DIREXION SHARES ETF TRUST

ANNUAL REPORT OCTOBER 31, 2021

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

1X BEAR FUNDS

Direxion Daily CSI 300 China A Share Bear 1X Shares

Direxion Daily S&P 500® Bear 1X Shares

2X BULL FUNDS  

2X BEAR FUNDS

 
Direxion Daily CSI 300 China A Share Bull 2X Shares  

 

 
Direxion Daily CSI China Internet Index Bull 2X Shares  

 

 
Direxion Daily S&P 500® Bull 2X Shares  

 

 
Direxion Daily Latin America Bull 2X Shares  

 

 
Direxion Daily MSCI Brazil Bull 2X Shares  

 

 
Direxion Daily MSCI India Bull 2X Shares  

 

 
Direxion Daily Russia Bull 2X Shares  

 

 
Direxion Daily 5G Communications Bull 2X Shares  

 

 
Direxion Daily Cloud Computing Bull 2X Shares  

Direxion Daily Cloud Computing Bear 2X Shares

 
Direxion Daily Energy Bull 2X Shares  

Direxion Daily Energy Bear 2X Shares

 
Direxion Daily Global Clean Energy Bull 2X Shares  

 

 
Direxion Daily Gold Miners Index Bull 2X Shares  

Direxion Daily Gold Miners Index Bear 2X Shares

 
Direxion Daily Junior Gold Miners Index Bull 2X Shares  

Direxion Daily Junior Gold Miners Index Bear 2X Shares

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

 

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

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

 
Direxion Daily Select Large Caps & FANGs Bull 2X Shares  

 

 
Direxion Daily Travel & Vacation Bull 2X Shares  

 

 
Direxion Daily US Infrastructure Bull 2X Shares  

 

 

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Table of Contents

Letter to Shareholders (Unaudited)

   

4

   
Performance Summary (Unaudited)    

14

   
Expense Example (Unaudited)    

39

   
Allocation of Portfolio Holdings (Unaudited)    

42

   
Schedules of Investments    

43

   
Statements of Assets and Liabilities    

74

   
Statements of Operations    

81

   
Statements of Changes in Net Assets    

88

   
Financial Highlights    

101

   
Notes to the Financial Statements    

105

   
Report of Independent Registered Public
Accounting Firm
   

135

   
Supplemental Information (Unaudited)    

137

   
Board Review of Investment Advisory
Agreement (Unaudited)
   

138

   
Board Review of Liquidity Risk Management
Program (Unaudited)
   

143

   
Trustees and Officers (Unaudited)    

144

   

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Letter to Shareholders

Dear Shareholders,

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

Market Review:

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

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

Direxion Shares Operational Review:

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

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

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These products are not suitable for all investors and should be utilized only by sophisticated investors who understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.

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

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

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

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

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

Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.

Factors Affecting Performance of Bear ETFs:

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

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

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

Equity Dividends and Bond Interest – The Bear ETFs are negatively impacted by bond interest as they are obligated to pay interest, accrued on a daily basis. The Bear ETFs are also negatively impacted by index dividends as they are obligated to pay the dividends.

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

Bear ETFs Performance Review:

The next discussion relates to the performance of the Bear ETFs for the Annual Period. The Bear ETFs seek daily investment results, before fees and expenses, of -100% of the performance of an underlying benchmark index, meaning that the Bear ETFs attempt to move in the opposite direction, or inverse, of their respective underlying benchmark index.

The Direxion Daily CSI 300 China A Share Bear 1X Shares seeks to provide -100% of the daily return of the CSI 300 Index. The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. For the Annual Period, the CSI 300 Index returned 11.31%. The Direxion Daily CSI 300 China A Share Bear 1X Shares returned -17.37%, while the model indicated an expected return of -12.84%.

The Direxion Daily S&P 500® Bear 1X Shares seeks to provide -100% of the daily return of the S&P 500® Index. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted, market capitalization-weighted index. For the Annual Period, the S&P 500® Index returned 42.91%. The Direxion Daily S&P 500® Bear 1X Shares -31.20%, while the model indicated an expected return of -31.17%.

Factors Affecting Performance of Bull ETFs:

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

Leverage – Each Bull ETF seeks daily investment results (before fees and expenses) of 200% of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility.

Volatility and Compounding – The goal of the Bull ETFs is to provide two times the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide two times the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the

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ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.

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

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

Equity Dividends – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments.

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

Bull ETFs Performance Review:

The Direxion Daily CSI 300 China A Share Bull 2X Shares seeks to provide 200% of the daily return of the CSI 300 Index. The CSI 300 Index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. Index constituent stocks must have been listed for more than three months (unless the stock's average daily A-share market capitalization since its initial listing ranks among the top 30 of all A-shares) and must not be experiencing obvious abnormal fluctuations or market manipulations. For the Annual Period, the CSI 300 Index returned 11.31%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily CSI 300 China A Share Bull 2X Shares returned 20.32%, while the model indicated an expected return 13.37%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.

The Direxion Daily CSI China Internet Index Bull 2X Shares seeks to provide 200% of the daily return of the CSI Overseas China Internet Index. The CSI Overseas China Internet Index is provided by China Securities Index Co., LTD. The index is designed to measure the performance of the investable universe of publicly traded China-based companies whose primary business or businesses are in the internet and internet-related sectors, as defined by the index sponsor, China Securities Index Co., Ltd. A China-based company is a company that meets at least one of the following criteria: 1) the company is incorporated in mainland China; 2) its headquarters are in mainland China; or 3) at least 50% of the revenue from goods produced or sold, or services performed in mainland China. The index provider then removes securities that during the past year had a daily average trading value of less than $500,000 or a daily average market capitalization of less than $500 million. For the Annual Period, the CSI Overseas China Internet Index returned -31.98%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily CSI China Internet Index Bull 2X Shares returned -64.00%, while the model indicated an expected return of -63.58%.

The Direxion Daily S&P 500® Bull 2X Shares seek to provide 200% of the daily return of the S&P 500® Index. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. The S&P 500® Index is a capitalization-weighted index composed of 500 domestic common stocks. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The index is a float-adjusted market capitalization-weighted index. For the Annual Period, the S&P 500® Index returned 42.91%. Given the daily investment objectives of the ETFs and the path dependency of returns for

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longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily S&P 500® Bull 2X Shares returned 98.25%, while the model indicated an expected return of 100.88%.

The Direxion Daily Latin America Bull 2X Shares seeks to provide 200% of the daily return of the S&P® Latin America 40 Index. The S&P® Latin America 40 Index is an equity index or issuers drawn from five major Latin American markets: Brazil, Chile, Columbia, Mexico and Perú. It is designed for investors seeking broad market exposure through an index that is efficient to replicate. The index constituents are leading, large, liquid, blue-chip companies from the Latin American markets, and capturing 70% of their total market capitalization. For the Annual Period, the S&P® Latin America 40 Index returned 22.00%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Latin America Bull 2X Shares returned 35.23%, while the model indicated an expected return of 37.92%.

The Direxion Daily MSCI Brazil Bull 2X Shares seeks to provide 200% of the daily return of the MSCI Brazil 25/50 Index. The MSCI Brazil 25/50 Index is designed to measure the performance of the large- and mid-capitalization segments of the Brazilian equity market, covering approximately 85% of the free float-adjusted market capitalization of Brazilian issuers. For the Annual Period, the MSCI Brazil 25/50 Index returned 12.71%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Brazil Bull 2X Shares returned 9.83%, while the model indicated an expected return of 12.06%.

The Direxion Daily MSCI India Bull 2X Shares seeks to provide 200% of the daily return of the MSCI India Index. The MSCI India Index is designed to measure the performance of the large- and mid-capitalization segments of the Indian equity market, covering approximately 85% of companies in the Indian equity universe. For the Annual Period, the MSCI India Index returned 50.21%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI India Bull 2X Shares returned 101.86%, while the model indicated an expected return of 105.78%.

The Direxion Daily Russia Bull 2X Shares seeks to provide 200% of the daily return of the MVIS Russia Index. The MVIS Russia Index is a rules-based index, intended to represent the overall performance of publicly traded companies that are domiciled and primarily listed on an exchange in Russia or that are not Russian companies, but nonetheless generate at least 50% of their revenues in Russia. For the Annual Period, the MVIS Russia Index returned 69.40%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Russia Bull 2X Shares returned 172.12%, while the model indicated an expected return of 177.27%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility.

The Direxion Daily 5G Communications Bull 2X Shares seeks to provide 200% of the daily return of the BlueStar® 5G Communications Index. The BlueStar® 5G Communications Index is provided by MV Index Solutions GmbH and is a rules based index that consists of a tiered, modified market capitalization weighted portfolio of U.S. listed equity securities, including depository receipts, of companies whose products and services are economically tied to the market's adoption of 5G networking and communication technologies. Since the Fund's inception on June 10, 2021, the BlueStar® 5G Communications Index returned 1.84%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 5G Communications Bull 2X Shares returned 2.30%, while the model indicated an expected return of 3.00%.

The Direxion Daily Cloud Computing Bull 2X Shares and the Direxion Daily Cloud Computing Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the Indxx USA Cloud Computing Index. The Indxx USA Cloud Computing Index is provided by Indxx, LLC. and includes domestic companies that deliver cloud computing infrastructure, platforms, or services. The companies included in the Index are involved in the delivery of computing services – servers, storage, databases, networking, software, analytics, and more, over the internet, which is often referred to as the "Cloud." The Index Provider has defined cloud computing to include three themes: Infrastructure as a service; Platform as a service;

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and Software as a service. Since the Funds' inception on January 8, 2021, the The Indxx USA Cloud Computing Index returned 17.09%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Cloud Computing Bull 2X Shares returned 28.48%, while the model indicated an expected return of 29.98%. The Direxion Daily Cloud Computing Bear 2X Shares returned -38.44%, while the model indicated an expected return of -37.74%.

The Direxion Daily Energy Bull 2X Shares and the Direxion Daily Energy Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the Energy Select Sector Index. The Energy Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the energy sector which includes the following industries: oil, gas and consumable fuels; and energy equipment and services. For the Annual Period, the Energy Select Sector Index returned 110.23%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Energy Bull 2X Shares returned 283.45%, while the model indicated an expected return of 290.48%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily Energy Bear 2X Shares returned -85.06%, while the model indicated an expected return of -84.91%.

The Direxion Daily Global Clean Energy Bull 2X Shares seeks to provide 200% of the daily return of the S&P Global Clean Energy Index. The S&P Global Clean Energy Index is designed to track the performance of companies from developed markets whose economic fortunes are tied to the global clean energy business. The Index has a target constituent count of 100 and is limited to those stocks traded on a developed market exchange that meet or exceed, at the time of inclusion, $300 million in total market capitalization, $100 million in float adjusted market capitalization, and $3 million average daily value traded over a six month period. The Index is rebalanced semiannually. Since the Fund's inception on July 29, 2021, the S&P Global Clean Energy Index returned 11.35%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Global Clean Energy Bull 2X Shares returned 20.48%, while the model indicated an expected return of 22.75%.

The Direxion Daily Gold Miners Index Bull 2X Shares and the Direxion Daily Gold Miners Index Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the NYSE Arca Gold Miners Index. The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies that operate globally in both developed and emerging markets, and are involved primarily in mining for gold and, to a lesser extent, in mining for silver. The index will limit the weight of companies whose revenues are more significantly exposed to silver mining to less than 20% of the index at each rebalance date. The index may include small- and mid-capitalization companies and foreign issuers For the Annual Period, the NYSE Arca Gold Miners Index returned -14.63%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Gold Miners Index Bull 2X Shares returned -36.04%, while the model indicated an expected return of -34.38%. The Direxion Daily Gold Miners Index Bear 2X Shares returned 2.59%, while the model indicated an expected return of 3.20%.

The Direxion Daily Junior Gold Miners Index Bull 2X Shares and the Direxion Daily Junior Gold Miners Index Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the MVIS Global Junior Gold Miners Index. The MVIS Global Junior Gold Miners Index tracks the performance of foreign and domestic micro-, small- and mid-capitalization companies that generate, or demonstrate the potential to generate, at least 50% of their revenues from, or have at least 50% of their assets related to, gold mining and/or silver mining, hold real property or have mining projects that have the potential to produce at least 50% of the company's revenue from gold or silver mining when developed, or primarily invest in gold or silver. For the Annual Period, the MVIS Global Junior Gold Miners Index returned -16.49%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Junior Gold Miners Index Bull 2X Shares returned -42.53%, while the model indicated an expected return of -40.93%. The Direxion Daily Junior Gold Miners Index Bear 2X Shares returned -6.14%, while the model indicated an expected return of -5.73%.

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9


The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares sought to provide 200% of the daily return of the Indxx Global Robotics & Artificial Intelligence Thematic Index. The Indxx Global Robotics & Artificial Intelligence Thematic Index is designed to provide exposure to exchange-listed companies in developed markets that are expected to benefit from the adoption and utilization of robotics and/or artificial intelligence, including companies involved in developing industrial robots and production systems, automated inventory management, unmanned vehicles, voice/image/text recognition, and medical robots or robotic instruments, as defined by the index provider, Indxx. Companies must have a minimum market capitalization of $100 million and a minimum average daily turnover for the last 6 months greater than, or equal to, $2 million in order to be eligible for inclusion in the Index. For the Annual Period, the Indxx Global Robotics & Artificial Intelligence Thematic Index returned 37.33%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares returned 73.55%, while the model indicated an expected return of 77.31%.

The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares and the Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the S&P Oil & Gas Exploration & Production Select Industry Index. The S&P Oil & Gas Exploration & Production Select Industry Index is provided by Standard & Poor's and includes domestic companies from the oil and gas exploration and production sub-industry. The index is designed to measure the performance of a sub-industry or group of sub-industries determined based on the Global Industry Classification Standards. For the stated period, the S&P Oil & Gas Exploration & Production Select Industry Index returned 167.64%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares returned 465.94%, while the model indicated an expected return of 477.44%. Deviation from the model may be due to a combination of asset fluctuation, expenses, transaction costs, including swap contract related costs and underlying index volatility. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares returned -93.20%, while the model indicated an expected return of -93.12%.

The Direxion Daily Select Large Caps & FANGs Bull 2X Shares seeks to provide 200% of the daily return of the ICE FANG 20 Index. The ICE FANG 20 Index is an equal weighted index designed to include Facebook, Apple, Amazon, Netflix and (Alphabet's) Google (i.e., the FANGs) and similar highly-traded growth stocks of technology and tech-enabled companies, such as Microsoft, from the information technology, communication services and consumer discretionary sectors. The Index consists of 20 stocks or depository receipts that are listed on a U.S. Exchange that have a minimum of a $5 billion market capitalization and a 6-month average daily trading value of at least $50 million. The Index selects companies whose economic fortunes are tied to technologies such as social networking, autonomous driving, electric vehicles, smartphones, mobile payments, e-commerce, online games, streaming media, online entertainment, cryptocurrencies, blockchain, big data, artificial intelligence, machine learning, digital advertising, cloud services and other innovative technologies. The Index is reconstituted and rebalanced quarterly. Since the Fund's inception on September 30, 2021, the ICE FANG 20 Index returned 9.23%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Select Large Caps & FANGs Bull 2X Shares returned 18.60%, while the model indicated an expected return of 18.83%.

The Direxion Daily Travel & Vacation Bull 2X Shares seeks to provide 200% of the daily return of the BlueStar® Travel and Vacation Index. The BlueStar® Travel and Vacation Index is provided by MV Index Solutions GmbH and is comprised of US listed stocks, including depository receipts, of companies that are "Travel and Vacation" companies, as defined by the Index Provider. To be eligible for inclusion in the Index, a company must either (a) derive 25% or more of its revenue from, or devote 25% or more of its annual budget to, operating theme parks and/or hotels or (b) derive 50% or more of its revenue from, or devote 50% or more of its annual budget to the following activities: 1. Hotel accommodations; 2. Commercial airlines; 3. Casino resorts; 4. Hotel time shares; 5. Ski resorts; 6. Cruises; 7. Hotel real estate investment trusts; 8. Performing arts centers; 9. Online travel and event booking; 10. Specialty travel and experiences (such as outer space passenger travel), and 11. Operation of theme parks. Since the Fund's inception on June 10, 2021, the BlueStar® Travel and Vacation Index returned -7.54%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Travel & Vacation Bull 2X Shares returned -17.04%, while the model indicated an expected return of -16.39%.

DIREXION ANNUAL REPORT
10


The Direxion Daily US Infrastructure Bull 2X Shares seeks to provide 200% of the daily return of the Indxx US Infrastructure Index. The Indxx US Infrastructure Index is designed to track the performance of U.S. listed securities, including ADRs, of companies which are involved in infrastructure through engineering, design, maintenance, and construction of infrastructure projects. The Index Provider defines infrastructure as being comprised of Construction & Engineering Services and Industrial Transportation companies. Companies that derive a minimum of 50% of their total revenue from Construction & Engineering Services or Industrial Transportation are eligible for inclusion. The Index Provider screens companies based on various market capitalization and liquidity metrics and selects the top 100 securities by market capitalization. In case there are fewer than 100 securities in the selection list, all the securities will form the portfolio. The Index constituents are equally weighted and the Index is reconstituted and rebalanced annually. Since the Fund's inception on September 23, 2021, the Indxx US Infrastructure Index returned 5.50%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily US Infrastructure Bull 2X Shares returned 10.76%, while the model indicated an expected return of 10.98%.

Index Volatility:

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

Index

 

Return

 

Volatility

 

CSI 300 Index

   

11.31

%

   

22.39

%

 

S&P 500® Index

   

42.91

%

   

12.75

%

 

CSI Overseas China Internet Index

   

-31.98

%

   

44.54

%

 

S&P® Latin America 40 Index

   

22.00

%

   

26.92

%

 

MSCI Brazil 25/50 Index

   

12.71

%

   

32.75

%

 

MSCI India Index

   

50.21

%

   

17.39

%

 

MVIS Russia Index

   

69.40

%

   

20.98

%

 

BlueStar® 5G Communications Index1

   

1.84

%

   

13.29

%

 

Indxx USA Cloud Computing Index2

   

17.09

%

   

25.44

%

 

Energy Select Sector Index

   

110.23

%

   

35.48

%

 

S&P Global Clean Energy Index3

   

11.35

%

   

19.69

%

 

NYSE Arca Gold Miners Index

   

-14.63

%

   

31.24

%

 

MVIS Global Junior Gold Miners Index

   

-16.49

%

   

38.15

%

 

Indxx Global Robotics & Artificial Intelligence Thematic Index

   

37.33

%

   

21.25

%

 

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

   

167.64

%

   

46.79

%

 

Direxion Daily Select Large Caps & FANGs Bull 2X Shares4

   

9.23

%

   

21.14

%

 

BlueStar® Travel and Vacation Index1

   

-7.54

%

   

23.84

%

 

Indxx US Infrastructure Index5

   

5.50

%

   

16.46

%

 

1  June 10, 2021 through October 31, 2021

2  January 8, 2021 through October 31, 2021

3  July 29, 2021 through October 31, 2021

4  September 30, 2021 through October 31, 2021

5  September 23, 2021 through October 31, 2021

DIREXION ANNUAL REPORT
11


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

Best Regards,

 

 

Patrick Rudnick

 

Corey Nolter

 

Principal Executive Officer

 

Principal Financial Officer

 

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

Investing in a Direxion Shares ETF may be more volatile than investing in broadly diversified funds. The use of leverage by an ETF increases the risk to the ETF. The Direxion Shares ETFs are not suitable for all investors and should be utilized only by sophisticated investors who understand leverage risk, consequences of seeking daily leveraged, or daily inverse leveraged, investment results and intend to actively monitor and manage their investment. The Direxion Shares ETFs are not designed to track their respective underlying indices over a period of time longer than one day.

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

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

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

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

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

DIREXION ANNUAL REPORT
12


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

Distributed by: Foreside Fund Services, LLC

DIREXION ANNUAL REPORT
13


Direxion Daily CSI 300 China A Share Bear 1X Shares

Performance Summary (Unaudited)

June 17, 20151 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily CSI 300 China A Share
Bear 1X Shares (NAV)
   

(17.37

)%

   

(23.36

)%

   

(15.82

)%

   

(12.19

)%

 
Direxion Daily CSI 300 China A Share
Bear 1X Shares (Market Price)
   

(17.32

)%

   

(23.36

)%

   

(15.80

)%

   

(12.19

)%

 

CSI 300 Index

   

11.31

%

   

21.50

%

   

11.33

%

   

0.99

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio (gross) is 0.85%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.80% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
14


Direxion Daily S&P 500® Bear 1X Shares

Performance Summary (Unaudited)

June 8, 20161 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

(31.20

)%

   

(20.47

)%

   

(17.34

)%

   

(16.44

)%

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

(31.11

)%

   

(20.45

)%

   

(17.34

)%

   

(16.44

)%

 

S&P 500® Index

   

42.91

%

   

21.48

%

   

18.93

%

   

17.72

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual fund operating expense ratio (gross) is 0.62%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.45% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
15


Direxion Daily CSI 300 China A Share Bull 2X Shares

Performance Summary (Unaudited)

April 16, 20151 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

20.32

%

   

35.63

%

   

16.59

%

   

(0.03

)%

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

20.32

%

   

35.57

%

   

16.59

%

   

(0.03

)%

 

CSI 300 Index

   

11.31

%

   

21.50

%

   

11.33

%

   

3.27

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.17%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
16


Direxion Daily CSI China Internet Index Bull 2X Shares

Performance Summary (Unaudited)

November 2, 20161 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

Since Inception

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

(64.00

)%

   

(4.69

)%

   

(4.01

)%

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

(63.93

)%

   

(4.72

)%

   

(4.00

)%

 

CSI Overseas China Internet Index

   

(31.98

)%

   

6.95

%

   

5.58

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.32%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
17


Direxion Daily S&P 500® Bull 2X Shares

Performance Summary (Unaudited)

May 28, 20141 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

98.25

%

   

36.93

%

   

33.26

%

   

25.13

%

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

99.62

%

   

36.74

%

   

33.25

%

   

25.17

%

 

S&P 500® Index

   

42.91

%

   

21.48

%

   

18.93

%

   

14.77

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 0.88%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.60% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
18


Direxion Daily Latin America Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily Latin America Bull 2X
Shares (NAV)
   

35.23

%

   

(50.76

)%

   

(36.99

)%

   

(33.81

)%

 
Direxion Daily Latin America Bull 2X
Shares (Market Price)
   

35.35

%

   

(50.74

)%

   

(37.09

)%

   

(33.79

)%

 

S&P® Latin America 40 Index

   

22.00

%

   

(6.09

)%

   

(1.46

)%

   

(2.95

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.46%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

The S&P® Latin America 40 Index is an equity index drawn from four major Latin American markets: Argentina, Brazil, Chile, and Mexico. It is designed for investors seeking broad market exposure through an index that is efficient to replicate. The performance of the S&P® Latin America 40 Index does not reflect the deduction of fees associated with the Fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
19


Direxion Daily MSCI Brazil Bull 2X Shares

Performance Summary (Unaudited)

April 10, 20131 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

 
Direxion Daily MSCI Brazil Bull 2X
Shares (NAV)
   

9.83

%

   

(59.28

)%

   

(46.84

)%

   

(46.10

)%

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

9.43

%

   

(59.30

)%

   

(46.89

)%

   

(46.12

)%

 

MSCI Brazil 25/50 Index

   

12.71

%

   

(6.98

)%

   

(2.02

)%

   

(3.99

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.35%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
20


Direxion Daily MSCI India Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 
Direxion Daily MSCI India Bull 2X
Shares (NAV)
   

101.86

%

   

6.61

%

   

1.61

%

   

(5.77

)%

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

101.43

%

   

6.85

%

   

1.67

%

   

(5.82

)%

 

MSCI India Index

   

50.21

%

   

19.80

%

   

13.16

%

   

8.21

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.32%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
21


Direxion Daily Russia Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 

Direxion Daily Russia Bull 2X Shares (NAV)

   

172.12

%

   

0.56

%

   

2.52

%

   

(23.98

)%

 
Direxion Daily Russia Bull 2X Shares
(Market Price)
   

171.38

%

   

0.67

%

   

2.62

%

   

(23.97

)%

 

MVIS Russia Index

   

69.40

%

   

21.20

%

   

16.53

%

   

4.33

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.26%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

The MVIS Russia Index is a rules-based, modified capitalization weighted, float adjusted index, intended to represent the overall performance of publicly-traded companies that are domiciled and primarily listed on an exchange in Russia or that generate at least 50% of their revenues in Russia. Components of the Index must have a market capitalization of greater than $150 million on a rebalancing date to be eligible for the Index. The Index rebalances quarterly. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
22


Direxion Daily 5G Communications Bull 2X Shares

Performance Summary (Unaudited)

June 10, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Daily 5G Communications Bull 2X Shares (NAV)

   

2.30

%

 

Direxion Daily 5G Communications Bull 2X Shares (Market Price)

   

2.29

%

 

BlueStar® 5G Communications Index

   

1.84

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

The BlueStar® 5G Communications Index is provided by MV Index Solutions GmbH and is a rules based index that consists of a tiered, modified market capitalization weighted portfolio of U.S. listed equity securities, including depository receipts, of companies whose products and services are economically tied to the market's adoption of 5G networking and communication technologies. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
23


Direxion Daily Cloud Computing Bull 2X Shares

Performance Summary (Unaudited)

January 8, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Daily Cloud Computing Bull 2X Shares (NAV)

   

28.48

%

 

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

   

28.39

%

 

Indxx USA Cloud Computing Index

   

17.09

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
24


Direxion Daily Cloud Computing Bear 2X Shares

Performance Summary (Unaudited)

January 8, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Daily Cloud Computing Bear 2X Shares (NAV)

   

(38.44

)%

 

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

   

(38.49

)%

 

Indxx USA Cloud Computing Index

   

17.09

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
25


Direxion Daily Energy Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 

Direxion Daily Energy Bull 2X Shares (NAV)

   

283.45

%

   

(48.96

)%

   

(35.33

)%

   

(23.22

)%

 
Direxion Daily Energy Bull 2X Shares
(Market Price)
   

282.42

%

   

(48.95

)%

   

(35.35

)%

   

(23.25

)%

 

Energy Select Sector Index

   

110.23

%

   

0.54

%

   

1.14

%

   

1.60

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.03%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
26


Direxion Daily Energy Bear 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

 

Direxion Daily Energy Bear 2X Shares (NAV)

   

(85.06

)%

   

(37.05

)%

   

(30.03

)%

   

(29.86

)%

 
Direxion Daily Energy Bear 2X Shares
(Market Price)
   

(85.07

)%

   

(37.06

)%

   

(30.03

)%

   

(29.84

)%

 

Energy Select Sector Index

   

110.23

%

   

0.54

%

   

1.14

%

   

1.60

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.14%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
27


Direxion Daily Global Clean Energy Bull 2X Shares

Performance Summary (Unaudited)

July 29, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

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

   

20.48

%

 

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

   

20.52

%

 

S&P Global Clean Energy Index

   

11.35

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
28


Direxion Daily Gold Miners Index Bull 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

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

(36.04

)%

   

(9.29

)%

   

(29.30

)%

   

(50.99

)%

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

(36.13

)%

   

(9.23

)%

   

(29.30

)%

   

(50.99

)%

 

NYSE Arca Gold Miners Index

   

(14.63

)%

   

19.99

%

   

6.30

%

   

(4.97

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.14%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
29


Direxion Daily Gold Miners Index Bear 2X Shares

Performance Summary (Unaudited)

October 31, 2011 - October 31, 2021

   

Average Annual Total Return1

 
   

1 Year

 

3 Years

 

5 Years

 

10 Years

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

2.59

%

   

(71.10

)%

   

(53.33

)%

   

(49.54

)%

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

3.05

%

   

(71.16

)%

   

(53.33

)%

   

(49.56

)%

 

NYSE Arca Gold Miners Index

   

(14.63

)%

   

19.99

%

   

6.30

%

   

(4.97

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.04%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  As of October 31, 2021.

DIREXION ANNUAL REPORT
30


Direxion Daily Junior Gold Miners Index Bull 2X Shares

Performance Summary (Unaudited)

October 3, 20131 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

(42.53

)%

   

(42.51

)%

   

(51.14

)%

   

(54.36

)%

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

(42.45

)%

   

(42.45

)%

   

(51.02

)%

   

(54.31

)%

 

MVIS Global Junior Gold Miners Index

   

(16.49

)%

   

18.20

%

   

3.21

%

   

2.48

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.08%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
31


Direxion Daily Junior Gold Miners Index Bear 2X Shares

Performance Summary (Unaudited)

October 3, 20131 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

(6.14

)%

   

(81.79

)%

   

(66.43

)%

   

(74.63

)%

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

(5.92

)%

   

(81.81

)%

   

(66.49

)%

   

(74.64

)%

 

MVIS Global Junior Gold Miners Index

   

(16.49

)%

   

18.20

%

   

3.21

%

   

2.48

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.05%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
32


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

Performance Summary (Unaudited)

April 19, 20181 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

Since Inception

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

73.55

%

   

35.45

%

   

4.57

%

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

73.50

%

   

35.13

%

   

4.43

%

 
Indxx Global Robotics & Artificial Intelligence
Thematic Index
   

37.33

%

   

25.46

%

   

14.21

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.39%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
33


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

Performance Summary (Unaudited)

May 28, 20151 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

465.94

%

   

(76.63

)%

   

(61.61

)%

   

(63.88

)%

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

465.48

%

   

(76.63

)%

   

(61.60

)%

   

(63.87

)%

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

167.64

%

   

(7.77

)%

   

(3.94

)%

   

(7.76

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.18%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
34


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

Performance Summary (Unaudited)

May 28, 20151 - October 31, 2021

   

Average Annual Total Return2

 
   

1 Year

 

3 Years

 

5 Years

 

Since Inception

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

(93.20

)%

   

(48.61

)%

   

(45.62

)%

   

(44.11

)%

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

(93.23

)%

   

(48.68

)%

   

(45.63

)%

   

(44.12

)%

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

167.64

%

   

(7.77

)%

   

(3.94

)%

   

(7.76

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.12%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1  Commencement of operations.

2  As of October 31, 2021.

DIREXION ANNUAL REPORT
35


Direxion Daily Select Large Caps & FANGs Bull 2X Shares

Performance Summary (Unaudited)

September 30, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Daily Select Large Caps & FANGs Bull 2X Shares (NAV)

   

18.60

%

 

Direxion Daily Select Large Caps & FANGs Bull 2X Shares (Market Price)

   

18.72

%

 

ICE FANG 20 Index

   

9.23

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
36


Direxion Daily Travel & Vacation Bull 2X Shares

Performance Summary (Unaudited)

June 10, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

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

   

(17.04

)%

 

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

   

(16.99

)%

 

BlueStar® Travel and Vacation Index

   

(7.54

)%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

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

Market Exposure

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

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
37


Direxion Daily US Infrastructure Bull 2X Shares

Performance Summary (Unaudited)

September 23, 20211 - October 31, 2021

   

Total Return2

 
   

Since Inception

 

Direxion Daily US Infrastructure Bull 2X Shares (NAV)

   

10.76

%

 

Direxion Daily US Infrastructure Bull 2X Shares (Market Price)

   

10.92

%

 

Indxx US Infrastructure Index

   

5.50

%

 

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund's total annual operating expense ratio (gross) is 1.09%. Rafferty Asset Management, LLC has contractually agreed to waive all or a portion of its management fee and/or reimburse the Fund for other expenses through September 1, 2023 to the extent the Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, swap financing and related costs, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions and extraordinary expenses). The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund's most recent month end performance please visit www.direxion.com.

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

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

The Indxx US Infrastructure Index is designed to track the performance of U.S.-listed securities, including ADRs, of companies which are involved in infrastructure through engineering, design, maintenance, and construction of infrastructure projects. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure

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

1   Commencement of operations.

2   As of October 31, 2021.

DIREXION ANNUAL REPORT
38


Expense Example (Unaudited)

October 31, 2021

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

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

Actual expenses

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

Hypothetical example for comparison purposes

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

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

Expense Example (Unaudited)

October 31, 2021

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

Direxion Daily CSI 300 China A Share Bear 1X Shares

 

Based on actual fund return

   

0.73

%

 

$

1,000.00

   

$

973.80

   

$

3.63

   

Based on hypothetical 5% return

   

0.73

%

   

1,000.00

     

1,021.53

     

3.72

   

Direxion Daily S&P 500® Bear 1X Shares

 

Based on actual fund return

   

0.45

%

   

1,000.00

     

895.40

     

2.15

   

Based on hypothetical 5% return

   

0.45

%

   

1,000.00

     

1,022.94

     

2.29

   

Direxion Daily CSI 300 China A Share Bull 2X Shares

 

Based on actual fund return

   

0.88

%

   

1,000.00

     

955.50

     

4.34

   

Based on hypothetical 5% return

   

0.88

%

   

1,000.00

     

1,020.77

     

4.48

   

Direxion Daily CSI China Internet Index Bull 2X Shares

 

Based on actual fund return

   

0.87

%

   

1,000.00

     

358.80

     

2.98

   

Based on hypothetical 5% return

   

0.87

%

   

1,000.00

     

1,020.82

     

4.43

   

DIREXION ANNUAL REPORT
39


Expense Example (Unaudited)

October 31, 2021

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

Direxion Daily S&P 500® Bull 2X Shares

 

Based on actual fund return

   

0.60

%

 

$

1,000.00

   

$

1,213.30

   

$

3.35

   

Based on hypothetical 5% return

   

0.60

%

   

1,000.00

     

1,022.18

     

3.06

   

Direxion Daily Latin America Bull 2X Shares

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

768.60

     

4.23

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

   

Direxion Daily MSCI Brazil Bull 2X Shares

 

Based on actual fund return

   

0.90

%

   

1,000.00

     

660.40

     

3.77

   

Based on hypothetical 5% return

   

0.90

%

   

1,000.00

     

1,020.67

     

4.58

   

Direxion Daily MSCI India Bull 2X Shares

 

Based on actual fund return

   

0.90

%

   

1,000.00

     

1,394.70

     

5.43

   

Based on hypothetical 5% return

   

0.90

%

   

1,000.00

     

1,020.67

     

4.58

   

Direxion Daily Russia Bull 2X Shares

 

Based on actual fund return

   

0.88

%

   

1,000.00

     

1,487.70

     

5.52

   

Based on hypothetical 5% return

   

0.88

%

   

1,000.00

     

1,020.77

     

4.48

   

Direxion Daily 5G Communications Bull 2X Shares1

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

1,023.00

     

3.79

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,015.98

     

3.78

   

Direxion Daily Cloud Computing Bull 2X Shares

 

Based on actual fund return

   

1.00

%

   

1,000.00

     

1,345.10

     

5.91

   

Based on hypothetical 5% return

   

1.00

%

   

1,000.00

     

1,020.16

     

5.09

   

Direxion Daily Cloud Computing Bear 2X Shares

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

674.70

     

4.01

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

   

Direxion Daily Energy Bull 2X Shares

 

Based on actual fund return

   

0.94

%

   

1,000.00

     

1,351.00

     

5.57

   

Based on hypothetical 5% return

   

0.94

%

   

1,000.00

     

1,020.47

     

4.79

   

Direxion Daily Energy Bear 2X Shares

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

616.70

     

3.87

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

   
Direxion Daily Global Clean Energy Bull 2X
Shares ETF2
 

Based on actual fund return

   

0.95

%

   

1,000.00

     

1,204.80

     

2.73

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,010.54

     

2.49

   

Direxion Daily Gold Miners Index Bull 2X Shares

 

Based on actual fund return

   

0.85

%

   

1,000.00

     

812.10

     

3.88

   

Based on hypothetical 5% return

   

0.85

%

   

1,000.00

     

1,020.92

     

4.33

   

Direxion Daily Gold Miners Index Bear 2X Shares

 

Based on actual fund return

   

0.87

%

   

1,000.00

     

1,053.20

     

4.50

   

Based on hypothetical 5% return

   

0.87

%

   

1,000.00

     

1,020.82

     

4.43

   
Direxion Daily Junior Gold Miners Index Bull 2X
Shares
 

Based on actual fund return

   

0.84

%

   

1,000.00

     

779.30

     

3.77

   

Based on hypothetical 5% return

   

0.84

%

   

1,000.00

     

1,020.97

     

4.28

   
Direxion Daily Junior Gold Miners Index Bear 2X
Shares
 

Based on actual fund return

   

0.87

%

   

1,000.00

     

1,027.10

     

4.45

   

Based on hypothetical 5% return

   

0.87

%

   

1,000.00

     

1,020.82

     

4.43

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

Based on actual fund return

   

0.96

%

   

1,000.00

     

1,169.80

     

5.25

   

Based on hypothetical 5% return

   

0.96

%

   

1,000.00

     

1,020.37

     

4.89

   

DIREXION ANNUAL REPORT
40


Expense Example (Unaudited)

October 31, 2021

    Annualized
Expense Ratio
  Beginning
Account Value
May 1, 2021
  Ending
Account Value
October 31, 2021
  Expenses Paid
During Period
May 1, 2021 to
October 31, 2021*
 
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X
Shares
 

Based on actual fund return

   

0.95

%

 

$

1,000.00

   

$

1,635.00

   

$

6.31

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

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

Based on actual fund return

   

0.95

%

   

1,000.00

     

430.90

     

3.43

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,020.42

     

4.84

   
Direxion Daily Select Large Caps & FANGs Bull 2X
Shares4
 

Based on actual fund return

   

0.95

%

   

1,000.00

     

1,186.00

     

0.91

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,003.55

     

0.83

   

Direxion Daily Travel & Vacation Bull 2X Shares1

 

Based on actual fund return

   

0.95

%

   

1,000.00

     

829.60

     

3.43

   

Based on hypothetical 5% return

   

0.95

%

   

1,000.00

     

1,015.98

     

3.78

   

Direxion Daily US Infrastructure Bull 2X Shares3

 

Based on actual fund return

   

0.97

%

   

1,000.00

     

1,107.60

     

1.09

   

Based on hypothetical 5% return

   

0.97

%

   

1,000.00

     

1,004.31

     

1.04

   

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

1  Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from June 10, 2021 (commencement of operations) to October 31, 2021, multiplied by 144 days (the number of days since commencement of operations to October 31, 2021), then divided by 365.

2  Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from July 29, 2021 (commencement of operations) to October 31, 2021, multiplied by 95 days (the number of days since commencement of operations to October 31, 2021), then divided by 365.

3  Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from September 23, 2021 (commencement of operations) to October 31, 2021, multiplied by 39 days (the number of days since commencement of operations to October 31, 2021), then divided by 365.

4  Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period from September 30, 2021 (commencement of operations) to October 31, 2021, multiplied by 32 days (the number of days since commencement of operations to October 31, 2021), then divided by 365.

DIREXION ANNUAL REPORT
41


Allocation of Portfolio Holdings (Unaudited)

October 31, 2021

   

Cash*

  Common
Stocks
  Investment
Companies
 

Swaps

 

Total

 

Direxion Daily CSI 300 China A Share Bear 1X Shares

   

104

%

   

     

     

(4

)%

   

100

%

 

Direxion Daily S&P 500® Bear 1X Shares

   

108

%

   

     

     

(8

)%

   

100

%

 

Direxion Daily CSI 300 China A Share Bull 2X Shares

   

50

%

   

     

44

%

   

6

%

   

100

%

 

Direxion Daily CSI China Internet Index Bull 2X Shares

   

38

%

   

     

73

%

   

(11

)%

   

100

%

 

Direxion Daily S&P 500® Bull 2X Shares

   

(3

)%

   

     

97

%

   

6

%

   

100

%

 

Direxion Daily Latin America Bull 2X Shares

   

102

%

   

     

27

%

   

(29

)%

   

100

%

 

Direxion Daily MSCI Brazil Bull 2X Shares

   

34

%

   

     

82

%

   

(16

)%

   

100

%

 

Direxion Daily MSCI India Bull 2X Shares

   

58

%

   

     

19

%

   

23

%

   

100

%

 

Direxion Daily Russia Bull 2X Shares

   

39

%

   

     

38

%

   

23

%

   

100

%

 

Direxion Daily 5G Communications Bull 2X Shares

   

16

%

   

83

%

   

     

1

%

   

100

%

 

Direxion Daily Cloud Computing Bull 2X Shares

   

30

%

   

60

%

   

     

10

%

   

100

%

 

Direxion Daily Cloud Computing Bear 2X Shares

   

114

%

   

     

     

(14

)%

   

100

%

 

Direxion Daily Energy Bull 2X Shares

   

14

%

   

65

%

   

     

21

%

   

100

%

 

Direxion Daily Energy Bear 2X Shares

   

123

%

   

     

     

(23

)%

   

100

%

 

Direxion Daily Global Clean Energy Bull 2X Shares

   

15

%

   

     

72

%

   

13

%

   

100

%

 

Direxion Daily Gold Miners Index Bull 2X Shares

   

60

%

   

     

53

%

   

(13

)%

   

100

%

 

Direxion Daily Gold Miners Index Bear 2X Shares

   

87

%

   

     

     

13

%

   

100

%

 

Direxion Daily Junior Gold Miners Index Bull 2X Shares

   

78

%

   

     

34

%

   

(12

)%

   

100

%

 

Direxion Daily Junior Gold Miners Index Bear 2X Shares

   

102

%

   

     

     

(2

)%

   

100

%

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

45

%

   

     

36

%

   

19

%

   

100

%

 

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

   

10

%

   

36

%

   

     

54

%

   

100

%

 

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

   

141

%

   

     

     

(41

)%

   

100

%

 

Direxion Daily Select Large Caps & FANGs Bull 2X Shares

   

7

%

   

90

%

   

     

3

%

   

100

%

 

Direxion Daily Travel & Vacation Bull 2X Shares

   

9

%

   

91

%

   

     

0

%**

   

100

%

 

Direxion Daily US Infrastructure Bull 2X Shares

   

14

%

   

81

%

   

     

5

%

   

100

%

 

*  Cash, cash equivalents and other assets less liabilities.

**  Percentage is less than 0.5%.

DIREXION ANNUAL REPORT
42


Direxion Daily CSI 300 China A Share Bear 1X Shares

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

SHORT TERM INVESTMENTS - 104.0%

 

Money Market Funds - 104.0%

 
 

129,487,971

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

$

129,487,971

   
 

7,208,682

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

7,208,682

   
    TOTAL SHORT TERM
INVESTMENTS
(Cost $136,696,653) (b)
 

$

136,696,653

   
    TOTAL INVESTMENTS
(Cost $136,696,653) - 104.0%
 

$

136,696,653

   
    Liabilities in Excess of
Other Assets - (4.0)%
   

(5,302,157

)

 
   

TOTAL NET ASSETS - 100.0%

 

$

131,394,496

   

Percentages are stated as a percent of net assets.

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

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

(b)  All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,233,214.

 

Short Total Return Swap Contracts

October 31, 2021

Terms of Payments
to be Received/(Paid)
at Termination
  Terms of Payments
to be Paid
at Termination
 

Counterparty

  Termination
Date
 

Contracts

  Notional
Amount
  Unrealized
Appreciation
(Depreciation)
 
(1.5643
representing
1 month LIBOR
rate + spread)%
  Total return of Deutsche
Xtrackers Harvest
CSI 300 China A-Shares
ETF
  UBS Securities
LLC
 

12/10/2021

   

2,496,113

   

$

92,086,211

   

$

(4,996,076

)

 
(3.1143
representing
1 month LIBOR
rate + spread)%
  Total return of Deutsche
Xtrackers Harvest
CSI 300 China A-Shares
ETF
 

Citibank N.A.

 

12/13/2021

   

823,370

     

31,777,359

     

(225,088

)

 
(2.9143
representing
1 month LIBOR
rate + spread)%
  Total return of Deutsche
Xtrackers Harvest
CSI 300 China A-Shares
ETF
 

J.P. Morgan

 

12/13/2022

   

70,441

     

2,745,617

     

13,634

   
                   

$

126,609,187

   

$

(5,207,530

)

 

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

DIREXION ANNUAL REPORT
43


Direxion Daily S&P 500® Bear 1X Shares

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

SHORT TERM INVESTMENTS - 109.0%

 

Money Market Funds - 109.0%

 
 

100,326,716

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

$

100,326,716

   
 

34,520,819

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

34,520,819

   
    TOTAL SHORT TERM
INVESTMENTS
(Cost $134,847,535) (b)
 

$

134,847,535

   
    TOTAL INVESTMENTS
(Cost $134,847,535) - 109.0%
 

$

134,847,535

   
    Liabilities in Excess of
Other Assets - (9.0)%
   

(11,178,256

)

 
   

TOTAL NET ASSETS - 100.0%

 

$

123,669,279

   

Percentages are stated as a percent of net assets.

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

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

(b)  All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $34,520,819.

 

Short Total Return Swap Contracts

October 31, 2021

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

Counterparty

  Termination
Date
 

Contracts

  Notional
Amount
  Unrealized
Depreciation
 
0.3358
representing
1 month LIBOR
rate + spread%
 
Total return of
S&P 500® Index
  Credit Suisse
International
 

12/7/2021

   

26,853

   

$

114,628,854

   

$

(9,390,270

)

 

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

DIREXION ANNUAL REPORT
44


Direxion Daily CSI 300 China A Share Bull 2X Shares

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

INVESTMENT COMPANIES - 43.7%

     
 

1,329,833

    Deutsche Xtrackers Harvest
CSI 300 China A-Shares
ETF (a)
 

$

51,544,327

   
        TOTAL INVESTMENT
COMPANIES
(Cost $54,150,734)
 

$

51,544,327

   

SHORT TERM INVESTMENTS - 56.6%

     

Money Market Funds - 56.6%

     
 

56,969,449

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

$

56,969,449

   
 

9,774,627

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

9,774,627

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $66,744,076)
 

$

66,744,076

   
        TOTAL INVESTMENTS
(Cost $120,894,810) -
100.3% (c)
 

$

118,288,403

   
        Liabilities in Excess of
Other Assets - (0.3)%
   

(369,560

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

117,918,843

   

Percentages are stated as a percent of net assets.

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

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

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

(c)  All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $58,474,199.

Long Total Return Swap Contracts

October 31, 2021

Terms of Payments
to be Received at
Termination
  Terms of Payments
to be Paid/(Received)
at Termination
 

Counterparty

  Termination
Date
 

Contracts

  Notional
Amount
  Unrealized
Appreciation
(Depreciation)
 
Total return of
Deutsche Xtrackers
Harvest CSI 300
China A-Shares ETF
 
(1.1743)% representing
1 month LIBOR
rate + spread
  UBS Securities
LLC
 

12/10/2021

   

3,478,315

   

$

129,158,338

   

$

5,855,658

   
Total return of
Deutsche Xtrackers
Harvest CSI 300
China A-Shares ETF
 
(2.9143)% representing
1 month LIBOR
rate + spread
 

Citibank N.A.

 

12/13/2021

   

1,156,964

     

43,972,010

     

1,349,827

   
Total return of
Deutsche Xtrackers
Harvest CSI 300
China A-Shares ETF
 
(1.9143)% representing
1 month LIBOR
rate + spread
 

J.P. Morgan

 

12/13/2022

   

119,410

     

4,666,000

     

(34,946

)

 
                   

$

177,796,348

   

$

7,170,539

   

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

DIREXION ANNUAL REPORT
45


Direxion Daily CSI China Internet Index Bull 2X Shares

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

INVESTMENT COMPANIES - 72.7%

     
 

4,785,653

    KraneShares CSI China
Internet ETF (a)
 

$

228,467,074

   
        TOTAL INVESTMENT
COMPANIES
(Cost $231,005,802)
 

$

228,467,074

   

SHORT TERM INVESTMENTS - 38.8%

     

Money Market Funds - 38.8%

     
 

62,466,763

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

$

62,466,763

   
 

59,506,800

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

59,506,800

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $121,973,563)
 

$

121,973,563

   
        TOTAL INVESTMENTS
(Cost $352,979,365) -
111.5% (c)
 

$

350,440,637

   
        Liabilities in Excess of
Other Assets - (11.5)%
   

(36,007,301

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

314,433,336

   

Percentages are stated as a percent of net assets.

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

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

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

(c)  All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $109,365,418.

Long Total Return Swap Contracts

October 31, 2021

Terms of Payments
to be Received at
Termination
  Terms of Payments
to be Paid/(Received)
at Termination
 

Counterparty

  Termination
Date
 

Contracts

  Notional
Amount
  Unrealized
Depreciation
 
Total return of
KraneShares CSI
China Internet ETF
  0.5858% representing
1 month LIBOR
rate + spread
  UBS Securities
LLC
 

12/9/2021

   

3,039,468

   

$

150,372,215

   

$

(5,316,495

)

 
Total return of
KraneShares CSI
China Internet ETF
  0.7358% representing
1 month LIBOR
rate + spread
 

Citibank N.A.

 

12/13/2021

   

1,030,849

     

56,687,653

     

(7,599,462

)

 
Total return of
KraneShares CSI
China Internet ETF
  (0.9143)% representing
1 month LIBOR
rate + spread
 

BNP Paribas

 

11/16/2022

   

111,973

     

7,887,554

     

(2,507,171

)

 
Total return of
KraneShares CSI
China Internet ETF
  (0.9143)% representing
1 month LIBOR
rate + spread
 

BNP Paribas

 

12/21/2022

   

381,305

     

26,545,084

     

(8,230,492

)

 
Total return of
KraneShares CSI
China Internet ETF
  0.6393% representing
1 month LIBOR
rate + spread
  Bank of
America
Merrill Lynch
 

2/23/2023

   

3,823,526

     

192,974,070

     

(10,632,295

)

 
                   

$

434,466,576

   

$

(34,285,915

)

 

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

DIREXION ANNUAL REPORT
46


Direxion Daily S&P 500® Bull 2X Shares

Schedule of Investments

October 31, 2021

Shares

     

Fair Value

 

INVESTMENT COMPANIES - 97.2%

     
 

125,714

   

iShares Core S&P 500 ETF (a)

 

$

57,952,897

   
        TOTAL INVESTMENT
COMPANIES
(Cost $45,882,654)
 

$

57,952,897

   

SHORT TERM INVESTMENTS - 22.1%

     

Money Market Funds - 22.1%

     
 

8,404,704

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

$

8,404,704

   
 

4,781,060

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

4,781,060

   
        TOTAL SHORT TERM
INVESTMENTS
(Cost $13,185,764)
 

$

13,185,764

   
        TOTAL INVESTMENTS
(Cost $59,068,418) - 119.3% (c)
 

$

71,138,661

   
        Liabilities in Excess of
Other Assets - (19.3)%
   

(11,490,946

)

 
       

TOTAL NET ASSETS - 100.0%

 

$

59,647,715

   

Percentages are stated as a percent of net assets.

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

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

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

(c)  All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $23,347,062.

 

Long Total Return Swap Contracts

October 31, 2021

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

Counterparty

  Termination
Date
 

Contracts

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

12/7/2021

   

3,899