Daily
20+ Year Treasury Bull 3X Shares |
Direxion Daily
20+ Year Treasury Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
105,076 |
$ |
— |
$ |
2,584,251 |
$ |
— |
|||||||||||
Interest income |
1,521 |
2,451 |
21,731 |
39,969 |
|||||||||||||||
Securities lending income |
2,101 |
— |
128,409 |
— |
|||||||||||||||
Total investment income |
108,698 |
2,451 |
2,734,391 |
39,969 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
149,178 |
117,650 |
2,078,077 |
1,700,993 |
|||||||||||||||
Licensing fees |
21,776 |
21,776 |
90,502 |
74,080 |
|||||||||||||||
Professional fees |
11,383 |
11,073 |
29,225 |
25,633 |
|||||||||||||||
Fund servicing fees |
8,454 |
6,771 |
104,422 |
85,226 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Management service fees (Note 6) |
4,923 |
3,871 |
68,543 |
56,043 |
|||||||||||||||
Reports to shareholders |
2,173 |
1,711 |
30,265 |
24,765 |
|||||||||||||||
Interest expense |
551 |
105 |
6,131 |
6,256 |
|||||||||||||||
Trustees' fees and expenses |
380 |
303 |
5,392 |
4,406 |
|||||||||||||||
Insurance fees |
361 |
272 |
4,941 |
4,056 |
|||||||||||||||
Other |
261 |
206 |
4,138 |
3,573 |
|||||||||||||||
Total Expenses |
210,845 |
175,143 |
2,433,041 |
1,996,436 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(21,335 |
) |
(26,014 |
) |
— |
(377 |
) |
||||||||||||
Net Expenses |
189,510 |
149,129 |
2,433,041 |
1,996,059 |
|||||||||||||||
Net investment income (loss) |
(80,812 |
) |
(146,678 |
) |
301,350 |
(1,956,090 |
) |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(88,903 |
) |
— |
(14,997,312 |
) |
— |
|||||||||||||
In-kind redemptions |
— |
— |
1,793,673 |
— |
|||||||||||||||
Swap contracts |
(431,456 |
) |
(865,095 |
) |
(33,402,632 |
) |
(547,287 |
) |
|||||||||||
Net realized loss |
(520,359 |
) |
(865,095 |
) |
(46,606,271 |
) |
(547,287 |
) |
|||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(614,871 |
) |
— |
(1,743,896 |
) |
— |
|||||||||||||
Swap contracts |
(1,990,140 |
) |
1,481,064 |
(4,331,362 |
) |
(28,182,740 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(2,605,011 |
) |
1,481,064 |
(6,075,258 |
) |
(28,182,740 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(3,125,370 |
) |
615,969 |
(52,681,529 |
) |
(28,730,027 |
) |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
(3,206,182 |
) |
$ |
469,291 |
$ |
(52,380,179 |
) |
$ |
(30,686,117 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
140
Statements of Changes in Net Assets
Direxion Daily Mid
Cap Bull 3X Shares |
Direxion Daily
S&P 500® Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(135,385 |
) |
$ |
100,844 |
$ |
3,060,678 |
$ |
4,387,111 |
||||||||||
Net realized gain (loss) |
52,535,684 |
(16,057,431 |
) |
1,133,614,295 |
283,585,079 |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
21,208,162 |
8,935,711 |
888,896,794 |
(77,050,574 |
) |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
73,608,461 |
(7,020,876 |
) |
2,025,571,767 |
210,921,616 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(21,998 |
) |
(181,797 |
) |
(3,773,589 |
) |
(6,048,859 |
) |
|||||||||||
Return of capital |
— |
(11,321 |
) |
— |
— |
||||||||||||||
Total distributions |
(21,998 |
) |
(193,118 |
) |
(3,773,589 |
) |
(6,048,859 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
128,362,135 |
24,573,445 |
2,500,709,959 |
2,429,941,065 |
|||||||||||||||
Cost of shares redeemed |
(151,461,798 |
) |
(23,805,629 |
) |
(2,506,169,335 |
) |
(2,251,614,321 |
) |
|||||||||||
Transaction fees (Note 4) |
42,359 |
19,708 |
677,169 |
683,976 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(23,057,304 |
) |
787,524 |
(4,782,207 |
) |
179,010,720 |
|||||||||||||
Total increase (decrease) in net assets |
50,529,159 |
(6,426,470 |
) |
2,017,015,971 |
383,883,477 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
40,055,016 |
46,481,486 |
1,331,734,265 |
947,850,788 |
|||||||||||||||
End of year |
$ |
90,584,175 |
$ |
40,055,016 |
$ |
3,348,750,236 |
$ |
1,331,734,265 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
1,750,132 |
1,100,132 |
27,700,002 |
17,155,004 |
|||||||||||||||
Shares sold |
2,100,000 |
1,500,000 |
25,750,000 |
65,400,000 |
|||||||||||||||
Shares repurchased |
(2,500,000 |
) |
(850,000 |
) |
(27,750,000 |
) |
(54,855,002 |
) |
|||||||||||
Shares outstanding, end of year |
1,350,132 |
1,750,132 |
25,700,002 |
27,700,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
141
Statements of Changes in Net Assets
Direxion Daily
S&P 500® Bear 3X Shares1 |
Direxion Daily Small
Cap Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(4,213,941 |
) |
$ |
(3,517,742 |
) |
$ |
(4,538,713 |
) |
$ |
556,913 |
||||||||
Net realized gain (loss) |
(586,097,391 |
) |
(997,767,559 |
) |
1,755,128,786 |
(175,239,116 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
(3,130,432 |
) |
(18,278,355 |
) |
(257,844,793 |
) |
311,266,082 |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
(593,441,764 |
) |
(1,019,563,656 |
) |
1,492,745,280 |
136,583,879 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(1,228,222 |
) |
(244,821 |
) |
(1,582,234 |
) |
||||||||||||
Return of capital |
— |
(590,141 |
) |
— |
(517,360 |
) |
|||||||||||||
Total distributions |
— |
(1,818,363 |
) |
(244,821 |
) |
(2,099,594 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
1,028,436,193 |
2,474,574,967 |
4,816,936,112 |
2,318,341,738 |
|||||||||||||||
Cost of shares redeemed |
(850,068,957 |
) |
(1,139,913,051 |
) |
(5,642,498,260 |
) |
(2,353,208,651 |
) |
|||||||||||
Transaction fees (Note 4) |
251,069 |
915,872 |
1,378,149 |
992,804 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
178,618,305 |
1,335,577,788 |
(824,183,999 |
) |
(33,874,109 |
) |
|||||||||||||
Total increase (decrease) in net assets |
(414,823,459 |
) |
314,195,769 |
668,316,460 |
100,610,176 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
803,180,078 |
488,984,309 |
831,202,399 |
730,592,223 |
|||||||||||||||
End of year |
$ |
388,356,619 |
$ |
803,180,078 |
$ |
1,499,518,859 |
$ |
831,202,399 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
13,170,389 |
3,045,389 |
25,950,002 |
12,250,068 |
|||||||||||||||
Shares sold |
36,235,000 |
21,660,000 |
57,550,000 |
89,150,000 |
|||||||||||||||
Shares repurchased |
(28,728,471 |
) |
(11,535,000 |
) |
(67,400,000 |
) |
(75,450,066 |
) |
|||||||||||
Shares outstanding, end of year |
20,676,918 |
13,170,389 |
16,100,002 |
25,950,002 |
1 Effective January 11, 2021, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
142
Statements of Changes in Net Assets
Direxion Daily Small
Cap Bear 3X Shares1 |
Direxion Daily FTSE
China Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(3,552,520 |
) |
$ |
(2,231,935 |
) |
$ |
627,787 |
$ |
2,820,643 |
|||||||||
Net realized (loss) |
(670,785,693 |
) |
(452,997,640 |
) |
(45,594,428 |
) |
(36,356,633 |
) |
|||||||||||
Change in net
unrealized appreciation (depreciation) |
69,207,089 |
(98,845,429 |
) |
(77,709,442 |
) |
25,615,219 |
|||||||||||||
Net decrease in net
assets resulting from operations |
(605,131,124 |
) |
(554,075,004 |
) |
(122,676,083 |
) |
(7,920,771 |
) |
|||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(809,006 |
) |
(2,107,263 |
) |
(3,169,542 |
) |
||||||||||||
Return of capital |
— |
(378,778 |
) |
— |
(301,335 |
) |
|||||||||||||
Total distributions |
— |
(1,187,784 |
) |
(2,107,263 |
) |
(3,470,877 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
1,608,299,076 |
2,429,131,148 |
653,990,404 |
288,754,595 |
|||||||||||||||
Cost of shares redeemed |
(1,044,500,159 |
) |
(1,650,473,771 |
) |
(307,890,142 |
) |
(345,936,485 |
) |
|||||||||||
Transaction fees (Note 4) |
313,275 |
1,004,871 |
61,578 |
79,377 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
564,112,192 |
779,662,248 |
346,161,840 |
(57,102,513 |
) |
||||||||||||||
Total increase (decrease) in net assets |
(41,018,932 |
) |
224,399,460 |
221,378,494 |
(68,494,161 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
545,802,215 |
321,402,755 |
260,909,251 |
329,403,412 |
|||||||||||||||
End of year |
$ |
504,783,283 |
$ |
545,802,215 |
$ |
482,287,745 |
$ |
260,909,251 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
4,386,447 |
930,197 |
15,550,013 |
18,250,013 |
|||||||||||||||
Shares sold |
44,750,000 |
11,168,750 |
44,600,000 |
18,150,000 |
|||||||||||||||
Shares repurchased |
(30,363,650 |
) |
(7,712,500 |
) |
(17,050,000 |
) |
(20,850,000 |
) |
|||||||||||
Shares outstanding, end of year |
18,772,797 |
4,386,447 |
43,100,013 |
15,550,013 |
1 Effective March 2, 2021, the Fund had a 1:8 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:8 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
143
Statements of Changes in Net Assets
Direxion Daily FTSE
China Bear 3X Shares |
Direxion Daily FTSE
Europe Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(372,304 |
) |
$ |
(100,193 |
) |
$ |
200,327 |
$ |
87,448 |
|||||||||
Net realized gain (loss) |
(10,622,978 |
) |
(27,559,136 |
) |
17,484,871 |
(7,805,481 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
989,076 |
(6,991,731 |
) |
9,686,143 |
(4,545,841 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
(10,006,206 |
) |
(34,651,060 |
) |
27,371,341 |
(12,263,874 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(161,009 |
) |
(180,543 |
) |
(130,258 |
) |
||||||||||||
Return of capital |
— |
(127,151 |
) |
— |
— |
||||||||||||||
Total distributions |
— |
(288,160 |
) |
(180,543 |
) |
(130,258 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
78,432,377 |
216,334,644 |
22,922,512 |
10,745,409 |
|||||||||||||||
Cost of shares redeemed |
(46,687,356 |
) |
(215,938,887 |
) |
(15,949,307 |
) |
(12,400,656 |
) |
|||||||||||
Transaction fees (Note 4) |
14,006 |
249,853 |
3,190 |
2,480 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
31,759,027 |
645,610 |
6,976,395 |
(1,652,767 |
) |
||||||||||||||
Total increase (decrease) in net assets |
21,752,821 |
(34,293,610 |
) |
34,167,193 |
(14,046,899 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
44,477,448 |
78,771,058 |
13,756,630 |
27,803,529 |
|||||||||||||||
End of year |
$ |
66,230,269 |
$ |
44,477,448 |
$ |
47,923,823 |
$ |
13,756,630 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
2,127,337 |
1,577,337 |
950,001 |
950,001 |
|||||||||||||||
Shares sold |
4,750,000 |
5,650,000 |
750,000 |
650,000 |
|||||||||||||||
Shares repurchased |
(2,950,000 |
) |
(5,100,000 |
) |
(450,000 |
) |
(650,000 |
) |
|||||||||||
Shares outstanding, end of year |
3,927,337 |
2,127,337 |
1,250,001 |
950,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
144
Statements of Changes in Net Assets
Direxion Daily MSCI
Emerging Markets Bull 3X Shares |
Direxion Daily MSCI
Emerging Markets Bear 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(354,003 |
) |
$ |
724,763 |
$ |
(251,680 |
) |
$ |
(67,150 |
) |
||||||||
Net realized gain (loss) |
131,372,215 |
(77,773,187 |
) |
(39,406,431 |
) |
(9,811,273 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
(74,133,925 |
) |
55,329,880 |
20,478,769 |
(12,937,320 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
56,884,287 |
(21,718,544 |
) |
(19,179,342 |
) |
(22,815,743 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(206,560 |
) |
(1,269,642 |
) |
— |
(149,374 |
) |
||||||||||||
Return of capital |
(107,122 |
) |
— |
— |
(80,075 |
) |
|||||||||||||
Total distributions |
(313,682 |
) |
(1,269,642 |
) |
— |
(229,449 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
324,420,412 |
93,898,890 |
33,446,137 |
85,499,849 |
|||||||||||||||
Cost of shares redeemed |
(348,366,324 |
) |
(123,053,340 |
) |
(26,403,874 |
) |
(86,598,299 |
) |
|||||||||||
Transaction fees (Note 4) |
77,355 |
25,424 |
7,921 |
26,512 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(23,868,557 |
) |
(29,129,026 |
) |
7,050,184 |
(1,071,938 |
) |
||||||||||||
Total increase (decrease) in net assets |
32,702,048 |
(52,117,212 |
) |
(12,129,158 |
) |
(24,117,130 |
) |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
136,478,981 |
188,596,193 |
38,719,612 |
62,836,742 |
|||||||||||||||
End of year |
$ |
169,181,029 |
$ |
136,478,981 |
$ |
26,590,454 |
$ |
38,719,612 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
2,281,598 |
2,581,598 |
2,245,232 |
1,495,232 |
|||||||||||||||
Shares sold |
3,400,000 |
1,800,000 |
3,750,000 |
2,750,000 |
|||||||||||||||
Shares repurchased |
(3,600,000 |
) |
(2,100,000 |
) |
(3,050,000 |
) |
(2,000,000 |
) |
|||||||||||
Shares outstanding, end of year |
2,081,598 |
2,281,598 |
2,945,232 |
2,245,232 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
145
Statements of Changes in Net Assets
Direxion Daily MSCI
Mexico Bull 3X Shares |
Direxion Daily MSCI
South Korea Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(9,268 |
) |
$ |
17,702 |
$ |
(388,753 |
) |
$ |
(5,149 |
) |
||||||||
Net realized gain (loss) |
10,591,335 |
(5,529,816 |
) |
29,885,775 |
3,841,438 |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
3,847,835 |
(189,524 |
) |
(14,275,709 |
) |
4,365,856 |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
14,429,902 |
(5,701,638 |
) |
15,221,313 |
8,202,145 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(64,079 |
) |
(45,272 |
) |
(4,680 |
) |
(142,470 |
) |
|||||||||||
Return of capital |
— |
(9,723 |
) |
— |
— |
||||||||||||||
Total distributions |
(64,079 |
) |
(54,995 |
) |
(4,680 |
) |
(142,470 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
25,536,886 |
18,706,556 |
75,569,158 |
29,120,431 |
|||||||||||||||
Cost of shares redeemed |
(35,344,974 |
) |
(13,694,341 |
) |
(69,600,086 |
) |
(36,946,990 |
) |
|||||||||||
Transaction fees (Note 4) |
7,337 |
4,555 |
15,623 |
7,389 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(9,800,751 |
) |
5,016,770 |
5,984,695 |
(7,819,170 |
) |
|||||||||||||
Total increase (decrease) in net assets |
4,565,072 |
(739,863 |
) |
21,201,328 |
240,505 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
10,660,133 |
11,399,996 |
25,820,565 |
25,580,060 |
|||||||||||||||
End of year |
$ |
15,225,205 |
$ |
10,660,133 |
$ |
47,021,893 |
$ |
25,820,565 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
333,205 |
87,500 |
1,550,001 |
1,200,001 |
|||||||||||||||
Shares sold |
350,000 |
387,500 |
2,150,000 |
2,550,000 |
|||||||||||||||
Shares repurchased |
(500,000 |
) |
(141,795 |
) |
(1,900,000 |
) |
(2,200,000 |
) |
|||||||||||
Shares outstanding, end of year |
183,205 |
333,205 |
1,800,001 |
1,550,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
146
Statements of Changes in Net Assets
Direxion Daily
Aerospace & Defense Bull 3X Shares |
Direxion Daily
Consumer Discretionary Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(540,442 |
) |
$ |
91,996 |
$ |
(185,943 |
) |
$ |
(18,899 |
) |
||||||||
Net realized gain (loss) |
168,762,655 |
(75,829,586 |
) |
15,397,015 |
14,061 |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
59,144,914 |
(41,861,217 |
) |
13,770,294 |
4,854,964 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
227,367,127 |
(117,598,807 |
) |
28,981,366 |
4,850,126 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(229,995 |
) |
(155,985 |
) |
— |
(13,290 |
) |
||||||||||||
Return of capital |
— |
(116,045 |
) |
— |
— |
||||||||||||||
Total distributions |
(229,995 |
) |
(272,030 |
) |
— |
(13,290 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
214,752,628 |
355,740,451 |
72,277,777 |
22,366,306 |
|||||||||||||||
Cost of shares redeemed |
(360,564,439 |
) |
(91,164,337 |
) |
(58,658,316 |
) |
(20,908,792 |
) |
|||||||||||
Transaction fees (Note 4) |
79,628 |
20,590 |
15,590 |
5,519 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(145,732,183 |
) |
264,596,704 |
13,635,051 |
1,463,033 |
||||||||||||||
Total increase in net assets |
81,404,949 |
146,725,867 |
42,616,417 |
6,299,869 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
199,485,198 |
52,759,331 |
12,647,093 |
6,347,224 |
|||||||||||||||
End of year |
$ |
280,890,147 |
$ |
199,485,198 |
$ |
55,263,510 |
$ |
12,647,093 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
22,500,001 |
950,001 |
350,001 |
200,001 |
|||||||||||||||
Shares sold |
11,050,000 |
28,200,000 |
1,050,000 |
650,000 |
|||||||||||||||
Shares repurchased |
(19,900,000 |
) |
(6,650,000 |
) |
(800,000 |
) |
(500,000 |
) |
|||||||||||
Shares outstanding, end of year |
13,650,001 |
22,500,001 |
600,001 |
350,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
147
Statements of Changes in Net Assets
Direxion Daily Dow
Jones Internet Bull 3X Shares |
Direxion Daily Dow
Jones Internet Bear 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
For the Period
November 7, 20191 through October 31, 2020 |
Year Ended
October 31, 2021 |
For the Period
November 7, 20191 through October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(566,916 |
) |
$ |
(120,105 |
) |
$ |
(41,828 |
) |
$ |
(9,227 |
) |
|||||||
Net realized gain (loss) |
26,861,803 |
3,427,477 |
(4,367,139 |
) |
(4,893,560 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
14,428,445 |
9,414,605 |
(402,322 |
) |
(35,640 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
40,723,332 |
12,721,977 |
(4,811,289 |
) |
(4,938,427 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(2,646 |
) |
— |
(4,123 |
) |
|||||||||||||
Return of capital |
— |
— |
— |
(4,413 |
) |
||||||||||||||
Total distributions |
— |
(2,646 |
) |
— |
(8,536 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
70,705,044 |
68,754,242 |
23,601,785 |
18,197,483 |
|||||||||||||||
Cost of shares redeemed |
(45,569,213 |
) |
(47,387,120 |
) |
(19,497,618 |
) |
(7,947,891 |
) |
|||||||||||
Transaction fees (Note 4) |
9,114 |
13,661 |
5,849 |
2,384 |
|||||||||||||||
Net increase in net
assets resulting from capital transactions |
25,144,945 |
21,380,783 |
4,110,016 |
10,251,976 |
|||||||||||||||
Total increase (decrease) in net assets |
65,868,277 |
34,100,114 |
(701,273 |
) |
5,305,013 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
34,100,114 |
— |
5,305,013 |
— |
|||||||||||||||
End of year/period |
$ |
99,968,391 |
$ |
34,100,114 |
$ |
4,603,740 |
$ |
5,305,013 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
750,001 |
— |
119,952 |
— |
|||||||||||||||
Shares sold |
950,000 |
1,650,001 |
1,200,000 |
225,000 |
|||||||||||||||
Shares repurchased |
(550,000 |
) |
(900,000 |
) |
(1,000,000 |
) |
(105,048 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,150,001 |
750,001 |
319,952 |
119,952 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
148
Statements of Changes in Net Assets
Direxion Daily
Financial Bull 3X Shares |
Direxion Daily
Financial Bear 3X Shares1 |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
16,030,738 |
$ |
9,899,876 |
$ |
(1,362,726 |
) |
$ |
(1,253,618 |
) |
|||||||||
Net realized gain (loss) |
2,012,752,205 |
(360,751,319 |
) |
(303,582,709 |
) |
(240,656,648 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
1,480,370,317 |
(274,174,874 |
) |
(11,913,059 |
) |
5,159,269 |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
3,509,153,260 |
(625,026,317 |
) |
(316,858,494 |
) |
(236,750,997 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(15,325,240 |
) |
(8,708,613 |
) |
— |
(427,657 |
) |
||||||||||||
Return of capital |
— |
— |
— |
(186,053 |
) |
||||||||||||||
Total distributions |
(15,325,240 |
) |
(8,708,613 |
) |
— |
(613,710 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
5,161,128,021 |
1,569,791,629 |
398,984,737 |
835,514,454 |
|||||||||||||||
Cost of shares redeemed |
(6,422,197,997 |
) |
(928,223,121 |
) |
(223,626,675 |
) |
(502,691,801 |
) |
|||||||||||
Transaction fees (Note 4) |
1,763,706 |
306,806 |
67,021 |
408,798 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(1,259,306,270 |
) |
641,875,314 |
175,425,083 |
333,231,451 |
||||||||||||||
Total increase (decrease) in net assets |
2,234,521,750 |
8,140,384 |
(141,433,411 |
) |
95,866,744 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
1,347,638,238 |
1,339,497,854 |
271,667,674 |
175,800,930 |
|||||||||||||||
End of year |
$ |
3,582,159,988 |
$ |
1,347,638,238 |
$ |
130,234,263 |
$ |
271,667,674 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
40,099,289 |
16,549,888 |
2,302,858 |
671,608 |
|||||||||||||||
Shares sold |
46,650,000 |
48,350,000 |
12,056,250 |
4,356,250 |
|||||||||||||||
Shares repurchased |
(61,950,000 |
) |
(24,800,599 |
) |
(7,255,758 |
) |
(2,725,000 |
) |
|||||||||||
Shares outstanding, end of year |
24,799,289 |
40,099,289 |
7,103,350 |
2,302,858 |
1 Effective March 2, 2021, the Fund had a 1:8 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:8 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
149
Statements of Changes in Net Assets
Direxion Daily
Healthcare Bull 3X Shares |
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(75,184 |
) |
$ |
276,621 |
$ |
(1,515,752 |
) |
$ |
(699,935 |
) |
||||||||
Net realized gain |
54,685,501 |
17,497,653 |
372,704,652 |
42,345,387 |
|||||||||||||||
Change in net
unrealized appreciation (depreciation) |
62,130,778 |
(11,246,300 |
) |
(51,515,019 |
) |
168,220,967 |
|||||||||||||
Net increase in net
assets resulting from operations |
116,741,095 |
6,527,974 |
319,673,881 |
209,866,419 |
|||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(11,571 |
) |
(298,454 |
) |
— |
(11,980 |
) |
||||||||||||
Total distributions |
(11,571 |
) |
(298,454 |
) |
— |
(11,980 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
175,977,018 |
27,088,798 |
512,015,723 |
378,383,998 |
|||||||||||||||
Cost of shares redeemed |
(141,667,303 |
) |
(69,843,618 |
) |
(808,927,828 |
) |
(295,057,375 |
) |
|||||||||||
Transaction fees (Note 4) |
37,353 |
13,968 |
172,184 |
90,838 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
34,347,068 |
(42,740,852 |
) |
(296,739,921 |
) |
83,417,461 |
|||||||||||||
Total increase (decrease) in net assets |
151,076,592 |
(36,511,332 |
) |
22,933,960 |
293,271,900 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
103,039,038 |
139,550,370 |
360,141,435 |
66,869,535 |
|||||||||||||||
End of year |
$ |
254,115,630 |
$ |
103,039,038 |
$ |
383,075,395 |
$ |
360,141,435 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
1,850,008 |
2,400,008 |
9,100,000 |
950,000 |
|||||||||||||||
Shares sold |
1,600,000 |
600,000 |
7,950,000 |
15,750,000 |
|||||||||||||||
Shares repurchased |
(1,400,000 |
) |
(1,150,000 |
) |
(12,450,000 |
) |
(7,600,000 |
) |
|||||||||||
Shares outstanding, end of year |
2,050,008 |
1,850,008 |
4,600,000 |
9,100,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
150
Statements of Changes in Net Assets
Direxion Daily
Industrials Bull 3X Shares |
Direxion Daily MSCI
Real Estate Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(7,674 |
) |
$ |
25,164 |
$ |
1,402,465 |
$ |
713,039 |
||||||||||
Net realized gain (loss) |
24,981,429 |
(1,581,152 |
) |
41,310,998 |
(19,761,768 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
11,063,801 |
2,389,628 |
65,355,299 |
(13,293,396 |
) |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
36,037,556 |
833,640 |
108,068,762 |
(32,342,125 |
) |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(108,281 |
) |
(35,817 |
) |
(1,224,013 |
) |
(1,262,813 |
) |
|||||||||||
Return of capital |
— |
— |
— |
(63,897 |
) |
||||||||||||||
Total distributions |
(108,281 |
) |
(35,817 |
) |
(1,224,013 |
) |
(1,326,710 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
82,313,226 |
25,620,166 |
66,811,598 |
49,629,385 |
|||||||||||||||
Cost of shares redeemed |
(71,373,229 |
) |
(13,079,196 |
) |
(75,626,541 |
) |
(20,275,963 |
) |
|||||||||||
Transaction fees (Note 4) |
14,275 |
3,302 |
15,436 |
4,872 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
10,954,272 |
12,544,272 |
(8,799,507 |
) |
29,358,294 |
||||||||||||||
Total increase (decrease) in net assets |
46,883,547 |
13,342,095 |
98,045,242 |
(4,310,541 |
) |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
16,636,373 |
3,294,278 |
49,658,645 |
53,969,186 |
|||||||||||||||
End of year |
$ |
63,519,920 |
$ |
16,636,373 |
$ |
147,703,887 |
$ |
49,658,645 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
900,001 |
100,001 |
5,500,000 |
1,750,000 |
|||||||||||||||
Shares sold |
2,200,000 |
1,500,000 |
3,950,000 |
5,350,000 |
|||||||||||||||
Shares repurchased |
(1,700,000 |
) |
(700,000 |
) |
(3,800,000 |
) |
(1,600,000 |
) |
|||||||||||
Shares outstanding, end of year |
1,400,001 |
900,001 |
5,650,000 |
5,500,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
151
Statements of Changes in Net Assets
Direxion Daily MSCI
Real Estate Bear 3X Shares1 |
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(201,300 |
) |
$ |
(201,301 |
) |
$ |
(71,169 |
) |
$ |
(45,182 |
) |
|||||||
Net realized gain (loss) |
(22,402,448 |
) |
(40,073,574 |
) |
5,837,097 |
4,206,120 |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
(8,904,990 |
) |
5,546,779 |
(2,492,865 |
) |
1,543,976 |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
(31,508,738 |
) |
(34,728,096 |
) |
3,273,063 |
5,704,914 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(36,204 |
) |
— |
(198 |
) |
|||||||||||||
Return of capital |
— |
(17,857 |
) |
— |
— |
||||||||||||||
Total distributions |
— |
(54,061 |
) |
— |
(198 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
17,697,060 |
89,055,106 |
32,589,756 |
9,630,340 |
|||||||||||||||
Cost of shares redeemed |
(11,548,737 |
) |
(24,491,912 |
) |
(15,202,514 |
) |
(12,919,954 |
) |
|||||||||||
Transaction fees (Note 4) |
3,464 |
7,348 |
3,040 |
2,983 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
6,151,787 |
64,570,542 |
17,390,282 |
(3,286,631 |
) |
||||||||||||||
Total increase (decrease) in net assets |
(25,356,951 |
) |
29,788,385 |
20,663,345 |
2,418,085 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
45,283,297 |
15,494,912 |
11,029,420 |
8,611,335 |
|||||||||||||||
End of year |
$ |
19,926,346 |
$ |
45,283,297 |
$ |
31,692,765 |
$ |
11,029,420 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
295,144 |
60,144 |
700,001 |
550,001 |
|||||||||||||||
Shares sold |
305,000 |
365,000 |
1,700,000 |
850,000 |
|||||||||||||||
Shares repurchased |
(115,000 |
) |
(130,000 |
) |
(650,000 |
) |
(700,000 |
) |
|||||||||||
Shares outstanding, end of year |
485,144 |
295,144 |
1,750,001 |
700,001 |
1 Effective October 25, 2021, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
152
Statements of Changes in Net Assets
Direxion Daily
Regional Banks Bull 3X Shares2 |
Direxion Daily
Retail Bull 3X Shares1,2 |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
2,677,128 |
$ |
1,068,012 |
$ |
(261,661 |
) |
$ |
24,285 |
||||||||||
Net realized gain (loss) |
211,191,068 |
(32,167,562 |
) |
102,853,900 |
5,716,274 |
||||||||||||||
Change in net unrealized appreciation |
112,168,678 |
34,274,837 |
18,381,113 |
12,903,082 |
|||||||||||||||
Net increase in net
assets resulting from operations |
326,036,874 |
3,175,287 |
120,973,352 |
18,643,641 |
|||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(2,850,169 |
) |
(1,009,690 |
) |
(14,673 |
) |
(31,760 |
) |
|||||||||||
Return of capital |
— |
— |
— |
(24,233 |
) |
||||||||||||||
Total distributions |
(2,850,169 |
) |
(1,009,690 |
) |
(14,673 |
) |
(55,993 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
730,879,440 |
296,931,791 |
207,606,767 |
17,600,378 |
|||||||||||||||
Cost of shares redeemed |
(724,336,451 |
) |
(208,522,752 |
) |
(222,257,385 |
) |
(26,680,488 |
) |
|||||||||||
Transaction fees (Note 4) |
149,812 |
42,015 |
45,752 |
10,187 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
6,692,801 |
88,451,054 |
(14,604,866 |
) |
(9,069,923 |
) |
|||||||||||||
Total increase in net assets |
329,879,506 |
90,616,651 |
106,353,813 |
9,517,725 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
111,396,548 |
20,779,897 |
22,485,167 |
12,967,442 |
|||||||||||||||
End of year |
$ |
441,276,054 |
$ |
111,396,548 |
$ |
128,838,980 |
$ |
22,485,167 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
8,448,590 |
250,000 |
2,621,100 |
1,375,025 |
|||||||||||||||
Shares sold |
19,750,000 |
25,825,000 |
7,000,005 |
4,625,000 |
|||||||||||||||
Shares repurchased |
(19,550,000 |
) |
(17,626,410 |
) |
(6,550,000 |
) |
(3,378,925 |
) |
|||||||||||
Shares outstanding, end of year |
8,648,590 |
8,448,590 |
3,071,105 |
2,621,100 |
1 Effective January 11, 2021, the Fund had a 5:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 5:1 stock split.
2 Effective October 25, 2021, the Fund had a 5:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 5:1 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
153
Statements of Changes in Net Assets
Direxion Daily
S&P 500® High Beta Bull 3X Shares3 |
Direxion Daily
S&P 500® High Beta Bear 3X Shares2 |
||||||||||||||||||
Year Ended
October 31, 2021 |
For the Period
November 7, 20191 through October 31, 2020 |
Year Ended
October 31, 2021 |
For the Period
November 7, 20191 through October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(23,080 |
) |
$ |
(4,695 |
) |
$ |
(234,512 |
) |
$ |
(198,649 |
) |
|||||||
Net realized gain (loss) |
67,638,919 |
(3,840,905 |
) |
(67,826,311 |
) |
(40,710,211 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
37,925,359 |
5,237,261 |
(4,975,326 |
) |
(2,879,176 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
105,541,198 |
1,391,661 |
(73,036,149 |
) |
(43,788,036 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(82,925 |
) |
(9,005 |
) |
— |
(4,287 |
) |
||||||||||||
Return of capital |
— |
(21,225 |
) |
— |
(4,290 |
) |
|||||||||||||
Total distributions |
(82,925 |
) |
(30,230 |
) |
— |
(8,577 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
179,861,640 |
62,678,961 |
59,847,121 |
137,751,939 |
|||||||||||||||
Cost of shares redeemed |
(204,633,680 |
) |
(34,252,584 |
) |
(15,971,059 |
) |
(41,186,240 |
) |
|||||||||||
Transaction fees (Note 4) |
47,873 |
6,850 |
4,611 |
12,356 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(24,724,167 |
) |
28,433,227 |
43,880,673 |
96,578,055 |
||||||||||||||
Total increase (decrease) in net assets |
80,734,106 |
29,794,658 |
(29,155,476 |
) |
52,781,442 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
29,794,658 |
— |
52,781,442 |
— |
|||||||||||||||
End of year/period |
$ |
110,528,764 |
$ |
29,794,658 |
$ |
23,625,966 |
$ |
52,781,442 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
2,064,370 |
— |
522,500 |
— |
|||||||||||||||
Shares sold |
3,050,000 |
4,515,000 |
2,830,000 |
842,500 |
|||||||||||||||
Shares repurchased |
(3,650,000 |
) |
(2,450,630 |
) |
(745,672 |
) |
(320,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,464,370 |
2,064,370 |
2,606,828 |
522,500 |
1 Commencement of operations.
2 Effective January 11, 2021, the Fund had a 1:20 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:20 stock split.
3 Effective March 2, 2021, the Fund had a 7:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 7:1 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
154
Statements of Changes in Net Assets
Direxion Daily
S&P Biotech Bull 3X Shares |
Direxion Daily
S&P Biotech Bear 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(5,000,005 |
) |
$ |
(1,994,170 |
) |
$ |
(691,848 |
) |
$ |
(75,911 |
) |
|||||||
Net realized gain (loss) |
100,727,902 |
166,539,869 |
(95,689,771 |
) |
(79,575,607 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
(182,049,076 |
) |
173,850,942 |
10,819,563 |
(11,746,719 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
(86,321,179 |
) |
338,396,641 |
(85,562,056 |
) |
(91,398,237 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(45,139 |
) |
— |
(210,227 |
) |
|||||||||||||
Return of capital |
— |
(58 |
) |
— |
(166,472 |
) |
|||||||||||||
Total distributions |
— |
(45,197 |
) |
— |
(376,699 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
2,438,065,093 |
904,790,973 |
618,832,012 |
570,085,114 |
|||||||||||||||
Cost of shares redeemed |
(1,871,640,964 |
) |
(1,438,720,457 |
) |
(549,727,565 |
) |
(497,277,519 |
) |
|||||||||||
Transaction fees (Note 4) |
395,183 |
423,965 |
164,556 |
191,512 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
566,819,312 |
(533,505,519 |
) |
69,269,003 |
72,999,107 |
||||||||||||||
Total increase (decrease) in net assets |
480,498,133 |
(195,154,075 |
) |
(16,293,053 |
) |
(18,775,829 |
) |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
292,298,120 |
487,452,195 |
63,560,527 |
82,336,356 |
|||||||||||||||
End of year |
$ |
772,796,253 |
$ |
292,298,120 |
$ |
47,267,474 |
$ |
63,560,527 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
5,461,600 |
13,111,600 |
1,166,024 |
201,727 |
|||||||||||||||
Shares sold |
35,300,000 |
20,650,000 |
26,950,000 |
4,792,500 |
|||||||||||||||
Shares repurchased |
(26,250,000 |
) |
(28,300,000 |
) |
(25,900,000 |
) |
(3,828,203 |
) |
|||||||||||
Shares outstanding, end of year |
14,511,600 |
5,461,600 |
2,216,024 |
1,166,024 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
155
Statements of Changes in Net Assets
Direxion Daily
Semiconductor Bull 3X Shares1 |
Direxion Daily
Semiconductor Bear 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(364,352 |
) |
$ |
1,481,034 |
$ |
(954,077 |
) |
$ |
(28,822 |
) |
||||||||
Net realized gain (loss) |
2,854,167,978 |
476,516,849 |
(134,480,560 |
) |
(332,521,165 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
177,364,539 |
254,396,008 |
(6,837,423 |
) |
43,059,014 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
3,031,168,165 |
732,393,891 |
(142,272,060 |
) |
(289,490,973 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(2,155,338 |
) |
(2,162,182 |
) |
— |
(670,581 |
) |
||||||||||||
Return of capital |
— |
— |
— |
(258,713 |
) |
||||||||||||||
Total distributions |
(2,155,338 |
) |
(2,162,182 |
) |
— |
(929,294 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
7,073,156,222 |
2,184,104,805 |
909,892,171 |
687,308,307 |
|||||||||||||||
Cost of shares redeemed |
(7,267,499,520 |
) |
(2,230,101,221 |
) |
(716,193,908 |
) |
(540,681,918 |
) |
|||||||||||
Transaction fees (Note 4) |
1,585,045 |
528,716 |
214,858 |
209,841 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(192,758,253 |
) |
(45,467,700 |
) |
193,913,121 |
146,836,230 |
|||||||||||||
Total increase (decrease) in net assets |
2,836,254,574 |
684,764,009 |
51,641,061 |
(143,584,037 |
) |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
1,318,844,385 |
634,080,376 |
93,776,965 |
237,361,002 |
|||||||||||||||
End of year |
$ |
4,155,098,959 |
$ |
1,318,844,385 |
$ |
145,418,026 |
$ |
93,776,965 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
79,500,060 |
48,000,060 |
2,501,071 |
644,623 |
|||||||||||||||
Shares sold |
191,950,000 |
195,000,000 |
100,350,000 |
6,358,333 |
|||||||||||||||
Shares repurchased |
(184,200,000 |
) |
(163,500,000 |
) |
(77,550,000 |
) |
(4,501,885 |
) |
|||||||||||
Shares outstanding, end of year |
87,250,060 |
79,500,060 |
25,301,071 |
2,501,071 |
1 Effective March 2, 2021, the Fund had a 15:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 15:1 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
156
Statements of Changes in Net Assets
Direxion Daily
Technology Bull 3X Shares1 |
Direxion Daily
Technology Bear 3X Shares2 |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(6,583,994 |
) |
$ |
(1,375,555 |
) |
$ |
(596,741 |
) |
$ |
(100,132 |
) |
|||||||
Net realized gain (loss) |
1,514,493,652 |
195,969,897 |
(69,922,392 |
) |
(88,487,681 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
701,562,052 |
303,122,477 |
(17,326,206 |
) |
4,785,963 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
2,209,471,710 |
497,716,819 |
(87,845,339 |
) |
(83,801,850 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(10,258,380 |
) |
(1,713,106 |
) |
— |
(153,907 |
) |
||||||||||||
Return of capital |
— |
— |
— |
(89,972 |
) |
||||||||||||||
Total distributions |
(10,258,380 |
) |
(1,713,106 |
) |
— |
(243,879 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
2,343,364,226 |
2,138,462,002 |
158,795,876 |
229,231,551 |
|||||||||||||||
Cost of shares redeemed |
(3,042,099,387 |
) |
(1,849,492,104 |
) |
(84,069,407 |
) |
(124,577,695 |
) |
|||||||||||
Transaction fees (Note 4) |
793,128 |
473,754 |
25,220 |
87,777 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(697,942,033 |
) |
289,443,652 |
74,751,689 |
104,741,633 |
||||||||||||||
Total increase (decrease) in net assets |
1,501,271,297 |
785,447,365 |
(13,093,650 |
) |
20,695,904 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
1,560,088,049 |
774,640,684 |
80,035,843 |
59,339,939 |
|||||||||||||||
End of year |
$ |
3,061,359,346 |
$ |
1,560,088,049 |
$ |
66,942,193 |
$ |
80,035,843 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
61,000,000 |
42,000,000 |
541,485 |
62,033 |
|||||||||||||||
Shares sold |
42,250,000 |
85,500,000 |
2,500,000 |
1,020,000 |
|||||||||||||||
Shares repurchased |
(60,200,000 |
) |
(66,500,000 |
) |
(1,240,000 |
) |
(540,548 |
) |
|||||||||||
Shares outstanding, end of year |
43,050,000 |
61,000,000 |
1,801,485 |
541,485 |
1 Effective March 2, 2021, the Fund had a 10:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 10:1 stock split.
2 Effective October 25, 2021, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
157
Statements of Changes in Net Assets
Direxion Daily
Transportation Bull 3X Shares |
Direxion Daily
Utilities Bull 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(199,808 |
) |
$ |
(20,363 |
) |
$ |
236,892 |
$ |
206,583 |
|||||||||
Net realized gain (loss) |
43,911,743 |
2,721,366 |
5,877,480 |
(4,577,365 |
) |
||||||||||||||
Change in net unrealized appreciation |
15,345,107 |
12,452,876 |
1,911,538 |
1,322,418 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
59,057,042 |
15,153,879 |
8,025,910 |
(3,048,364 |
) |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(19,756 |
) |
(28,274 |
) |
(257,434 |
) |
(610,125 |
) |
|||||||||||
Return of capital |
— |
— |
— |
(5,652 |
) |
||||||||||||||
Total distributions |
(19,756 |
) |
(28,274 |
) |
(257,434 |
) |
(615,777 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
125,784,768 |
51,723,647 |
39,128,496 |
13,719,566 |
|||||||||||||||
Cost of shares redeemed |
(133,936,425 |
) |
(31,727,536 |
) |
(24,343,117 |
) |
(11,371,614 |
) |
|||||||||||
Transaction fees (Note 4) |
33,237 |
6,345 |
4,869 |
2,274 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(8,118,420 |
) |
20,002,456 |
14,790,248 |
2,350,226 |
||||||||||||||
Total increase (decrease) in net assets |
50,918,866 |
35,128,061 |
22,558,724 |
(1,313,915 |
) |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
38,879,180 |
3,751,119 |
14,715,381 |
16,029,296 |
|||||||||||||||
End of year |
$ |
89,798,046 |
$ |
38,879,180 |
$ |
37,274,105 |
$ |
14,715,381 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
2,150,001 |
150,001 |
550,001 |
350,001 |
|||||||||||||||
Shares sold |
3,250,000 |
4,300,000 |
1,400,000 |
600,000 |
|||||||||||||||
Shares repurchased |
(3,550,000 |
) |
(2,300,000 |
) |
(800,000 |
) |
(400,000 |
) |
|||||||||||
Shares outstanding, end of year |
1,850,001 |
2,150,001 |
1,150,001 |
550,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
158
Statements of Changes in Net Assets
Direxion Daily 7-10
Year Treasury Bull 3X Shares |
Direxion Daily 7-10
Year Treasury Bear 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(80,812 |
) |
$ |
(19,515 |
) |
$ |
(146,678 |
) |
$ |
(7,758 |
) |
|||||||
Net realized gain (loss) |
(520,359 |
) |
2,991,684 |
(865,095 |
) |
(3,720,905 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
(2,605,011 |
) |
29,783 |
1,481,064 |
1,530,535 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
(3,206,182 |
) |
3,001,952 |
469,291 |
(2,198,128 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(1,553,448 |
) |
(53,451 |
) |
— |
(32,183 |
) |
||||||||||||
Return of capital |
(167,130 |
) |
— |
— |
(13,020 |
) |
|||||||||||||
Total distributions |
(1,720,578 |
) |
(53,451 |
) |
— |
(45,203 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
13,941,367 |
13,510,156 |
22,674,915 |
2,122,397 |
|||||||||||||||
Cost of shares redeemed |
(5,211,721 |
) |
(18,530,135 |
) |
(403,393 |
) |
(4,125,300 |
) |
|||||||||||
Transaction fees (Note 4) |
1,564 |
5,559 |
121 |
19,800 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
8,731,210 |
(5,014,420 |
) |
22,271,643 |
(1,983,103 |
) |
|||||||||||||
Total increase (decrease) in net assets |
3,804,450 |
(2,065,919 |
) |
22,740,934 |
(4,226,434 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
19,534,353 |
21,600,272 |
6,882,281 |
11,108,715 |
|||||||||||||||
End of year |
$ |
23,338,803 |
$ |
19,534,353 |
$ |
29,623,215 |
$ |
6,882,281 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
300,000 |
400,000 |
850,000 |
1,050,000 |
|||||||||||||||
Shares sold |
250,000 |
200,000 |
2,600,000 |
250,000 |
|||||||||||||||
Shares repurchased |
(100,000 |
) |
(300,000 |
) |
(50,000 |
) |
(450,000 |
) |
|||||||||||
Shares outstanding, end of year |
450,000 |
300,000 |
3,400,000 |
850,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
159
Statements of Changes in Net Assets
Direxion Daily 20+
Year Treasury Bull 3X Shares |
Direxion Daily 20+
Year Treasury Bear 3X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
301,350 |
$ |
559,131 |
$ |
(1,956,090 |
) |
$ |
(89,109 |
) |
|||||||||
Net realized gain (loss) |
(46,606,271 |
) |
81,986,838 |
(547,287 |
) |
(96,025,160 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
(6,075,258 |
) |
(27,729,689 |
) |
(28,182,740 |
) |
25,819,147 |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
(52,380,179 |
) |
54,816,280 |
(30,686,117 |
) |
(70,295,122 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(5,652,475 |
) |
(933,267 |
) |
— |
(353,697 |
) |
||||||||||||
Return of capital |
(42,707 |
) |
— |
— |
(169,036 |
) |
|||||||||||||
Total distributions |
(5,695,182 |
) |
(933,267 |
) |
— |
(522,733 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
277,352,616 |
441,372,012 |
406,312,058 |
251,807,898 |
|||||||||||||||
Cost of shares redeemed |
(142,461,318 |
) |
(402,127,929 |
) |
(149,346,363 |
) |
(205,280,064 |
) |
|||||||||||
Transaction fees (Note 4) |
40,022 |
213,195 |
43,697 |
61,573 |
|||||||||||||||
Net increase in net
assets resulting from capital transactions |
134,931,320 |
39,457,278 |
257,009,392 |
46,589,407 |
|||||||||||||||
Total increase (decrease) in net assets |
76,855,959 |
93,340,291 |
226,323,275 |
(24,228,448 |
) |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
282,878,858 |
189,538,567 |
99,010,223 |
123,238,671 |
|||||||||||||||
End of year |
$ |
359,734,817 |
$ |
282,878,858 |
$ |
325,333,498 |
$ |
99,010,223 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
7,900,000 |
6,450,000 |
1,774,261 |
1,149,979 |
|||||||||||||||
Shares sold |
9,850,000 |
11,850,000 |
6,200,000 |
3,700,000 |
|||||||||||||||
Shares repurchased |
(4,950,000 |
) |
(10,400,000 |
) |
(2,300,000 |
) |
(3,075,718 |
) |
|||||||||||
Shares outstanding, end of year |
12,800,000 |
7,900,000 |
5,674,261 |
1,774,261 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
160
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net
Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net
Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net
Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
22.89 |
$ |
(0.08 |
) |
$ |
(0.07 |
) |
$ |
44.29 |
$ |
44.21 |
$ |
(0.01 |
) |
$ |
— |
$ |
— |
$ |
(0.01 |
) |
$ |
67.09 |
193.19 |
% |
$ |
90,584 |
0.96 |
% |
0.95 |
% |
(0.14 |
)% |
0.95 |
% |
0.94 |
% |
(0.13 |
)% |
33 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
42.25 |
0.06 |
0.08 |
(19.24 |
) |
(19.18 |
) |
(0.17 |
) |
— |
(0.01 |
) |
(0.18 |
) |
$ |
22.89 |
-45.61 |
% |
$ |
40,055 |
1.00 |
% |
1.06 |
% |
0.25 |
% |
0.95 |
% |
1.01 |
% |
0.30 |
% |
91 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
38.45 |
0.30 |
0.35 |
3.84 |
4.14 |
(0.34 |
) |
— |
— |
(0.34 |
) |
$ |
42.25 |
11.04 |
% |
$ |
46,481 |
1.08 |
% |
1.12 |
% |
0.75 |
% |
0.95 |
% |
0.99 |
% |
0.88 |
% |
23 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
42.92 |
0.22 |
0.29 |
(3.42 |
) |
(3.20 |
) |
(0.10 |
) |
(1.17 |
) |
— |
(1.27 |
) |
$ |
38.45 |
-7.90 |
% |
$ |
57,678 |
1.10 |
% |
1.13 |
% |
0.46 |
% |
0.95 |
% |
0.98 |
% |
0.61 |
% |
39 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
24.95 |
(0.06 |
) |
(0.03 |
) |
18.64 |
18.58 |
— |
(0.61 |
) |
— |
(0.61 |
) |
$ |
42.92 |
75.11 |
% |
$ |
62,242 |
1.04 |
% |
1.09 |
% |
(0.18 |
)% |
0.95 |
% |
1.00 |
% |
(0.09 |
)% |
130 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
48.08 |
0.13 |
0.14 |
82.25 |
82.38 |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
130.30 |
171.57 |
% |
$ |
3,348,750 |
0.91 |
% |
0.93 |
% |
0.14 |
% |
0.90 |
% |
0.92 |
% |
0.15 |
% |
28 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
55.25 |
0.16 |
0.20 |
(7.02 |
) |
(6.86 |
) |
(0.31 |
) |
— |
— |
(0.31 |
) |
$ |
48.08 |
-12.54 |
% |
$ |
1,331,734 |
1.03 |
% |
1.04 |
% |
0.34 |
% |
0.95 |
% |
0.96 |
% |
0.42 |
% |
223 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
43.04 |
0.45 |
0.56 |
12.26 |
12.71 |
(0.50 |
) |
— |
— |
(0.50 |
) |
$ |
55.25 |
29.95 |
% |
$ |
947,851 |
1.19 |
% |
1.19 |
% |
0.98 |
% |
0.95 |
% |
0.95 |
% |
1.22 |
% |
86 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
40.86 |
0.31 |
0.34 |
3.71 |
4.02 |
(0.24 |
) |
(1.60 |
) |
— |
(1.84 |
) |
$ |
43.04 |
9.74 |
% |
$ |
992,232 |
1.00 |
% |
1.00 |
% |
0.68 |
% |
0.95 |
% |
0.95 |
% |
0.73 |
% |
95 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
22.92 |
0.01 |
0.03 |
17.93 |
17.94 |
— |
— |
— |
— |
$ |
40.86 |
78.31 |
% |
$ |
692,851 |
1.01 |
% |
1.00 |
% |
0.03 |
% |
0.95 |
% |
0.94 |
% |
0.09 |
% |
99 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares11 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
61.00 |
(0.27 |
) |
(0.27 |
) |
(41.95 |
) |
(42.22 |
) |
— |
— |
— |
— |
$ |
18.78 |
-69.21 |
% |
$ |
388,357 |
0.95 |
% |
0.92 |
% |
(0.92 |
)% |
0.95 |
% |
0.92 |
% |
(0.92 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
160.60 |
(0.40 |
) |
(0.40 |
) |
(98.60 |
) |
(99.00 |
) |
(0.40 |
) |
— |
(0.20 |
) |
(0.60 |
) |
$ |
61.00 |
-61.87 |
% |
$ |
803,180 |
0.96 |
% |
0.99 |
% |
(0.45 |
)% |
0.95 |
% |
0.98 |
% |
(0.44 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
259.20 |
2.90 |
2.90 |
(98.60 |
) |
(95.70 |
) |
(2.90 |
) |
— |
— |
(2.90 |
) |
$ |
160.60 |
-37.21 |
% |
$ |
488,984 |
0.96 |
% |
0.96 |
% |
1.44 |
% |
0.95 |
% |
0.95 |
% |
1.45 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
339.40 |
1.80 |
1.80 |
(81.20 |
) |
(79.40 |
) |
(0.80 |
) |
— |
— |
(0.80 |
) |
$ |
259.20 |
-23.38 |
% |
$ |
267,114 |
0.95 |
% |
0.96 |
% |
0.68 |
% |
0.94 |
% |
0.95 |
% |
0.69 |
% |
1 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
646.50 |
(1.30 |
) |
(1.30 |
) |
(305.80 |
) |
(307.10 |
) |
— |
— |
— |
— |
$ |
339.40 |
-47.50 |
% |
$ |
381,925 |
0.93 |
% |
0.96 |
% |
(0.28 |
)% |
0.93 |
% |
0.96 |
% |
(0.28 |
)% |
7 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
32.03 |
(0.23 |
) |
(0.22 |
) |
61.35 |
61.12 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
93.14 |
190.83 |
% |
$ |
1,499,519 |
0.91 |
% |
0.91 |
% |
(0.28 |
)% |
0.90 |
% |
0.90 |
% |
(0.27 |
)% |
62 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
59.64 |
0.02 |
0.05 |
(27.47 |
) |
(27.45 |
) |
(0.12 |
) |
— |
(0.04 |
) |
(0.16 |
) |
$ |
32.03 |
-46.16 |
% |
$ |
831,202 |
1.03 |
% |
1.01 |
% |
0.06 |
% |
0.95 |
% |
0.93 |
% |
0.14 |
% |
76 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
61.79 |
0.32 |
0.46 |
(2.17 |
) |
(1.85 |
) |
(0.30 |
) |
— |
— |
(0.30 |
) |
$ |
59.64 |
-2.88 |
% |
$ |
730,592 |
1.18 |
% |
1.17 |
% |
0.56 |
% |
0.95 |
% |
0.94 |
% |
0.79 |
% |
53 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
66.18 |
0.20 |
0.31 |
(4.47 |
) |
(4.27 |
) |
(0.12 |
) |
— |
— |
(0.12 |
) |
$ |
61.79 |
-6.49 |
% |
$ |
883,562 |
1.10 |
% |
1.12 |
% |
0.26 |
% |
0.95 |
% |
0.97 |
% |
0.41 |
% |
51 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
34.41 |
(0.11 |
) |
(0.07 |
) |
31.88 |
31.77 |
— |
— |
— |
— |
$ |
66.18 |
92.36 |
% |
$ |
658,510 |
1.02 |
% |
1.03 |
% |
(0.21 |
)% |
0.95 |
% |
0.96 |
% |
(0.14 |
)% |
185 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares14 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
124.40 |
(0.33 |
) |
(0.33 |
) |
(97.18 |
) |
(97.51 |
) |
— |
— |
— |
— |
$ |
26.89 |
-78.38 |
% |
$ |
504,783 |
0.94 |
% |
0.90 |
% |
(0.91 |
)% |
0.94 |
% |
0.90 |
% |
(0.91 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
345.52 |
(0.88 |
) |
(0.88 |
) |
(218.88 |
) |
(219.76 |
) |
(0.96 |
) |
— |
(0.40 |
) |
(1.36 |
) |
$ |
124.40 |
-63.86 |
% |
$ |
545,802 |
0.97 |
% |
0.97 |
% |
(0.46 |
)% |
0.95 |
% |
0.95 |
% |
(0.44 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
462.40 |
5.44 |
5.60 |
(116.64 |
) |
(111.20 |
) |
(5.68 |
) |
— |
— |
(5.68 |
) |
$ |
345.52 |
-24.30 |
% |
$ |
321,403 |
0.99 |
% |
0.99 |
% |
1.36 |
% |
0.95 |
% |
0.95 |
% |
1.40 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
532.00 |
3.20 |
3.20 |
(70.80 |
) |
(67.60 |
) |
(2.00 |
) |
— |
— |
(2.00 |
) |
$ |
462.40 |
-12.65 |
% |
$ |
282,984 |
0.95 |
% |
0.96 |
% |
0.73 |
% |
0.95 |
% |
0.96 |
% |
0.73 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
1,229.20 |
(1.60 |
) |
(1.60 |
) |
(695.60 |
) |
(697.20 |
) |
— |
— |
— |
— |
$ |
532.00 |
-56.72 |
% |
$ |
647,079 |
0.96 |
% |
0.98 |
% |
(0.23 |
)% |
0.95 |
% |
0.97 |
% |
(0.22 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
16.78 |
0.03 |
0.03 |
(5.48 |
) |
(5.45 |
) |
(0.14 |
) |
— |
— |
(0.14 |
) |
$ |
11.19 |
-32.82 |
% |
$ |
482,288 |
0.95 |
% |
0.93 |
% |
0.17 |
% |
0.95 |
% |
0.93 |
% |
0.17 |
% |
50 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
18.05 |
0.15 |
0.16 |
(1.24 |
) |
(1.09 |
) |
(0.16 |
) |
— |
(0.02 |
) |
(0.18 |
) |
$ |
16.78 |
-6.03 |
% |
$ |
260,909 |
0.99 |
% |
1.01 |
% |
0.96 |
% |
0.95 |
% |
0.97 |
% |
1.00 |
% |
264 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
17.85 |
0.22 |
0.24 |
0.20 |
0.42 |
(0.22 |
) |
— |
— |
(0.22 |
) |
$ |
18.05 |
2.23 |
% |
$ |
329,403 |
1.05 |
% |
1.07 |
% |
1.12 |
% |
0.95 |
% |
0.97 |
% |
1.22 |
% |
142 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
32.66 |
0.48 |
0.50 |
(14.78 |
) |
(14.30 |
) |
(0.51 |
) |
— |
— |
(0.51 |
) |
$ |
17.85 |
-44.39 |
% |
$ |
307,058 |
1.02 |
% |
1.05 |
% |
1.63 |
% |
0.95 |
% |
0.98 |
% |
1.70 |
% |
158 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
17.25 |
(0.09 |
) |
(0.07 |
) |
15.50 |
15.41 |
— |
— |
— |
— |
$ |
32.66 |
89.33 |
% |
$ |
236,786 |
1.03 |
% |
1.08 |
% |
(0.41 |
)% |
0.95 |
% |
1.00 |
% |
(0.33 |
)% |
112 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
20.91 |
(0.14 |
) |
(0.14 |
) |
(3.91 |
) |
(4.05 |
) |
— |
— |
— |
— |
$ |
16.86 |
-19.37 |
% |
$ |
66,230 |
0.95 |
% |
0.98 |
% |
(0.93 |
)% |
0.95 |
% |
0.98 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
49.94 |
(0.05 |
) |
(0.04 |
) |
(28.78 |
) |
(28.83 |
) |
(0.11 |
) |
— |
(0.09 |
) |
(0.20 |
) |
$ |
20.91 |
-57.94 |
% |
$ |
44,477 |
0.98 |
% |
1.03 |
% |
(0.14 |
)% |
0.95 |
% |
1.00 |
% |
(0.11 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
71.04 |
0.65 |
0.71 |
(21.04 |
) |
(20.39 |
) |
(0.71 |
) |
— |
— |
(0.71 |
) |
$ |
49.94 |
-28.74 |
% |
$ |
78,771 |
1.05 |
% |
1.09 |
% |
1.27 |
% |
0.95 |
% |
0.99 |
% |
1.37 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
65.30 |
0.39 |
0.43 |
5.52 |
5.91 |
(0.17 |
) |
— |
— |
(0.17 |
) |
$ |
71.04 |
9.14 |
% |
$ |
80,084 |
1.02 |
% |
1.08 |
% |
0.69 |
% |
0.95 |
% |
1.01 |
% |
0.76 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
154.50 |
(0.30 |
) |
(0.30 |
) |
(88.90 |
) |
(89.20 |
) |
— |
— |
— |
— |
$ |
65.30 |
-57.73 |
% |
$ |
40,664 |
0.96 |
% |
1.05 |
% |
(0.28 |
)% |
0.95 |
% |
1.04 |
% |
(0.27 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
161
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net
Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net
Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net
Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
14.48 |
$ |
0.15 |
$ |
0.15 |
$ |
23.85 |
$ |
24.00 |
$ |
(0.14 |
) |
$ |
— |
$ |
— |
$ |
(0.14 |
) |
$ |
38.34 |
165.99 |
% |
$ |
47,924 |
0.96 |
% |
0.93 |
% |
0.45 |
% |
0.95 |
% |
0.92 |
% |
0.46 |
% |
51 |
% |
|||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
29.27 |
0.09 |
0.11 |
(14.74 |
) |
(14.65 |
) |
(0.14 |
) |
— |
— |
(0.14 |
) |
$ |
14.48 |
-50.09 |
% |
$ |
13,757 |
1.03 |
% |
1.09 |
% |
0.43 |
% |
0.95 |
% |
1.01 |
% |
0.51 |
% |
101 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
24.54 |
0.36 |
0.42 |
4.79 |
5.15 |
(0.42 |
) |
— |
— |
(0.42 |
) |
$ |
29.27 |
21.25 |
% |
$ |
27,804 |
1.18 |
% |
1.20 |
% |
1.41 |
% |
0.95 |
% |
0.97 |
% |
1.64 |
% |
111 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
36.99 |
0.54 |
0.56 |
(12.34 |
) |
(11.80 |
) |
(0.65 |
) |
— |
— |
(0.65 |
) |
$ |
24.54 |
-32.39 |
% |
$ |
46,632 |
1.00 |
% |
0.98 |
% |
1.52 |
% |
0.95 |
% |
0.93 |
% |
1.57 |
% |
54 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
18.88 |
0.22 |
0.25 |
17.89 |
18.11 |
— |
— |
— |
— |
$ |
36.99 |
95.92 |
% |
$ |
64,737 |
1.03 |
% |
1.06 |
% |
0.78 |
% |
0.95 |
% |
0.98 |
% |
0.86 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
59.82 |
(0.15 |
) |
(0.14 |
) |
21.73 |
21.58 |
(0.09 |
) |
— |
(0.04 |
) |
(0.13 |
) |
$ |
81.27 |
36.04 |
% |
$ |
169,181 |
0.96 |
% |
0.94 |
% |
(0.16 |
)% |
0.95 |
% |
0.93 |
% |
(0.15 |
)% |
87 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
73.05 |
0.27 |
0.31 |
(13.07 |
) |
(12.80 |
) |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
59.82 |
-16.88 |
% |
$ |
136,479 |
1.02 |
% |
1.04 |
% |
0.46 |
% |
0.95 |
% |
0.97 |
% |
0.53 |
% |
192 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
62.74 |
0.90 |
0.96 |
10.28 |
11.18 |
(0.87 |
) |
— |
— |
(0.87 |
) |
$ |
73.05 |
17.72 |
% |
$ |
188,596 |
1.04 |
% |
1.06 |
% |
1.24 |
% |
0.95 |
% |
0.97 |
% |
1.33 |
% |
66 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
115.85 |
1.02 |
1.05 |
(53.34 |
) |
(52.32 |
) |
(0.77 |
) |
— |
(0.02 |
) |
(0.79 |
) |
$ |
62.74 |
-45.51 |
% |
$ |
202,745 |
0.98 |
% |
0.99 |
% |
0.94 |
% |
0.95 |
% |
0.96 |
% |
0.97 |
% |
136 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
62.59 |
(0.37 |
) |
(0.28 |
) |
53.63 |
53.26 |
— |
— |
— |
— |
$ |
115.85 |
85.09 |
% |
$ |
275,919 |
1.06 |
% |
1.08 |
% |
(0.47 |
)% |
0.95 |
% |
0.97 |
% |
(0.36 |
)% |
38 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
17.25 |
(0.08 |
) |
(0.08 |
) |
(8.14 |
) |
(8.22 |
) |
— |
— |
— |
— |
$ |
9.03 |
-47.65 |
% |
$ |
26,590 |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
42.02 |
(0.04 |
) |
(0.03 |
) |
(24.56 |
) |
(24.60 |
) |
(0.11 |
) |
— |
(0.06 |
) |
(0.17 |
) |
$ |
17.25 |
-58.79 |
% |
$ |
38,720 |
0.98 |
% |
1.08 |
% |
(0.12 |
)% |
0.95 |
% |
1.05 |
% |
(0.09 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
64.78 |
0.63 |
0.67 |
(22.66 |
) |
(22.03 |
) |
(0.73 |
) |
— |
— |
(0.73 |
) |
$ |
42.02 |
-34.15 |
% |
$ |
62,837 |
1.02 |
% |
1.08 |
% |
1.32 |
% |
0.95 |
% |
1.01 |
% |
1.39 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
50.55 |
0.30 |
0.32 |
14.09 |
14.39 |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
64.78 |
28.60 |
% |
$ |
90,383 |
0.99 |
% |
1.03 |
% |
0.64 |
% |
0.95 |
% |
0.99 |
% |
0.68 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
114.55 |
(0.20 |
) |
(0.20 |
) |
(63.80 |
) |
(64.00 |
) |
— |
— |
— |
— |
$ |
50.55 |
-55.87 |
% |
$ |
84,166 |
0.96 |
% |
1.00 |
% |
(0.26 |
)% |
0.95 |
% |
0.99 |
% |
(0.25 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
31.99 |
(0.03 |
) |
(0.02 |
) |
51.33 |
51.30 |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
83.10 |
160.49 |
% |
$ |
15,225 |
0.96 |
% |
0.99 |
% |
(0.04 |
)% |
0.95 |
% |
0.98 |
% |
(0.03 |
)% |
180 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
130.32 |
0.08 |
0.12 |
(97.90 |
) |
(97.82 |
) |
(0.42 |
) |
— |
(0.09 |
) |
(0.51 |
) |
$ |
31.99 |
-75.36 |
% |
$ |
10,660 |
1.03 |
% |
1.26 |
% |
0.18 |
% |
0.95 |
% |
1.18 |
% |
0.26 |
% |
188 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
128.28 |
2.04 |
2.16 |
2.28 |
4.32 |
(2.28 |
) |
— |
— |
(2.28 |
) |
$ |
130.32 |
3.42 |
% |
$ |
11,400 |
1.05 |
% |
1.20 |
% |
1.69 |
% |
0.95 |
% |
1.10 |
% |
1.79 |
% |
325 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
261.96 |
3.48 |
3.48 |
(130.56 |
) |
(127.08 |
) |
(6.60 |
) |
— |
— |
(6.60 |
) |
$ |
128.28 |
-49.66 |
% |
$ |
4,809 |
0.96 |
% |
1.13 |
% |
1.50 |
% |
0.95 |
% |
1.12 |
% |
1.51 |
% |
140 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period May
3, 20179 through October 31, 2017 |
$ |
300.00 |
0.48 |
0.48 |
(38.52 |
) |
(38.04 |
) |
— |
— |
— |
— |
$ |
261.96 |
-12.68 |
% |
$ |
3,274 |
0.96 |
% |
2.74 |
% |
0.30 |
% |
0.95 |
% |
2.73 |
% |
0.29 |
% |
647 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
16.66 |
(0.27 |
) |
(0.27 |
) |
9.73 |
9.46 |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
26.12 |
56.80 |
% |
$ |
47,022 |
0.96 |
% |
0.97 |
% |
(0.73 |
)% |
0.95 |
% |
0.96 |
% |
(0.72 |
)% |
97 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
21.32 |
(0.00 |
)10 |
0.01 |
(4.47 |
) |
(4.47 |
) |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
16.66 |
-21.27 |
% |
$ |
25,821 |
1.01 |
% |
1.15 |
% |
(0.02 |
)% |
0.95 |
% |
1.09 |
% |
0.04 |
% |
327 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
24.13 |
0.16 |
0.18 |
(2.78 |
) |
(2.62 |
) |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
21.32 |
-10.93 |
% |
$ |
25,580 |
1.04 |
% |
1.10 |
% |
0.71 |
% |
0.95 |
% |
1.01 |
% |
0.80 |
% |
149 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
60.22 |
0.36 |
0.39 |
(34.01 |
) |
(33.65 |
) |
(0.60 |
) |
(1.84 |
) |
— |
(2.44 |
) |
$ |
24.13 |
-58.26 |
% |
$ |
22,924 |
1.03 |
% |
1.16 |
% |
0.76 |
% |
0.95 |
% |
1.08 |
% |
0.84 |
% |
96 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
26.57 |
(0.21 |
) |
(0.21 |
) |
33.86 |
33.65 |
— |
— |
— |
— |
$ |
60.22 |
126.65 |
% |
$ |
12,044 |
0.97 |
% |
1.35 |
% |
(0.53 |
)% |
0.95 |
% |
1.33 |
% |
(0.51 |
)% |
88 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.87 |
(0.03 |
) |
(0.03 |
) |
11.75 |
11.72 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
20.58 |
132.19 |
% |
$ |
280,890 |
0.96 |
% |
0.93 |
% |
(0.17 |
)% |
0.95 |
% |
0.92 |
% |
(0.16 |
)% |
64 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
55.54 |
0.01 |
(0.01 |
) |
(46.58 |
) |
(46.57 |
) |
(0.06 |
) |
— |
(0.04 |
) |
(0.10 |
) |
$ |
8.87 |
-83.86 |
% |
$ |
199,485 |
0.99 |
% |
1.02 |
% |
0.07 |
% |
0.95 |
% |
0.98 |
% |
0.11 |
% |
159 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
42.15 |
0.30 |
0.46 |
13.43 |
13.73 |
(0.34 |
) |
— |
— |
(0.34 |
) |
$ |
55.54 |
32.78 |
% |
$ |
52,759 |
1.30 |
% |
1.34 |
% |
0.63 |
% |
0.95 |
% |
0.99 |
% |
0.98 |
% |
54 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
40.03 |
0.20 |
0.27 |
2.81 |
3.01 |
(0.26 |
) |
(0.63 |
) |
— |
(0.89 |
) |
$ |
42.15 |
7.39 |
% |
$ |
56,900 |
1.09 |
% |
1.11 |
% |
0.40 |
% |
0.95 |
% |
0.97 |
% |
0.54 |
% |
39 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Period May
3, 20179 through October 31, 2017 |
$ |
25.00 |
0.07 |
0.07 |
14.96 |
15.03 |
— |
— |
— |
— |
$ |
40.03 |
60.12 |
% |
$ |
42,032 |
0.98 |
% |
1.34 |
% |
0.39 |
% |
0.95 |
% |
1.31 |
% |
0.42 |
% |
7 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
36.13 |
(0.33 |
) |
(0.33 |
) |
56.31 |
55.98 |
— |
— |
— |
— |
$ |
92.11 |
154.94 |
% |
$ |
55,264 |
0.96 |
% |
0.99 |
% |
(0.54 |
)% |
0.95 |
% |
0.98 |
% |
(0.53 |
)% |
18 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
31.74 |
(0.06 |
) |
(0.05 |
) |
4.52 |
4.46 |
(0.07 |
) |
— |
— |
(0.07 |
) |
$ |
36.13 |
14.26 |
% |
$ |
12,647 |
1.00 |
% |
1.46 |
% |
(0.20 |
)% |
0.95 |
% |
1.41 |
% |
(0.15 |
)% |
101 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period
November 29, 20189 through October 31, 2019 |
$ |
25.00 |
0.15 |
0.18 |
6.79 |
6.94 |
(0.17 |
) |
— |
(0.03 |
) |
(0.20 |
) |
$ |
31.74 |
27.83 |
% |
$ |
6,347 |
1.08 |
% |
2.18 |
% |
0.55 |
% |
0.95 |
% |
2.05 |
% |
0.68 |
% |
66 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
45.47 |
(0.62 |
) |
(0.62 |
) |
42.08 |
41.46 |
— |
— |
— |
— |
$ |
86.93 |
91.18 |
% |
$ |
99,968 |
0.96 |
% |
0.96 |
% |
(0.81 |
)% |
0.95 |
% |
0.95 |
% |
(0.80 |
)% |
65 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Period
November 7, 20199 through October 31, 2020 |
$ |
25.00 |
(0.25 |
) |
(0.24 |
) |
20.74 |
20.49 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
45.47 |
81.99 |
% |
$ |
34,100 |
0.97 |
% |
1.14 |
% |
(0.66 |
)% |
0.95 |
% |
1.12 |
% |
(0.64 |
)% |
123 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
162
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net
Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net
Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net
Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
44.23 |
$ |
(0.18 |
) |
$ |
(0.18 |
) |
$ |
(29.66 |
) |
$ |
(29.84 |
) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
14.39 |
-67.47 |
% |
$ |
4,604 |
0.95 |
% |
1.56 |
% |
(0.93 |
)% |
0.95 |
% |
1.56 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||
For the Period
November 7, 20199 through October 31, 2020 |
$ |
250.00 |
(0.24 |
) |
(0.23 |
) |
(204.96 |
) |
(205.20 |
) |
(0.28 |
) |
— |
(0.29 |
) |
(0.57 |
) |
$ |
44.23 |
-82.26 |
% |
$ |
5,305 |
0.96 |
% |
2.14 |
% |
(0.30 |
)% |
0.95 |
% |
2.13 |
% |
(0.29 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
33.61 |
0.52 |
0.53 |
110.82 |
111.34 |
(0.50 |
) |
— |
— |
(0.50 |
) |
$ |
144.45 |
332.26 |
% |
$ |
3,582,160 |
0.86 |
% |
0.91 |
% |
0.56 |
% |
0.85 |
% |
0.90 |
% |
0.57 |
% |
70 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
80.94 |
0.32 |
0.36 |
(47.34 |
) |
(47.02 |
) |
(0.31 |
) |
— |
— |
(0.31 |
) |
$ |
33.61 |
-58.07 |
% |
$ |
1,347,638 |
1.03 |
% |
1.03 |
% |
0.73 |
% |
0.94 |
% |
0.94 |
% |
0.82 |
% |
247 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
58.65 |
0.68 |
0.88 |
22.25 |
22.93 |
(0.64 |
) |
— |
(0.00 |
)10 |
(0.64 |
) |
$ |
80.94 |
39.44 |
% |
$ |
1,339,498 |
1.26 |
% |
1.25 |
% |
1.04 |
% |
0.95 |
% |
0.94 |
% |
1.35 |
% |
29 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
60.31 |
0.60 |
0.67 |
(1.70 |
) |
(1.10 |
) |
(0.56 |
) |
— |
— |
(0.56 |
) |
$ |
58.65 |
-1.98 |
% |
$ |
1,627,513 |
1.04 |
% |
1.05 |
% |
0.89 |
% |
0.94 |
% |
0.95 |
% |
0.99 |
% |
73 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
29.34 |
0.11 |
0.15 |
30.86 |
30.97 |
— |
— |
— |
— |
$ |
60.31 |
105.56 |
% |
$ |
1,538,012 |
1.03 |
% |
1.02 |
% |
0.24 |
% |
0.95 |
% |
0.94 |
% |
0.32 |
% |
4 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares14 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
118.00 |
(0.33 |
) |
(0.33 |
) |
(99.34 |
) |
(99.67 |
) |
— |
— |
— |
— |
$ |
18.33 |
-84.47 |
% |
$ |
130,234 |
0.95 |
% |
0.92 |
% |
(0.93 |
)% |
0.95 |
% |
0.92 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
261.76 |
(0.88 |
) |
(0.80 |
) |
(141.92 |
) |
(142.80 |
) |
(0.64 |
) |
— |
(0.32 |
) |
(0.96 |
) |
$ |
118.00 |
-54.76 |
% |
$ |
271,668 |
0.96 |
% |
0.98 |
% |
(0.48 |
)% |
0.95 |
% |
0.97 |
% |
(0.47 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
449.20 |
4.72 |
4.88 |
(187.52 |
) |
(182.80 |
) |
(4.64 |
) |
— |
— |
(4.64 |
) |
$ |
261.76 |
-40.98 |
% |
$ |
175,801 |
0.99 |
% |
1.00 |
% |
1.37 |
% |
0.95 |
% |
0.96 |
% |
1.41 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
538.40 |
2.80 |
2.80 |
(90.40 |
) |
(87.60 |
) |
(1.60 |
) |
— |
— |
(1.60 |
) |
$ |
449.20 |
-16.26 |
% |
$ |
141,799 |
0.95 |
% |
0.96 |
% |
0.69 |
% |
0.95 |
% |
0.96 |
% |
0.69 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
1,255.60 |
(2.00 |
) |
(2.00 |
) |
(715.20 |
) |
(717.20 |
) |
— |
— |
— |
— |
$ |
538.40 |
-57.12 |
% |
$ |
178,750 |
0.95 |
% |
1.00 |
% |
(0.26 |
)% |
0.95 |
% |
1.00 |
% |
(0.26 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
55.70 |
(0.04 |
) |
(0.04 |
) |
68.31 |
68.27 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
123.96 |
122.57 |
% |
$ |
254,116 |
0.96 |
% |
0.94 |
% |
(0.05 |
)% |
0.95 |
% |
0.93 |
% |
(0.04 |
)% |
2 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
58.15 |
0.12 |
0.16 |
(2.44 |
) |
(2.32 |
) |
(0.13 |
) |
— |
— |
(0.13 |
) |
$ |
55.70 |
-3.85 |
% |
$ |
103,039 |
1.01 |
% |
1.04 |
% |
0.20 |
% |
0.95 |
% |
0.98 |
% |
0.26 |
% |
228 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
53.02 |
0.40 |
0.46 |
5.16 |
5.56 |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
58.15 |
10.61 |
% |
$ |
139,550 |
1.07 |
% |
1.08 |
% |
0.75 |
% |
0.95 |
% |
0.96 |
% |
0.87 |
% |
16 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
44.17 |
0.20 |
0.25 |
8.94 |
9.14 |
(0.27 |
) |
(0.02 |
) |
— |
(0.29 |
) |
$ |
53.02 |
20.69 |
% |
$ |
151,104 |
1.06 |
% |
1.07 |
% |
0.40 |
% |
0.95 |
% |
0.96 |
% |
0.51 |
% |
43 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
25.86 |
(0.01 |
) |
0.01 |
18.32 |
18.31 |
— |
— |
— |
— |
$ |
44.17 |
70.80 |
% |
$ |
143,567 |
1.00 |
% |
1.02 |
% |
(0.02 |
)% |
0.95 |
% |
0.97 |
% |
0.03 |
% |
23 |
% |
||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
39.58 |
(0.25 |
) |
(0.24 |
) |
43.95 |
43.70 |
— |
— |
— |
— |
$ |
83.28 |
110.41 |
% |
$ |
383,075 |
0.96 |
% |
0.94 |
% |
(0.37 |
)% |
0.94 |
% |
0.92 |
% |
(0.35 |
)% |
95 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
70.39 |
(0.12 |
) |
(0.10 |
) |
(30.69 |
) |
(30.81 |
) |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
39.58 |
-43.74 |
% |
$ |
360,141 |
1.01 |
% |
1.02 |
% |
(0.34 |
)% |
0.95 |
% |
0.96 |
% |
(0.28 |
)% |
134 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
28.33 |
0.15 |
0.22 |
42.09 |
42.24 |
(0.17 |
) |
— |
(0.01 |
) |
(0.18 |
) |
$ |
70.39 |
149.83 |
% |
$ |
66,870 |
1.12 |
% |
1.17 |
% |
0.34 |
% |
0.95 |
% |
1.00 |
% |
0.51 |
% |
24 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
71.69 |
0.05 |
0.08 |
(42.24 |
) |
(42.19 |
) |
(0.02 |
) |
(1.15 |
) |
— |
(1.17 |
) |
$ |
28.33 |
-59.92 |
% |
$ |
39,667 |
0.99 |
% |
1.03 |
% |
0.09 |
% |
0.95 |
% |
0.99 |
% |
0.13 |
% |
38 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
21.24 |
(0.17 |
) |
(0.14 |
) |
50.62 |
50.45 |
— |
— |
— |
— |
$ |
71.69 |
237.52 |
% |
$ |
39,428 |
1.02 |
% |
1.45 |
% |
(0.39 |
)% |
0.95 |
% |
1.38 |
% |
(0.32 |
)% |
164 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
18.48 |
(0.00 |
)10 |
(0.00 |
)10 |
26.96 |
26.96 |
(0.03 |
) |
(0.04 |
) |
— |
(0.07 |
) |
$ |
45.37 |
146.14 |
% |
$ |
63,520 |
0.96 |
% |
0.96 |
% |
(0.01 |
)% |
0.95 |
% |
0.95 |
% |
0.00 |
% |
3 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
32.94 |
0.05 |
0.06 |
(14.36 |
) |
(14.31 |
) |
(0.15 |
) |
— |
— |
(0.15 |
) |
$ |
18.48 |
-43.33 |
% |
$ |
16,636 |
0.97 |
% |
1.44 |
% |
0.27 |
% |
0.95 |
% |
1.42 |
% |
0.29 |
% |
103 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
26.25 |
0.37 |
0.39 |
6.75 |
7.12 |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
32.94 |
27.57 |
% |
$ |
3,294 |
1.03 |
% |
1.84 |
% |
1.25 |
% |
0.95 |
% |
1.76 |
% |
1.33 |
% |
228 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
30.93 |
0.22 |
0.25 |
(4.54 |
) |
(4.32 |
) |
(0.27 |
) |
(0.09 |
) |
— |
(0.36 |
) |
$ |
26.25 |
-14.26 |
% |
$ |
3,937 |
1.05 |
% |
1.58 |
% |
0.62 |
% |
0.95 |
% |
1.48 |
% |
0.72 |
% |
26 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Period May
3, 20179 through October 31, 2017 |
$ |
25.00 |
0.05 |
0.05 |
5.88 |
5.93 |
— |
— |
— |
— |
$ |
30.93 |
23.72 |
% |
$ |
3,093 |
0.95 |
% |
3.54 |
% |
0.34 |
% |
0.95 |
% |
3.54 |
% |
0.34 |
% |
111 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
9.03 |
0.22 |
0.22 |
17.08 |
17.30 |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
26.14 |
192.60 |
% |
$ |
147,704 |
0.96 |
% |
0.94 |
% |
1.18 |
% |
0.95 |
% |
0.93 |
% |
1.19 |
% |
20 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
30.84 |
0.19 |
0.19 |
(21.40 |
) |
(21.21 |
) |
(0.17 |
) |
(0.40 |
) |
(0.03 |
) |
(0.60 |
) |
$ |
9.03 |
-69.35 |
% |
$ |
49,659 |
1.01 |
% |
1.08 |
% |
1.40 |
% |
0.95 |
% |
1.02 |
% |
1.46 |
% |
123 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
19.59 |
0.54 |
0.59 |
11.20 |
11.74 |
(0.49 |
) |
— |
— |
(0.49 |
) |
$ |
30.84 |
60.83 |
% |
$ |
53,969 |
1.14 |
% |
1.22 |
% |
2.21 |
% |
0.95 |
% |
1.03 |
% |
2.40 |
% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
21.70 |
0.50 |
0.53 |
(2.01 |
) |
(1.51 |
) |
(0.48 |
) |
— |
(0.12 |
) |
(0.60 |
) |
$ |
19.59 |
-7.13 |
% |
$ |
40,163 |
1.09 |
% |
1.12 |
% |
2.55 |
% |
0.95 |
% |
0.98 |
% |
2.69 |
% |
149 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
20.09 |
0.05 |
0.06 |
1.56 |
1.61 |
— |
— |
— |
— |
$ |
21.70 |
8.01 |
% |
$ |
69,453 |
1.00 |
% |
1.05 |
% |
0.20 |
% |
0.95 |
% |
1.00 |
% |
0.25 |
% |
113 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares18 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
153.40 |
(0.64 |
) |
(0.64 |
) |
(111.69 |
) |
(112.33 |
) |
— |
— |
— |
— |
$ |
41.07 |
-73.23 |
% |
$ |
19,926 |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
257.60 |
(1.10 |
) |
(1.10 |
) |
(102.20 |
) |
(103.30 |
) |
(0.60 |
) |
— |
(0.30 |
) |
(0.90 |
) |
$ |
153.40 |
-40.31 |
% |
$ |
45,283 |
0.96 |
% |
1.14 |
% |
(0.60 |
)% |
0.95 |
% |
1.13 |
% |
(0.59 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
502.00 |
5.00 |
5.00 |
(244.60 |
) |
(239.60 |
) |
(4.80 |
) |
— |
— |
(4.80 |
) |
$ |
257.60 |
-47.94 |
% |
$ |
15,495 |
0.97 |
% |
1.28 |
% |
1.41 |
% |
0.95 |
% |
1.26 |
% |
1.43 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
564.00 |
4.00 |
4.00 |
(64.50 |
) |
(60.50 |
) |
(1.50 |
) |
— |
— |
(1.50 |
) |
$ |
502.00 |
-10.68 |
% |
$ |
19,156 |
0.99 |
% |
1.36 |
% |
0.71 |
% |
0.95 |
% |
1.32 |
% |
0.75 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
714.00 |
(2.00 |
) |
(2.00 |
) |
(148.00 |
) |
(150.00 |
) |
— |
— |
— |
— |
$ |
564.00 |
-21.01 |
% |
$ |
15,882 |
0.97 |
% |
1.36 |
% |
(0.33 |
)% |
0.95 |
% |
1.34 |
% |
(0.31 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
163
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net
Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net
Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net
Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
15.76 |
$ |
(0.09 |
) |
$ |
(0.08 |
) |
$ |
2.44 |
$ |
2.35 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
18.11 |
14.91 |
% |
$ |
31,693 |
0.95 |
% |
1.07 |
% |
(0.39 |
)% |
0.95 |
% |
1.07 |
% |
(0.39 |
)% |
115 |
% |
|||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
15.66 |
(0.06 |
) |
(0.04 |
) |
0.16 |
0.10 |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
15.76 |
0.64 |
% |
$ |
11,029 |
1.03 |
% |
1.38 |
% |
(0.34 |
)% |
0.95 |
% |
1.30 |
% |
(0.26 |
)% |
165 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
26.53 |
0.12 |
0.12 |
(10.80 |
) |
(10.68 |
) |
(0.18 |
) |
— |
(0.01 |
) |
(0.19 |
) |
$ |
15.66 |
-40.41 |
% |
$ |
8,611 |
0.97 |
% |
1.43 |
% |
0.72 |
% |
0.95 |
% |
1.41 |
% |
0.74 |
% |
246 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Period
November 15, 20179 through October 31, 2018 |
$ |
25.00 |
0.08 |
0.09 |
1.56 |
1.64 |
(0.10 |
) |
— |
(0.01 |
) |
(0.11 |
) |
$ |
26.53 |
6.49 |
% |
$ |
3,979 |
0.98 |
% |
2.01 |
% |
0.30 |
% |
0.95 |
% |
1.98 |
% |
0.33 |
% |
152 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares19 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
13.19 |
0.28 |
0.28 |
37.83 |
38.11 |
(0.28 |
) |
— |
— |
(0.28 |
) |
$ |
51.02 |
290.09 |
% |
$ |
441,276 |
0.91 |
% |
0.89 |
% |
0.70 |
% |
0.90 |
% |
0.88 |
% |
0.71 |
% |
147 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
83.12 |
0.21 |
0.21 |
(69.69 |
) |
(69.48 |
) |
(0.45 |
) |
— |
— |
(0.45 |
) |
$ |
13.19 |
-83.83 |
% |
$ |
111,397 |
0.97 |
% |
1.00 |
% |
1.64 |
% |
0.95 |
% |
0.98 |
% |
1.66 |
% |
331 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
99.44 |
1.40 |
1.44 |
(16.30 |
) |
(14.90 |
) |
(1.42 |
) |
— |
— |
(1.42 |
) |
$ |
83.12 |
-14.83 |
% |
$ |
20,780 |
0.99 |
% |
1.07 |
% |
1.64 |
% |
0.95 |
% |
1.03 |
% |
1.68 |
% |
81 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
133.96 |
1.24 |
1.34 |
(34.54 |
) |
(33.30 |
) |
(1.22 |
) |
— |
— |
(1.22 |
) |
$ |
99.44 |
-25.20 |
% |
$ |
29,835 |
1.02 |
% |
1.04 |
% |
0.79 |
% |
0.95 |
% |
0.97 |
% |
0.86 |
% |
76 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
69.40 |
0.30 |
0.32 |
64.46 |
64.76 |
(0.20 |
) |
— |
— |
(0.20 |
) |
$ |
133.96 |
93.38 |
% |
$ |
26,794 |
0.96 |
% |
1.07 |
% |
0.25 |
% |
0.95 |
% |
1.06 |
% |
0.26 |
% |
184 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares13,19 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.58 |
(0.09 |
) |
(0.08 |
) |
33.46 |
33.37 |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
41.95 |
389.07 |
% |
$ |
128,839 |
0.97 |
% |
0.92 |
% |
(0.24 |
)% |
0.95 |
% |
0.90 |
% |
(0.22 |
)% |
112 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
9.43 |
0.01 |
0.01 |
(0.82 |
) |
(0.81 |
) |
(0.02 |
) |
— |
(0.02 |
) |
(0.04 |
) |
$ |
8.58 |
-7.65 |
% |
$ |
22,485 |
0.99 |
% |
1.17 |
% |
0.12 |
% |
0.95 |
% |
1.13 |
% |
0.16 |
% |
171 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
14.76 |
0.13 |
0.13 |
(5.34 |
) |
(5.21 |
) |
(0.12 |
) |
— |
— |
(0.12 |
) |
$ |
9.43 |
-35.35 |
% |
$ |
12,967 |
1.01 |
% |
1.16 |
% |
1.15 |
% |
0.95 |
% |
1.10 |
% |
1.21 |
% |
84 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
9.80 |
0.08 |
0.11 |
4.98 |
5.06 |
(0.10 |
) |
— |
— |
(0.10 |
) |
$ |
14.76 |
51.66 |
% |
$ |
31,367 |
1.09 |
% |
1.15 |
% |
0.59 |
% |
0.95 |
% |
1.01 |
% |
0.73 |
% |
81 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
15.45 |
(0.01 |
) |
(0.01 |
) |
(5.26 |
) |
(5.27 |
) |
— |
(0.38 |
) |
— |
(0.38 |
) |
$ |
9.80 |
-35.22 |
% |
$ |
36,728 |
0.99 |
% |
1.09 |
% |
(0.10 |
)% |
0.95 |
% |
1.05 |
% |
(0.06 |
)% |
659 |
% |
|||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares15 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
14.43 |
(0.01 |
) |
(0.01 |
) |
61.10 |
61.09 |
(0.04 |
) |
— |
— |
(0.04 |
) |
$ |
75.48 |
423.32 |
% |
$ |
110,529 |
0.96 |
% |
0.97 |
% |
(0.02 |
)% |
0.95 |
% |
0.96 |
% |
(0.01 |
)% |
151 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period
November 7, 20199 through October 31, 2020 |
$ |
35.71 |
— |
— |
(21.14 |
) |
(21.14 |
) |
(0.04 |
) |
— |
(0.10 |
) |
(0.14 |
) |
$ |
14.43 |
-59.13 |
% |
$ |
29,795 |
0.97 |
% |
1.16 |
% |
(0.03 |
)% |
0.95 |
% |
1.14 |
% |
(0.01 |
)% |
245 |
% |
||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares12 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
101.00 |
(0.15 |
) |
(0.15 |
) |
(91.79 |
) |
(91.94 |
) |
— |
— |
— |
— |
$ |
9.06 |
-91.03 |
% |
$ |
23,626 |
0.95 |
% |
1.03 |
% |
(0.93 |
)% |
0.95 |
% |
1.03 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period
November 7, 20199 through October 31, 2020 |
$ |
500.00 |
(1.00 |
) |
(1.00 |
) |
(397.20 |
) |
(398.20 |
) |
(0.40 |
) |
— |
(0.40 |
) |
(0.80 |
) |
$ |
101.00 |
-79.76 |
% |
$ |
52,781 |
0.96 |
% |
1.10 |
% |
(0.79 |
)% |
0.95 |
% |
1.09 |
% |
(0.78 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
53.52 |
(0.57 |
) |
(0.57 |
) |
0.30 |
(0.27 |
) |
— |
— |
— |
— |
$ |
53.25 |
-0.50 |
% |
$ |
772,796 |
0.95 |
% |
0.93 |
% |
(0.82 |
)% |
0.94 |
% |
0.92 |
% |
(0.81 |
)% |
169 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
37.18 |
(0.23 |
) |
(0.19 |
) |
16.58 |
16.35 |
(0.01 |
) |
— |
(0.00 |
)10 |
(0.01 |
) |
$ |
53.52 |
43.96 |
% |
$ |
292,298 |
1.04 |
% |
1.05 |
% |
(0.48 |
)% |
0.95 |
% |
0.96 |
% |
(0.39 |
)% |
137 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
49.33 |
0.24 |
0.25 |
(12.14 |
) |
(11.90 |
) |
(0.25 |
) |
— |
— |
(0.25 |
) |
$ |
37.18 |
-24.17 |
% |
$ |
487,452 |
0.98 |
% |
0.98 |
% |
0.53 |
% |
0.95 |
% |
0.95 |
% |
0.56 |
% |
114 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
76.45 |
0.15 |
0.31 |
(27.03 |
) |
(26.88 |
) |
(0.11 |
) |
(0.13 |
) |
— |
(0.24 |
) |
$ |
49.33 |
-35.28 |
% |
$ |
592,472 |
1.14 |
% |
1.15 |
% |
0.18 |
% |
0.95 |
% |
0.96 |
% |
0.37 |
% |
510 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
28.82 |
(0.22 |
) |
(0.18 |
) |
47.85 |
47.63 |
— |
— |
— |
— |
$ |
76.45 |
165.27 |
% |
$ |
379,297 |
1.04 |
% |
1.04 |
% |
(0.45 |
)% |
0.95 |
% |
0.95 |
% |
(0.36 |
)% |
642 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
54.51 |
(0.20 |
) |
(0.20 |
) |
(32.98 |
) |
(33.18 |
) |
— |
— |
— |
— |
$ |
21.33 |
-60.87 |
% |
$ |
47,267 |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
408.20 |
(0.09 |
) |
(0.04 |
) |
(352.33 |
) |
(352.42 |
) |
(0.71 |
) |
— |
(0.56 |
) |
(1.27 |
) |
$ |
54.51 |
-86.59 |
% |
$ |
63,561 |
0.99 |
% |
1.03 |
% |
(0.07 |
)% |
0.95 |
% |
0.99 |
% |
(0.03 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
783.40 |
5.80 |
6.20 |
(373.20 |
) |
(367.40 |
) |
(7.80 |
) |
— |
— |
(7.80 |
) |
$ |
408.20 |
-47.16 |
% |
$ |
82,336 |
1.05 |
% |
1.07 |
% |
1.29 |
% |
0.95 |
% |
0.97 |
% |
1.39 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
1,008.00 |
4.60 |
5.00 |
(226.20 |
) |
(221.60 |
) |
(3.00 |
) |
— |
— |
(3.00 |
) |
$ |
783.40 |
-21.81 |
% |
$ |
56,196 |
1.00 |
% |
1.02 |
% |
0.74 |
% |
0.95 |
% |
0.97 |
% |
0.79 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
5,500.00 |
(2.00 |
) |
(2.00 |
) |
(4,490.00 |
) |
(4,492.00 |
) |
— |
— |
— |
— |
$ |
1,008.00 |
-81.67 |
% |
$ |
98,361 |
0.96 |
% |
0.99 |
% |
(0.17 |
)% |
0.95 |
% |
0.98 |
% |
(0.16 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares16 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
16.59 |
(0.00 |
)10 |
(0.00 |
)10 |
31.05 |
31.05 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
47.62 |
187.22 |
% |
$ |
4,155,099 |
0.83 |
% |
0.90 |
% |
(0.01 |
)% |
0.82 |
% |
0.89 |
% |
0.00 |
% |
170 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
13.21 |
0.02 |
0.03 |
3.39 |
3.41 |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
16.59 |
25.88 |
% |
$ |
1,318,844 |
1.06 |
% |
1.06 |
% |
0.13 |
% |
0.94 |
% |
0.94 |
% |
0.25 |
% |
230 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
6.70 |
0.07 |
0.10 |
6.51 |
6.58 |
(0.07 |
) |
— |
— |
(0.07 |
) |
$ |
13.21 |
98.82 |
% |
$ |
634,080 |
1.35 |
% |
1.35 |
% |
0.74 |
% |
0.93 |
% |
0.93 |
% |
1.16 |
% |
92 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
9.87 |
0.05 |
0.07 |
(3.16 |
) |
(3.11 |
) |
(0.06 |
) |
— |
— |
(0.06 |
) |
$ |
6.70 |
-31.68 |
% |
$ |
582,998 |
1.10 |
% |
1.09 |
% |
0.56 |
% |
0.94 |
% |
0.93 |
% |
0.72 |
% |
101 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
3.05 |
— |
0.01 |
7.00 |
7.00 |
— |
(0.18 |
) |
— |
(0.18 |
) |
$ |
9.87 |
238.31 |
% |
$ |
525,405 |
1.06 |
% |
1.04 |
% |
(0.02 |
)% |
0.95 |
% |
0.93 |
% |
0.09 |
% |
17 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
164
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net
Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net
Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net
Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
37.49 |
$ |
(0.08 |
) |
$ |
(0.08 |
) |
$ |
(31.66 |
) |
$ |
(31.74 |
) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
5.75 |
-84.66 |
% |
$ |
145,418 |
0.95 |
% |
0.91 |
% |
(0.93 |
)% |
0.95 |
% |
0.91 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
368.16 |
(0.02 |
) |
0.01 |
(329.24 |
) |
(329.26 |
) |
(1.02 |
) |
— |
(0.39 |
) |
(1.41 |
) |
$ |
37.49 |
-89.76 |
% |
$ |
93,777 |
0.98 |
% |
1.00 |
% |
(0.02 |
)% |
0.95 |
% |
0.97 |
% |
0.01 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
1,599.60 |
9.24 |
9.60 |
(1,228.56 |
) |
(1,219.32 |
) |
(12.12 |
) |
— |
— |
(12.12 |
) |
$ |
368.16 |
-76.67 |
% |
$ |
237,361 |
1.02 |
% |
1.01 |
% |
1.45 |
% |
0.95 |
% |
0.94 |
% |
1.52 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
1,950.00 |
9.60 |
10.80 |
(355.20 |
) |
(345.60 |
) |
(4.80 |
) |
— |
— |
(4.80 |
) |
$ |
1,599.60 |
-17.63 |
% |
$ |
65,459 |
0.97 |
% |
0.98 |
% |
0.73 |
% |
0.95 |
% |
0.96 |
% |
0.75 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
9,216.00 |
(7.20 |
) |
(7.20 |
) |
(7,258.80 |
) |
(7,266.00 |
) |
— |
— |
— |
— |
$ |
1,950.00 |
-78.84 |
% |
$ |
48,915 |
0.96 |
% |
1.03 |
% |
(0.18 |
)% |
0.95 |
% |
1.02 |
% |
(0.17 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares17 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
25.58 |
(0.14 |
) |
(0.14 |
) |
45.86 |
45.72 |
— |
(0.19 |
) |
— |
(0.19 |
) |
$ |
71.11 |
179.53 |
% |
$ |
3,061,359 |
0.91 |
% |
0.93 |
% |
(0.29 |
)% |
0.90 |
% |
0.92 |
% |
(0.28 |
)% |
25 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
18.44 |
(0.02 |
) |
— |
7.19 |
7.17 |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
25.58 |
38.98 |
% |
$ |
1,560,088 |
1.06 |
% |
1.06 |
% |
(0.11 |
)% |
0.95 |
% |
0.95 |
% |
0.00 |
% |
376 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
12.55 |
0.04 |
0.09 |
5.91 |
5.95 |
(0.05 |
) |
— |
— |
(0.05 |
) |
$ |
18.44 |
47.55 |
% |
$ |
774,641 |
1.36 |
% |
1.36 |
% |
0.27 |
% |
0.95 |
% |
0.95 |
% |
0.68 |
% |
47 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
10.76 |
0.04 |
0.07 |
1.80 |
1.84 |
(0.05 |
) |
— |
— |
(0.05 |
) |
$ |
12.55 |
16.99 |
% |
$ |
671,151 |
1.17 |
% |
1.17 |
% |
0.29 |
% |
0.95 |
% |
0.95 |
% |
0.51 |
% |
41 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
4.73 |
— |
0.01 |
6.03 |
6.03 |
— |
— |
— |
— |
$ |
10.76 |
127.43 |
% |
$ |
452,001 |
1.03 |
% |
1.03 |
% |
0.01 |
% |
0.95 |
% |
0.95 |
% |
0.09 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares18 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
147.80 |
(0.57 |
) |
(0.57 |
) |
(110.07 |
) |
(110.64 |
) |
— |
— |
— |
— |
$ |
37.16 |
-74.86 |
% |
$ |
66,942 |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
957.00 |
(0.50 |
) |
(0.40 |
) |
(805.00 |
) |
(805.50 |
) |
(2.30 |
) |
— |
(1.40 |
) |
(3.70 |
) |
$ |
147.80 |
-84.47 |
% |
$ |
80,036 |
0.96 |
% |
1.03 |
% |
(0.18 |
)% |
0.95 |
% |
1.02 |
% |
(0.17 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
2,218.00 |
22.00 |
22.00 |
(1,260.00 |
) |
(1,238.00 |
) |
(23.00 |
) |
— |
— |
(23.00 |
) |
$ |
957.00 |
-56.25 |
% |
$ |
59,340 |
0.98 |
% |
1.03 |
% |
1.53 |
% |
0.95 |
% |
1.00 |
% |
1.56 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
3,680.00 |
20.00 |
21.00 |
(1,470.00 |
) |
(1,450.00 |
) |
(12.00 |
) |
— |
— |
(12.00 |
) |
$ |
2,218.00 |
-39.38 |
% |
$ |
33,349 |
0.96 |
% |
1.05 |
% |
0.85 |
% |
0.95 |
% |
1.04 |
% |
0.86 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
9,630.00 |
(10.00 |
) |
(10.00 |
) |
(5,940.00 |
) |
(5,950.00 |
) |
— |
— |
— |
— |
$ |
3,680.00 |
-61.79 |
% |
$ |
17,419 |
0.96 |
% |
1.15 |
% |
(0.20 |
)% |
0.95 |
% |
1.14 |
% |
(0.19 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
18.08 |
(0.09 |
) |
(0.09 |
) |
30.56 |
30.47 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
48.54 |
168.57 |
% |
$ |
89,798 |
0.96 |
% |
0.95 |
% |
(0.24 |
)% |
0.95 |
% |
0.94 |
% |
(0.23 |
)% |
49 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
25.01 |
(0.02 |
) |
(0.01 |
) |
(6.85 |
) |
(6.87 |
) |
(0.06 |
) |
— |
— |
(0.06 |
) |
$ |
18.08 |
-27.42 |
% |
$ |
38,879 |
0.96 |
% |
1.13 |
% |
(0.10 |
)% |
0.95 |
% |
1.12 |
% |
(0.09 |
)% |
128 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
27.12 |
0.23 |
0.24 |
(2.06 |
) |
(1.83 |
) |
(0.28 |
) |
— |
— |
(0.28 |
) |
$ |
25.01 |
-6.66 |
% |
$ |
3,751 |
0.99 |
% |
1.57 |
% |
0.92 |
% |
0.95 |
% |
1.53 |
% |
0.96 |
% |
74 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
29.44 |
0.19 |
0.19 |
0.66 |
0.85 |
(0.24 |
) |
(2.93 |
) |
— |
(3.17 |
) |
$ |
27.12 |
1.13 |
% |
$ |
10,849 |
0.95 |
% |
1.37 |
% |
0.57 |
% |
0.95 |
% |
1.37 |
% |
0.57 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Period May
3, 20179 through October 31, 2017 |
$ |
25.00 |
0.02 |
0.02 |
4.42 |
4.44 |
— |
— |
— |
— |
$ |
29.44 |
17.76 |
% |
$ |
2,945 |
0.95 |
% |
3.62 |
% |
0.13 |
% |
0.95 |
% |
3.62 |
% |
0.13 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
26.76 |
0.31 |
0.31 |
5.70 |
6.01 |
(0.36 |
) |
— |
— |
(0.36 |
) |
$ |
32.41 |
22.72 |
% |
$ |
37,274 |
0.96 |
% |
1.03 |
% |
1.04 |
% |
0.95 |
% |
1.02 |
% |
1.05 |
% |
69 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
45.80 |
0.40 |
0.42 |
(17.58 |
) |
(17.18 |
) |
(0.50 |
) |
(1.34 |
) |
(0.02 |
) |
(1.86 |
) |
$ |
26.76 |
-38.38 |
% |
$ |
14,715 |
1.01 |
% |
1.28 |
% |
1.44 |
% |
0.95 |
% |
1.22 |
% |
1.50 |
% |
80 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
27.81 |
0.65 |
0.68 |
18.04 |
18.69 |
(0.70 |
) |
— |
— |
(0.70 |
) |
$ |
45.80 |
67.76 |
%20 |
$ |
16,029 |
1.04 |
% |
1.58 |
% |
1.76 |
% |
0.95 |
% |
1.49 |
% |
1.85 |
% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
31.13 |
0.53 |
0.54 |
(3.31 |
) |
(2.78 |
) |
(0.54 |
) |
— |
— |
(0.54 |
) |
$ |
27.81 |
-8.72 |
% |
$ |
4,172 |
0.96 |
% |
1.45 |
% |
2.15 |
% |
0.95 |
% |
1.44 |
% |
2.16 |
% |
44 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period May
3, 20179 through October 31, 2017 |
$ |
25.00 |
0.15 |
0.15 |
5.98 |
6.13 |
— |
— |
— |
— |
$ |
31.13 |
24.52 |
% |
$ |
3,113 |
0.95 |
% |
3.46 |
% |
1.04 |
% |
0.95 |
% |
3.46 |
% |
1.04 |
% |
86 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
65.11 |
(0.22 |
) |
(0.22 |
) |
(7.29 |
) |
(7.51 |
) |
— |
(5.18 |
) |
(0.56 |
) |
(5.74 |
) |
$ |
51.86 |
-12.64 |
% |
$ |
23,339 |
0.95 |
% |
1.06 |
% |
(0.40 |
)% |
0.95 |
% |
1.06 |
% |
(0.40 |
)% |
6 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
54.00 |
(0.06 |
) |
(0.04 |
) |
11.35 |
11.29 |
(0.18 |
) |
— |
— |
(0.18 |
) |
$ |
65.11 |
20.96 |
% |
$ |
19,534 |
0.99 |
% |
1.15 |
% |
(0.10 |
)% |
0.95 |
% |
1.11 |
% |
(0.06 |
)% |
76 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
38.83 |
0.52 |
0.57 |
15.18 |
15.70 |
(0.53 |
) |
— |
— |
(0.53 |
) |
$ |
54.00 |
40.66 |
% |
$ |
21,600 |
1.05 |
% |
1.28 |
% |
1.09 |
% |
0.95 |
% |
1.18 |
% |
1.19 |
% |
97 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
44.25 |
0.31 |
0.34 |
(5.41 |
) |
(5.10 |
) |
(0.32 |
) |
— |
— |
(0.32 |
) |
$ |
38.83 |
-11.54 |
% |
$ |
5,824 |
1.01 |
% |
1.57 |
% |
0.76 |
% |
0.95 |
% |
1.51 |
% |
0.82 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
51.25 |
(0.02 |
) |
(0.01 |
) |
(4.14 |
) |
(4.16 |
) |
— |
(2.84 |
) |
— |
(2.84 |
) |
$ |
44.25 |
-7.60 |
% |
$ |
8,851 |
0.96 |
% |
1.70 |
% |
(0.04 |
)% |
0.95 |
% |
1.69 |
% |
(0.03 |
)% |
134 |
% |
|||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.10 |
(0.08 |
) |
(0.08 |
) |
0.69 |
0.61 |
— |
— |
— |
— |
$ |
8.71 |
7.53 |
% |
$ |
29,623 |
0.95 |
% |
1.12 |
% |
(0.93 |
)% |
0.95 |
% |
1.12 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
10.58 |
(0.01 |
) |
(0.01 |
) |
(2.43 |
) |
(2.44 |
) |
(0.03 |
) |
— |
(0.01 |
) |
(0.04 |
) |
$ |
8.10 |
-23.08 |
% |
$ |
6,882 |
0.95 |
% |
1.40 |
% |
(0.09 |
)% |
0.95 |
% |
1.40 |
% |
(0.09 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
15.53 |
0.18 |
0.18 |
(4.95 |
) |
(4.77 |
) |
(0.18 |
) |
— |
— |
(0.18 |
) |
$ |
10.58 |
-30.84 |
% |
$ |
11,109 |
0.97 |
% |
1.18 |
% |
1.41 |
% |
0.95 |
% |
1.16 |
% |
1.43 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
14.01 |
0.07 |
0.08 |
1.47 |
1.54 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
15.53 |
11.01 |
% |
$ |
20,189 |
1.05 |
% |
1.15 |
% |
0.45 |
% |
0.95 |
% |
1.05 |
% |
0.55 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
13.65 |
(0.05 |
) |
(0.04 |
) |
0.41 |
0.36 |
— |
— |
— |
— |
$ |
14.01 |
2.64 |
% |
$ |
28,724 |
0.97 |
% |
1.07 |
% |
(0.33 |
)% |
0.95 |
% |
1.05 |
% |
(0.31 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
165
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net
Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net
Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net
Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
35.81 |
$ |
0.03 |
$ |
0.03 |
$ |
(7.01 |
) |
$ |
(6.98 |
) |
$ |
(0.03 |
) |
$ |
(0.69 |
) |
$ |
(0.01 |
) |
$ |
(0.73 |
) |
$ |
28.10 |
-19.90 |
% |
$ |
359,735 |
0.88 |
% |
0.88 |
% |
0.11 |
% |
0.88 |
% |
0.88 |
% |
0.11 |
% |
33 |
% |
|||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
29.39 |
0.08 |
0.10 |
6.49 |
6.57 |
(0.15 |
) |
— |
— |
(0.15 |
) |
$ |
35.81 |
22.38 |
% |
$ |
282,879 |
0.98 |
% |
0.98 |
% |
0.22 |
% |
0.93 |
% |
0.93 |
% |
0.27 |
% |
67 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
15.76 |
0.29 |
0.34 |
13.63 |
13.92 |
(0.29 |
) |
— |
— |
(0.29 |
) |
$ |
29.39 |
88.98 |
% |
$ |
189,539 |
1.12 |
% |
1.12 |
% |
1.25 |
% |
0.92 |
% |
0.92 |
% |
1.46 |
% |
66 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
20.77 |
0.25 |
0.26 |
(5.00 |
) |
(4.75 |
) |
(0.26 |
) |
— |
— |
(0.26 |
) |
$ |
15.76 |
-23.07 |
% |
$ |
100,873 |
0.97 |
% |
0.95 |
% |
1.31 |
% |
0.94 |
% |
0.92 |
% |
1.34 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
24.07 |
0.07 |
0.08 |
(3.35 |
) |
(3.28 |
) |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
20.77 |
-13.64 |
% |
$ |
90,347 |
0.98 |
% |
0.97 |
% |
0.36 |
% |
0.95 |
% |
0.94 |
% |
0.39 |
% |
66 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
55.80 |
(0.55 |
) |
(0.55 |
) |
2.08 |
1.53 |
— |
— |
— |
— |
$ |
57.33 |
2.74 |
% |
$ |
325,333 |
0.88 |
% |
0.88 |
% |
(0.86 |
)% |
0.88 |
% |
0.88 |
% |
(0.86 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
107.20 |
(0.06 |
) |
(0.05 |
) |
(50.93 |
) |
(50.99 |
) |
(0.28 |
) |
— |
(0.13 |
) |
(0.41 |
) |
$ |
55.80 |
-47.66 |
% |
$ |
99,010 |
0.90 |
% |
0.90 |
% |
(0.09 |
)% |
0.89 |
% |
0.89 |
% |
(0.08 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
228.50 |
2.10 |
2.40 |
(121.20 |
) |
(119.10 |
) |
(2.20 |
) |
— |
— |
(2.20 |
) |
$ |
107.20 |
-52.34 |
% |
$ |
123,239 |
1.10 |
% |
1.10 |
% |
1.32 |
% |
0.91 |
% |
0.91 |
% |
1.51 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
191.40 |
1.10 |
1.20 |
36.60 |
37.70 |
(0.60 |
) |
— |
— |
(0.60 |
) |
$ |
228.50 |
19.71 |
% |
$ |
345,100 |
0.99 |
% |
0.99 |
% |
0.54 |
% |
0.90 |
% |
0.90 |
% |
0.63 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
188.10 |
(0.70 |
) |
(0.60 |
) |
4.00 |
3.30 |
— |
— |
— |
— |
$ |
191.40 |
1.75 |
% |
$ |
371,392 |
0.93 |
% |
0.93 |
% |
(0.31 |
)% |
0.90 |
% |
0.90 |
% |
(0.28 |
)% |
0 |
% |
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Includes interest expense and extraordinary expenses, which comprise of tax and litigation expenses.
3 Excludes interest expense and extraordinary expenses which comprise of excise tax and litigation expenses.
4 Due to the timing of sales and redemptions of capital shares, the net realized and realized gain (loss) per share is not in accordance with the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures, and swaps for the year/period.
5 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the year/period, reinvestment of all dividends and distributions at net asset value during the year/period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived or recouped by the Adviser.
6 Net expenses include effects of any reimbursement/waiver or recoupment.
7 For periods less than a year, these ratios are annualized.
8 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio. Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.
9 Commencement of operations.
10 Between $(0.005) and $0.005.
11 Effective January 11, 2021, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
12 Effective January 11, 2021, the Fund had a 1:20 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:20 stock split.
13 Effective January 11, 2021, the Fund had a 5:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 5:1 stock split.
14 Effective March 2, 2021, the Fund had a 1:8 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:8 stock split.
15 Effective March 2, 2021, the Fund had a 7:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 7:1 stock split.
16 Effective March 2, 2021, the Fund had a 15:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 15:1 stock split.
17 Effective March 2, 2021, the Fund had a 10:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 10:1 stock split.
18 Effective October 25, 2021, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
19 Effective October 25, 2021, the Fund had a 5:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 5:1 stock split.
20 The Fund's total return includes voluntary reimbursement by the Adviser for a realized loss on a trading error. Had this reimbursement not been made to the Fund, total return would have been 1.94% lower.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
166
Direxion Shares ETF Trust
Notes to the Financial Statements
October 31, 2021
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 77 separate series (each, a "Fund" and together the "Funds"). 40 of these Funds are included in this report:
Bull Funds |
Bear Funds |
||||||
Direxion Daily Mid Cap Bull 3X Shares |
|||||||
Direxion Daily S&P 500® Bull 3X Shares |
Direxion Daily S&P 500® Bear 3X Shares |
||||||
Direxion Daily Small Cap Bull 3X Shares |
Direxion Daily Small Cap Bear 3X Shares |
||||||
Direxion Daily FTSE China Bull 3X Shares |
Direxion Daily FTSE China Bear 3X Shares |
||||||
Direxion Daily FTSE Europe Bull 3X Shares |
|||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
|||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
|||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
|||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
|||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
||||||
Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
||||||
Direxion Daily Healthcare Bull 3X Shares |
|||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
|||||||
Direxion Daily Industrials Bull 3X Shares |
|||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
Direxion Daily MSCI Real Estate Bear 3X Shares |
||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
|||||||
Direxion Daily Regional Banks Bull 3X Shares |
|||||||
Direxion Daily Retail Bull 3X Shares |
|||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P High Beta Bear 3X Shares |
||||||
Direxion Daily S&P 500® Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares |
||||||
Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
||||||
Direxion Daily Transportation Bull 3X Shares |
|||||||
Direxion Daily Utilities Bull 3X Shares |
|||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codification ("ASC") 946, Financial Services – Investment Companies.
Rafferty Asset Management, LLC (the "Adviser") has registered as a commodity pool operator ("CPO") and the Funds are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, the Adviser is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Fund's investment objective is to seek daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word "Bull" in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word "Bear" in their name attempt to provide investment results that correlate negatively to the return of an index or benchmark. The correlations sought by the Bull Funds are a multiple of 300% of the return of the target index or benchmark and a multiple of -300% of the return of the target index or benchmark for the Bear Funds.
DIREXION
ANNUAL REPORT
167
Funds |
Index or Benchmark |
Daily Target |
|||||||||
Direxion Daily Mid Cap Bull 3X Shares |
S&P Mid Cap 400® Index |
300 |
% |
||||||||
Direxion Daily S&P 500® Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily S&P 500® Bear 3X Shares |
S&P 500® Index |
-300 |
% |
||||||||
Direxion Daily Small Cap Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
Russell 2000® Index |
-300 |
% |
||||||||
Direxion Daily FTSE China Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily FTSE China Bear 3X Shares |
FTSE China 50 Index |
-300 |
% |
||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
FTSE Developed Europe All Cap Index |
300 |
% |
||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
MSCI Emerging Markets IndexSM |
-300 |
% |
||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
MSCI Mexico IMI 25/50 Index |
300 |
% |
||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
MSCI Korea 25/50 Index |
300 |
% |
||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
Dow Jones U.S. Select Aerospace & Defense Index |
300 |
% |
||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
Consumer Discretionary Select Sector Index |
300 |
% |
||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
Dow Jones Internet Composite Index |
-300 |
% |
||||||||
Direxion Daily Financial Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Financial Bear 3X Shares |
Russell 1000® Index – Financials |
-300 |
% |
||||||||
Direxion Daily Healthcare Bull 3X Shares |
Health Care Select Sector Index |
300 |
% |
||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
Dow Jones U.S. Select Home Construction Index |
300 |
% |
||||||||
Direxion Daily Industrials Bull 3X Shares |
Industrial Select Sector Index |
300 |
% |
||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
MSCI U.S. IMI Real Estate 25/50 Index |
-300 |
% |
||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
S&P Pharmaceuticals Select Industry Index |
300 |
% |
||||||||
Direxion Daily Regional Banks Bull 3X Shares |
S&P Regional Banks Select Industry Index |
300 |
% |
||||||||
Direxion Daily Retail Bull 3X Shares |
S&P Retail Select Industry® Index |
300 |
% |
||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
S&P 500® High Beta Index |
-300 |
% |
||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
S&P Biotechnology Select Industry Index |
-300 |
% |
||||||||
Direxion Daily Semiconductor Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Semiconductor Bear 3X Shares |
ICE Semiconductor Index(a) |
-300 |
% |
||||||||
Direxion Daily Technology Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Technology Bear 3X Shares |
Technology Select Sector Index |
-300 |
% |
||||||||
Direxion Daily Transportation Bull 3X Shares |
Dow Jones Transportation Average |
300 |
% |
||||||||
Direxion Daily Utilities Bull 3X Shares |
Utilities Select Sector Index |
300 |
% |
||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
ICE U.S. Treasury 7-10 Year Bond Index |
-300 |
% |
||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
ICE U.S. Treasury 20+ Year Bond Index |
-300 |
% |
(a) Effective on August 25, 2021, the benchmark index for the Direxion Daily Semiconductor Bull 3X Shares and Direxion Daily Semiconductor Bear 3X Shares changed from the PHLX Semiconductor Sector Index to the ICE Semiconductor Index.
DIREXION
ANNUAL REPORT
168
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time), each day the NYSE is open for business. On days that the Securities Industry and Financial Markets Association ("SIFMA") recommends that the bond markets close all day, Direxion Daily 7-10 Year Treasury Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bear 3X Shares, Direxion Daily 20+ Year Treasury Bull 3X Shares and Direxion Daily 20+ Year Treasury Bear 3X Shares (the "Fixed Income Funds") do not calculate their NAVs, even if the NYSE is open for business. Similarly, on days that SIFMA recommends that the bond markets close early, each of the Fixed Income Funds calculate its NAV as of the time of the recommended close, usually 2:00 p.m. Eastern time, rather than the close of regular trading on the NYSE. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over the Counter ("OTC") securities held by a Fund will be valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. Futures contracts are valued at settlement price established on the exchange on which they are traded, if that settlement price reflects trading prior to the Valuation Time. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation time will be used. Securities, swap or future contracts are fair valued as determined by the Adviser under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities; c) the Funds' pricing service provides valuation that in the judgment of the Adviser does not represent fair value; or d) the Fund or Adviser believes the market price is stale.
b) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivatives contracts and related cash collateral on the Statement of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. The Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Fund's custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized gains or losses on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps."
DIREXION
ANNUAL REPORT
169
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their objectives.
Accounting Standards Update No. 2013-01 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope to recognized derivative instruments accounted for under ASC 815 "Derivatives and Hedging", to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of October 31, 2021, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at October 31, 2021 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.
DIREXION
ANNUAL REPORT
170
Description: Swap Contract
Counterparty: Bank of America Merrill Lynch
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Mid Cap Bull 3X Shares |
$ |
10,361,047 |
$ |
— |
$ |
10,350,000 |
$ |
11,047 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
97,485,867 |
— |
95,380,000 |
2,105,867 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
— |
6,776,483 |
— |
6,776,4831 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bull 3X Shares |
5,297,042 |
— |
5,297,0421 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bear 3X Shares |
— |
— |
— |
— |
2,691,239 |
— |
2,691,2391 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE China Bull 3X Shares |
5,287,645 |
— |
5,287,6451 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE China Bear 3X Shares |
— |
— |
— |
— |
7,881,541 |
— |
7,881,5411 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE Europe Bull 3X Shares |
34,335 |
— |
— |
34,335 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI South Korea Bull 3X Shares |
— |
— |
— |
— |
2,160,371 |
— |
2,160,3711 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
2,659,552 |
— |
2,610,000 |
49,552 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Dow Jones Internet Bull 3X Shares |
6,448,826 |
— |
6,117,900 |
330,926 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Dow Jones Internet Bear 3X Shares |
— |
— |
— |
— |
437,962 |
— |
437,9621 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
97,437,662 |
— |
97,437,6621 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
— |
— |
— |
— |
18,533,361 |
— |
18,533,3611 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
12,547,970 |
— |
10,950,000 |
1,597,970 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
1,502,091 |
— |
1,502,0911 |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
171
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Real Estate Bull 3X Shares |
$ |
19,042,535 |
$ |
— |
$ |
19,042,5351 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
MSCI Real Estate Bear 3X Shares |
— |
— |
— |
— |
3,044,428 |
— |
3,044,4281 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
48,246,510 |
— |
48,246,5101 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
18,931,080 |
— |
18,931,0801 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
1,625,765 |
— |
1,625,7651 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
128,769 |
— |
128,7691 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
— |
— |
— |
— |
307,494 |
— |
307,4941 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
48,493,233 |
— |
44,770,000 |
3,723,233 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
2,934,983 |
— |
2,934,9831 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
213,015,124 |
— |
208,620,000 |
4,395,124 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
— |
— |
4,520,749 |
— |
4,520,7491 |
— |
|||||||||||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bull 3X Shares |
44,931 |
— |
— |
44,931 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bear 3X Shares |
— |
— |
— |
— |
11,101 |
— |
11,1011 |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
1,565,295 |
— |
1,565,2951 |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bear 3X Shares |
— |
— |
— |
— |
11,330,926 |
— |
11,330,9261 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION
ANNUAL REPORT
172
Description: Swap Contract
Counterparty: BNP Paribas
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
$ |
190,172,987 |
$ |
— |
$ |
187,810,000 |
$ |
2,362,987 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
— |
16,898,714 |
— |
16,898,7141 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bull 3X Shares |
8,429,813 |
— |
8,429,8131 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bear 3X Shares |
— |
— |
— |
— |
27,194,715 |
— |
27,194,7151 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE China Bull 3X Shares |
— |
— |
— |
— |
48,646,091 |
— |
48,646,0911 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE Europe Bull 3X Shares |
3,509,827 |
— |
3,509,8271 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Mexico Bull 3X Shares |
129,018 |
— |
129,0181 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
10,175,182 |
473,427 |
9,550,000 |
151,755 |
473,427 |
473,427 |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
1,589,408 |
— |
1,530,000 |
59,408 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
160,252,464 |
— |
160,252,4641 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
— |
— |
— |
— |
2,784 |
— |
— |
2,784 |
|||||||||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
39,251,461 |
— |
39,251,4611 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
18,563,020 |
— |
18,563,0201 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
8,616,494 |
— |
8,616,4941 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
53,799,649 |
— |
48,060,000 |
5,739,649 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
687,382 |
— |
687,3821 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
207,815,899 |
— |
202,450,000 |
5,365,899 |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
173
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
2,052,290 |
$ |
— |
$ |
2,052,2901 |
$ |
— |
|||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bull 3X Shares |
6,239 |
6,239 |
— |
— |
149,658 |
6,239 |
143,4191 |
— |
|||||||||||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bear 3X Shares |
104,421 |
42,468 |
61,9531 |
— |
42,468 |
42,468 |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bull 3X Shares |
8,016,125 |
13,525 |
7,700,000 |
302,600 |
13,525 |
13,525 |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bear 3X Shares |
966 |
966 |
— |
— |
5,564,509 |
966 |
5,563,5431 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Barclays
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
$ |
104,039,829 |
$ |
— |
$ |
100,390,000 |
$ |
3,649,829 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
— |
3,419,888 |
— |
3,419,8881 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bull 3X Shares |
42,504,695 |
— |
42,504,6951 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
406,002,321 |
— |
406,002,3211 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
21,004,012 |
— |
18,650,000 |
2,354,012 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
61,098,785 |
— |
61,098,7851 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
6,329,152 |
— |
6,329,1521 |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
174
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
5,112 |
$ |
— |
$ |
5,1121 |
$ |
— |
|||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
45,188,586 |
— |
— |
45,188,586 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
20,663,940 |
— |
20,660,000 |
3,940 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
4,863,361 |
— |
4,863,3611 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
54,353,378 |
— |
54,353,3781 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
4,139,238 |
— |
4,139,2381 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
185,907,890 |
— |
177,080,000 |
8,827,890 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
— |
— |
4,150,022 |
— |
4,150,0221 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
829,766 |
— |
829,7661 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Utilities Bull 3X Shares |
3,373,156 |
— |
3,373,1561 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bull 3X Shares |
14,712 |
— |
— |
14,712 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bear 3X Shares |
— |
— |
— |
— |
215 |
— |
2151 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION
ANNUAL REPORT
175
Description: Swap Contract
Counterparty: Citibank N.A.
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Mid Cap Bull 3X Shares |
$ |
15,826 |
$ |
— |
$ |
— |
$ |
15,826 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
216,009,511 |
— |
213,279,999 |
2,729,512 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
— |
19,813,762 |
— |
19,813,7621 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bull 3X Shares |
45,421,886 |
— |
45,421,8861 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bear 3X Shares |
— |
— |
— |
— |
13,942,405 |
— |
13,942,4051 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE Europe Bull 3X Shares |
493,972 |
— |
493,9721 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
— |
3,112,848 |
— |
3,112,8481 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Emerging Markets Bear 3X Shares |
623,577 |
— |
273,000 |
350,577 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI South Korea Bull 3X Shares |
— |
— |
— |
— |
1,615,976 |
— |
1,615,9761 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
17,202,638 |
— |
17,202,6381 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
44,017 |
— |
— |
44,017 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Dow Jones Internet Bull 3X Shares |
7,928,223 |
— |
7,634,000 |
294,223 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
202,424,215 |
— |
202,424,2151 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
26,670,727 |
— |
26,670,7271 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
5,860,806 |
— |
5,860,8061 |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
176
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
$ |
395,948 |
$ |
— |
$ |
299,000 |
$ |
96,948 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
272,062 |
— |
272,0621 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Retail Bull 3X Shares |
19,700,476 |
— |
19,236,000 |
464,476 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
55,682 |
— |
— |
55,682 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
12,656,229 |
— |
12,656,2291 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
95,583 |
— |
— |
95,583 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
202,442,213 |
— |
190,403,000 |
12,039,213 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
6,158,363 |
— |
6,158,3631 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
82,491,725 |
— |
75,684,000 |
6,807,725 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
— |
— |
209,270 |
— |
209,2701 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
5,188,004 |
— |
5,188,0041 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Utilities Bull 3X Shares |
1,088,507 |
— |
1,088,5071 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bull 3X Shares |
979,843 |
— |
92,000 |
887,843 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bear 3X Shares |
— |
— |
— |
— |
8,208,065 |
— |
8,208,0651 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION
ANNUAL REPORT
177
Description: Swap Contract
Counterparty: Credit Suisse Capital LLC
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily Small
Cap Bull 3X Shares |
$ |
4,330,520 |
$ |
— |
$ |
4,330,5201 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares |
1,161,496 |
— |
1,161,4961 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
4,680,313 |
— |
4,680,3131 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
1,143,007 |
— |
1,143,0071 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares |
15,168,102 |
— |
15,168,1021 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Real Estate Bear 3X Shares |
— |
— |
— |
— |
980,129 |
— |
980,1291 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Retail Bull 3X Shares |
293,852 |
— |
— |
293,852 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
6,096,259 |
— |
6,096,2591 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bull 3X Shares |
224,329 |
— |
62,226 |
162,103 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bear 3X Shares |
84,210 |
— |
84,2101 |
— |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Goldman Sachs
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
$ |
23,916,772 |
$ |
— |
$ |
22,910,000 |
$ |
1,006,772 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
22,307,671 |
— |
22,307,6711 |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
178
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
$ |
18,904,607 |
$ |
— |
$ |
17,490,000 |
$ |
1,414,607 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
940,351 |
— |
940,3511 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: J.P. Morgan
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Mid Cap Bull 3X Shares |
$ |
12,853,391 |
$ |
— |
$ |
12,810,000 |
$ |
43,391 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
113,409,120 |
— |
111,430,000 |
1,979,120 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
— |
29,334,156 |
— |
29,334,1561 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bull 3X Shares |
4,908,780 |
— |
4,908,7801 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bear 3X Shares |
— |
— |
— |
— |
2,234,393 |
— |
2,234,3931 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE Europe Bull 3X Shares |
4,395,334 |
— |
4,395,3341 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
— |
2,176,524 |
— |
2,176,5241 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Emerging Markets Bear 3X Shares |
1,515,915 |
— |
1,190,000 |
325,915 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Mexico Bull 3X Shares |
2,687,099 |
— |
2,687,0991 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI South Korea Bull 3X Shares |
— |
— |
— |
— |
1,052,992 |
— |
1,052,9921 |
— |
DIREXION
ANNUAL REPORT
179
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
2,565,550 |
$ |
— |
$ |
2,565,5501 |
$ |
— |
|||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
12,472,000 |
— |
12,290,000 |
182,000 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Dow Jones Internet Bull 3X Shares |
522,640 |
— |
490,000 |
32,640 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
94,601,495 |
— |
94,601,4951 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
— |
— |
— |
— |
8,818,119 |
— |
8,818,1191 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
1,035,050 |
— |
1,035,0501 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Real Estate Bull 3X Shares |
17,602,138 |
— |
17,602,1381 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Real Estate Bear 3X Shares |
— |
— |
— |
— |
486,213 |
— |
486,2131 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Retail Bull 3X Shares |
8,637,513 |
— |
7,820,000 |
817,513 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
1,274,555 |
— |
1,274,5551 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
1,732,819 |
— |
1,732,8191 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
1,192,140 |
— |
820,002 |
372,138 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
21,432,350 |
— |
21,432,3501 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
78,341 |
— |
78,3411 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
105,122,253 |
— |
101,660,000 |
3,462,253 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
— |
— |
709,685 |
— |
709,6851 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
3,402,616 |
— |
3,402,6161 |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
180
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
570,943 |
$ |
— |
$ |
570,9431 |
$ |
— |
|||||||||||||||||||
Direxion Daily
7-10 Year Treasury Bear 3X Shares |
511,645 |
— |
410,000 |
101,645 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
3,849,712 |
— |
3,849,7121 |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bear 3X Shares |
— |
— |
— |
— |
5,758,869 |
— |
5,758,8691 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Mid Cap Bull 3X Shares |
$ |
86,413 |
$ |
— |
$ |
— |
$ |
86,413 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
43,392,615 |
— |
41,580,000 |
1,812,615 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
— |
3,395,513 |
— |
3,395,5131 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bull 3X Shares |
24,620,526 |
— |
24,620,5261 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Small Cap Bear 3X Shares |
— |
— |
— |
— |
20,179,267 |
— |
20,179,2671 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE China Bull 3X Shares |
— |
— |
— |
— |
5,528,610 |
— |
5,528,6101 |
— |
|||||||||||||||||||||||||||
Direxion Daily
FTSE China Bear 3X Shares |
210,943 |
— |
— |
210,943 |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
181
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
FTSE Europe Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
15,576 |
$ |
— |
$ |
15,5761 |
$ |
— |
|||||||||||||||||||
Direxion Daily
MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
— |
4,526,389 |
— |
4,526,3891 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Emerging Markets Bear 3X Shares |
— |
— |
— |
— |
76,546 |
— |
76,5461 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Mexico Bull 3X Shares |
2,375,694 |
— |
2,375,6941 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Dow Jones Internet Bull 3X Shares |
6,084,364 |
— |
5,830,000 |
254,364 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
156,353,724 |
— |
156,353,7241 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
— |
— |
— |
— |
2,123,632 |
— |
2,123,6321 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
25,376,594 |
— |
23,980,000 |
1,396,594 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Real Estate Bull 3X Shares |
3,370,681 |
— |
3,370,6811 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Real Estate Bear 3X Shares |
— |
— |
— |
— |
596,264 |
— |
596,2641 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
— |
— |
— |
— |
37,623 |
— |
37,6231 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
25,715,237 |
— |
25,715,2371 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Retail Bull 3X Shares |
3,459,831 |
— |
2,870,000 |
589,831 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
162,365 |
— |
162,3651 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
90,821 |
— |
90,8211 |
— |
DIREXION
ANNUAL REPORT
182
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
2,604,182 |
$ |
— |
$ |
2,604,1821 |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
— |
— |
— |
— |
256,432 |
— |
256,4321 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
153,660,348 |
— |
143,530,000 |
10,130,348 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
— |
2,526,053 |
— |
2,526,0531 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
183,406,762 |
— |
179,950,000 |
3,456,762 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
— |
— |
10,788,837 |
— |
10,788,8371 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
11,024,883 |
— |
11,024,8831 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
5,569,903 |
— |
5,569,9031 |
— |
|||||||||||||||||||||||||||
Direxion Daily
20+ Year Treasury Bear 3X Shares |
2,215,440 |
— |
2,215,4401 |
— |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
c) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts.
d) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate
DIREXION
ANNUAL REPORT
183
cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended October 31, 2021.
e) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
f) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.
g) Securities Lending – The Funds may lend its investment securities to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of October 31, 2021, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished if required.
As of October 31, 2021, the market value of the securities loaned and the payable on collateral received for securities lending were as follows:
Funds |
Market Value of Securities Loaned |
Cash
Collateral Received |
Non-Cash Collateral Received |
Total Collateral Received |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
$ |
313,246,743 |
$ |
319,154,351 |
$ |
604,186 |
$ |
319,758,537 |
|||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
690,475 |
715,290 |
— |
715,290 |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
116,040 |
119,780 |
— |
119,780 |
|||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
1,317,544 |
497,498 |
835,777 |
1,333,275 |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
2,343,985 |
1,436,537 |
981,450 |
2,417,987 |
|||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
197,037 |
201,005 |
— |
201,005 |
|||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
701,764 |
614,035 |
124,935 |
738,970 |
|||||||||||||||
Direxion Daily Retail Bull 3X Shares |
5,986,652 |
5,063,758 |
1,045,876 |
6,109,634 |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
35,084,479 |
27,785,823 |
8,141,294 |
35,927,117 |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
51,297,516 |
46,046,332 |
6,531,349 |
52,577,681 |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
25,605,322 |
— |
25,879,781 |
25,879,781 |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
6,571,623 |
1,601,530 |
5,115,822 |
6,717,352 |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
90,924,758 |
92,509,544 |
— |
92,509,544 |
DIREXION
ANNUAL REPORT
184
h) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. Certain Funds paid this excise tax during the period ended October 31, 2021, which is disclosed on the Statements of Operations.
i) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date. Certain Funds paid this excise tax during the period ended October 31, 2021, which is disclosed on the Statements of Operations.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets.
j) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.
k) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.
l) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended October 31, 2021 and October 31, 2020, are listed below.
The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.
Year
Ended October 31, 2021 |
Year/Period
Ended October 31, 2020 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily Mid
Cap Bull 3X Shares |
$ |
21,998 |
$ |
— |
$ |
— |
$ |
181,797 |
$ |
— |
$ |
11,321 |
|||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
3,773,589 |
— |
— |
6,048,859 |
— |
— |
|||||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
— |
1,228,222 |
— |
590,141 |
|||||||||||||||||||||
Direxion Daily Small
Cap Bull 3X Shares |
244,821 |
— |
— |
1,582,234 |
— |
517,360 |
|||||||||||||||||||||
Direxion Daily Small
Cap Bear 3X Shares |
— |
— |
— |
809,006 |
— |
378,778 |
|||||||||||||||||||||
Direxion Daily FTSE
China Bull 3X Shares |
2,107,263 |
— |
— |
3,169,542 |
— |
301,335 |
DIREXION
ANNUAL REPORT
185
Year
Ended October 31, 2021 |
Year/Period
Ended October 31, 2020 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily FTSE
China Bear 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
161,009 |
$ |
— |
$ |
127,151 |
|||||||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares |
180,543 |
— |
— |
130,258 |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares |
206,560 |
— |
107,122 |
1,269,642 |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares |
— |
— |
— |
149,374 |
— |
80,075 |
|||||||||||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares |
64,079 |
— |
— |
45,272 |
— |
9,723 |
|||||||||||||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares |
4,680 |
— |
— |
142,470 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
229,995 |
— |
— |
155,985 |
— |
116,045 |
|||||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
— |
— |
— |
13,290 |
— |
— |
|||||||||||||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares1 |
— |
— |
— |
2,646 |
— |
— |
|||||||||||||||||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares1 |
— |
— |
— |
4,123 |
— |
4,413 |
|||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
15,325,240 |
— |
— |
8,708,613 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
— |
— |
— |
427,657 |
— |
186,053 |
|||||||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
11,571 |
— |
— |
298,454 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
11,980 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
108,281 |
— |
— |
35,817 |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares |
1,224,013 |
— |
— |
1,262,813 |
— |
63,897 |
|||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares |
— |
— |
— |
36,204 |
— |
17,857 |
|||||||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
— |
— |
— |
198 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
2,850,169 |
— |
— |
1,009,690 |
— |
— |
|||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
14,673 |
— |
— |
31,760 |
— |
24,233 |
|||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares1 |
82,925 |
— |
— |
9,005 |
— |
21,225 |
|||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares1 |
— |
— |
— |
4,287 |
— |
4,290 |
|||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
— |
— |
— |
45,139 |
— |
58 |
|||||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
— |
— |
— |
210,227 |
— |
166,472 |
|||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
2,155,338 |
— |
— |
2,162,182 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
— |
670,581 |
— |
258,713 |
|||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
10,258,380 |
— |
— |
1,713,106 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
— |
153,907 |
— |
89,972 |
DIREXION
ANNUAL REPORT
186
Year
Ended October 31, 2021 |
Year/Period
Ended October 31, 2020 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
$ |
19,756 |
$ |
— |
$ |
— |
$ |
28,274 |
$ |
— |
$ |
— |
|||||||||||||||
Direxion Daily
Utilities Bull 3X Shares |
257,434 |
— |
— |
610,125 |
— |
5,652 |
|||||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares |
1,553,448 |
— |
167,130 |
53,451 |
— |
— |
|||||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares |
— |
— |
— |
32,183 |
— |
13,020 |
|||||||||||||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares |
5,652,475 |
— |
42,707 |
933,267 |
— |
— |
|||||||||||||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares |
— |
— |
— |
353,697 |
— |
169,036 |
1 Commenced operations on November 7, 2019.
At October 31, 2021, the components of accumulated earnings/losses of the Funds on a tax basis were as follows:
Funds | Net
Unrealized Appreciation/ (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily Mid
Cap Bull 3X Shares |
$ |
30,559,002 |
$ |
— |
$ |
— |
$ |
(162,195 |
) |
$ |
30,396,807 |
||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
996,669,203 |
— |
— |
(12,522 |
) |
996,656,681 |
|||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
(335,855,721 |
) |
— |
— |
(2,426,525,596 |
) |
(2,762,381,317 |
) |
|||||||||||||||
Direxion Daily Small
Cap Bull 3X Shares |
82,087,491 |
— |
— |
(3,849 |
) |
82,083,642 |
|||||||||||||||||
Direxion Daily Small
Cap Bear 3X Shares |
(478,729,256 |
) |
— |
— |
(3,388,911,467 |
) |
(3,867,640,723 |
) |
|||||||||||||||
Direxion Daily FTSE
China Bull 3X Shares |
(205,329,422 |
) |
— |
— |
(78,359,280 |
) |
(283,688,702 |
) |
|||||||||||||||
Direxion Daily FTSE
China Bear 3X Shares |
(18,553,998 |
) |
— |
— |
(96,540,068 |
) |
(115,094,066 |
) |
|||||||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares |
9,535,257 |
44,621 |
— |
(13,690,757 |
) |
(4,110,879 |
) |
||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares |
(45,527,004 |
) |
— |
— |
(117,128,639 |
) |
(162,655,643 |
) |
|||||||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares |
(10,825,318 |
) |
— |
— |
(334,254,148 |
) |
(345,079,466 |
) |
|||||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares |
3,849,505 |
— |
— |
— |
3,849,505 |
||||||||||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares |
(12,123,309 |
) |
— |
— |
— |
(12,123,309 |
) |
||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
23,347,547 |
5,452,983 |
— |
— |
28,800,530 |
||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
18,944,583 |
— |
— |
— |
18,944,583 |
||||||||||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares |
20,140,361 |
7,017,655 |
— |
— |
27,158,016 |
||||||||||||||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares |
(3,095,479 |
) |
— |
— |
(6,639,057 |
) |
(9,734,536 |
) |
|||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
1,370,421,887 |
7,001,664 |
— |
(5,366 |
) |
1,377,418,185 |
DIREXION
ANNUAL REPORT
187
Funds | Net
Unrealized Appreciation/ (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
$ |
(152,648,116 |
) |
$ |
— |
$ |
— |
$ |
(2,999,206,981 |
) |
$ |
(3,151,855,097 |
) |
||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
68,037,637 |
— |
— |
— |
68,037,637 |
||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
119,142,757 |
— |
— |
— |
119,142,757 |
||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
13,006,658 |
— |
— |
— |
13,006,658 |
||||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares |
57,440,325 |
4,974,781 |
— |
— |
62,415,106 |
||||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares |
(16,760,032 |
) |
— |
— |
(119,826,559 |
) |
(136,586,591 |
) |
|||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
(1,787,872 |
) |
— |
— |
— |
(1,787,872 |
) |
||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
129,660,016 |
— |
— |
— |
129,660,016 |
||||||||||||||||||
Direxion Daily
Retail Bull 3X Shares |
29,162,528 |
— |
— |
— |
29,162,528 |
||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
36,474,650 |
— |
— |
— |
36,474,650 |
||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
(22,043,132 |
) |
— |
— |
(94,523,769 |
) |
(116,566,901 |
) |
|||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
(238,082,821 |
) |
— |
— |
— |
(238,082,821 |
) |
||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
(38,123,029 |
) |
— |
— |
(289,961,043 |
) |
(328,084,072 |
) |
|||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
547,322,552 |
— |
— |
— |
547,322,552 |
||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
(17,802,400 |
) |
— |
— |
(758,244,666 |
) |
(776,047,066 |
) |
|||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
1,113,485,537 |
11,889,032 |
— |
— |
1,125,374,569 |
||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
(62,929,925 |
) |
— |
— |
(252,265,321 |
) |
(315,195,246 |
) |
|||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
23,104,210 |
— |
— |
— |
23,104,210 |
||||||||||||||||||
Direxion Daily
Utilities Bull 3X Shares |
3,960,018 |
65,896 |
— |
— |
4,025,914 |
||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares |
(1,267,383 |
) |
— |
— |
(75,515 |
) |
(1,342,898 |
) |
|||||||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares |
(1,510,643 |
) |
— |
— |
(61,201,957 |
) |
(62,712,600 |
) |
|||||||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares |
(52,357,797 |
) |
— |
— |
(7,659,267 |
) |
(60,017,064 |
) |
|||||||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares |
(93,249,584 |
) |
— |
— |
(971,035,997 |
) |
(1,064,285,581 |
) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
DIREXION
ANNUAL REPORT
188
At October 31, 2021, the aggregate gross unrealized appreciation and depreciation of investments for U.S Federal income tax purposes were as follows:
Funds | Tax Cost
of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
83,286,210 |
$ |
32,647,651 |
$ |
(2,088,649 |
) |
$ |
30,559,002 |
||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
3,192,752,262 |
1,049,121,625 |
(52,452,422 |
) |
996,669,203 |
||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
727,577,956 |
— |
(335,855,721 |
) |
(335,855,721 |
) |
|||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
1,852,243,637 |
146,171,357 |
(64,083,866 |
) |
82,087,491 |
||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
985,285,176 |
— |
(478,729,256 |
) |
(478,729,256 |
) |
|||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
704,734,836 |
8,606,856 |
(213,936,278 |
) |
(205,329,422 |
) |
|||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
92,183,193 |
210,943 |
(18,764,941 |
) |
(18,553,998 |
) |
|||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
49,239,543 |
10,355,306 |
(820,049 |
) |
9,535,257 |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
217,704,966 |
— |
(45,527,004 |
) |
(45,527,004 |
) |
|||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
39,869,183 |
2,139,492 |
(12,964,810 |
) |
(10,825,318 |
) |
|||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
17,118,976 |
5,191,811 |
(1,342,306 |
) |
3,849,505 |
||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
59,803,875 |
53,993 |
(12,177,302 |
) |
(12,123,309 |
) |
|||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
289,664,968 |
44,482,700 |
(21,135,153 |
) |
23,347,547 |
||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
61,930,649 |
19,786,611 |
(842,028 |
) |
18,944,583 |
||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
99,980,048 |
27,252,335 |
(7,111,974 |
) |
20,140,361 |
||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
7,702,457 |
— |
(3,095,479 |
) |
(3,095,479 |
) |
|||||||||||||
Direxion Daily Financial Bull 3X Shares |
3,399,370,248 |
1,547,210,247 |
(176,788,360 |
) |
1,370,421,887 |
||||||||||||||
Direxion Daily Financial Bear 3X Shares |
289,680,329 |
— |
(152,648,116 |
) |
(152,648,116 |
) |
|||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
239,642,487 |
77,365,122 |
(9,327,485 |
) |
68,037,637 |
||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
399,852,162 |
140,600,745 |
(21,457,988 |
) |
119,142,757 |
||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
65,159,423 |
15,893,109 |
(2,886,450 |
) |
13,006,658 |
||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
149,118,428 |
64,394,141 |
(6,953,816 |
) |
57,440,325 |
||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
34,728,424 |
— |
(16,760,032 |
) |
(16,760,032 |
) |
|||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
34,593,862 |
1,873,376 |
(3,661,248 |
) |
(1,787,872 |
) |
|||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
451,787,284 |
147,938,318 |
(18,278,302 |
) |
129,660,016 |
||||||||||||||
Direxion Daily Retail Bull 3X Shares |
134,791,269 |
39,478,229 |
(10,315,701 |
) |
29,162,528 |
||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
132,583,444 |
45,520,027 |
(9,045,377 |
) |
36,474,650 |
||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
46,053,498 |
— |
(22,043,132 |
) |
(22,043,132 |
) |
|||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
1,058,350,444 |
26,516,986 |
(264,599,807 |
) |
(238,082,821 |
) |
|||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
82,175,577 |
1,287,723 |
(39,410,752 |
) |
(38,123,029 |
) |
|||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
4,194,295,264 |
738,788,064 |
(191,465,512 |
) |
547,322,552 |
||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
142,235,890 |
— |
(17,802,400 |
) |
(17,802,400 |
) |
|||||||||||||
Direxion Daily Technology Bull 3X Shares |
2,899,813,013 |
1,321,362,322 |
(207,876,785 |
) |
1,113,485,537 |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
126,818,877 |
— |
(62,929,925 |
) |
(62,929,925 |
) |
|||||||||||||
Direxion Daily Transportation Bull 3X Shares |
93,570,324 |
29,711,009 |
(6,606,799 |
) |
23,104,210 |
||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
38,106,008 |
5,224,882 |
(1,264,864 |
) |
3,960,018 |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
26,251,055 |
708,658 |
(1,976,041 |
) |
(1,276,383 |
) |
|||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
31,720,343 |
616,066 |
(2,126,709 |
) |
(1,510,643 |
) |
|||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
512,811,258 |
12,810,315 |
(65,168,112 |
) |
(52,357,797 |
) |
|||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
419,405,039 |
2,300,616 |
(95,550,200 |
) |
(93,249,584 |
) |
The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales and basis adjustments on investments in real estate investment trusts ("REITs").
On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax differences between accounting for total distributable earnings and capital stock under GAAP and tax reporting:
Funds | Total
Distributable Earnings (Loss) |
Capital Stock |
|||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
(29,085,314 |
) |
$ |
29,085,314 |
||||||
Direxion Daily S&P 500® Bull 3X Shares |
(977,875,691 |
) |
977,875,691 |
||||||||
Direxion Daily S&P 500® Bear 3X Shares |
5,233,727 |
(5,233,727 |
) |
||||||||
Direxion Daily Small Cap Bull 3X Shares |
(1,420,531,285 |
) |
1,420,531,285 |
DIREXION
ANNUAL REPORT
189
Funds | Total
Distributable Earnings (Loss) |
Capital Stock |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
$ |
3,400,427 |
$ |
(3,400,427 |
) |
||||||
Direxion Daily FTSE China Bull 3X Shares |
(16,302,326 |
) |
16,302,326 |
||||||||
Direxion Daily FTSE China Bear 3X Shares |
248,300 |
(248,300 |
) |
||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
(3,000,536 |
) |
3,000,536 |
||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
(15,404,152 |
) |
15,404,152 |
||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
201,275 |
(201,275 |
) |
||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
(2,891,982 |
) |
2,891,982 |
||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
(21,452,287 |
) |
21,452,287 |
||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
(90,140,681 |
) |
90,140,681 |
||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
(12,290,783 |
) |
12,290,783 |
||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
(21,413,020 |
) |
21,413,020 |
||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
18,511 |
(18,511 |
) |
||||||||
Direxion Daily Financial Bull 3X Shares |
(1,695,554,553 |
) |
1,695,554,553 |
||||||||
Direxion Daily Financial Bear 3X Shares |
1,851,623 |
(1,851,623 |
) |
||||||||
Direxion Daily Healthcare Bull 3X Shares |
(38,911,056 |
) |
38,911,056 |
||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
(337,750,833 |
) |
337,750,833 |
||||||||
Direxion Daily Industrials Bull 3X Shares |
(22,801,768 |
) |
22,801,768 |
||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
(19,918,905 |
) |
19,918,905 |
||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
237,407 |
(237,407 |
) |
||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
(7,189,094 |
) |
7,189,094 |
||||||||
Direxion Daily Regional Banks Bull 3X Shares |
(183,376,683 |
) |
183,376,683 |
||||||||
Direxion Daily Retail Bull 3X Shares |
(96,599,127 |
) |
96,599,127 |
||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
(70,107,750 |
) |
70,107,750 |
||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
261,023 |
(261,023 |
) |
||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
(165,184,877 |
) |
165,184,877 |
||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
410,360 |
(410,360 |
) |
||||||||
Direxion Daily Semiconductor Bull 3X Shares |
(2,717,661,673 |
) |
2,717,661,673 |
||||||||
Direxion Daily Semiconductor Bear 3X Shares |
572,036 |
(572,036 |
) |
||||||||
Direxion Daily Technology Bull 3X Shares |
(1,321,179,340 |
) |
1,321,179,340 |
||||||||
Direxion Daily Technology Bear 3X Shares |
303,168 |
(303,168 |
) |
||||||||
Direxion Daily Transportation Bull 3X Shares |
(45,187,983 |
) |
45,187,983 |
||||||||
Direxion Daily Utilities Bull 3X Shares |
(1,888,868 |
) |
1,888,868 |
||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
167,130 |
(167,130 |
) |
||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
35,976 |
(35,976 |
) |
||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
957,704 |
(957,704 |
) |
||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
419,816 |
(419,816 |
) |
GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended October 31, 2021, the permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses and the utilization of earnings and profits distributed to shareholders on redemption of shares.
In order to meet certain U.S. excise tax distribution requirements, the Funds are required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, the Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2021.
At October 31, 2021, the Funds deferred, on a tax basis, qualified late year losses of:
Ordinary Late Year
Loss Deferral |
|||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
162,195 |
|||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
||||||
Direxion Daily S&P 500® Bear 3X Shares |
3,234,148 |
||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
||||||
Direxion Daily Small Cap Bear 3X Shares |
2,862,615 |
DIREXION
ANNUAL REPORT
190
Ordinary Late Year
Loss Deferral |
|||||||
Direxion Daily FTSE China Bull 3X Shares |
$ |
1,827,917 |
|||||
Direxion Daily FTSE China Bear 3X Shares |
310,703 |
||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
1,068,694 |
||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
203,938 |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
— |
||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
— |
||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
— |
||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
35,875 |
||||||
Direxion Daily Financial Bull 3X Shares |
— |
||||||
Direxion Daily Financial Bear 3X Shares |
1,004,811 |
||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
||||||
Direxion Daily Industrials Bull 3X Shares |
— |
||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
— |
||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
183,394 |
||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
||||||
Direxion Daily Regional Banks Bull 3X Shares |
— |
||||||
Direxion Daily Retail Bull 3X Shares |
— |
||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
175,878 |
||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
||||||
Direxion Daily S&P Biotech Bear 3X Shares |
520,651 |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
||||||
Direxion Daily Semiconductor Bear 3X Shares |
810,885 |
||||||
Direxion Daily Technology Bull 3X Shares |
— |
||||||
Direxion Daily Technology Bear 3X Shares |
487,735 |
||||||
Direxion Daily Transportation Bull 3X Shares |
— |
||||||
Direxion Daily Utilities Bull 3X Shares |
— |
||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
75,515 |
||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
135,623 |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
1,794,543 |
Under current law, the Funds may carry forward net capital losses indefinitely to use to offset capital gains realized in future years and their character is retained as either short-term and/or long-term.
At October 31, 2021, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains through the year indicated:
Funds | Utilized
in Current Year |
Unlimited ST |
Unlimited LT |
||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
8,380,357 |
$ |
— |
$ |
— |
|||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
2,419,952,932 |
3,329,426 |
||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
92,337,273 |
— |
— |
||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
3,386,044,852 |
— |
||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
17,804,809 |
71,478,831 |
5,052,532 |
||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
96,229,365 |
— |
||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
9,244,846 |
13,690,757 |
— |
||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
84,197,223 |
55,726,896 |
60,333,049 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
334,050,210 |
— |
||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
6,661,142 |
— |
— |
||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
3,755,869 |
— |
— |
||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
3,346,307 |
— |
— |
||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
— |
— |
DIREXION
ANNUAL REPORT
191
Funds | Utilized
in Current Year |
Unlimited ST |
Unlimited LT |
||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
|||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
6,603,182 |
— |
||||||||||||
Direxion Daily Financial Bull 3X Shares |
2,657,865 |
— |
— |
||||||||||||
Direxion Daily Financial Bear 3X Shares |
— |
2,998,196,085 |
— |
||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
5,929,770 |
— |
— |
||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
— |
119,643,165 |
— |
||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
8,197,313 |
— |
— |
||||||||||||
Direxion Daily Retail Bull 3X Shares |
4,735,834 |
— |
— |
||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
441,728 |
— |
— |
||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
94,347,891 |
— |
||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
5,030,055 |
— |
— |
||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
289,440,392 |
— |
||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
757,433,781 |
— |
||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Technology Bear 3X Shares |
— |
251,777,266 |
— |
||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Utilities Bull 3X Shares |
1,053,435 |
— |
— |
||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
61,066,334 |
— |
||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
6,255,612 |
1,403,655 |
||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
969,241,454 |
— |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Funds have reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of October 31, 2021, open U.S. Federal and state income tax years include the tax years ended October 31, 2018 through October 31, 2021. The Funds have no examination in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
DIREXION
ANNUAL REPORT
192
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended October 31, 2021. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swap and future contracts.
Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds |
Purchases |
Sales |
Purchases
In-Kind |
Sales
In-Kind |
|||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
44,646,209 |
$ |
20,067,676 |
$ |
23,008,316 |
$ |
30,915,305 |
|||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
2,046,990,495 |
445,722,990 |
754,566,995 |
1,418,372,962 |
|||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
2,134,205,325 |
590,942,749 |
1,745,209,470 |
3,079,713,086 |
|||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
111,535,650 |
285,943,442 |
667,634,674 |
306,252,190 |
|||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
14,865,712 |
10,214,703 |
22,874,327 |
16,062,788 |
|||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
78,691,450 |
76,991,937 |
307,950,906 |
270,753,962 |
|||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
12,651,730 |
11,629,098 |
25,353,591 |
32,389,927 |
|||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
24,530,520 |
20,165,155 |
58,407,386 |
52,214,830 |
|||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
247,445,375 |
134,030,122 |
171,052,613 |
280,366,525 |
|||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
6,610,477 |
3,649,535 |
30,571,676 |
19,769,767 |
|||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
40,489,430 |
30,258,067 |
72,297,645 |
44,939,779 |
|||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
2,332,313,260 |
1,349,281,127 |
1,080,912,372 |
1,602,373,680 |
|||||||||||||||
Direxion Daily Financial Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
56,808,451 |
2,042,705 |
85,186,614 |
51,003,034 |
|||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
299,955,353 |
250,109,783 |
461,017,249 |
689,504,035 |
|||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
28,122,775 |
1,115,101 |
64,225,813 |
71,412,790 |
|||||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
72,007,030 |
15,978,653 |
66,738,989 |
72,419,225 |
|||||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
13,942,658 |
13,194,333 |
27,148,051 |
15,042,626 |
|||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
342,780,143 |
422,967,145 |
733,694,287 |
659,129,790 |
|||||||||||||||
Direxion Daily Retail Bull 3X Shares |
130,825,669 |
81,813,006 |
209,376,416 |
207,006,758 |
|||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
168,310,631 |
92,651,729 |
104,315,451 |
134,205,915 |
|||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
599,409,280 |
615,581,581 |
2,101,360,497 |
1,617,738,716 |
|||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
5,267,226,183 |
4,044,629,631 |
5,443,073,032 |
5,837,311,472 |
|||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
1,426,469,103 |
365,468,595 |
446,691,955 |
1,188,916,940 |
|||||||||||||||
Direxion Daily Technology Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
33,705,948 |
21,754,769 |
63,725,974 |
68,410,272 |
|||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
10,584,311 |
10,893,905 |
36,463,631 |
24,310,708 |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
797,433 |
1,373,045 |
2,843,043 |
— |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
58,959,600 |
133,876,871 |
155,510,979 |
26,883,265 |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
— |
— |
— |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended October 31, 2021.
DIREXION
ANNUAL REPORT
193
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between the Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory Agreement, each Fund pays the Adviser 0.75% at an annual rate based on its average daily net assets.
The Adviser has agreed to waive a portion of its fees based upon the specific breakpoints listed in the table below based on each Fund's daily net assets. For the year ended October 31, 2021, the Adviser waived its fee in certain Funds.
Net Asset Range |
Advisory Fee Limit |
||||||
$0 – $1,500,000,000 |
0.75 |
% |
|||||
$1,500,000,000 – $2,000,000,000 |
0.70 |
% |
|||||
$2,000,000,000 – $2,500,000,000 |
0.65 |
% |
|||||
$2,500,000,000 – $3,000,000,000 |
0.60 |
% |
|||||
$3,000,000,000 – $3,500,000,000 |
0.55 |
% |
|||||
$3,500,000,000 – $4,000,000,000 |
0.50 |
% |
|||||
$4,000,000,000 – $4,500,000,000 |
0.45 |
% |
|||||
Greater than $4,500,000,000 |
0.40 |
% |
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse each Fund's operating expenses to the extent that they exceed 0.95% of each Fund's respective average daily net assets at least until September 1, 2023. Any expense waiver is subject to recoupment by the Adviser, as applicable, within the following three years if overall expenses fall below these percentage limitations.
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
Potential Recoupment
Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31,
2022 |
October 31,
2023 |
October 31,
2024 |
Recoupment Amount |
||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
11,374 |
$ |
1,507 |
$ |
21,479 |
$ |
27,314 |
$ |
1,507 |
$ |
50,300 |
|||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
123,148 |
448 |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
120,578 |
1,315 |
— |
203,103 |
1,315 |
204,418 |
|||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
111,078 |
226 |
— |
— |
226 |
226 |
|||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
145,497 |
3,683 |
— |
— |
3,683 |
3,683 |
|||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
82,712 |
379 |
60,527 |
66,062 |
379 |
126,968 |
|||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
282 |
11,460 |
29,738 |
34,795 |
11,460 |
75,993 |
|||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
15,057 |
1,054 |
— |
6,508 |
1,054 |
7,562 |
|||||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares |
39,361 |
939 |
32,766 |
40,267 |
939 |
73,972 |
|||||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares |
— |
58,889 |
39,016 |
54,120 |
58,889 |
152,025 |
|||||||||||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares |
23 |
6,726 |
17,392 |
22,485 |
6,726 |
46,603 |
|||||||||||||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares |
1,032 |
4,769 |
21,721 |
31,386 |
4,769 |
57,876 |
|||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
85,916 |
141 |
— |
2,631 |
141 |
2,772 |
|||||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
8,376 |
18,769 |
30,007 |
43,606 |
18,769 |
92,382 |
|||||||||||||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares |
6,026 |
4,118 |
— |
24,873 |
4,118 |
28,991 |
DIREXION
ANNUAL REPORT
194
Potential Recoupment
Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31,
2022 |
October 31,
2023 |
October 31,
2024 |
Recoupment Amount |
||||||||||||||||||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares |
$ |
— |
$ |
27,407 |
$ |
— |
$ |
35,406 |
$ |
27,407 |
$ |
62,813 |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
50,235 |
4,546 |
— |
64,004 |
4,546 |
68,550 |
|||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
37,618 |
384 |
6,117 |
41,898 |
384 |
48,399 |
|||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
92,979 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
5,683 |
5,072 |
38,210 |
43,942 |
5,072 |
87,224 |
|||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares |
21,174 |
2,655 |
35,142 |
40,574 |
2,655 |
78,371 |
|||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares |
— |
48,415 |
57,022 |
62,433 |
48,415 |
167,870 |
|||||||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
— |
21,940 |
35,714 |
45,404 |
21,940 |
103,058 |
|||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
68,826 |
1,603 |
— |
— |
1,603 |
1,603 |
|||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
61,803 |
1,422 |
— |
24,548 |
1,422 |
25,970 |
|||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
1,157 |
8,528 |
— |
36,628 |
8,528 |
45,156 |
|||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
— |
19,907 |
— |
35,623 |
19,907 |
55,530 |
|||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
126,187 |
1,384 |
— |
— |
1,384 |
1.384 |
|||||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
5,608 |
2,825 |
20,899 |
39,815 |
2,825 |
63,539 |
|||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
38,193 |
67 |
— |
17,601 |
67 |
17,668 |
|||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
114,924 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
1,557 |
2,677 |
22,689 |
37,209 |
2,677 |
62,575 |
|||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
9,702 |
3,328 |
37,000 |
34,483 |
3,328 |
74,811 |
|||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
409 |
17,028 |
36,502 |
38,650 |
17,028 |
92,180 |
|||||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares |
— |
21,335 |
32,553 |
33,178 |
21,335 |
87,066 |
|||||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares |
— |
26,014 |
31,607 |
38,575 |
26,014 |
96,196 |
|||||||||||||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares |
— |
377 |
— |
— |
377 |
377 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of October 31, 2021 is presented on the Statement of Assets and Liabilities as Due from (to) Adviser, net.
The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
DIREXION
ANNUAL REPORT
195
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes of valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments)
The inputs or methodology used for valuing securities are not an indication of the credit risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' net assets as of October 31, 2021:
Asset Class |
Liability Class |
||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 2 |
|||||||||||||||||||||||||
Funds |
Investment
Companies |
Common
Stocks |
Short Term
Investments |
Cash
Equivalents |
Total Return
Swap Contracts* |
Total Return
Swap Contracts* |
|||||||||||||||||||||
Direxion Daily Mid
Cap Bull 3X Shares |
$ |
60,855,767 |
$ |
— |
$ |
29,672,768 |
$ |
— |
$ |
23,316,677 |
$ |
— |
|||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
2,358,133,494 |
— |
1,042,861,271 |
— |
788,426,701 |
— |
|||||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
— |
— |
471,360,751 |
— |
— |
(79,638,516 |
) |
||||||||||||||||||||
Direxion Daily Small
Cap Bull 3X Shares |
922,009,799 |
— |
876,808,068 |
— |
135,513,262 |
— |
|||||||||||||||||||||
Direxion Daily Small
Cap Bear 3X Shares |
— |
— |
572,797,939 |
— |
— |
(66,242,019 |
) |
||||||||||||||||||||
Direxion Daily FTSE
China Bull 3X Shares |
292,033,845 |
— |
256,258,626 |
— |
5,287,645 |
(54,174,701 |
) |
||||||||||||||||||||
Direxion Daily FTSE
China Bear 3X Shares |
— |
— |
81,299,792 |
— |
210,943 |
(7,881,541 |
) |
||||||||||||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares |
21,231,516 |
— |
27,963,896 |
— |
9,594,964 |
(15,576 |
) |
||||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares |
88,250,063 |
— |
93,743,661 |
— |
— |
(9,815,761 |
) |
||||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares |
— |
— |
26,980,919 |
— |
2,139,492 |
(76,546 |
) |
||||||||||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares |
119,812 |
— |
15,656,857 |
— |
5,191,811 |
— |
|||||||||||||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares |
20,810,244 |
— |
31,699,661 |
— |
— |
(4,829,339 |
) |
||||||||||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
— |
199,440,646 |
84,552,713 |
— |
32,058,133 |
(3,038,977 |
) |
||||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
— |
25,477,406 |
38,632,850 |
— |
16,764,977 |
— |
|||||||||||||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares |
— |
69,646,665 |
29,489,691 |
— |
20,984,053 |
— |
|||||||||||||||||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares |
— |
— |
5,044,940 |
— |
— |
(437,962 |
) |
DIREXION
ANNUAL REPORT
196
Asset Class |
Liability Class |
||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 2 |
|||||||||||||||||||||||||
Funds |
Investment
Companies |
Common
Stocks |
Short Term
Investments |
Cash
Equivalents |
Total Return
Swap Contracts* |
Total Return
Swap Contracts* |
|||||||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
$ |
— |
$ |
2,239,220,325 |
$ |
1,391,192,258 |
$ |
— |
$ |
1,139,379,552 |
$ |
— |
|||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
— |
— |
166,507,325 |
— |
— |
(29,475,112 |
) |
||||||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
— |
174,194,733 |
74,559,599 |
— |
58,928,576 |
(2,784 |
) |
||||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
— |
218,946,501 |
171,525,355 |
— |
128,523,064 |
— |
|||||||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
— |
39,505,283 |
24,292,783 |
— |
14,368,015 |
— |
|||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares |
— |
105,082,075 |
46,293,222 |
— |
55,183,456 |
— |
|||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares |
— |
— |
23,075,427 |
— |
— |
(5,107,034 |
) |
||||||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
— |
20,610,493 |
11,842,284 |
— |
395,948 |
(42,735 |
) |
||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
— |
117,253,537 |
326,208,346 |
— |
137,985,415 |
— |
|||||||||||||||||||||
Direxion Daily
Retail Bull 3X Shares |
— |
91,267,491 |
40,594,634 |
— |
32,091,672 |
— |
|||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
— |
66,876,638 |
62,368,389 |
— |
39,813,067 |
— |
|||||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
— |
— |
31,864,867 |
— |
— |
(7,854,502 |
) |
||||||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
— |
563,858,282 |
281,890,294 |
— |
128,769 |
(25,609,724 |
) |
||||||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
— |
— |
43,328,751 |
— |
1,287,723 |
(563,926 |
) |
||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
— |
2,392,842,191 |
1,795,689,847 |
— |
553,085,778 |
— |
|||||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
— |
— |
141,898,201 |
— |
— |
(17,464,711 |
) |
||||||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
— |
1,841,321,508 |
1,194,217,389 |
— |
977,759,653 |
— |
|||||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
— |
— |
86,319,805 |
— |
— |
(22,430,853 |
) |
||||||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
— |
36,802,424 |
53,330,582 |
— |
26,541,528 |
— |
|||||||||||||||||||||
Direxion Daily
Utilities Bull 3X Shares |
— |
20,030,425 |
17,573,938 |
— |
4,461,663 |
— |
|||||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares |
15,306,085 |
— |
10,332,305 |
— |
65,882 |
(720,601 |
) |
||||||||||||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares |
— |
— |
29,647,418 |
— |
616,066 |
(53,784 |
) |
||||||||||||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares |
228,116,510 |
— |
234,115,087 |
— |
9,220,297 |
(10,998,435 |
) |
||||||||||||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares |
— |
— |
354,717,209 |
— |
2,300,616 |
(30,862,369 |
) |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Total return swap contracts are valued at the unrealized appreciation/(depreciation).
DIREXION
ANNUAL REPORT
197
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of October 31, 2021, the Funds were invested in swap contracts. At October 31, 2021, the fair value of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 |
|||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
23,316,677 |
$ |
— |
$ |
23,316,677 |
|||||||||
Direxion Daily S&P 500® Bull 3X Shares |
788,426,701 |
— |
788,426,701 |
||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
135,513,262 |
— |
135,513,262 |
||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
5,287,645 |
— |
5,287,645 |
||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
210,943 |
— |
210,943 |
||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
9,594,964 |
— |
9,594,964 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
2,139,492 |
— |
2,139,492 |
||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
5,191,811 |
— |
5,191,811 |
||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
32,058,133 |
— |
32,058,133 |
||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
16,764,977 |
— |
16,764,977 |
||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
20,984,053 |
— |
20,984,053 |
||||||||||||
Direxion Daily Financial Bull 3X Shares |
1,139,379,552 |
— |
1,160,604,696 |
||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
58,928,576 |
— |
58,928,576 |
||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
128,523,064 |
— |
128,523,064 |
||||||||||||
Direxion Daily Industrials Bull 3X Shares |
14,368,015 |
— |
14,368,015 |
||||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
55,183,456 |
— |
55,183,456 |
||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
395,948 |
— |
395,948 |
||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
137,985,415 |
— |
137,985,415 |
||||||||||||
Direxion Daily Retail Bull 3X Shares |
32,091,672 |
— |
32,091,672 |
||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
39,813,067 |
— |
39,813,067 |
||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
128,769 |
— |
128,769 |
||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
1,287,723 |
— |
1,287,723 |
||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
553,085,778 |
— |
553,085,778 |
||||||||||||
Direxion Daily Technology Bull 3X Shares |
977,759,653 |
— |
977,759,653 |
||||||||||||
Direxion Daily Transportation Bull 3X Shares |
26,541,528 |
— |
26,541,528 |
||||||||||||
Direxion Daily Utilities Bull 3X Shares |
4,461,663 |
— |
4,461,663 |
||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
65,882 |
65,882 |
||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
616,066 |
616,066 |
||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
9,220,297 |
9,220,297 |
||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
2,300,616 |
2,300,616 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
DIREXION
ANNUAL REPORT
198
Liability Derivatives2 |
|||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
$ |
79,638,516 |
$ |
— |
$ |
79,638,516 |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
66,242,019 |
— |
66,242,019 |
||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
54,174,701 |
— |
54,174,701 |
||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
7,881,541 |
— |
7,881,541 |
||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
15,576 |
— |
15,576 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
9,815,761 |
— |
9,815,761 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
76,546 |
— |
76,546 |
||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
4,829,339 |
— |
4,829,339 |
||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
3,038,977 |
— |
3,038,977 |
||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
437,962 |
— |
437,962 |
||||||||||||
Direxion Daily Financial Bear 3X Shares |
29,475,112 |
— |
29,475,112 |
||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
2,784 |
— |
2,784 |
||||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
5,107,034 |
— |
5,107,034 |
||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
42,735 |
— |
42,735 |
||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
7,854,502 |
— |
7,854,502 |
||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
25,609,724 |
— |
25,609,724 |
||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
563,926 |
— |
563,926 |
||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
17,464,711 |
— |
17,464,711 |
||||||||||||
Direxion Daily Technology Bear 3X Shares |
22,430,853 |
— |
22,430,853 |
||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
720,601 |
720,601 |
||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
53,784 |
53,784 |
||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
10,998,435 |
10,998,435 |
||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
30,862,369 |
30,862,369 |
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the year ended October 31, 2021 by primary risk, were as follows:
Net Realized Gain (Loss)1 |
Net
Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily Mid
Cap Bull 3X Shares |
Swap Contracts |
$ |
41,133,067 |
$ |
— |
$ |
15,764,045 |
$ |
— |
||||||||||||||
Direxion Daily
S&P 500® Bull 3X Shares |
Swap Contracts |
894,022,188 |
— |
654,856,910 |
— |
||||||||||||||||||
Direxion Daily
S&P 500® Bear 3X Shares |
Swap Contracts |
(586,097,391 |
) |
— |
(3,130,432 |
) |
— |
||||||||||||||||
Direxion Daily Small
Cap Bull 3X Shares |
Swap Contracts |
1,483,941,827 |
— |
(275,226,144 |
) |
— |
|||||||||||||||||
Direxion Daily Small
Cap Bear 3X Shares |
Swap Contracts |
(670,785,693 |
) |
— |
69,207,089 |
— |
|||||||||||||||||
Direxion Daily FTSE
China Bull 3X Shares |
Swap Contracts |
(26,829,068 |
) |
— |
(68,633,048 |
) |
— |
||||||||||||||||
Direxion Daily FTSE
China Bear 3X Shares |
Swap Contracts |
(10,622,978 |
) |
— |
989,076 |
— |
|||||||||||||||||
Direxion Daily FTSE
Europe Bull 3X Shares |
Swap Contracts |
14,960,932 |
— |
8,698,182 |
— |
||||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bull 3X Shares |
Swap Contracts |
114,995,325 |
— |
(67,795,637 |
) |
— |
|||||||||||||||||
Direxion Daily MSCI
Emerging Markets Bear 3X Shares |
Swap Contracts |
(39,406,431 |
) |
— |
20,478,769 |
— |
|||||||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares |
Swap Contracts |
8,763,790 |
— |
4,266,294 |
— |
DIREXION
ANNUAL REPORT
199
Net Realized Gain (Loss)1 |
Net
Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily MSCI
South Korea Bull 3X Shares |
Swap Contracts |
$ |
27,519,867 |
$ |
— |
$ |
(13,176,070 |
) |
$ |
— |
|||||||||||||
Direxion Daily
Aerospace & Defense Bull 3X Shares |
Swap Contracts |
131,568,954 |
— |
48,499,050 |
— |
||||||||||||||||||
Direxion Daily
Consumer Discretionary Bull 3X Shares |
Swap Contracts |
12,307,373 |
— |
11,123,890 |
— |
||||||||||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares |
Swap Contracts |
16,958,017 |
— |
13,805,841 |
— |
||||||||||||||||||
Direxion Daily Dow
Jones Internet Bear 3X Shares |
Swap Contracts |
(4,367,139 |
) |
— |
(402,322 |
) |
— |
||||||||||||||||
Direxion Daily
Financial Bull 3X Shares |
Swap Contracts |
1,588,678,863 |
— |
1,105,063,901 |
— |
||||||||||||||||||
Direxion Daily
Financial Bear 3X Shares |
Swap Contracts |
(303,582,709 |
) |
— |
(11,913,059 |
) |
— |
||||||||||||||||
Direxion Daily
Healthcare Bull 3X Shares |
Swap Contracts |
45,280,152 |
— |
48,573,410 |
— |
||||||||||||||||||
Direxion Daily
Homebuilders & Supplies Bull 3X Shares |
Swap Contracts |
301,070,089 |
— |
(63,750,988 |
) |
— |
|||||||||||||||||
Direxion Daily
Industrials Bull 3X Shares |
Swap Contracts |
16,056,721 |
— |
11,514,677 |
— |
||||||||||||||||||
Direxion Daily MSCI
Real Estate Bull 3X Shares |
Swap Contracts |
26,836,128 |
— |
57,789,003 |
— |
||||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares |
Swap Contracts |
(22,402,448 |
) |
— |
(8,904,990 |
) |
— |
||||||||||||||||
Direxion Daily
Pharmaceutical & Medical Bull 3X Shares |
Swap Contracts |
5,370,599 |
— |
(2,853,103 |
) |
— |
|||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
Swap Contracts |
148,826,637 |
— |
105,455,673 |
— |
||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
Swap Contracts |
71,778,193 |
— |
18,802,222 |
— |
||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
Swap Contracts |
55,027,521 |
— |
34,155,234 |
— |
||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
Swap Contracts |
(67,826,311 |
) |
— |
(4,975,326 |
) |
— |
||||||||||||||||
Direxion Daily
S&P Biotech Bull 3X Shares |
Swap Contracts |
92,126,283 |
— |
(128,884,134 |
) |
— |
|||||||||||||||||
Direxion Daily
S&P Biotech Bear 3X Shares |
Swap Contracts |
(95,689,771 |
) |
— |
10,819,563 |
— |
|||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
Swap Contracts |
2,255,567,817 |
— |
89,184,973 |
— |
||||||||||||||||||
Direxion Daily
Semiconductor Bear 3X Shares |
Swap Contracts |
(134,480,560 |
) |
— |
(6,837,423 |
) |
— |
||||||||||||||||
Direxion Daily
Technology Bull 3X Shares |
Swap Contracts |
1,258,813,679 |
— |
444,554,692 |
— |
||||||||||||||||||
Direxion Daily
Technology Bear 3X Shares |
Swap Contracts |
(69,922,392 |
) |
— |
(17,326,206 |
) |
— |
||||||||||||||||
Direxion Daily
Transportation Bull 3X Shares |
Swap Contracts |
35,389,654 |
— |
14,940,322 |
— |
DIREXION
ANNUAL REPORT
200
Net Realized Gain (Loss)1 |
Net
Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily
Utilities Bull 3X Shares |
Swap Contracts |
$ |
4,658,699 |
$ |
— |
$ |
1,611,680 |
$ |
— |
||||||||||||||
Direxion Daily 7-10
Year Treasury Bull 3X Shares |
Swap Contracts |
— |
(431,456 |
) |
— |
(1,990,140 |
) |
||||||||||||||||
Direxion Daily 7-10
Year Treasury Bear 3X Shares |
Swap Contracts |
— |
(865,095 |
) |
— |
1,481,064 |
|||||||||||||||||
Direxion Daily 20+
Year Treasury Bull 3X Shares |
Swap Contracts |
— |
(33,402,632 |
) |
— |
(4,331,362 |
) |
||||||||||||||||
Direxion Daily 20+
Year Treasury Bear 3X Shares |
Swap Contracts |
— |
(547,287 |
) |
— |
(28,182,740 |
) |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the period ended October 31, 2021, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts |
|||||||||||
Long Total
Return Swap Contracts |
Short Total
Return Swap Contracts |
||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
183,839,767 |
$ |
— |
|||||||
Direxion Daily S&P 500® Bull 3X Shares |
4,718,121,335 |
— |
|||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
1,434,918,322 |
|||||||||
Direxion Daily Small Cap Bull 3X Shares |
3,240,334,725 |
— |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
1,245,720,661 |
|||||||||
Direxion Daily FTSE China Bull 3X Shares |
920,148,945 |
— |
|||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
132,119,098 |
|||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
96,194,746 |
— |
|||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
497,925,098 |
— |
|||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
89,353,718 |
|||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
46,710,549 |
— |
|||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
121,348,898 |
— |
|||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
646,394,238 |
— |
|||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
80,319,326 |
— |
|||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
142,677,443 |
— |
|||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
13,164,622 |
|||||||||
Direxion Daily Financial Bull 3X Shares |
5,685,662,235 |
— |
|||||||||
Direxion Daily Financial Bear 3X Shares |
— |
492,279,349 |
|||||||||
Direxion Daily Healthcare Bull 3X Shares |
384,272,733 |
— |
|||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
789,993,706 |
— |
|||||||||
Direxion Daily Industrials Bull 3X Shares |
125,761,270 |
— |
|||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
245,732,632 |
— |
|||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
— |
71,877,908 |
|||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
39,637,527 |
— |
|||||||||
Direxion Daily Regional Banks Bull 3X Shares |
800,524,850 |
— |
|||||||||
Direxion Daily Retail Bull 3X Shares |
217,943,592 |
— |
|||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
192,979,157 |
— |
|||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
90,702,262 |
|||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
1,374,235,422 |
— |
|||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
202,893,855 |
|||||||||
Direxion Daily Semiconductor Bull 3X Shares |
7,211,488,831 |
— |
|||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
298,043,513 |
|||||||||
Direxion Daily Technology Bull 3X Shares |
4,705,406,181 |
— |
|||||||||
Direxion Daily Technology Bear 3X Shares |
— |
191,014,459 |
|||||||||
Direxion Daily Transportation Bull 3X Shares |
168,872,894 |
— |
|||||||||
Direxion Daily Utilities Bull 3X Shares |
52,927,367 |
— |
DIREXION
ANNUAL REPORT
201
Quarterly Average Gross Notional Amounts |
|||||||||||
Long Total
Return Swap Contracts |
Short Total
Return Swap Contracts |
||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
$ |
46,457,382 |
$ |
— |
|||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
47,910,781 |
|||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
704,771,196 |
— |
|||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
648,168,935 |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of 300% or -300% daily performance of their respective indices.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
DIREXION
ANNUAL REPORT
202
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and future agreements may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing
DIREXION
ANNUAL REPORT
203
liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
10. ADDITIONAL INFORMATION
On January 11, 2021, March 2, 2021 and October 25, 2021, shares of the following Funds were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock splits have no impact on the net assets of the Funds or the value of a shareholder's investment in the Fund. A summary of the reverse stock splits is as follows:
Funds |
Effective Date |
Rate |
Net Asset Value Before Split |
Net Asset Value After Split |
Shares
Outstanding Before Split |
Shares
Outstanding After Split |
|||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
1/11/2021 |
1 |
:10 |
$ |
3.68 |
$ |
36.80 |
136,803,892 |
13,680,389 |
||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bear 3X Shares |
1/11/2021 |
1 |
:20 |
1.38 |
27.60 |
20,150,001 |
1,007,500 |
||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
3/2/2021 |
1 |
:8 |
4.20 |
33.60 |
86,641,573 |
10,830,197 |
||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
3/2/2021 |
1 |
:8 |
4.78 |
38.24 |
30,472,860 |
3,809,108 |
||||||||||||||||||||
Direxion Daily MSCI
Real Estate Bear 3X Shares |
10/25/2021 |
1 |
:10 |
4.12 |
41.20 |
4,351,444 |
435,144 |
||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
10/25/2021 |
1 |
:10 |
3.95 |
39.50 |
15,514,848 |
1,551,485 |
On January 11, 2021, March 2, 2021 and October 25, 2021, shares of the following Funds were adjusted to reflect a forward stock split. The effect of the forward stock split was to increase the number of shares outstanding and decrease the net asset value. The forward stock splits have no impact on the net assets of the Funds or the value of a shareholder's investment in the Fund. A summary of the forward stock split is as follows:
Funds |
Effective Date |
Rate |
Net Asset Value Before Split |
Net Asset Value After Split |
Shares
Outstanding Before Split |
Shares
Outstanding After Split |
|||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
1/11/2021 |
5 |
:1 |
$ |
535.66 |
107.13 |
154,844 |
774,221 |
|||||||||||||||||||
Direxion Daily
S&P 500® High Beta Bull 3X Shares |
3/2/2021 |
7 |
:1 |
382.21 |
54.60 |
244,910 |
1,714,371 |
||||||||||||||||||||
Direxion Daily
Semiconductor Bull 3X Shares |
3/2/2021 |
15 |
:1 |
636.92 |
42.46 |
6,150,004 |
92,250,060 |
||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
3/2/2021 |
10 |
:1 |
439.83 |
43.98 |
4,400,000 |
44,000,000 |
||||||||||||||||||||
Direxion Daily
Regional Banks Bull 3X Shares |
10/25/2021 |
5 |
:1 |
277.65 |
55.53 |
1,789,718 |
8,948,590 |
||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
10/25/2021 |
5 |
:1 |
212.11 |
42.42 |
724,221 |
3,621,105 |
11. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On December 8, 2021, certain Funds declared capital gain distributions with an ex-date of December 9, 2021 and payable date of December 16, 2021. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per Share Short Term Capital Gain Distribution |
||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
$ |
0.33870 |
|||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
3.05116 |
||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
1.13166 |
||||||
Direxion Daily Technology Bull 3X Shares |
0.27909 |
||||||
Direxion Daily Utilities Bull 3X Shares |
0.07850 |
DIREXION
ANNUAL REPORT
204
On December 20, 2021, certain Funds declared income distributions with an ex-date of December 21, 2021 and payable date of December 29, 2021. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per
Share Income Distribution |
||||||
Direxion Daily S&P 500® Bull 3X Shares |
$ |
0.11481 |
|||||
Direxion Daily Small Cap Bull 3X Shares |
0.05037 |
||||||
Direxion Daily FTSE China Bull 3X Shares |
0.01363 |
||||||
Direxion Daily FTSE Europe Bull 3X Shares |
0.03783 |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
0.46761 |
||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
0.19082 |
||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
0.00167 |
||||||
Direxion Daily Financial Bull 3X Shares |
0.35754 |
||||||
Direxion Daily Healthcare Bull 3X Shares |
0.03300 |
||||||
Direxion Daily Industrials Bull 3X Shares |
0.01876 |
||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
0.00007 |
||||||
Direxion Daily Regional Banks Bull 3X Shares |
0.06667 |
||||||
Direxion Daily Retail Bull 3X Shares |
0.07539 |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
0.01424 |
||||||
Direxion Daily Utilities Bull 3X Shares |
0.13278 |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
0.00158 |
DIREXION
ANNUAL REPORT
205
Direxion Shares ETF Trust
Effective December 1, 2021, the following table under "Principal Officers of the Trust" is replaced in its entirety as indicated below.
Supplement dated
December 1, 2021 to the
Statements of Additional Information ("SAI")
for
each series of the Direxion Shares ETF Trust (the "Trust")
The following table under "Principal Officers of the Trust" for each of the Trust's SAIs is replaced in its entirety as indicated below.
Name, Address
and Age |
Position(s) Held with Fund |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of
Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(2) |
Other
Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D.
O'Neill(1) Age: 53 |
Chief Executive Officer |
One Year; Since 2021 |
Chief Executive Officer, Rafferty Asset Management, LLC, since 2021; Managing Director, Rafferty Asset Management, LLC, January 1999-January 2019. |
N/A |
N/A |
||||||||||||||||||
Patrick J. Rudnick
Age: 48 |
Principal Executive Officer |
One Year; Since 2018 |
Senior Vice President, Rafferty Asset Management, LLC, since March 2013. |
N/A |
N/A |
||||||||||||||||||
Angela
Brickl Age: 45 |
Chief Compliance Officer Secretary |
One Year; Since 2018 One Year; Since 2011 |
Chief Operating Officer, Rafferty Asset Management, LLC, since May 2021; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012. |
N/A |
N/A |
||||||||||||||||||
Corey
Noltner Age: 32 |
Principal Financial Officer |
One Year; Since 2021 |
Senior Business Analyst, Rafferty Asset Management, LLC, since 2015. |
N/A |
N/A |
(1) Mr. O'Neill serves as Chairman of the Board of Trustees of the Direxion Funds, Direxion Insurance Trust and Direxion Shares ETF Trust.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this SAI, offers for sale to the public 78 of the 105 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this SAI, does not have any funds registered with the SEC.
For more information, please contact the Funds at (866) 476-7523.
Please retain this Supplement with your SAI.
DIREXION
ANNUAL REPORT
206
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of Direxion Daily Mid Cap Bull 3X Shares, Direxion Daily S&P 500® Bull 3X Shares, Direxion Daily S&P 500® Bear 3X Shares, Direxion Daily Small Cap Bull 3X Shares, Direxion Daily Small Cap Bear 3X Shares, Direxion Daily FTSE China Bull 3X Shares, Direxion Daily FTSE China Bear 3X Shares, Direxion Daily FTSE Europe Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bear 3X Shares, Direxion Daily MSCI Mexico Bull 3X Shares, Direxion Daily MSCI South Korea Bull 3X Shares, Direxion Daily Aerospace & Defense Bull 3X Shares, Direxion Daily Consumer Discretionary Bull 3X Shares, Direxion Daily Dow Jones Internet Bull 3X Shares, Direxion Daily Dow Jones Internet Bear 3X Shares, Direxion Daily Financial Bull 3X Shares, Direxion Daily Financial Bear 3X Shares, Direxion Daily Healthcare Bull 3X Shares, Direxion Daily Homebuilders & Supplies Bull 3X Shares, Direxion Daily Industrials Bull 3X Shares, Direxion Daily MSCI Real Estate Bull 3X Shares, Direxion Daily MSCI Real Estate Bear 3X Shares, Direxion Daily Pharmaceutical & Medical Bull 3X Shares, Direxion Daily Regional Banks Bull 3X Shares, Direxion Daily Retail Bull 3X Shares, Direxion Daily S&P 500® High Beta Bull 3X Shares, Direxion Daily S&P 500® High Beta Bear 3X Shares, Direxion Daily S&P Biotech Bull 3X Shares, Direxion Daily S&P Biotech Bear 3X Shares, Direxion Daily Semiconductor Bull 3X Shares, Direxion Daily Semiconductor Bear 3X Shares, Direxion Daily Technology Bull 3X Shares, Direxion Daily Technology Bear 3X Shares, Direxion Daily Transportation Bull 3X Shares, Direxion Daily Utilities Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bear 3X Shares, Direxion Daily 20+ Year Treasury Bull 3X Shares, Direxion Daily 20+ Year Treasury Bear 3X Shares and the Board of Trustees of Direxion Shares ETF Trust.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Direxion Daily Mid Cap Bull 3X Shares, Direxion Daily S&P 500® Bull 3X Shares, Direxion Daily S&P 500® Bear 3X Shares, Direxion Daily Small Cap Bull 3X Shares, Direxion Daily Small Cap Bear 3X Shares, Direxion Daily FTSE China Bull 3X Shares, Direxion Daily FTSE China Bear 3X Shares, Direxion Daily FTSE Europe Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bear 3X Shares, Direxion Daily MSCI Mexico Bull 3X Shares, Direxion Daily MSCI South Korea Bull 3X Shares, Direxion Daily Aerospace & Defense Bull 3X Shares, Direxion Daily Consumer Discretionary Bull 3X Shares, Direxion Daily Dow Jones Internet Bull 3X Shares, Direxion Daily Dow Jones Internet Bear 3X Shares, Direxion Daily Financial Bull 3X Shares, Direxion Daily Financial Bear 3X Shares, Direxion Daily Healthcare Bull 3X Shares, Direxion Daily Homebuilders & Supplies Bull 3X Shares, Direxion Daily Industrials Bull 3X Shares, Direxion Daily MSCI Real Estate Bull 3X Shares, Direxion Daily MSCI Real Estate Bear 3X Shares, Direxion Daily Pharmaceutical & Medical Bull 3X Shares, Direxion Daily Regional Banks Bull 3X Shares, Direxion Daily Retail Bull 3X Shares, Direxion Daily S&P 500® High Beta Bull 3X Shares, Direxion Daily S&P 500® High Beta Bear 3X Shares, Direxion Daily S&P Biotech Bull 3X Shares, Direxion Daily S&P Biotech Bear 3X Shares, Direxion Daily Semiconductor Bull 3X Shares, Direxion Daily Semiconductor Bear 3X Shares, Direxion Daily Technology Bull 3X Shares, Direxion Daily Technology Bear 3X Shares, Direxion Daily Transportation Bull 3X Shares, Direxion Daily Utilities Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bear 3X Shares, Direxion Daily 20+ Year Treasury Bull 3X Shares and Direxion Daily 20+ Year Treasury Bear 3X Shares (collectively referred to as the "Funds"), (40 of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2021, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (40 of the funds constituting Direxion Shares ETF Trust) at October 31, 2021, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
DIREXION
ANNUAL REPORT
207
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
Individual fund
constituting the Direxion Shares ETF Trust |
Statement
of Operations |
Statements
of Changes in Net Assets |
Financial Highlights |
||||||||||||
Direxion Daily Mid
Cap Bull 3X Shares Direxion Daily S&P 500® Bull 3X Shares Direxion Daily S&P 500® Bear 3X Shares Direxion Daily Small Cap Bull 3X Shares Direxion Daily Small Cap Bear 3X Shares Direxion Daily FTSE China Bull 3X Shares Direxion Daily FTSE China Bear 3X Shares Direxion Daily FTSE Europe Bull 3X Shares Direxion Daily MSCI Emerging Markets Bull 3X Shares Direxion Daily MSCI Emerging Markets Bear 3X Shares Direxion Daily MSCI South Korea Bull 3X Shares Direxion Daily Financial Bull 3X Shares Direxion Daily Financial Bear 3X Shares Direxion Daily Healthcare Bull 3X Shares Direxion Daily Homebuilders & Supplies Bull 3X Shares Direxion Daily MSCI Real Estate Bull 3X Shares Direxion Daily MSCI Real Estate Bear 3X Shares Direxion Daily Regional Banks Bull 3X Shares Direxion Daily Retail Bull 3X Shares Direxion Daily S&P Biotech Bull 3X Shares Direxion Daily S&P Biotech Bear 3X Shares Direxion Daily Semiconductor Bull 3X Shares Direxion Daily Semiconductor Bear 3X Shares Direxion Daily Technology Bull 3X Shares Direxion Daily Technology Bear 3X Shares Direxion Daily 7-10 Year Treasury Bull 3X Shares Direxion Daily 7-10 Year Treasury Bear 3X Shares Direxion Daily 20+ Year Treasury Bull 3X Shares Direxion Daily 20+ Year Treasury Bear 3X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the five years in the period ended October 31, 2021 |
||||||||||||
Direxion Daily MSCI
Mexico Bull 3X Shares Direxion Daily Aerospace & Defense Bull 3X Shares Direxion Daily Industrials Bull 3X Shares Direxion Daily Transportation Bull 3X Shares Direxion Daily Utilities Bull 3X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the four years in the period ended October 31, 2021 and the period from May 3, 2017 (commencement of operations) through October 31, 2017 |
||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the three years in the period ended October 31, 2021 and the period from November 15, 2017 (commencement of operations) through October 31, 2018 |
||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 and the period from November 29, 2018 (commencement of operations) through October 31, 2019 |
||||||||||||
Direxion Daily Dow
Jones Internet Bull 3X Shares Direxion Daily Dow Jones Internet Bear 3X Shares Direxion Daily S&P 500® High Beta Bull 3X Shares Direxion Daily S&P 500® High Beta Bear 3X Shares |
For the year ended October 31, 2021 |
For the year ended October 31, 2021 and the period from November 7, 2019 (commencement of operations) through October 31, 2020 |
DIREXION
ANNUAL REPORT
208
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
Basis for Opinion
These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on each of the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Direxion investment companies since 2001.
Minneapolis,
Minnesota
December 22, 2021
DIREXION
ANNUAL REPORT
209
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Federal Tax Status of Dividends Declared during the Tax Year
For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction ("DRD"), the individual qualified dividend rate ("QDI"), the qualified interest income rate ("QII"), and the qualified short-term gain rate ("QSTG") is presented below.
Funds |
DRD |
QDI |
QII |
QSTG |
|||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
3.87 |
% |
3.87 |
% |
0.00 |
% |
0.09 |
% |
|||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
3.09 |
% |
3.09 |
% |
0.00 |
% |
19.05 |
% |
|||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Small Cap Bull 3X Shares |
0.79 |
% |
0.79 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Small Cap Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily FTSE China Bull 3X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily FTSE China Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
10.11 |
% |
10.11 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
0.67 |
% |
0.67 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
3.80 |
% |
3.80 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Financial Bull 3X Shares |
6.18 |
% |
6.18 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Financial Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Healthcare Bull 3X Shares |
4.30 |
% |
4.30 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Industrials Bull 3X Shares |
13.32 |
% |
13.32 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily MSCI Real Estate Bull 3X Shares |
17.88 |
% |
17.88 |
% |
0.00 |
% |
35.88 |
% |
|||||||||||
Direxion Daily MSCI Real Estate Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
7.62 |
% |
7.62 |
% |
0.00 |
% |
3.35 |
% |
|||||||||||
Direxion Daily Retail Bull 3X Shares |
1.07 |
% |
1.07 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
1.60 |
% |
1.60 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
1.23 |
% |
1.23 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Technology Bull 3X Shares |
2.07 |
% |
2.07 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Technology Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Transportation Bull 3X Shares |
1.63 |
% |
1.63 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily Utilities Bull 3X Shares |
26.92 |
% |
26.92 |
% |
0.00 |
% |
7.98 |
% |
|||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
6.33 |
% |
6.33 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
8.83 |
% |
8.83 |
% |
0.00 |
% |
93.96 |
% |
|||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ending October 31, 2021. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.
DIREXION
ANNUAL REPORT
210
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION
ANNUAL REPORT
211
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Consistent with the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") annually considers the renewal of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion Daily Mid Cap Bull 3X Shares, Direxion Daily S&P 500® Bull 3X Shares, Direxion Daily S&P 500® Bear 3X Shares, Direxion Daily Small Cap Bull 3X Shares, Direxion Daily Small Cap Bear 3X Shares, Direxion Daily FTSE China Bull 3X Shares, Direxion Daily FTSE China Bear 3X Shares, Direxion Daily FTSE Europe Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bull 3X Shares, Direxion Daily MSCI Emerging Markets Bear 3X Shares, Direxion Daily MSCI Mexico Bull 3X Shares, Direxion Daily MSCI South Korea Bull 3X Shares, Direxion Daily Aerospace & Defense Bull 3X Shares, Direxion Daily Consumer Discretionary Bull 3X Shares, Direxion Daily Dow Jones Internet Bull 3X Shares, Direxion Daily Dow Jones Internet Bear 3X Shares, Direxion Daily Financial Bull 3X Shares, Direxion Daily Financial Bear 3X Shares, Direxion Daily Healthcare Bull 3X Shares, Direxion Daily Homebuilders & Supplies Bull 3X Shares, Direxion Daily Industrials Bull 3X Shares, Direxion Daily MSCI Real Estate Bull 3X Shares, Direxion Daily MSCI Real Estate Bear 3X Shares, Direxion Daily Pharmaceutical & Medical Bull 3X Shares, Direxion Daily Regional Banks Bull 3X Shares, Direxion Daily Retail Bull 3X Shares, Direxion Daily S&P 500® High Beta Bull 3X Shares, Direxion Daily S&P 500® High Beta Bear 3X Shares, Direxion Daily S&P Biotech Bull 3X Shares, Direxion Daily S&P Biotech Bear 3X Shares, Direxion Daily Semiconductor Bull 3X Shares, Direxion Daily Semiconductor Bear 3X Shares, Direxion Daily Technology Bull 3X Shares, Direxion Daily Technology Bear 3X Shares, Direxion Daily Transportation Bull 3X Shares, Direxion Daily Utilities Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bear 3X Shares, Direxion Daily 20+ Year Treasury Bull 3X Shares, and the Direxion Daily 20+ Year Treasury Bear 3X Shares, each a series of the ETF Trust. The Agreement is initially approved for a two-year period and must be renewed yearly thereafter to remain in effect. Each series of the ETF Trust is referred to herein as a "Fund" and collectively as the "Funds."
At a meeting held on August 18, 2021, the Board, including the trustees who are not "interested persons" of the ETF Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement, on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 4, 2021 and August 18, 2021.
In considering whether to renew the Agreement, the Board requested, and the Adviser provided, information that the Board and Adviser believed to be reasonably necessary to evaluate the Agreement. Among other information, the Board obtained and reviewed the following:
• Detailed information regarding the advisory services provided by the Adviser to the Funds;
• The investment objectives of the Funds, which require daily rebalancing and the utilization of complex financial instruments that are not typical of traditional index tracking exchange-traded funds;
• The level of attention required by the Adviser due to the frequent and large trading activity in the Funds;
• The Adviser's Form ADV;
• Information about the professional qualifications of those employees primarily responsible for providing services to the Funds;
• Information regarding each component of the contractual advisory fee rates for the prior fiscal year;
• Information regarding advisory fees earned and waivers made by the Adviser in connection with providing services to the Funds for the prior fiscal year or since inception, if shorter;
• Information regarding fees paid to the Adviser under, and an evaluation of the services provided per, the Management Services Agreement for the prior fiscal year;
• Performance information;
• Comparative industry fee data, including peer group comparisons;
• Information regarding the consolidated financial condition of the Adviser and the profitability of the Adviser; and
• Information regarding how the Adviser monitors the Funds' compliance with regulatory requirements and ETF Trust procedures.
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
The Board considered that, with respect to most Funds, they had also received information relevant to their annual review of the Agreement since the Fund's inception and, most recently, throughout the past year at regular Board meetings in connection with their oversight of the Funds, including information bearing on the Funds' service provider arrangements and performance results. In addition, the Board received a memorandum from counsel regarding its responsibilities with respect to the approval of the Agreement and participated in a question and answer session with representatives of the Adviser. The Board carefully evaluated the relevant information and the Independent Trustees were advised by legal counsel with respect to their deliberations.
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, experience, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services provided, and to be provided by the Adviser, under the Agreement and noted there would be no significant differences between the scope of services provided by the Adviser in the past year and those to be provided in the upcoming year. The Board also considered the Adviser's representation to the Board that it would continue to provide investment and related services that are of materially the same quality as the services that have been provided to the Funds in the past and whether those services remain appropriate in scope and extent in light of the Funds' operations, the competitive landscape of the investment company business and investor needs.
The Board focused on the quality of the Adviser's personnel and operations and the systems and processes required to manage the Funds effectively, and noted that such personnel, systems and processes may not be present at other investment advisers. The Board considered, as applicable: (1) the Adviser's success in achieving each Fund's daily leveraged investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) information regarding the Adviser's management of derivatives trading activities on behalf of the Funds, including the selection of swap counterparties and the negotiation of favorable derivatives contract terms; (4) the Adviser's ability to manage the Funds in a tax efficient manner, which is more challenging for leveraged than non-leveraged funds; and (5) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train, and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.
Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. In this regard, the Board also considered the ability of investors to achieve independently the investment objective of the Funds and the costs to investors of seeking to do so by utilizing a margin account or other means. The Board concluded that it would be difficult for an investor to implement independently any Fund's investment strategy and that attempting to do so would likely be cost-prohibitive. From this perspective, the Board noted the cost effectiveness for investors of employing the Funds to achieve certain investment objectives.
The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the relevant Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Funds. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
compiling a broad and diverse Peer Group because, by design, each Fund is unique and, therefore, few (if any) fund complexes have funds with substantially similar investment objectives and operations. They noted that an independent consultant in 2019 had advised the Board on the Peer Group selection methodology and that the methodology employed in 2021 was consistent with that suggested by the independent consultant.
The Board noted that the comparison reports included the contractual advisory fee and net and gross total expense ratios for each Fund and each Peer Group fund. The Board considered that the Adviser had agreed to limit the total expenses of the Funds (subject to certain exclusions) for the next year by contractually agreeing to pay certain expenses of the Funds under a separate Operating Expense Limitation Agreement.
Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return for the periods ending June 30, 2021 and June 30, 2020 or since inception if a Fund did not have two full years of operations. In this regard, the Board considered each Fund's daily returns versus model returns ("Tracking Difference"), the standard deviation of the Tracking Differences, and a tracking error analysis provided by the Adviser. The Board also reviewed the total return of each Fund for the one-year or, if shorter, since inception period ended June 30, 2021. The Board considered reports provided to it in anticipation of the meeting, as well as performance reports provided at regular Board meetings throughout the year. The Board noted that the correlation of returns for each Fund to its model performance was generally within reasonable ranges during the reviewed periods. The Board considered that, given the investment objectives of the Funds, the correlation of each such Fund's performance with the model performance and Tracking Error were more meaningful indicia of the quality of the Advisor's management than a Fund's total return.
Costs of Services Provided to the Funds and Profits Realized by the Adviser. The Board reviewed information regarding the profitability of the Adviser based on the fee rates payable under the Agreement. The Board considered the profitability of each Fund and the overall profitability of the Adviser, as reflected in the Adviser's profitability analysis, as well as information provided by the Adviser concerning the methodology used to allocate various expenses. The Board also considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, the dedication of personnel resources to daily portfolio management activities (including rebalancing of the Funds), regulatory compliance, and entrepreneurial risk. The Board further considered a report on other investment advisers' profitability, which was compiled using publicly available information. The Board recognized that it is difficult to compare profitability among investment advisory firms because certain information is not publicly available. Further, to the extent such information is available, the Board acknowledged that it is affected by numerous factors, including the nature of a firm's fund shareholder base, the structure of the adviser and its tax status, the types of funds it manages, its business mix, assumptions regarding allocations and the reporting of operating profits and net income net (rather than gross) of distribution and marketing expenses.
Economies of Scale. The Board considered the current breakpoints included in the Agreement, which provide for reduced advisory fee rates for each Fund and the impact when the assets of each Fund reach certain levels. The Board also considered the Adviser's explanation as to why these breakpoints appropriately reflect the Funds' economies of scale.
Other Benefits. The Board considered indirect and "fall-out" benefits that the Adviser or its affiliates may derive from their relationship to the Funds. Such benefits include the Adviser's ability to leverage its investment management personnel or infrastructure to manage other accounts. In this regard, the Board noted that certain Funds pay a management services fee to the Adviser.
Conclusion. Based on, but not limited to, the above considerations and determinations, the Board, including the Independent Trustees, determined that the Agreement for the Funds was fair and reasonable in light of the nature, extent and quality of the services to be performed, the fee rates to be paid, the Adviser's expenses and such other matters as the Board considered relevant in the exercise of its business judgment. Accordingly, the Board concluded that the continuation of the Agreement was in the best interests of the shareholders of the Funds. On this basis, the Board unanimously voted in favor of the renewal of the Agreement.
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Direxion Shares ETF Trust
Board Review of Liquidity Risk Management Program (Unaudited)
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), the Direxion Shares ETF Trust (the "Trust"), on behalf of each series of the Trust (the "Funds"), established a liquidity risk management program (the "Liquidity Program") to assess and manage each Fund's liquidity risk, which is the risk that a Fund is unable to meet investor redemption requests without significantly diluting the remaining investors' interests in the Fund.
At its November 19, 2021 meeting, the Board of Trustees (the "Board") of the Trust reviewed the Liquidity Program. The Board has appointed Rafferty Asset Management, LLC, the investment advisor to the Funds, as the Liquidity Program administrator. At the meeting, Rafferty Asset Management, LLC provided the Board with a written report that addressed the operation of the Funds' Liquidity Program and assessed the adequacy and effectiveness of the implementation of the Liquidity Program (the "Report"). The Report covered the period from November 1, 2020 through October 31, 2021 (the "Report Period"). The Report noted the following:
• The Liquidity Program supported each Fund's ability to meet redemption requests timely;
• The Liquidity Program supported Rafferty Asset Management, LLC's management of each Fund's liquidity, including during periods of market volatility and net redemptions;
• No material liquidity issues were identified during the report period;
• There were no material changes to the Liquidity Program during the report period; and
• The Liquidity Program operated adequately during the report period.
The Report also described the Liquidity Program's liquidity classification methodology for categorizing a Fund's investment (including derivative transactions) into one of four liquidity buckets as required by the Liquidity Rule. The Report stated that the Liquidity Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other risks.
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Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and
Age |
Position(s) Held with Fund |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other Trusteeships/
Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D.
O'Neill(1) Age: 53 |
Chairman of the Board of Trustees |
Lifetime of Trust until removal or resignation; Since 2008 |
Chief Executive Officer of Rafferty Asset Management, LLC, since 2021 – present; Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. |
108 |
None. |
Independent Trustees
Name, Address and
Age |
Position(s) Held with Fund |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other Trusteeships/
Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
David L.
Driscoll Age: 52 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Partner, King Associates, LLP, since 2004; Board Advisor, University Common Real Estate, since 2012; Principal, Grey Oaks LLP since 2003; Member, Kendrick LLC, since 2006. |
108 |
None. |
||||||||||||||||||
Jacob C.
Gaffey Age: 73 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. |
108 |
None. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
Name, Address and
Age |
Position(s) Held with Fund |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other Trusteeships/
Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Henry W.
Mulholland Age: 58 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2017 |
Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. |
108 |
None. |
||||||||||||||||||
Kathleen M.
Berkery Age: 54 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2019 |
Rynkar, Vail & Barrett, LLC, since 2018 as Manager – Trusts & Estates; Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017 as Financial Advisor. |
108 |
None. |
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
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217
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and
Age |
Position(s) Held with Fund |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other Trusteeships/
Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D.
O'Neill(1) Age: 53 |
Chief Executive Officer |
One Year; Since 2021 |
Chief Executive Officer, Rafferty Asset Management, LLC, since 2021; Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. |
108 |
N/A |
||||||||||||||||||
Patrick J.
Rudnick Age: 48 |
Principal Executive Officer Principal Financial Officer |
One Year; Since 2018 One Year; Since 2010 |
Senior Vice President, since March 2013, Rafferty Asset Management, LLC; Senior Vice President, since November 2017, Direxion Advisors, LLC. |
N/A |
N/A |
||||||||||||||||||
Angela
Brickl Age: 45 |
Chief Compliance Officer Secretary |
One Year; Since 2018 One Year; Since 2011 |
General Counsel, Rafferty Asset Management LLC, since October 2010 and Direxion Advisors, LLC, since November 2017; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012 and Direxion Advisors, LLC, since November 2017. |
N/A |
N/A |
(1) Mr. O'Neill serves as Chairman of the Board of Trustees of the Direxion Funds, Direxion Insurance Trust, and the Direxion Shares ETF Trust.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this SAI, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this SAI, does not have any funds registered with the SEC.
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ANNUAL REPORT
218
ANNUAL REPORT OCTOBER 31, 2021
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com
Investment Advisers
Rafferty Asset
Management, LLC
Direxion Advisors, LLC
1301 Avenue of the Americas (6th
Ave.), 28th Floor
New York, NY 10019
Administrator
U.S. Bancorp Fund
Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York
Mellon
101 Barclay Street
New York, New York 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services,
LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
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PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Annual Report.
DIREXION ANNUAL REPORT