DIREXION SHARES ETF TRUST

ANNUAL REPORT OCTOBER 31, 2022

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

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

Direxion Breakfast Commodities Strategy ETF (Consolidated)

Direxion Hydrogen ETF

Direxion Moonshot Innovators ETF

Direxion mRNA ETF

Direxion Nanotechnology ETF

Direxion NASDAQ-100^® Equal Weighted Index Shares

Direxion Work From Home ETF

You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to [email protected].

Table of Contents

Letter to Shareholders (Unaudited)					4
Performance Summary (Unaudited)					10
Expense Example (Unaudited)					18
Allocation of Portfolio Holdings (Unaudited)					20
Schedules of Investments					21
Statements of Assets and Liabilities					30
Statements of Operations					32
Statements of Changes in Net Assets					34
Financial Highlights					38
Notes to the Financial Statements					39
Report of Independent Registered Public Accounting Firm					51
Supplemental Information (Unaudited)					53
Board Review of Investment Advisory Agreement (Unaudited)					54
Board Review of Liquidity Risk Management Program (Unaudited)					59
Trustees and Officers (Unaudited)					60

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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, 2021 to October 31, 2022 (the "Annual Period").

Market Review:

Signs of broad-based inflation began in the fall of 2021, leading to a shaky global equity market environment. At the time, most experts predicted inflation levels were transitory, quelling investor concerns temporarily. Equity markets began to pick up through December, ending the year on a high. However, it soon became clear the widespread inflation was not going anywhere and the Federal Reserve announced an acceleration of monetary policy that was implemented through a series of interest rate hikes to combat inflation. Simultaneously, the highly contagious Covid-19 Omicron variant spread across the world and, despite high vaccination rates, breakthrough infections were at an all-time high. However, by the end of the Annual Period, Covid was far less of a concern for investors. Just as markets were looking up again, with the S&P 500 posting its first monthly gain in March 2022, Russia invaded Ukraine, and the effects of the invasion rippled across equity markets, as energy prices surged and fears of wider-spread conflict grew. In response, the United States and other western nations imposed extreme economic sanctions on Russia. Markets were very volatile on the heels of the Russian invasion, and the first two quarters of 2022 saw a shrinking U.S. GDP. June earnings reports were surprisingly strong, despite a mid-month S&P low. Despite these numbers, July was a strong month, but this positive sentiment did not last long. A hawkish speech from Federal Reserve Chair, Jerome Powell, in August negatively impacted markets around the world. September was another rough month for equities, with both the S&P 500 and NASDAQ dropping roughly 10%. Global markets fared no better, as the UK entered a recession, and China faced mass protests and unrest. October saw a modest increase in stocks as the Federal Reserve indicated it will pull back on its aggressive tightening in the near future after positive third quarter readings, but overall sentiment was still generally low. Investors are pivoting towards more risk-off investments in an attempt to navigate historic inflation levels, geopolitical conflict and high interest rates, although traditional safe haven investments, such as commodities, are less appealing than they have been in the past.

The U.S. bond market was in consistent decline for the majority of the Annual Period, oftentimes diverging from trends in the equities markets. In the fall, treasuries and international bonds were experiencing the worst performance of the Annual Period, as concerns over rising interest rates and inflation began. As inflation worsened and proved to be less transitory than initially predicted, central banks around the world pivoted towards more hawkish policies. In December, the Federal Reserve announced there would be three or four rate hikes throughout 2022, as well as a tapering of U.S. treasury asset purchases. In late February, the Russian invasion of Ukraine rippled through the global financial system, including fixed income markets. The U.S. Treasury yield curve started to flatten as the 10 – 20 year bond spread grew and became inverted. While bonds have typically been considered a way to hedge a portfolio against equities, this strategy has not typically held true in the current market environment. After the positive indication that the Federal Reserve is starting to get a handle on inflation, the global bond market saw a slight rebound, but the yield curve remained inverted at the end of the Annual Period, which remains a concern for many investors.

Factors Affecting the ETFs Performance:

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

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

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The ETFs Performance Review:

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

Non-Leveraged ETFs

The Direxion Auspice Broad Commodity Strategy ETF seeks investment results, before fees and expenses, that track the Auspice Broad Commodity Index over a complete market cycle. The Auspice Broad Commodity Index seeks to capture the majority of the commodity upside returns, while seeking to mitigate downside risk. The Auspice Broad Commodity Index will use a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 different commodity futures contracts, or "components", which cover the energy, metal, and agricultural sectors. It attempts to incorporate dynamic risk management and contract rolling methods. For the Annual Period, the Auspice Broad Commodity Index returned 6.21%, while the Direxion Auspice Broad Commodity Strategy ETF returned 6.09%.

Until the last few months of the Annual Period, commodities had rallied in an otherwise bear market, primarily due to inflation. In particular, the energy and agriculture holdings of the Direxion Auspice Broad Commodity Strategy ETF performed well. Heating oil futures were up 58.69% and natural gas futures were up 55.64% over the Annual Period. The performance for metals was less positive, with silver down 20.59%, gold down 8.47%, and copper down 21.33%. The Direxion Auspice Broad Commodity Strategy ETF had relatively strong performance despite overall market volatility, largely due to the favorable commodity environment in the beginning-to-middle of 2022.

The Direxion Breakfast Commodities Strategy ETF seeks investment results, before fees and expenses, that track the S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index. The S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index measures the performance of tradeable commodities considered to be breakfast foods (corn, coffee, lean hogs, sugar, Chicago wheat and orange juice) by investing in monthly futures contracts for such commodities. The Index is world production weighted and designed to reflect the relative significance of each of the commodities to the world economy, except for orange juice which is capped at 5%. The Index is rebalanced annually and employs a flexible monthly futures rolling strategy. Since the Fund's inception on June 1, 2022, the S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index returned -9.04%, while the Direxion Breakfast Commodities Strategy ETF returned -8.19%.

The Direxion Breakfast Commodities Strategy ETF opened during the commodity rally. Soon after, the commodity market began to fall as many headwinds hit the space, including the Russia-Ukraine conflict, widespread droughts and labor shortages, just to name a few. Lean Hogs, Corn, Orange Juice and Sugar have had positive returns since the fund's inception, while Coffee and Wheat have fallen.

The Direxion Hydrogen ETF seeks investment results, before fees and expenses, that track the Indxx Hydrogen Economy Index. The Indxx Hydrogen Economy Index tracks the performance of companies that provide goods and/or services related to the Hydrogen Industry, including hydrogen generation and storage, fuel cells, hydrogen stations, and hydrogen-based vehicles. The Index includes domestic securities as well as securities listed on various foreign markets, including among others, Japan and South Korea. The Index is reconstituted annually and rebalanced quarterly. For the Annual Period, the Indxx Hydrogen Economy Index returned -45.79%, while the Direxion Hydrogen ETF returned -45.57%.

Kaori Heat Treatment was the top performer, while ITM Power Plc brought up the rear for the Direxion Hydrogen ETF. Two of the biggest names in the hydrogen industry, Plug Power (PLUG) and Bloom Energy (BE), experienced significant losses during the Annual Period. However, hydrogen is gaining momentum as an important source for the global energy transition, especially after the passage of the Inflation Reduction Act, which includes provisions for hydrogen tax credits.

The Direxion Moonshot Innovators ETF seeks investment results, before fees and expenses, that track the S&P Kensho Moonshots Index. The S&P Kensho Moonshots Index is comprised of 50 U.S. companies that pursue innovative technologies that have the potential to disrupt existing technologies and/or industries (i.e., moonshot innovators) and are considered to

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have the highest "early-stage composite innovation scores" which is determined based off a natural language processing review of the constituent company's latest annual regulatory filing for the use of words and phrases that are related to innovation. The Index is modified equal-weighted, reconstituted annually, and rebalanced semi-annually. For the Annual Period, the S&P Kensho Moonshots Index returned -60.92%, while the Direxion Moonshot Innovators ETF returned -60.64%.

Some more well-known names, such as Yelp and Roblox, experienced losses during the Annual Period. Adeia Inc. and Innoviz Technologies were the top performers for the Direxion Moonshot Innovators ETF this Annual Period. Overall, tech names have had difficulties recently, and IT companies make up roughly 50% of the portfolio.

The Direxion mRNA ETF seeks investment results, before fees and expenses, that track the BITA Messenger RNA Technology Index. The BITA Messenger RNA Technology Index provides exposure to the performance of companies, publicly listed in the United States, Canada and Europe, that are leading the development and application of messenger RNA ("mRNA") technology. mRNA is a single-stranded ribonucleic acid ("RNA") molecule that is complementary to one of the DNA strands of a gene. mRNA plays a vital role in protein synthesis in the human body, and mRNA technologies leverage this vital role to enable targeted cells to produce proteins that enable the body to fight or prevent a given disease. As an example, mRNA technology is the basis for certain COVID-19 vaccines. Eligible companies must meet certain conditions as specified by the Index Provider as well as market capitalization and liquidity requirements. Index constituents are weighted based on a modified free float market capitalization and reconstituted and rebalanced quarterly. Since the Fund's inception on December 9, 2021, the BITA Messenger RNA Technology Index returned -43.11%, while the Direxion mRNA ETF returned -43.20%.

The top performer for the Direxion mRNA ETF during the Annual Period was Vertex Pharmaceuticals (VRTX), which returned 68.28% and has a portfolio weight of 7.37%, which is one of the highest weighted stocks in the Direxion mRNA ETF. Well-known bio tech companies Moderna (MRNA) and Bio N Tech (BNTX) experienced similar losses of -55.4% and -49.1%, respectively. Curevac (CVAC) was the worst performer, losing -82.71% this Annual Period, with a weight of 4.01%.

The Direxion Nanotechnology ETF seeks investment results, before fees and expenses, that track the S&P Kensho Extended Nanotechnology Index. The S&P Kensho Extended Nanotechnology Index, a subsector index within the S&P Kensho New Economy Index Series, is designed to measure the performance of U.S. listed securities, including depositary receipts, of companies involved in the nanotechnology industry. The Index Provider defines nanotechnology as the creation and/or manipulation of matter at the molecular (or smaller) level. The Index includes companies that produce nanomaterials or provide systems, products and services that allow for construction, measurement, simulation or manipulation of nanomaterials. Since the Fund's inception on November 23, 2021, the S&P Kensho Extended Nanotechnology Index returned -35.25%, while the Direxion Nanotechnology ETF returned -35.44%.

Liquidia Corp (LQDA), Cabot Corp (CBT), and Alnylam Pharmaceuticals (ALNY) were the top performers for the Direxion Nanotechnology ETF this Annual period. However, many other names in the healthcare sector, which makes up nearly 70% of the Direxion Nanotechnology ETF, did not fare as well. Well-known Moderna (MRNA) returned -55.41% and Bio N Tech (BNTX) returned -49.15% during the period, each with a portfolio weight of roughly 3%. Bruker Corp. (BRKR) is the top holding, making up 11.47% of the portfolio, and lost -23.64% this period.

The Direxion NASDAQ-100^® Equal Weighted Index Shares seeks investment results, before fees and expenses, that track the NASDAQ-100^® Equal Weighted Index. The NASDAQ-100^® Equal Weighted Index is the equal weighted version of the NASDAQ-100 Index^® which includes approximately 100 of the largest domestic and international non-financial companies listed on the NASDAQ^® Stock Market based on market capitalization selected by NASDAQ, Inc., the index provider. Equal weighting is a method of weighting index stocks whereby the same exposure is provided to both the smallest and largest companies included in the Index. The Index is rebalanced quarterly and reconstituted annually. For the Annual Period, the NASDAQ-100^® Equal Weighted Index returned -23.58%, while the Direxion NASDAQ-100^® Equal Weighted Index Shares returned -23.78%.

The top performers for the Direxion NASDAQ-100^® Equal Weighted Index Shares during this period were largely biotech name,s including Amgen (AMGN) and Vertex Pharmaceuticals (VRTX) returning 33.15% and 68.28%, respectively. The IT sector had a rough year, with names like Netflix, Docusign, and Meta losing -60% to -70% each.

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The Direxion Work From Home ETF seeks investment results, before fees and expenses, that track the Solactive Remote Work Index. The Solactive Remote Work Index is comprised of U.S. listed securities and ADRs of companies that provide products and services in at least one of the following business segments that facilitate the ability of people to work from home: remote communications, cyber security, online project and document management, and cloud computing technologies ("WFH Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the four WFH Industries. The Index is equal weighted at each semi-annual reconstitution and rebalance date. For the Annual Period, the Solactive Remote Work Index returned -42.95%, while the Direxion Work From Home ETF returned -43.00%.

IBM was the top performer for the Direxion Work From Home ETF during the Annual Period, returning 20.60%. Names such as Agora and RingCentral were among bottom performers, falling -88.27% and -85.93%, respectively. Names in the IT sector make up 86.99% of the Direxion Work From Home ETF, and tech generally had a rough year.

Index Volatility:

The Annual Period was extremely volatile, leaving investors without a clear strategy, and no clear sector winner. Typically defensive stocks were not immune to the volatility, and the market cycles were moving unpredictably. The VIX Index, a measure of volatility and market sentiment, averaged 25.20 during the Annual Period, with a high of 36.45 in early March 2022, whereas the average for the previous five years was 20.94.

Index	Return			Volatility
Auspice Broad Commodity Index		6.09	%		12.14	%
S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index¹		-9.04	%		20.23	%
Indxx Hydrogen Economy Index		-45.79	%		34.81	%
S&P Kensho Moonshots Index		-60.92	%		55.61	%
BITA Messenger RNA Technology Index²		-43.11	%		47.45	%
S&P Kensho Extended Nanotechnology Index³		-35.25	%		47.33	%
NASDAQ-100^® Equal Weighted Index		-23.58	%		29.06	%
Solactive Remote Work Index		-42.95	%		36.66	%

¹ June 1, 2022 through October 31, 2022

² December 9, 2021 through October 31, 2022

³ November 23, 2021 through October 31, 2022

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

Best Regards,


Patrick Rudnick				Corey Noltner
Principal Executive Officer				Principal Financial Officer

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

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed,

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may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Fund's website at direxion.com.

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

Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV.

SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Futures Contract: an agreement traded on an organized exchange to buy or sell assets, especially commodities or shares, at a fixed price but to be delivered and paid for later.

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

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

Direxion Shares ETF Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are subject to certain risks, including imperfect index correlation and market price variance, that may decrease performance. As non-diversified funds, the ETFs may invest in a relatively small number of issuers and, as a result, be subject to greater risk of loss with respect to its portfolio securities. An ETF may concentrate its investments in certain industries or sectors, which can increase volatility. The ETFs may experience greater fluctuation in its net asset value as compared to other investments. These ETFs may be appropriate for investors

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with a long-term investment time horizon, who primarily seek capital growth, and who are able to tolerate periods of prolonged price declines. Please read each ETF's prospectus for a more complete description of the investment risks. There is no guarantee that an ETF will achieve its investment objective. The views of this letter were those of the Adviser as of October 31, 2022 and may not necessarily reflect its views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs' present investment methodology and do not constitute investment advice.

Distributed by: Foreside Fund Services, LLC

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Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

Performance Summary (Unaudited)

March 30, 2017¹ - October 31, 2022

	Average Annual Total Return²
	1 Year			3 Year			5 Year			Since Inception
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) (NAV)		6.21	%		14.01	%		8.63	%		6.75	%
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) (Market Price)		5.86	%		13.97	%		8.57	%		6.72	%
Auspice Broad Commodity Index		6.09	%		14.09	%		7.81	%		5.78	%

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

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

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

Market Exposure

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

¹Commencement of operations.

²As of October 31, 2022.

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Direxion Breakfast Commodities Strategy ETF (Consolidated)

Performance Summary (Unaudited)

June 1, 2022¹ - October 31, 2022

	Total Return²
	Since Inception
Direxion Breakfast Commodities Strategy ETF (Consolidated) (NAV)		-8.19	%
Direxion Breakfast Commodities Strategy ETF (Consolidated) (Market Price)		-8.23	%
S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index		-9.04	%

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

The S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index measures the performance of tradeable commodities considered to be breakfast foods (corn, coffee, lean hogs, sugar, Chicago wheat and orange juice) by investing in monthly futures contracts for such commodities. The Index is world production weighted and designed to reflect the relative significance of each of the commodities to the world economy, except for orange juice is capped at 5%. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

¹Commencement of operations.

²As of October 31, 2022.

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Direxion Hydrogen ETF

Performance Summary (Unaudited)

March 25, 2021¹ - October 31, 2022

	Average Annual Total Return²
	1 Year			Since Inception
Direxion Hydrogen ETF (NAV)		-45.57	%		-32.69	%
Direxion Hydrogen ETF (Market Price)		-45.84	%		-32.64	%
Indxx Hydrogen Economy Index		-45.79	%		-30.48	%

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. As stated in the current prospectus, the Fund's total annual fund operating expense ratio is 0.45%. Rafferty Asset Management, LLC has contractually agreed to pay all expenses of the Fund other than following: management fees, Rule 12b-1 distribution fees and/or service fees, taxes, swap financing and related costs, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization, acquired fund fees and expenses, and extraordinary expenses. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

The Indxx Hydrogen Economy Index tracks the performance of companies that provide goods and/or services related to the Hydrogen Industry, including hydrogen generation and storage, fuel cells, hydrogen stations, and hydrogen-based vehicles. The Index will include domestic securities as well as securities listed on various foreign markets, including among others, Japan and South Korea. The Index is reconstituted annually and rebalanced quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

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

¹Commencement of operations.

²As of October 31, 2022.

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Direxion Moonshot Innovators ETF

Performance Summary (Unaudited)

November 12, 2020¹ - October 31, 2022

	Average Annual Total Return²
	1 Year			Since Inception
Direxion Moonshot Innovators ETF (NAV)		-60.64	%		-27.31	%
Direxion Moonshot Innovators ETF (Market Price)		-60.61	%		-27.31	%
S&P Kensho Moonshots Index		-60.92	%		-27.79	%

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

The S&P Kensho Moonshots Index is comprised of 50 U.S. companies that pursue innovative technologies that have the potential to disrupt existing technologies and/or industries (i.e., moonshot innovators) and are considered to have the highest "early-stage composite innovation scores" which is determined based off a natural language processing review of the constituent company's latest annual regulatory filing for the use of words and phrases that are related to innovation. The Index is modified equal-weighted, reconstituted annually, and rebalanced semi-annually. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

¹ Commencement of operations.

²As of October 31, 2022.

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Direxion mRNA ETF

Performance Summary (Unaudited)

December 9, 2021¹ - October 31, 2022

	Total Return²
	Since Inception
Direxion mRNA ETF (NAV)		-43.20	%
Direxion mRNA ETF (Market Price)		-43.17	%
BITA Messenger RNA Technology Index		-43.11	%

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

BITA Messenger RNA Technology Index provides exposure to the performance of companies, publicly listed in the United States, Canada and Europe, that are leading the development and application of messenger RNA ("mRNA") technology. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

¹Commencement of operations.

²As of October 31, 2022.

DIREXION ANNUAL REPORT
14

Direxion Nanotechnology ETF

Performance Summary (Unaudited)

November 23, 2021¹ - October 31, 2022

	Total Return²
	Since Inception
Direxion Nanotechnology ETF (NAV)		-35.44	%
Direxion Nanotechnology ETF (Market Price)		-35.45	%
S&P Kensho Extended Nanotechnology Index		-35.25	%

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

S&P Kensho Extended Nanotechnology Index is provided by S&P Dow Jones Indices LLC (the "Index Provider") and is designed to measure the performance of U.S.-listed securities, including depositary receipts, of companies involved in the nanotechnology industry. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

¹Commencement of operations.

²As of October 31, 2022.

DIREXION ANNUAL REPORT
15

Direxion NASDAQ-100^® Equal Weighted Index Shares

Performance Summary (Unaudited)

October 31, 2012 - October 31, 2022

	Average Annual Total Return¹
	1 Year			3 Years			5 Years			10 Years
Direxion NASDAQ-100^® Equal Weighted Index Shares (NAV)		-23.78	%		9.51	%		10.31	%		14.44	%
Direxion NASDAQ-100^® Equal Weighted Index Shares (Market Price)		-23.68	%		9.53	%		10.33	%		14.44	%
NASDAQ-100^® Equal Weighted Index		-23.58	%		9.88	%		10.69	%		14.85	%

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

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

Market Exposure

¹As of October 31, 2022.

DIREXION ANNUAL REPORT
16

Direxion Work From Home ETF

Performance Summary (Unaudited)

June 25, 2020¹ - October 31, 2022

	Average Annual Total Return²
	1 Year			Since Inception
Direxion Work From Home ETF (NAV)		-43.00	%		-4.67	%
Direxion Work From Home ETF (Market Price)		-42.98	%		-4.69	%
Solactive Remote Work Index		-42.95	%		-4.52	%

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

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

Market Exposure

¹Commencement of operations.

²As of October 31, 2022.

DIREXION ANNUAL REPORT
17

Expense Example (Unaudited)

October 31, 2022

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

The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (May 1, 2022 to October 31, 2022).

Actual expenses

The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period May 1, 2022 to October 31, 2022" to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

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

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

DIREXION ANNUAL REPORT
18

Expense Example (Unaudited)

October 31, 2022

	Annualized Expense Ratio			Beginning Account Value May 1, 2022		Ending Account Value October 31, 2022		Expenses Paid During Period May 1, 2022 to October 31, 2022*
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Based on actual fund return		0.86	%	$	1,000.00	$	918.50	$	4.16
Based on hypothetical 5% return		0.86	%		1,000.00		1,020.87		4.38
Direxion Breakfast Commodities Strategy ETF (Consolidated)¹
Based on actual fund return		0.70	%		1,000.00		918.10		2.81
Based on hypothetical 5% return		0.70	%		1,000.00		1,018.02		2.96
Direxion Hydrogen ETF
Based on actual fund return		0.45	%		1,000.00		765.80		2.00
Based on hypothetical 5% return		0.45	%		1,000.00		1,022.94		2.29
Direxion Moonshot Innovators ETF
Based on actual fund return		0.65	%		1,000.00		826.40		2.99
Based on hypothetical 5% return		0.65	%		1,000.00		1,021.93		3.31
Direxion mRNA ETF
Based on actual fund return		0.65	%		1,000.00		986.10		3.25
Based on hypothetical 5% return		0.65	%		1,000.00		1,021.93		3.31
Direxion Nanotechnology ETF
Based on actual fund return		0.65	%		1,000.00		1,064.60		3.38
Based on hypothetical 5% return		0.65	%		1,000.00		1,021.93		3.31
Direxion NASDAQ-100^® Equal Weighted Index Shares
Based on actual fund return		0.35	%		1,000.00		928.00		1.70
Based on hypothetical 5% return		0.35	%		1,000.00		1,023.44		1.79
Direxion Work From Home ETF
Based on actual fund return		0.45	%		1,000.00		774.50		2.01
Based on hypothetical 5% return		0.45	%		1,000.00		1,022.94		2.29

*Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days (the number of days in the period of May 1, 2022 to October 31, 2022), then divided by 365.

¹Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from June 1, 2022 (commencement of operations) to October 31, 2022, multiplied by 153 days (the number of days since commencement of operations to October 31, 2022), then divided by 365.

DIREXION ANNUAL REPORT
19

Allocation of Portfolio Holdings (Unaudited)

October 31, 2022

	Cash*			Common Stocks			Futures			Total
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		100	%		—			—			100	%
Direxion Breakfast Commodities Strategy ETF (Consolidated)		100	%		—			0	%**		100	%
Direxion Hydrogen ETF		1	%		99	%		—			100	%
Direxion Moonshot Innovators ETF		1	%		99	%		—			100	%
Direxion mRNA ETF		0	%**		100	%		—			100	%
Direxion Nanotechnology ETF		0	%**		100	%		—			100	%
Direxion NASDAQ-100^® Equal Weighted Index Shares		0	%**		100	%		—			100	%
Direxion Work From Home ETF		0	%**		100	%		—			100	%

* Cash and other assets less liabilities.

** Percentage is less than 0.5%.

DIREXION ANNUAL REPORT
20

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)

Schedule of Investments

October 31, 2022

Shares			Fair Value
SHORT TERM INVESTMENTS - 101.3%
Money Market Funds - 101.3%
	301,128,639	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(a)	$	301,128,639
		TOTAL SHORT TERM INVESTMENTS (Cost $301,128,639)	$	301,128,639
		TOTAL INVESTMENTS (Cost $301,128,639) - 101.3%	$	301,128,639
		Liabilities in Excess of Other Assets - (1.3)%		(3,840,833	)
		TOTAL NET ASSETS - 100.0%	$	297,287,806

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, 2022.

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

DIREXION ANNUAL REPORT
21

Direxion Breakfast Commodities Strategy ETF (Consolidated)

Schedule of Investments

October 31, 2022

Shares			Fair Value
SHORT TERM INVESTMENTS - 91.3%
Money Market Funds - 91.3%
	6,273,596	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(a)	$	6,273,596
		TOTAL SHORT TERM INVESTMENTS (Cost $6,273,596)	$	6,273,596
		TOTAL INVESTMENTS (Cost $6,273,596) - 91.3%	$	6,273,596
		Other Assets in Excess of Liabilities - 8.7% ^(b)		596,427
		TOTAL NET ASSETS - 100.0%	$	6,870,023

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, 2022.

^(b) $492,562 of cash is pledged as collateral for futures contracts.

Long Futures Contracts

October 31, 2022

Reference Entity	Expiration Date	Number of Contracts		Notional Amount		Variation Margin Receivable/ (Payable), net			Unrealized Appreciation (Depreciation)
Coffee C	5/18/2023		5	$	324,281	$	11,437		$	(60,675	)
Corn	12/14/2023		89		2,784,588		21,138			(18,721	)
Frozen Concentrate Orange Juice	1/10/2023		13		392,145		1,657			26,884
Lean Hogs	12/14/2022		24		815,280		(11,280	)		7,310
Sugar #11	4/28/2023		36		681,005		9,677			(69,049	)
Wheat	7/14/2023		40		1,807,500		84,500			147,600
				$	6,804,799	$	117,129		$	33,349

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

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

DIREXION ANNUAL REPORT
22

Direxion Hydrogen ETF

Schedule of Investments

October 31, 2022

Shares			Fair Value
COMMON STOCKS - 99.0%
Chemical Manufacturing - 42.1%
	14,072	Air Liquide S.A. (France)	$	1,840,032
	3,921	Air Products & Chemicals, Inc.		981,819
	52,997	Doosan Fuel Cell Co., Ltd (South Korea) ^(a)		1,013,843
	520,629	ITM Power (United Kingdom) ^(a)(b)		495,483
	3,281	Linde PLC (Ireland) ADR		975,605
	27,063	McPhy Energy SAS (France) ^(a)(b)		307,598
	1,496,312	Nel ASA (Norway) ^(a)		1,828,500
	57,298	Nippon Sanso Holdings Corp. (Japan)		914,393
	845,137	PTT Global Chemical PCL (Thailand)		965,934
				9,323,207
Computer and Electronic Product Manufacturing - 8.5%
	100,767	Bloom Energy Corp. ^(a)		1,885,351
Electrical Equipment, Appliance, and Component Manufacturing - 12.4%
	64,956	Chung-Hsin Electric & Machinery Manufacturing Corp. (Taiwan)		99,584
	2,894	Hyosung Heavy Industries (South Korea) ^(a)		116,617
	101,989	Plug Power, Inc. ^(a)		1,629,784
	61,132	PowerCell Sweden AB (Sweden) ^(a)(b)		672,148
	6,495	SFC Energy AG (Germany) ^(a)(b)		119,913
	3,882	VARTA AG (Germany) ^(b)		104,245
				2,742,291
Merchant Wholesalers, Durable Goods - 0.5%
	4,084	Hyster-Yale Materials Handling, Inc.		119,089
Miscellaneous Manufacturing - 0.5%
	53,568	Hexagon Purus Holding AS (Norway) ^(a)		103,871
Oil and Gas Extraction - 18.2%
	30,166	BP Plc (United Kingdom) ADR ^(a)		1,003,925
	102,805	CIMC Enric Holdings Limited (Hong Kong)		100,187
	293,081	ENEOS Holdings, Inc. (Japan)		965,796
	43,624	Idemitsu Kosan Co., Ltd (Japan)		953,867
	17,853	Shell Plc (United Kingdom) ADR ^(a)		993,162
				4,016,937
Primary Metal Manufacturing - 0.5%
	30,352	Kaori Heat Treatment Co., Ltd. (Taiwan)		110,208
Transportation Equipment Manufacturing - 6.9%
	270,177	Ballard Power Systems, Inc. (Canada) ADR ^(a)(b)		1,531,904

Shares			Fair Value
Utilities - 9.4%
	1,008,214	AFC Energy Plc (United Kingdom) ^(a)	$	246,090
	144,274	Ceres Power Holdings Plc (United Kingdom) ^(a)(b)		544,505
	311,189	FuelCell Energy, Inc. ^(a)		970,910
	4,538	Korea Gas Corp. (South Korea)		110,865
	15,602	S-Fuelcell Co., Ltd (South Korea)		219,608
				2,091,978
		TOTAL COMMON STOCKS (Cost $35,743,613)	$	21,924,836
SHORT TERM INVESTMENTS - 17.7%
Money Market Funds - 17.7%
	3,905,853	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(c)(d)	$	3,905,853
		TOTAL SHORT TERM INVESTMENTS (Cost $3,905,853)	$	3,905,853
		TOTAL INVESTMENTS (Cost $39,649,466) - 116.7%	$	25,830,689
		Liabilities in Excess of Other Assets - (16.7%)		(3,692,014	)
		TOTAL NET ASSETS - 100.0%	$	22,138,675

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, 2022.

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

ADR - American Depository Receipt

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

DIREXION ANNUAL REPORT
23

Direxion Moonshot Innovators ETF

Schedule of Investments

October 31, 2022

Shares			Fair Value
COMMON STOCKS - 99.5%
Administrative and Support Services - 5.3%
	26,146	Roblox Corp. ^(a)	$	1,169,772
	37,014	SentinelOne, Inc. ^(a)		845,400
				2,015,172
Ambulatory Health Care Services - 2.2%
	325,057	Invitae Corp. ^(a)(b)		838,647
Chemical Manufacturing - 8.0%
	58,094	Arcturus Therapeutics Holdings, Inc. ^(a)		1,028,264
	100,579	BridgeBio Pharma, Inc. ^(a)		1,049,039
	17,590	Intellia Therapeutics, Inc. ^(a)		928,400
				3,005,703
Computer and Electronic Product Manufacturing - 12.1%
	13,235	Ambarella Inc. ADR ^(a)		724,352
	145,420	Indie Semiconductor, Inc. ^(a)		1,137,184
	226,912	MicroVision, Inc. ^(a)(b)		830,498
	289,944	Nano Dimension Ltd. ADR (Israel) ^(a)		719,061
	109,474	Ondas Holdings, Inc. ^(a)(b)		437,896
	140,421	Vuzix Corp. ^(a)(b)		702,105
				4,551,096
Construction of Buildings - 0.3%
	114,105	Xos, Inc. ^(a)		128,939
Electronics and Appliance Stores - 1.5%
	43,982	UiPath, Inc. ^(a)		556,372
Food Services and Drinking Places - 3.2%
	31,759	Yelp, Inc. ^(a)		1,219,863
Management of Companies and Enterprises - 1.3%
	66,671	CureVac N.V. ADR (Netherlands) ^(a)		485,365
Merchant Wholesalers, Nondurable Goods - 1.7%
	133,629	Atara Biotherapeutics, Inc. ^(a)		622,711
Miscellaneous Manufacturing - 2.8%
	481,750	Inovio Pharmaceuticals, Inc. ^(a)		1,040,580
Motion Picture and Sound Recording Industries - 1.8%
	62,130	ADEIA, Inc.		694,613
Nonstore Retailers - 1.8%
	136,146	Jumia Technologies AG ADR (Germany) ^(a)		675,284
Oil and Gas Extraction - 2.3%
	816,876	Meta Materials, Inc. ^(a)		865,888
Printing and Related Support Activities - 2.2%
	102,331	Fisker, Inc. ^(a)(b)		833,998
Professional, Scientific, and Technical Services - 13.7%
	46,070	Asana, Inc. ^(a)		949,042
	56,325	Avidity Biosciences, Inc. ^(a)		804,321
	79,726	Local Bounti Corp. ^(a)(b)		235,989
	9,661	Okta, Inc. ^(a)		542,175
	97,353	Sarcos Technology and Robotics Corp. ^(a)		196,653
	42,524	Squarespace, Inc. ^(a)		944,458
	109,360	Tusimple Holdings, Inc. ^(a)		375,105
	21,177	Unity Software, Inc. ^(a)		624,721
	135,362	Vimeo, Inc. ^(a)		514,376
				5,186,840

Shares			Fair Value
Publishing Industries (except Internet) - 3.3%
	48,851	C3.ai, Inc. ^(a)	$	640,437
	71,657	Fastly, Inc. ^(a)		608,368
				1,248,805
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 36.0%
	240,651	Aeva Technologies, Inc. ^(a)		481,302
	345,482	AEye, Inc. ^(a)		300,742
	428,953	Aurora Innovation, Inc. ^(a)		883,643
	243,762	Benson Hill, Inc. ^(a)		826,353
	293,566	Butterfly Network, Inc. ^(a)(b)		1,438,473
	406,671	Desktop Metal, Inc. ^(a)(b)		1,028,878
	336,707	Ginkgo Bioworks Holdings, Inc. Class A ^(a)(b)		919,210
	258,079	Hyliion Holdings Corp. ^(a)		735,525
	282,105	Hyzon Motors, Inc. ^(a)		538,821
	236,034	Inoviz Technologies Ltd. ADR (Israel) ^(a)		1,182,530
	757,591	Latch, Inc. ^(a)		1,015,172
	536,808	Ouster, Inc. ^(a)		671,010
	155,133	Pear Therapeutics, Inc. ^(a)		426,616
	192,899	Planet Labs PBC ^(a)		1,012,720
	131,492	Roivant Sciences Ltd. ADR ^(a)(b)		675,869
	831,337	Velodyne Lidar, Inc. ^(a)		820,945
	141,477	Virgin Galactic Holdings, Inc. ^(a)(b)		653,624
				13,611,433
		TOTAL COMMON STOCKS (Cost $66,014,382)	$	37,581,309
SHORT TERM INVESTMENTS - 16.7%
Money Market Funds - 16.7%
	6,325,075	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(c)(d)	$	6,325,075
		TOTAL SHORT TERM INVESTMENTS (Cost $6,325,075)	$	6,325,075
		TOTAL INVESTMENTS (Cost $72,339,457) - 116.2%	$	43,906,384
		Liabilities in Excess of Other Assets - (16.2)%		(6,134,585	)
		TOTAL NET ASSETS - 100.0%	$	37,771,799

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, 2022.

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

ADR - American Depository Receipt

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

DIREXION ANNUAL REPORT
24

Direxion mRNA ETF

Schedule of Investments

October 31, 2022

Shares			Fair Value
COMMON STOCKS - 99.8%
Chemical Manufacturing - 58.5%
	746	Alnylam Pharmaceuticals, Inc. ^(a)	$	154,616
	81,701	Arbutus Biopharma Corp. ADR (Canada) ^(a)		191,180
	9,187	Arcturus Therapeutics Holdings, Inc. ^(a)		162,610
	1,286	BeiGene Ltd. ADR ^(a)		217,192
	2,786	Intellia Therapeutics, Inc. ^(a)		147,045
	3,398	Ionis Pharmaceuticals, Inc. ^(a)		150,192
	7,905	Maravai LifeSciences Holdings, Inc. ^(a)		131,223
	7,393	PepGen, Inc. ^(a)		90,786
	32,241	Sangamo Therapeutics, Inc. ^(a)		141,538
	2,180	Sarepta Therapeutics, Inc. ^(a)		248,564
	12,474	Stoke Therapeutics, Inc. ^(a)		185,239
	822	Vertex Pharmaceuticals, Inc. ^(a)		256,464
				2,076,649
Management of Companies and Enterprises - 4.2%
	20,292	CureVac N.V. ADR (Netherlands) ^(a)		147,726
Merchant Wholesalers, Durable Goods - 3.9%
	12,268	Dyne Therapeutics, Inc. ^(a)		139,855
		Professional, Scientific, and Technical Services - 33.2%
	4,568	Arrowhead Pharmaceuticals, Inc. ^(a)		159,012
	9,527	Avidity Biosciences, Inc. ^(a)		136,046
	1,802	BioNTech SE ADR (Germany)		248,027
	50,816	Gritstone bio, Inc. ^(a)		163,627
	2,034	Moderna, Inc. ^(a)		305,771
	106,882	Sorrento Therapeutics Inc. ^(a)		167,805
				1,180,288
		TOTAL COMMON STOCKS (Cost $4,051,204)	$	3,544,518
SHORT TERM INVESTMENTS - 0.0% ^(†)
Money Market Funds - 0.0% ^(†)
	91	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(b)	$	91
		TOTAL SHORT TERM INVESTMENTS (Cost $91)	$	91
		TOTAL INVESTMENTS (Cost $4,051,295) - 99.8%	$	3,544,609
		Other Assets in Excess of Liabilities - 0.2%		5,675
		TOTAL NET ASSETS - 100.0%	$	3,550,284

Percentages are stated as a percent of net assets.

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

^(†) Less than 0.05%.

^(a) Non-income producing security.

^(b) Represents annualized seven-day yield at October 31, 2022.

ADR - American Depository Receipt

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

DIREXION ANNUAL REPORT
25

Direxion Nanotechnology ETF

Schedule of Investments

October 31, 2022

Shares			Fair Value
COMMON STOCKS - 99.9%
Chemical Manufacturing - 31.8%
	1,280	Aadi Bioscience, Inc. ^(a)	$	16,531
	1,909	Alkermes PLC ADR (Ireland) ^(a)		43,334
	219	Alnylam Pharmaceuticals, Inc. ^(a)		45,390
	5,630	Arcturus Therapeutics Holdings, Inc. ^(a)		99,651
	3,407	Beam Therapeutics, Inc. ^(a)		150,113
	664	Cabot Corp.		48,791
	3,897	Generation Bio Co. ^(a)		19,953
	880	Intellia Therapeutics, Inc. ^(a)		46,446
	304	Jazz Pharmaceuticals PLC ADR (Ireland) ^(a)		43,712
				513,921
Computer and Electronic Product Manufacturing - 39.2%
	378	AMETEK, Inc.		49,012
	58,210	Bionano Genomics, Inc. ^(a)(b)		136,211
	2,972	Bruker Corp.		183,788
	167	Danaher Corp.		42,029
	521	Lumentum Holdings, Inc. ^(a)		38,788
	25,724	Nano Dimension Ltd. ADR (Israel) ^(a)		63,796
	334	NVE Corp.		20,711
	2,998	Seer, Inc. ^(a)		23,474
	83	Thermo Fisher Scientific, Inc.		42,660
	6,269	Vuzix Corp. ^(a)(b)		31,345
				631,814
Machinery Manufacturing - 5.7%
	226	IDEX Corp.		50,242
	104	Lam Research Corp.		42,097
				92,339
Merchant Wholesalers, Durable Goods - 2.6%
	133	KLA-Tencor Corp.		42,088
Merchant Wholesalers, Nondurable Goods - 1.7%
	5,100	PDS Biotechnology Corp. ^(a)		26,724
Miscellaneous Manufacturing - 1.5%
	1,761	AngioDynamics, Inc. ^(a)		24,813
Oil and Gas Extraction - 5.0%
	76,319	Meta Materials, Inc. ^(a)		80,898
Professional, Scientific, and Technical Services - 9.1%
	322	BioNTech SE ADR (Germany)		44,320
	10,836	Liquidia Technologies, Inc. ^(a)		52,988
	334	Moderna, Inc. ^(a)		50,210
				147,518
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 3.3%
	10,243	Roivant Sciences Ltd. ADR ^(a)		52,649
		TOTAL COMMON STOCKS (Cost $2,012,813)	$	1,612,764

Shares			Fair Value
SHORT TERM INVESTMENTS - 0.1%
Money Market Funds - 0.1%
	144,050	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(c)(d)	$	144,050
		TOTAL SHORT TERM INVESTMENTS (Cost $144,050)	$	144,050
		TOTAL INVESTMENTS (Cost $2,156,863) - 108.9%	$	1,756,814
		Liabilities in Excess of Other Assets - (8.9)%		(142,921	)
		TOTAL NET ASSETS - 100.0%	$	1,613,893

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, 2022.

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

ADR - American Depository Receipt

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

DIREXION ANNUAL REPORT
26

Direxion NASDAQ-100^® Equal Weighted Index Shares

Schedule of Investments

October 31, 2022

Shares			Fair Value
COMMON STOCKS - 99.9%
Accommodation - 1.0%
	45,305	Marriott International, Inc. Class A	$	7,253,784
Administrative and Support Services - 2.9%
	28,895	Atlassian Corp. ^(a)		5,857,884
	30,040	Automatic Data Processing, Inc.		7,260,668
	3,740	Booking Holdings, Inc. ^(a)		6,991,855
				20,110,407
Apparel Manufacturing - 1.0%
	21,061	Lululemon Athletica, Inc. ^(a)		6,929,911
Beverage and Tobacco Product Manufacturing - 3.2%
	188,825	Keurig Dr Pepper, Inc.		7,333,963
	80,452	Monster Beverage Corp. ^(a)		7,539,962
	42,035	PepsiCo, Inc.		7,632,715
				22,506,640
Broadcasting and Content Providers - 2.9%
	18,589	Charter Communications, Inc. ^(a)		6,833,688
	203,313	Comcast Corp. Class A		6,453,155
	1,175,650	Sirius XM Holdings, Inc. ^(b)		7,100,926
				20,387,769
Chemical Manufacturing - 7.8%
	30,365	Amgen, Inc.		8,209,178
	120,907	AstraZeneca PLC ADR (United Kingdom)		7,110,540
	33,701	Biogen, Inc. ^(a)		9,552,211
	106,991	Gilead Sciences, Inc.		8,394,514
	9,881	Regeneron Pharmaceuticals, Inc. ^(a)		7,398,399
	49,417	Seagen, Inc. ^(a)		6,283,866
	24,227	Vertex Pharmaceuticals, Inc. ^(a)		7,558,824
				54,507,532
Clothing, Clothing Accessories, Shoe, and Jewelry Retailers - 1.0%
	77,777	Ross Stores, Inc.		7,442,481
Computer and Electronic Product Manufacturing - 17.6%
	91,734	Advanced Micro Devices, Inc. ^(a)		5,509,544
	34,137	Alphabet, Inc. Class A ^(a)		3,226,288
	33,864	Alphabet, Inc. Class C ^(a)		3,205,566
	47,007	Analog Devices, Inc.		6,704,138
	46,574	Apple, Inc.		7,141,657
	13,968	Broadcom, Inc.		6,566,636
	162,093	Cisco Systems, Inc.		7,363,885
	139,203	Fortinet, Inc. ^(a)		7,956,843
	20,489	IDEXX Laboratories, Inc. ^(a)		7,369,483
	35,123	Illumina, Inc. ^(a)		8,036,845
	240,035	Intel Corp.		6,824,195
	151,426	Marvell Technology, Inc.		6,008,584
	106,828	Microchip Technology, Inc.		6,595,561
	132,803	Micron Technology, Inc.		7,184,642
	53,179	NVIDIA Corp. ^(a)		7,177,570
	43,883	NXP Semiconductors NV ADR (Netherlands)		6,410,429

Shares			Fair Value
Computer and Electronic Product Manufacturing (continued)
	56,172	Qualcomm, Inc.	$	6,609,198
	70,270	Skyworks Solutions, Inc.		6,043,923
	42,470	Texas Instruments, Inc.		6,821,956
				122,756,943
Computing Infrastructure Providers, Data Processing, Web Hosting, and Related Services - 1.0%
	67,741	Fiserv, Inc. ^(a)		6,959,710
Food Manufacturing - 2.1%
	116,395	Mondelez International, Inc.		7,155,965
	202,207	The Kraft Heinz Co.		7,778,903
				14,934,868
Food Services and Drinking Places - 2.0%
	17,358	Cintas Corp.		7,421,413
	76,866	Starbucks Corp.		6,655,827
				14,077,240
General Merchandise Retailers - 6.4%
	56,817	Amazon.com, Inc. ^(a)		5,820,334
	13,922	Costco Wholesale Corp.		6,981,883
	49,455	Dollar Tree, Inc. ^(a)		7,838,618
	167,110	eBay, Inc.		6,657,662
	126,759	JD.com, Inc. ADR (China)		4,726,843
	7,636	MercadoLibre, Inc. ^(a)		6,884,770
	106,886	Pinduoduo, Inc. ADR (China) ^(a)		5,860,559
				44,770,669
Health and Personal Care Stores - 1.1%
	204,804	Walgreens Boots Alliance, Inc.		7,475,346
Machinery Manufacturing - 3.0%
	78,976	Applied Materials, Inc.		6,972,791
	15,021	ASML Holding NV ADR (Netherlands)		7,096,221
	17,151	Lam Research Corp.		6,942,382
				21,011,394
Merchant Wholesalers, Durable Goods - 3.0%
	63,747	Copart, Inc. ^(a)		7,332,180
	148,190	Fastenal Co.		7,162,023
	20,918	KLA-Tencor Corp.		6,619,501
				21,113,704
Miscellaneous Manufacturing - 3.3%
	28,185	Align Technology, Inc. ^(a)		5,476,346
	77,907	DexCom, Inc. ^(a)		9,409,607
	34,026	Intuitive Surgical, Inc. ^(a)		8,386,388
				23,272,341
Motion Picture and Sound Recording Industries - 1.2%
	29,229	Netflix, Inc. ^(a)		8,531,361
Motor Vehicle and Parts Dealers - 1.2%
	10,120	O'Reilly Automotive, Inc. ^(a)		8,472,160
Performing Arts, Spectator Sports, and Related Industries - 2.0%
	92,326	Activision Blizzard, Inc.		6,721,333
	57,659	Electronic Arts, Inc.		7,262,727
				13,984,060

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

DIREXION ANNUAL REPORT
27

Direxion NASDAQ-100^® Equal Weighted Index Shares

Schedule of Investments, continued

October 31, 2022

Shares			Fair Value
Professional, Scientific, and Technical Services - 11.2%
	56,743	Baidu, Inc. ADR (China) ^(a)	$	4,344,812
	112,840	Cognizant Technology Solutions Corp. Class A		7,024,290
	126,759	Match Group, Inc. ^(a)		5,475,989
	47,977	Meta Platforms, Inc. ^(a)		4,469,537
	50,956	Moderna, Inc. ^(a)		7,660,215
	118,940	Okta, Inc. ^(a)		6,674,913
	40,316	Palto Alto Networks, Inc. ^(a)		6,917,822
	58,425	Paychex, Inc.		6,912,262
	40,099	VeriSign, Inc. ^(a)		8,038,246
	38,056	Verisk Analytics, Inc. Class A		6,957,778
	46,088	Workday, Inc. ^(a)		7,181,432
	41,410	Zscaler, Inc. ^(a)		6,381,281
				78,038,577
Publishing Industries - 10.5%
	23,434	Adobe Systems, Inc. ^(a)		7,463,729
	29,154	ANSYS, Inc. ^(a)		6,447,699
	35,999	Autodesk, Inc. ^(a)		7,714,586
	42,726	Cadence Design Systems, Inc. ^(a)		6,468,289
	41,043	CrowdStrike Holdings, Inc. ^(a)		6,616,132
	76,917	Datadog, Inc. ^(a)		6,192,588
	124,048	DocuSign, Inc. ^(a)		5,991,518
	16,593	Intuit, Inc.		7,093,507
	28,678	Microsoft Corp.		6,657,024
	77,306	Splunk, Inc. ^(a)		6,424,902
	22,337	Synopsys, Inc. ^(a)		6,534,689
				73,604,663
Rail Transportation - 1.0%
	238,000	CSX Corp.		6,916,280
Rental and Leasing Services - 0.9%
	59,104	Airbnb, Inc. ^(a)		6,318,809
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.9%
	433,785	Lucid Group, Inc. ^(a)(b)		6,198,788
Specialty Trade Contractors - 0.7%
	84,858	NetEase.com, Inc. ADR (China) ^(a)		4,719,802
Telecommunications - 3.0%
	74,666	PayPal Holdings, Inc. ^(a)		6,240,584
	50,151	T-Mobile US, Inc. ^(a)		7,600,886
	89,205	Zoom Video Communications, Inc. ^(a)		7,443,265
				21,284,735
Transportation Equipment Manufacturing - 3.1%
	39,575	Honeywell International, Inc.		8,074,091
	82,436	Paccar, Inc.		7,982,278
	23,137	Tesla Motors, Inc. ^(a)		5,264,593
				21,320,962
Truck Transportation - 1.1%
	27,629	Old Dominion Freight Line, Inc.		7,586,923

Shares			Fair Value
Utilities - 3.8%
	69,935	American Electric Power Co., Inc.	$	6,148,685
	82,022	Constellation Energy Corp.		7,754,360
	162,439	Exelon Corp.		6,268,521
	94,974	Xcel Energy, Inc.		6,183,757
				26,355,323
		TOTAL COMMON STOCKS (Cost $806,517,465)	$	698,843,182
SHORT TERM INVESTMENTS - 1.9%
Money Market Funds - 1.9%
	13,201,004	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(c)(d)	$	13,201,004
		TOTAL SHORT TERM INVESTMENTS (Cost $13,201,004)	$	13,201,004
		TOTAL INVESTMENTS (Cost $819,718,469) - 101.8%	$	712,044,186
		Liabilities in Excess of Other Assets - (1.8)%		(12,368,168	)
		TOTAL NET ASSETS - 100.0%	$	699,676,018

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, 2022.

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

ADR - American Depository Receipt

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

DIREXION ANNUAL REPORT
28

Direxion Work From Home ETF

Schedule of Investments

October 31, 2022

Shares			Fair Value
COMMON STOCKS - 99.7%
Administrative and Support Services - 6.7%
	11,654	Alibaba Group Holding Ltd. ADR ^(a)	$	740,961
	4,485	Atlassian Corp. ^(a)		909,244
	41,085	SentinelOne, Inc. ^(a)		938,382
				2,588,587
Computer and Electronic Product Manufacturing - 21.0%
	9,647	Alphabet, Inc. Class A ^(a)		911,738
	520,142	Avaya Holdings Corp. ^(a)(b)		821,824
	2,090	Broadcom, Inc.		982,551
	23,454	Cisco Systems, Inc.		1,065,515
	20,929	Fortinet, Inc. ^(a)		1,196,302
	8,268	International Business Machines Corp.		1,143,382
	22,581	Marvell Technology, Inc.		896,014
	14,935	NetApp, Inc.		1,034,547
				8,051,873
Data Processing, Hosting and Related Services - 5.0%
	24,647	RingCentral, Inc. ^(a)		875,461
	9,132	VMware, Inc.		1,027,624
				1,903,085
Electronics and Appliance Stores - 2.9%
	31,519	Smartsheet, Inc. ^(a)		1,100,644
Management of Companies and Enterprises - 3.0%
	60,718	America Movil SAB de CV Series L ADR (Mexico)		1,142,106
Nonstore Retailers - 2.2%
	8,155	Amazon.com, Inc. ^(a)		835,398
Professional, Scientific, and Technical Services - 23.3%
	6,583	Meta Platforms, Inc. ^(a)		613,272
	46,991	Nutanix, Inc. ^(a)		1,287,553
	17,256	Okta, Inc. ^(a)		968,407
	5,866	Palto Alto Networks, Inc. ^(a)		1,006,547
	221,825	Rackspace Technology, Inc. ^(a)(b)		1,142,399
	2,377	ServiceNow, Inc. ^(a)		1,000,099
	91,896	Sprinklr, Inc. ^(a)		850,038
	6,370	Workday, Inc. ^(a)		992,573
	7,148	Zscaler, Inc. ^(a)		1,101,507
				8,962,395
Publishing Industries (except Internet) - 30.4%
	2,781	Adobe Systems, Inc. ^(a)		885,748
	263,972	Agora, Inc. ADR ^(a)		736,482
	40,316	Box, Inc. ^(a)		1,171,180
	6,140	CrowdStrike Holdings, Inc. ^(a)		989,768
	7,410	CyberArk Software Ltd. ADR (Israel) ^(a)		1,162,703
	19,149	DocuSign, Inc. ^(a)		924,897
	1,291,133	Exela Technologies, Inc. ^(a)		306,644
	4,091	Microsoft Corp.		949,644
	14,175	Oracle Corp.		1,106,642
	22,596	Progress Software Corp.		1,153,074
	6,889	Salesforce.com, Inc. ^(a)		1,120,082
	15,551	Twilio, Inc. ^(a)		1,156,528
				11,663,392

Shares			Fair Value
Telecommunications - 5.2%
	219,977	8x8, Inc. ^(a)	$	930,503
	13,032	Zoom Video Communications, Inc. ^(a)		1,087,390
				2,017,893
		TOTAL COMMON STOCKS (Cost $58,862,058)	$	38,265,373
SHORT TERM INVESTMENTS - 1.7%
Money Market Funds - 1.7%
	654,039	Dreyfus Government Cash Management Institutional Shares, 2.91% ^(c)(d)	$	654,039
		TOTAL SHORT TERM INVESTMENTS (Cost $654,039)	$	654,039
		TOTAL INVESTMENTS (Cost $59,516,097) - 101.4%	$	38,919,412
		Liabilities in Excess of Other Assets - (1.4)%		(548,614	)
		TOTAL NET ASSETS - 100.0%	$	38,370,798

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, 2022.

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

ADR - American Depository Receipt

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

DIREXION ANNUAL REPORT
29

Statements of Assets and Liabilities

October 31, 2022

	Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		Direxion Breakfast Commodities Strategy ETF (Consolidated)		Direxion Hydrogen ETF			Direxion Moonshot Innovators ETF
Assets:
Investments, at fair value (including securities loaned*) (Note 2)	$	301,128,639	$	6,273,596	$	25,830,689		$	43,906,384
Cash held in foreign currency, at value		—		—		1			—
Receivable for investments sold		—		—		4,453,680			—
Deposit at broker for futures contracts		—		492,562		—			—
Dividend and interest receivable		730,826		15,182		64,088			23,863
Tax reclaim receivable		—		—		14,301			—
Variation margin receivable, net		—		117,129		—			—
Prepaid expenses and other assets		89,602		—		—			—
Total Assets		301,949,067		6,898,469		30,362,759			43,930,247
Liabilities:
Collateral for securities loaned (Note 2)		—		—		3,681,644			6,137,963
Payable for Fund shares redeemed		4,480,099		—		—			—
Payable for investments purchased		—		—		4,533,952			—
Due to Adviser (Note 6)		129,401		2,904		7,545			18,909
Due to broker for futures contracts		—		24,381		—			—
Accrued operating services fees (Note 6)		51,761		1,161		943			1,576
Total Liabilities		4,661,261		28,446		8,224,084			6,158,448
Net Assets	$	297,287,806	$	6,870,023	$	22,138,675		$	37,771,799
Net Assets Consist of:
Capital stock	$	290,276,682	$	6,824,850	$	41,409,164		$	169,869,372
Total distributable earnings (loss)		7,011,124		45,173		(19,270,489	)		(132,097,573	)
Net Assets	$	297,287,806	$	6,870,023	$	22,138,675		$	37,771,799
Calculation of Net Asset Value Per Share:
Net assets	$	297,287,806	$	6,870,023	$	22,138,675		$	37,771,799
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		9,950,001		300,001		1,700,002			2,875,001
Net assets value, redemption price and offering price per share	$	29.88	$	22.90	$	13.02		$	13.14
Cost of Investments	$	301,128,639	$	6,273,596	$	39,649,466		$	72,339,457

* Securities loaned with values of $–, $–, $3,717,220 and $5,903,311, respectively. See Note 2.

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

DIREXION ANNUAL REPORT
30

Statements of Assets and Liabilities

October 31, 2022

	Direxion mRNA ETF			Direxion Nanotechnology ETF			Direxion NASDAQ-100^®Equal Weighted Index Shares			Direxion Work From Home ETF
Assets:
Investments, at fair value (including securities loaned*) (Note 2)	$	3,544,609		$	1,756,814		$	712,044,186		$	38,919,412
Receivable for investments sold		111,409			—			—			—
Dividend and interest receivable		7			504			166,010			44,198
Tax reclaim receivable		440			60			—			—
Total Assets		3,656,465			1,757,378			712,210,196			38,963,610
Liabilities:
Collateral for securities loaned (Note 2)		—			142,643			12,332,927			578,552
Payable for investments purchased		104,311			—			—			—
Due to Adviser (Note 6)		1,726			777			172,501			12,675
Accrued operating services fees (Note 6)		144			65			28,750			1,585
Total Liabilities		106,181			143,485			12,534,178			592,812
Net Assets	$	3,550,284		$	1,613,893		$	699,676,018		$	38,370,798
Net Assets Consist of:
Capital stock	$	5,418,958		$	2,499,372		$	825,297,494		$	63,615,329
Total distributable loss		(1,868,674	)		(885,479	)		(125,621,476	)		(25,244,531	)
Net Assets	$	3,550,284		$	1,613,893		$	699,676,018		$	38,370,798
Calculation of Net Asset Value Per Share:
Net assets	$	3,550,284		$	1,613,893		$	699,676,018		$	38,370,798
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		250,001			100,001			10,950,002			875,001
Net assets value, redemption price and offering price per share	$	14.20		$	16.14		$	63.90		$	43.85
Cost of Investments	$	4,051,295		$	2,156,863		$	819,718,469		$	59,516,097

* Securities loaned with values of $–, $132,007, $12,864,473 and $564,151, respectively. See Note 2.

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

DIREXION ANNUAL REPORT
31

Statements of Operations

For the Year Ended October 31, 2022

	Direxion Auspice Broad Commodity Strategy ETF (Consolidated)			Direxion Breakfast Commodities Strategy ETF (Consolidated)¹			Direxion Hydrogen ETF			Direxion Moonshot Innovators ETF
Investment Income:
Dividend income (net of foreign withholding tax of $—, $—, $61,328 and $—, respectively)	$	—		$	—		$	386,108		$	82,811
Interest income		3,050,423			49,295			1,642			1,392
Securities lending income		—			—			139,766			800,492
Foreign currency income		—			—			3			—
Total investment income		3,050,423			49,295			527,519			884,695
Expenses:
Investment advisory fees (Note 6)		1,687,406			13,292			129,840			411,830
Operating services fees (Note 6)		674,962			5,316			16,230			34,319
Excise tax		576,794			—			—			—
Total Expenses		2,939,162			18,608			146,070			446,149
Net investment income		111,261			30,687			381,449			438,546
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		—			—			(5,243,620	)		(74,884,626	)
Foreign currency translation		—			—			(76,530	)		—
In-kind redemptions		—			—			(160,863	)		(9,024,041	)
Futures contracts		27,202,526			(461,604	)		—			—
Net realized gain (loss)		27,202,526			(461,604	)		(5,481,013	)		(83,908,667	)
Change in net unrealized appreciation (depreciation) on: Investment securities		—			—			(15,185,112	)		7,934,248
Foreign currency translation		—			—			(2,416	)		—
Futures contracts		(15,322,256	)		33,349			—			—
Change in net unrealized appreciation (depreciation)		(15,322,256	)		33,349			(15,187,528	)		7,934,248
Net realized and unrealized gain (loss)		11,880,270			(428,255	)		(20,668,541	)		(75,974,419	)
Net increase (decrease) in net assets resulting from operations	$	11,991,531		$	(397,568	)	$	(20,287,092	)	$	(75,535,873	)

¹ Represents the period from June 1, 2022 (commencement of operations) to October 31, 2022.

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

DIREXION ANNUAL REPORT
32

Statements of Operations

For the Year Ended October 31, 2022

	Direxion mRNA ETF²			Direxion Nanotechnology ETF¹			Direxion NASDAQ-100^®Equal Weighted Index Shares			Direxion Work From Home ETF
Investment Income:
Dividend income (net of foreign withholding tax of $617, $79, $26,612 and $—, respectively)	$	3,253		$	5,377		$	6,091,021		$	1,003,045
Interest income		55			19			7,830			1,085
Securities lending income		12,316			4,917			558,842			17,496
Total investment income		15,624			10,313			6,657,693			1,021,626
Expenses:
Investment advisory fees (Note 6)		18,843			10,122			1,813,827			274,253
Operating services fees (Note 6)		1,570			844			302,305			34,281
Total Expenses		20,413			10,966			2,116,132			308,534
Net investment income (loss)		(4,789	)		(653	)		4,541,561			713,092
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(1,358,364	)		(485,430	)		(25,375,389	)		(5,159,199	)
In-kind redemptions		—			—			109,152,483			3,232,484
Net realized gain (loss)		(1,358,364	)		(485,430	)		83,777,094			(1,926,715	)
Change in net unrealized appreciation (depreciation) on: Investment securities		(506,686	)		(400,049	)		(227,222,717	)		(37,909,503	)
Change in net unrealized appreciation (depreciation)		(506,686	)		(400,049	)		(227,222,717	)		(37,909,503	)
Net realized and unrealized loss		(1,865,050	)		(885,479	)		(143,445,623	)		(39,836,218	)
Net decrease in net assets resulting from operations	$	(1,869,839	)	$	(886,132	)	$	(138,904,062	)	$	(39,123,126	)

¹ Represents the period from November 23, 2021 (commencement of operations) to October 31, 2022.

² Represents the period from December 9, 2021 (commencement of operations) to October 31, 2022.

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

DIREXION ANNUAL REPORT
33

Statements of Changes in Net Assets

	Direxion Auspice Broad Commodity Strategy ETF (Consolidated)						Direxion Breakfast Commodities Strategy ETF (Consolidated)
	Year Ended October 31, 2022			Year Ended October 31, 2021			For the Period June 1, 2022¹through October 31, 2022
Operations:
Net investment income (loss)	$	111,261		$	(985,938	)	$	30,687
Net realized gain (loss)		27,202,526			26,159,862			(461,604	)
Change in net unrealized appreciation (depreciation)		(15,322,256	)		14,721,431			33,349
Net increase (decrease) in net assets resulting from operations		11,991,531			39,895,355			(397,568	)
Distributions to shareholders:
Net distributions to shareholders		(45,900,192	)		—			(15,661	)
Total distributions		(45,900,192	)		—			(15,661	)
Capital share transactions:
Proceeds from shares sold		189,709,720			184,462,965			7,283,024
Cost of shares redeemed		(112,074,283	)		(14,894,665	)		—
Transaction fees (Note 4)		130,092			21,425			228
Net increase in net assets resulting from capital transactions		77,765,529			169,589,725			7,283,252
Total increase in net assets		43,856,868			209,485,080			6,870,023
Net assets:
Beginning of year/period		253,430,938			43,945,858			—
End of year/period	$	297,287,806		$	253,430,938		$	6,870,023
Changes in shares outstanding
Shares outstanding, beginning of year/period		7,750,001			1,900,001			—
Shares sold		5,850,000			6,350,000			300,001
Shares repurchased		(3,650,000	)		(500,000	)		—
Shares outstanding, end of year/period		9,950,001			7,750,001			300,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
34

Statements of Changes in Net Assets

	Direxion Hydrogen ETF						Direxion Moonshot Innovators ETF
	Year Ended October 31, 2022			For the Period March 25, 2021¹through October 31, 2021			Year Ended October 31, 2022			For the Period November 12, 2020¹through October 31, 2021
Operations:
Net investment income	$	381,449		$	237,351		$	438,546		$	1,076,890
Net realized loss		(5,481,013	)		(509,003	)		(83,908,667	)		(22,705,046	)
Change in net unrealized appreciation (depreciation)		(15,187,528	)		1,365,039			7,934,248			(36,367,321	)
Net increase (decrease) in net assets resulting from operations		(20,287,092	)		1,093,387			(75,535,873	)		(57,995,477	)
Distributions to shareholders:
Net distributions to shareholders		(399,661	)		(127,435	)		(953,134	)		(680,526	)
Return of capital		(15,230	)		—			(193,011	)		—
Total distributions		(414,891	)		(127,435	)		(1,146,145	)		(680,526	)
Capital share transactions:
Proceeds from shares sold		14,001,030			40,248,269			17,599,599			383,639,876
Cost of shares redeemed		(12,374,593	)		—			(54,961,093	)		(173,148,562	)
Net increase (decrease) in net assets resulting from capital transactions		1,626,437			40,248,269			(37,361,494	)		210,491,314
Total increase (decrease) in net assets		(19,075,546	)		41,214,221			(114,043,512	)		151,815,311
Net assets:
Beginning of year/period		41,214,221			—			151,815,311			—
End of year/period	$	22,138,675		$	41,214,221		$	37,771,799		$	151,815,311
Changes in shares outstanding
Shares outstanding, beginning of year/period		1,700,002			—			4,500,001			—
Shares sold		650,000			1,700,002			900,000			9,325,001
Shares repurchased		(650,000	)		—			(2,525,000	)		(4,825,000	)
Shares outstanding, end of year/period		1,700,002			1,700,002			2,875,001			4,500,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
35

Statements of Changes in Net Assets

	Direxion mRNA ETF			Direxion Nanotechnology ETF
	For the Period December 9, 2021¹through October 31, 2022			For the Period November 23, 2021¹through October 31, 2022
Operations:
Net investment loss	$	(4,789	)	$	(653	)
Net realized loss		(1,358,364	)		(485,430	)
Change in net unrealized depreciation		(506,686	)		(400,049	)
Net decrease in net assets resulting from operations		(1,869,839	)		(886,132	)
Distributions to shareholders:
Net distributions to shareholders		—			—
Total distributions		—			—
Capital share transactions:
Proceeds from shares sold		5,419,623			2,500,025
Cost of shares redeemed		—			—
Transaction fees (Note 4)		500			—
Net increase in net assets resulting from capital transactions		5,420,123			2,500,025
Total increase in net assets		3,550,284			1,613,893
Net assets:
Beginning of period		—			—
End of period	$	3,550,284		$	1,613,893
Changes in shares outstanding
Shares outstanding, beginning of period		—			—
Shares sold		250,001			100,001
Shares repurchased		—			—
Shares outstanding, end of period		250,001			100,001

¹ Commencement of operations.

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

DIREXION ANNUAL REPORT
36

Statements of Changes in Net Assets

	Direxion NASDAQ-100^®Equal Weighted Index Shares						Direxion Work From Home ETF
	Year Ended October 31, 2022			Year Ended October 31, 2021			Year Ended October 31, 2022			Year Ended October 31, 2021
Operations:
Net investment income	$	4,541,561		$	1,862,366		$	713,092		$	410,492
Net realized gain (loss)		83,777,094			41,329,702			(1,926,715	)		35,124,597
Change in net unrealized appreciation (depreciation)		(227,222,717	)		71,501,564			(37,909,503	)		16,725,812
Net increase (decrease) in net assets resulting from operations		(138,904,062	)		114,693,632			(39,123,126	)		52,260,901
Distributions to shareholders:
Net distributions to shareholders		(18,877,170	)		(2,011,608	)		(723,713	)		(1,572,820	)
Total distributions		(18,877,170	)		(2,011,608	)		(723,713	)		(1,572,820	)
Capital share transactions:
Proceeds from shares sold		995,342,941			96,387,917			1,987,577			31,133,230
Cost of shares redeemed		(570,149,865	)		(51,005,012	)		(34,259,716	)		(104,409,325	)
Net increase (decrease) in net assets resulting from capital transactions		425,193,076			45,382,905			(32,272,139	)		(73,276,095	)
Total increase (decrease) in net assets		267,411,844			158,064,929			(72,118,978	)		(22,588,014	)
Net assets:
Beginning of year		432,264,174			274,199,245			110,489,776			133,077,790
End of year	$	699,676,018		$	432,264,174		$	38,370,798		$	110,489,776
Changes in shares outstanding
Shares outstanding, beginning of year		4,950,002			4,350,002			1,425,001			2,475,001
Shares sold		14,200,000			1,250,000			25,000			475,000
Shares repurchased		(8,200,000	)		(650,000	)		(575,000	)		(1,525,000	)
Shares outstanding, end of year		10,950,002			4,950,002			875,001			1,425,001

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

DIREXION ANNUAL REPORT
37

Financial Highlights

October 31, 2022

																																		RATIOS TO AVERAGE NET ASSETS⁵
	Net Asset Value, Beginning of Year/ Period		Net Investment Income (Loss)¹			Net Investment Income (Loss)^1,2			Net Realized and Unrealized Gain (Loss) on Investments³			Net Increase (Decrease) in Net Asset Value Resulting from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Distributions from Return of Capital			Total Distributions			Net Asset Value, End of Year/ Period		Total Return⁴			Net Assets, End of Year/ Period (000's omitted)		Net Expenses⁶			Total Expenses			Net Investment Income (Loss) After Expense Reimbursement			Net Expenses^2,6			Total Expenses²			Net Investment Income (Loss) After Expense Reimbursement²			Portfolio Turnover Rate⁷
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
For the Year Ended October 31, 2022	$	32.70	$	0.01		$	0.06		$	1.85		$	1.86		$	(4.68	)	$	—		$	—		$	(4.68	)	$	29.88		6.21	%	$	297,288		0.87	%		0.87	%		0.03	%		0.70	%		0.70	%		0.20	%		0	%
For the Year Ended October 31, 2021		23.13		(0.20	)		(0.20	)		9.77			9.57			—			—			—			—			32.70		41.37	%		253,431		0.70	%		0.70	%		(0.67	)%		0.70	%		0.70	%		(0.67	)%		0	%
For the Year Ended October 31, 2020		23.53		(0.02	)		(0.02	)		(0.29	)		(0.31	)		(0.06	)		—			(0.03	)		(0.09	)		23.13		-1.31	%		43,946		0.70	%		0.70	%		(0.10	)%		0.70	%		0.70	%		(0.10	)%		0	%
For the Year Ended October 31, 2019		24.58		0.35			0.35			(0.77	)		(0.42	)		(0.63	)		—			—			(0.63	)		23.53		-1.72	%		42,360		0.70	%		0.79	%		1.47	%		0.70	%		0.79	%		1.47	%		0	%
For the Year Ended October 31, 2018		23.82		0.20			0.20			0.72			0.92			(0.16	)		—			—			(0.16	)		24.58		3.84	%		52,847		0.70	%		0.84	%		0.80	%		0.70	%		0.84	%		0.80	%		0	%
Direxion Breakfast Commodities Strategy ETF (Consolidated)
For the Period June 1, 2022⁸ through October 31, 2022		25.00		0.11			0.11			(2.16	)		(2.05	)		(0.05	)		—			—			(0.05	)		22.90		-8.19	%		6,870		0.70	%		0.70	%		1.15	%		0.70	%		0.70	%		1.15	%		0	%
Direxion Hydrogen ETF
For the Year Ended October 31, 2022		24.24		0.21			0.21			(11.21	)		(11.00	)		(0.21	)		—			(0.01	)		(0.22	)		13.02		-45.57	%		22,139		0.45	%		0.45	%		1.18	%		0.45	%		0.45	%		1.18	%		37	%
For the Period March 25, 2021⁸ through October 31, 2021		24.00		0.16			0.16			0.16			0.32			(0.08	)		—			—			(0.08	)		24.24		1.37	%		41,214		0.45	%		0.45	%		1.21	%		0.45	%		0.45	%		1.21	%		55	%
Direxion Moonshot Innovators ETF
For the Year Ended October 31, 2022		33.74		0.13			0.13			(20.43	)		(20.30	)		(0.25	)		—			(0.05	)		(0.30	)		13.14		-60.64	%		37,772		0.65	%		0.65	%		0.64	%		0.65	%		0.65	%		0.64	%		120	%
For the Period November 12, 2020⁸ through October 31, 2021		25.00		0.27			0.27			8.61			8.88			(0.14	)		—			—			(0.14	)		33.74		35.54	%		151,815		0.65	%		0.65	%		0.76	%		0.65	%		0.65	%		0.76	%		87	%
Direxion mRNA ETF
For the Period December 9, 2021⁸ through October 31, 2022		25.00		(0.02	)		(0.02	)		(10.78	)		(10.80	)		—			—			—			—			14.20		-43.20	%		3,550		0.65	%		0.65	%		(0.15	)%		0.65	%		0.65	%		(0.15	)%		85	%
Direxion Nanotechnology ETF
For the Period November 23, 2021⁸ through October 31, 2022		25.00		(0.01	)		(0.01	)		(8.85	)		(8.86	)		—			—			—			—			16.14		-35.44	%		1,614		0.65	%		0.65	%		(0.04	)%		0.65	%		0.65	%		(0.04	)%		78	%
Direxion NASDAQ-100^® Equal Weighted Index Shares
For the Year Ended October 31, 2022		87.33		0.53			0.53			(20.59	)		(20.06	)		(0.50	)		(2.87	)		—			(3.37	)		63.90		-23.78	%		699,676		0.35	%		0.35	%		0.75	%		0.35	%		0.35	%		0.75	%		34	%
For the Year Ended October 31, 2021		63.03		0.39			0.39			24.33			24.72			(0.39	)		(0.03	)		—			(0.42	)		87.33		39.30	%		432,264		0.35	%		0.35	%		0.49	%		0.35	%		0.35	%		0.49	%		30	%
For the Year Ended October 31, 2020		51.32		0.38			0.38			11.72			12.10			(0.39	)		—			—			(0.39	)		63.03		23.69	%		274,199		0.35	%		0.35	%		0.67	%		0.35	%		0.35	%		0.67	%		35	%
For the Year Ended October 31, 2019		43.27		0.39			0.39			8.04			8.43			(0.38	)		—			—			(0.38	)		51.32		19.59	%		215,563		0.35	%		0.44	%		0.82	%		0.35	%		0.44	%		0.82	%		28	%
For the Year Ended October 31, 2018		41.90		0.31			0.31			1.37			1.68			(0.31	)		—			—			(0.31	)		43.27		3.98	%		179,574		0.35	%		0.49	%		0.68	%		0.35	%		0.49	%		0.68	%		27	%
Direxion Work From Home ETF
For the Year Ended October 31, 2022		77.54		0.63			0.63			(33.78	)		(33.15	)		(0.54	)		—			—			(0.54	)		43.85		-43.00	%		38,371		0.45	%		0.45	%		1.04	%		0.45	%		0.45	%		1.04	%		45	%
For the Year Ended October 31, 2021		53.77		0.22			0.22			24.24			24.46			(0.27	)		(0.42	)		—			(0.69	)		77.54		45.69	%		110,490		0.45	%		0.45	%		0.31	%		0.45	%		0.45	%		0.31	%		35	%
For the Period June 25, 2020⁸ through October 31, 2020		50.00		0.15			0.15			3.65			3.80			(0.03	)		—			—			(0.03	)		53.77		7.60	%		133,078		0.45	%		0.45	%		0.81	%		0.45	%		0.45	%		0.81	%		32	%

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

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

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

⁴ Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

For the years October 31, 2018 through October 31, 2019 the total return would have been lower if certain expenses had not been reimbursed/waived by the investment advisor.

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

⁶ For the years ended October 31, 2018 through October 31, 2019, net expenses include affects of any reimbursement/waiver or recoupment.

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

⁸ Commencement of operations.

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

DIREXION ANNUAL REPORT
38

Direxion Shares ETF Trust

Notes to the Financial Statements

October 31, 2022

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 87 separate series (each, a "Fund" and together the "Funds"). Eight of these Funds are included in this report:

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)				Direxion mRNA ETF
Direxion Breakfast Commodities Strategy ETF (Consolidated)				Direxion Nanotechnology ETF
Direxion Hydrogen ETF				Direxion NASDAQ-100^® Equal Weighted Index Shares
Direxion Moonshot Innovators ETF				Direxion Work From Home ETF

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

Rafferty Asset Management, LLC ("Rafferty") serves as investment adviser to the Funds. Rafferty has registered as a commodity pool operator ("CPO") and the Direxion Auspice Broad Commodity Strategy ETF (Consolidated) and Direxion Breakfast Commodities Strategy ETF (Consolidated) are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, Rafferty is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.

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

Funds				Index or Benchmark
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)				Auspice Broad Commodity Index
Direxion Breakfast Commodities Strategy ETF (Consolidated)				S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index
Direxion Hydrogen ETF				Indxx Hydrogen Economy Index
Direxion Moonshot Innovators ETF				S&P Kensho Moonshots Index
Direxion mRNA ETF				BITA Messenger RNA Technology Index
Direxion Nanotechnology ETF				S&P Kensho Extended Nanotechnology Index
Direxion NASDAQ-100^® Equal Weighted Index Shares				NASDAQ-100^® Equal Weighted Index
Direxion Work From Home ETF				Solactive Remote Work Index

The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) primarily invests in commodity and financial futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion BCS Fund Ltd. ("BCS Fund"), in order to track the returns of the Auspice Broad Commodity Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.

The Direxion Breakfast Commodities Strategy ETF (Consolidated) primarily invests in tradeable commodity futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion BKT Fund Ltd. ("BKT Fund"), in order to track the returns of the S&P GSCI Dynamic Roll Breakfast (OJ 5% Capped) Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.

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39

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

b) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. The Direxion Breakfast Commodities Strategy ETF (Consolidated) was invested in futures contracts as of the period ended October 31, 2022.

c) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of options during the period ended October 31, 2022.

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

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40

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

f) Basis for Consolidation – The Direxion Auspice Broad Commodity Strategy ETF may invest up to 25% of its total assets in the Direxion BCS Fund Ltd. ("BCS Fund"). The BCS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Auspice Broad Commodity Strategy ETF. The BCS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Auspice Broad Commodity Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of October 31, 2022, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $297,287,806, of which $51,767,212, or approximately 17.4%, represented the Direxion Auspice Broad Commodity Strategy ETF's ownership of all issued shares and voting rights of the BCS Fund. All intercompany balances, revenues and expenses have been eliminated in consolidation.

The Direxion Breakfast Commodities Strategy ETF may invest up to 25% of its total assets in the Direxion BKT Fund Ltd. ("BKT Fund"). The BKT Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Breakfast Commodities Strategy ETF. The BKT Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Breakfast Commodities Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of October 31, 2022, the net assets of the Direxion Breakfast Commodities Strategy ETF were $6,870,023 of which $712,948 or approximately 10.4%, represented the Direxion Breakfast Commodities Strategy ETF's ownership of all issued shares and voting rights of the BKT Fund. All intercompany balances, revenues and expenses have been eliminated in consolidation.

g) Risks of Investing Commodity-Linked Derivatives – The Direxion Auspice Broad Commodity Strategy ETF and Direxion Breakfast Commodities Strategy ETF, through their investment in their respective subsidiary, may hold commodity-linked derivatives. Commodity-linked derivatives provide exposure, which may include long and/or short exposure, to the investment returns of physical commodities that trade in the commodities markets without investing directly in physical commodities. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity (such as heating oil, precious metals, livestock, or agricultural products), a commodity futures contract or commodity index, or some other readily measurable economic variable. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, volatility of the underlying benchmark, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The value of commodity-linked derivatives will rise or fall in response to changes in the underlying commodity or related index. Investments in commodity-linked derivatives may be subject to greater volatility than non-derivative based investments. A highly liquid secondary market may not exist for certain commodity-linked derivatives, and there can be no assurance that one will develop. The Direxion Auspice Broad Commodity Strategy ETF and Direxion Breakfast Commodities Strategy ETF held commodity-linked derivatives during the period ended October 31, 2022.

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

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41

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

As of October 31, 2022, 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, 2022, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:

Funds	Market Value of Securities Loaned		Cash Collateral Received		Non-Cash Collateral Received		Total Collateral Received
Direxion Hydrogen ETF	$	3,717,220	$	3,681,644	$	191,969	$	3,873,613
Direxion Moonshot Innovators ETF		5,903,311		6,137,963		—		6,137,963
Direxion Nanotechnology ETF		132,007		142,643		—		142,643
Direxion NASDAQ-100^® Equal Weighted Index Shares		12,864,473		12,332,927		1,055,504		13,388,431
Direxion Work From Home ETF		564,151		578,552		—		578,552

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

The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) paid this excise tax during the year ended October 31, 2022.

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

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

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42

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

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

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

3. INCOME TAX AND DISTRIBUTION INFORMATION

The tax character of distributions paid during the periods ended October 31, 2022 and October 31, 2021 are presented in the following table. The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.

	Year/Period Ended October 31, 2022						Year/Period Ended October 31, 2021
	Distributions Paid From:						Distributions Paid From:
Funds	Ordinary Income		Long Term Capital Gains		Return of Capital		Ordinary Income		Long Term Capital Gains		Return of Capital
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	45,900,192	$	—	$	—	$	—	$	—	$	—
Direxion Breakfast Commodities Strategy ETF (Consolidated)³		15,661		—		—		—		—		—
Direxion Hydrogen ETF		399,661		—		15,230		127,435		—		—
Direxion Moonshot Innovators ETF		953,134		—		193,011		680,526		—		—
Direxion mRNA ETF²		—		—		—		—		—		—
Direxion Nanotechnology ETF¹		—		—		—		—		—		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		17,776,653		1,100,517		—		2,011,608		—		—
Direxion Work From Home ETF		723,713		—		—		1,572,820		—		—

¹ Commenced operations on November 23, 2021.

² Commenced operations on December 9, 2021.

³ Commenced operations on June 1, 2022

At October 31, 2022, the components of accumulated earnings/(losses) on a tax-basis were as follows:

Funds	Net Unrealized Appreciation (Depreciation)			Undistributed Ordinary Income		Undistributed Capital Gain		Other Accumulated Earnings (Losses)¹			Total Accumulated Earnings (Losses)
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—		$	7,014,632	$	—	$	(3,508	)	$	7,011,124
Direxion Breakfast Commodities Strategy ETF (Consolidated)		33,349			11,824		—		—			45,173
Direxion Hydrogen ETF		(15,237,274	)		—		—		(4,033,215	)		(19,270,489	)

DIREXION ANNUAL REPORT
43

Funds	Net Unrealized Appreciation (Depreciation)			Undistributed Ordinary Income		Undistributed Capital Gain		Other Accumulated Earnings (Losses)¹			Total Accumulated Earnings (Losses)
Direxion Moonshot Innovators ETF	$	(28,680,156	)	$	—	$	—	$	(103,417,417	)	$	(132,097,573	)
Direxion mRNA ETF		(1,068,488	)		—		—		(800,186	)		(1,868,674	)
Direxion Nanotechnology ETF		(405,272	)		—		—		(480,207	)		(885,479	)
Direxion NASDAQ-100^® Equal Weighted Index Shares		(125,840,211	)		218,735		—		—			(125,621,476	)
Direxion Work From Home ETF		(21,138,172	)		46,336		—		(4,152,695	)		(25,244,531	)

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

At October 31, 2022, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:

Funds	Tax Cost of Investments		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	301,128,639	$	—	$	—		$	—
Direxion Breakfast Commodities Strategy ETF (Consolidated)		6,273,596		33,349		—			33,349
Direxion Hydrogen ETF		41,064,251		166,668		(15,403,942	)		(15,237,274	)
Direxion Moonshot Innovators ETF		72,586,540		1,297,689		(29,977,845	)		(28,680,156	)
Direxion mRNA ETF		4,613,097		367,222		(1,435,710	)		(1,068,488	)
Direxion Nanotechnology ETF		2,019,443		120,159		(525,431	)		(405,272	)
Direxion NASDAQ-100^® Equal Weighted Index Shares		837,884,397		28,431,099		(154,271,310	)		(125,840,211	)
Direxion Work From Home ETF		60,057,584		3,512,861		(24,651,033	)		(21,138,172	)

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

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

Funds	Total Distributable Earnings (Loss)			Capital Stock
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	(14,745,461	)	$	14,745,461
Direxion Breakfast Commodities Strategy ETF (Consolidated)		458,402			(458,402	)
Direxion Hydrogen ETF		450,312			(450,312	)
Direxion Moonshot Innovators ETF		14,156,416			(14,156,416	)
Direxion mRNA ETF		1,165			(1,165	)
Direxion Nanotechnology ETF		653			(653	)
Direxion NASDAQ-100^® Equal Weighted Index Shares		(99,306,646	)		99,306,646
Direxion Work From Home ETF		(2,179,743	)		2,179,743

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, 2022, the permanent differences primarily relate to tax treatment of redemptions in-kind, non-deductible excise tax paid, net operating losses and the utilization of earnings and profits distributed to shareholders on redemption of shares.

In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2022.

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At October 31, 2022, these Funds deferred, on a tax basis, qualified late year losses of:

Funds	Ordinary Late Year Loss Deferral
Direxion Moonshot Innovators ETF	$	48,023
Direxion mRNA ETF		3,624

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

At October 31, 2022, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:

Funds	Utilized in Current Year		Unlimited ST		Unlimited LT
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	—
Direxion Breakfast Commodities Strategy ETF (Consolidated)		—		—		—
Direxion Hydrogen ETF		—		3,853,746		179,469
Direxion Moonshot Innovators ETF		—		54,710,113		48,659,281
Direxion mRNA ETF		—		796,562		—
Direxion Nanotechnology ETF		—		480,207		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		—		—		—
Direxion Work From Home ETF		—		2,614,600		1,538,095

The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of October 31, 2022, open U.S. Federal and state income tax years include the tax years ended October 31, 2019 through October 31, 2022. The Funds have no examinations in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.

4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES

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

Fund	Number of shares per Creation Unit
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		50,000	shares
Direxion Breakfast Commodities Strategy ETF (Consolidated)		50,000	shares
Direxion Hydrogen ETF		50,000	shares
Direxion Moonshot Innovators ETF		25,000	shares
Direxion mRNA ETF		25,000	shares
Direxion Nanotechnology ETF		25,000	shares
Direxion NASDAQ-100^® Equal Weighted Index Shares		50,000	shares
Direxion Work From Home ETF		25,000	shares

Creation Units of the Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.

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45

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

5. INVESTMENT TRANSACTIONS

The table below presents each Fund's investment transactions during the period ended October 31, 2022. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:

Funds	Purchases		Sales		Purchases In-Kind		Sales In-Kind
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	—	$	—	$	—
Direxion Breakfast Commodities Strategy ETF (Consolidated)³		—		—		—		—
Direxion Hydrogen ETF		11,840,181		11,977,716		12,814,889		11,171,222
Direxion Moonshot Innovators ETF		84,568,999		84,828,990		17,613,034		54,964,586
Direxion mRNA ETF²		5,443,184		2,687,941		2,919,589		—
Direxion Nanotechnology ETF¹		3,848,043		1,305,958		—		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		208,323,922		222,980,434		995,217,738		570,119,233
Direxion Work From Home ETF		33,558,178		31,248,481		1,986,927		34,248,048

¹ Represents the period from November 23, 2021 (commencement of operations) to October 31, 2022.

² Represents the period from December 9, 2021 (commencement of operations) to October 31, 2022.

³ Represents the period from June 1, 2022 (commencement of operations) to October 31, 2022.

There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended October 31, 2022.

6. INVESTMENT ADVISORY AND OTHER AGREEMENTS

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

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	0.50	%
Direxion Breakfast Commodities Strategy ETF (Consolidated)	0.50	%
Direxion Hydrogen ETF	0.40	%
Direxion Moonshot Innovators ETF	0.60	%
Direxion mRNA ETF	0.60	%
Direxion Nanotechnology ETF	0.60	%
Direxion NASDAQ-100^® Equal Weighted Index Shares	0.30	%
Direxion Work From Home ETF	0.40	%

Additionally, the Trust has entered into a Management Services Agreement with Rafferty. Under the Management Services Agreement, the Trust pays Rafferty management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily

DIREXION ANNUAL REPORT
46

net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates Rafferty for performing certain management, administration and compliance functions related to the Trust.

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

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	0.20	%
Direxion Breakfast Commodities Strategy ETF (Consolidated)	0.20	%
Direxion Hydrogen ETF	0.05	%
Direxion Moonshot Innovators ETF	0.05	%
Direxion mRNA ETF	0.05	%
Direxion Nanotechnology ETF	0.05	%
Direxion NASDAQ-100^® Equal Weighted Index Shares	0.05	%
Direxion Work From Home ETF	0.05	%

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

7. FAIR VALUE MEASUREMENTS

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

Level 1 – Quoted prices in active markets for identical securities

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

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

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

The following is a summary of the inputs used to value the Funds' investments at October 31, 2022:

	Asset Class
	Level 1
Funds	Common Stocks		Short Term Investments		Futures Contracts*
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	—	$	301,128,639	$	—
Direxion Breakfast Commodities Strategy ETF (Consolidated)		—		6,273,596		33,349
Direxion Hydrogen ETF		21,924,836		3,905,853		—
Direxion Moonshot Innovators ETF		37,581,309		6,325,075		—
Direxion mRNA ETF		3,544,518		91		—
Direxion Nanotechnology ETF		1,612,764		144,050		—
Direxion NASDAQ-100^® Equal Weighted Index Shares		698,843,182		13,201,004		—
Direxion Work From Home ETF		38,265,373		654,039		—

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

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

The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used

DIREXION ANNUAL REPORT
47

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

8. VALUATION OF DERIVATIVE INSTRUMENTS

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

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of October 31, 2022, certain Funds were invested in futures contracts. At October 31, 2022, the fair values of derivative instruments, by primary risk, were as follows:

	Asset Derivatives
Futures Contracts* Fund	Commodity Risk		Total
Direxion Breakfast Commodities Strategy ETF (Consolidated)	$	33,349	$	33,349

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

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

Transactions in derivative instruments during the period ended October 31, 2022, by primary risk, were as follows:

		Net Realized Gain (Loss)¹			Net Unrealized Appreciation (Depreciation)²
Fund		Commodity Risk			Commodity Risk
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	Futures Contracts	$	27,202,526		$	(15,322,256	)
Direxion Breakfast Commodities Strategy ETF (Consolidated)	Futures Contracts		(461,604	)		33,349

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

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

For the period ended October 31, 2022, the volume of the derivatives held by the Funds was as follows:

	Quarterly Average Gross Notional Amounts
	Long Futures Contracts
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	151,829,474
Direxion Breakfast Commodities Strategy ETF (Consolidated)		4,430,439

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

9. PRINCIPAL RISKS

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

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

DIREXION ANNUAL REPORT
48

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

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

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

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

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

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

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

DIREXION ANNUAL REPORT
49

Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.

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

10. SUBSEQUENT EVENTS

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

On December 19, 2022, certain Funds declared income distributions with an ex-date of December 20, 2022 and payable date of December 28, 2022. The specific Funds and per share amounts of the distributions are listed below.

Funds	Per Share Income Distribution
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)	$	0.86080
Direxion Breakfast Commodities Strategy ETF (Consolidated)		0.13600
Direxion Hydrogen ETF		0.02056
Direxion Nanotechnology ETF		0.00358
Direxion NASDAQ-100^® Equal Weighted Index Shares		0.25014
Direxion Work From Home ETF		0.08898

DIREXION ANNUAL REPORT
50

Direxion Shares ETF Trust

Report of Independent Registered Public Accounting Firm

To the Shareholders of Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Breakfast Commodities Strategy ETF (Consolidated), Direxion Hydrogen ETF, Direxion Moonshot Innovators ETF, Direxion mRNA ETF, Direxion Nanotechnology ETF, Direxion NASDAQ-100^® Equal Weighted Index Shares, Direxion Work From Home ETF and the Board of Trustees of Direxion Shares ETF Trust.

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Breakfast Commodities Strategy ETF (Consolidated), Direxion Hydrogen ETF, Direxion Moonshot Innovators ETF, Direxion mRNA ETF, Direxion Nanotechnology ETF, Direxion NASDAQ-100^® Equal Weighted Index Shares and Direxion Work From Home ETF (collectively referred to as the "Funds") (eight of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2022, 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 (eight of the funds constituting Direxion Shares ETF Trust) at October 31, 2022, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

Individual fund constituting the Direxion Shares
ETF Trust

Statement of
operations

Statements of
changes in net assets

Financial highlights

Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Direxion NASDAQ-100^® Equal Weighted Index Shares

For the year ended October 31, 2022

For each of the two years in the period ended October 31, 2022

For each of the five years in the period ended October 31, 2022

Direxion Work From Home ETF

For the year ended October 31, 2022

For each of the two years in the period ended October 31, 2022

For each of the two years in the period ended October 31, 2022 and the period from June 25, 2020 (commencement of operations) through October 31, 2020

Direxion Hydrogen ETF

For the year ended October 31, 2022

For the year ended October 31, 2022 and the period from March 25, 2021 (commencement of operations) through October 31, 2021

Direxion Moonshot Innovators ETF

For the year ended October 31, 2022

For the year ended October 31, 2022 and the period from November 12, 2020 (commencement of operations) through October 31, 2021

Direxion Breakfast Commodities Strategy ETF (Consolidated)

For the period from June 1, 2022 (commencement of operations) through October 31, 2022

Direxion mRNA ETF

For the period from December 9, 2021 (commencement of operations) through October 31, 2022

Direxion Nanotechnology ETF

For the period from November 23, 2021 (commencement of operations) through October 31, 2022

DIREXION ANNUAL REPORT
51

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, 2022, by correspondence with the custodian, broker and others; when replies were not received from brokers and others, we performed other auditing procedures. 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, 2022

DIREXION ANNUAL REPORT
52

Direxion Shares ETF Trust

Supplemental Information (Unaudited)

Federal Tax Status of Dividends Declared during the Tax Year

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

Funds	DRD			QDI			QII			QSTG
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)		0.00	%		0.00	%		0.00	%		0.00	%
Direxion Breakfast Commodities Strategy ETF (Consolidated)		0.00	%		0.00	%		0.00	%		0.00	%
Direxion Hydrogen ETF		10.95	%		10.95	%		0.00	%		0.00	%
Direxion Moonshot Innovators ETF		13.48	%		13.48	%		0.00	%		0.00	%
Direxion mRNA ETF		0.00	%		0.00	%		0.00	%		0.00	%
Direxion Nanotechnology ETF		0.00	%		0.00	%		0.00	%		0.00	%
Direxion NASDAQ-100^® Equal Weighted Index Shares		39.63	%		39.63	%		0.00	%		75.26	%
Direxion Work From Home ETF		92.90	%		92.90	%		0.00	%		0.00	%

The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended October 31, 2022. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.

Pursuant to Internal Revenue Code Section 853, the Direxion Hydrogen ETF elects to pass-through to shareholders the credit for taxes paid for foreign countries, which may be less than the actual amount paid for financial statement purposes. For the tax year ended October 31, 2022, the amount of Foreign Source Income is $0.23948309 per share and the amount of Foreign Tax Passthrough is $0.03607525 per share.

Householding

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

DIREXION ANNUAL REPORT
53

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

Provided below is a summary of certain of the factors the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "Trust"), including the trustees who are not "interested persons" as defined in the Investment Company Act of 1940, (the "Independent Trustees"), considered in approving the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the Trust, on behalf of the Direxion Breakfast Commodities Strategy ETF at the February 9, 2022 meeting, a series of the Trust (the "Fund"). The Board, including the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 Act, as amended (the "Independent Trustees"), unanimously approved the Agreement on behalf of the Fund. The Board, including the Independent Trustees, determined that the terms of the Agreement for the Fund were fair and reasonable and in the best interests of shareholders.

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

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

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

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

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

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

DIREXION ANNUAL REPORT
54

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

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

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

DIREXION ANNUAL REPORT
55

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

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

At a meeting held on August 18, 2022, the Board, including the trustees who are not "interested persons" of the Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 4, 2022 and August 18, 2022.

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

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

• The Adviser's Form ADV;

• Information regarding 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 as separate and distinct from the fees paid and the services provided under the Agreement;

• Performance information;

• Comparative industry fee data, including peer group comparisons;

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

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

The Board considered that, with respect to most Funds, they had also received information relevant to their 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 other matters, 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 by the Adviser from its relationship with the Fund.

DIREXION ANNUAL REPORT
56

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, investment and related experience, the variety and complexity of its investment strategies, brokerage practices, the adequacy of its compliance systems and processes, and its reinvestment in each of these areas of the business. 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 it considered 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, noting 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 investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) the Adviser's ability to manage the Funds in a tax efficient manner; and (4) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the relevant Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.

Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Fund. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in compiling 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 had reviewed the Adviser's peer selection methodology and each Fund's resulting peers and determined that the methodology was reasonable and well within industry standards.

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

Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return, for the periods ending June 30, 2022 and June 30, 2021 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 ("Tracking Error"), and a tracking 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, 2022. 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 expected 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/or Tracking Error were more meaningful indicia of the quality of the Adviser's management than a Fund's total return.

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

DIREXION ANNUAL REPORT
57

Direxion Shares ETF Trust

Board Review of Investment Advisory Agreement (Unaudited)

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

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

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

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

DIREXION ANNUAL REPORT
58

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 18, 2022 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, 2021 through October 31, 2022 (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 was one material change to the Liquidity Program during the Report Period to adjust each Fund's liquidity parameters to reflect more accurately each Fund's redemption activity; and

• The Liquidity Program operated adequately during the report period.

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

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

DIREXION ANNUAL REPORT
59

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⁽³⁾

Other Trusteeships/
Directorships Held by
Trustee During Past
Five Years

Daniel D. O'Neill⁽¹⁾Age: 54

Chairman of the Board of Trustees

Lifetime of Trust until removal or resignation; Since 2008

Chief Executive Officer, Rafferty Asset Management, LLC, from 2021 – September 2022; Managing Director, Rafferty Asset Management, LLC, January 1999 – January 2019.

144

None.

Angela Brickl⁽²⁾Age: 46

Trustee

Lifetime of Trust until removal or resignation; Since 2022

President, Rafferty Asset Management, LLC, from September 2022; Chief Operating Officer, Rafferty Asset Management, LLC, May 2021 – September 2022; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012.

144

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: 53

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.

144

None.

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

⁽²⁾ Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.

⁽³⁾ The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 87 of the 134 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.

DIREXION ANNUAL REPORT
60

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

Jacob C. Gaffey
Age: 74

Trustee

Lifetime of Trust until removal or resignation; Since 2014

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

144

None.

Henry W. Mulholland
Age: 59

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.

144

None.

Kathleen M. Berkery
Age: 55

Trustee

Lifetime of Trust until removal or resignation; Since 2019

Chief Financial Officer, Student Sponsor Partners, since November 2021; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, since 2018; Financial Advisor, Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017.

144

None.

Carlyle Peake
Age: 51

Trustee

Lifetime of Trust until removal or resignation; Since 2022

Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011.

144

None.

Mary Jo Collins
Age: 66

Trustee

Lifetime of Trust until removal or resignation; Since 2022

Managing Director, Imperial Capital LLC, since 2020; Director, Royal Bank of Canada, 2014 – 2020.

144

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 87 of the 134 funds registered with the SEC and the Direxion Funds which, as of the date of this report, offers for sale to the public 10 funds registered with the SEC.

DIREXION ANNUAL REPORT
61

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

Angela Brickl
Age: 46

President

Chief Compliance Officer

One Year; Since 2022

One Year; Since 2018

N/A

Patrick J. Rudnick
Age: 49

Principal Executive Officer

One Year; Since 2018

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

N/A

Corey Noltner
Age: 33

Principal Financial Officer

One Year; Since 2021

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

N/A

Alyssa Sherman
Age: 33

Secretary

One Year; Since 2022

Associate General Counsel, Rafferty Asset Management, LLC, since April 2021; Associate, K&L Gates LLP, September 2015 – March 2021.

N/A

⁽¹⁾ Ms. Brickl serves on the Board of Trustees of the Direxion Funds 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 87 of the 134 funds registered with the SEC and the Direxion Funds which, as of the date of this SAI, offers for sale to the public 10 funds registered with the SEC.

DIREXION ANNUAL REPORT
62

ANNUAL REPORT OCTOBER 31, 2022

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
3 Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com

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

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

Each Fund's premium/discount information is available free of charge on the Funds' 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