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 |
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Direxion Daily CSI 300 China A Share Bull 2X Shares |
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Direxion Daily CSI China Internet Index Bull 2X Shares |
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Direxion Daily S&P 500® Bull 2X Shares |
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Direxion Daily Latin America Bull 2X Shares |
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Direxion Daily MSCI Brazil Bull 2X Shares |
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Direxion Daily MSCI India Bull 2X Shares |
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Direxion Daily Russia Bull 2X Shares |
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Direxion Daily 5G Communications Bull 2X Shares |
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Direxion Daily Cloud Computing Bull 2X Shares |
Direxion Daily Cloud Computing Bear 2X Shares |
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Direxion Daily Energy Bull 2X Shares |
Direxion Daily Energy Bear 2X Shares |
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Direxion Daily Global Clean Energy Bull 2X Shares |
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Direxion Daily Gold Miners Index Bull 2X Shares |
Direxion Daily Gold Miners Index Bear 2X Shares |
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Direxion Daily Junior Gold Miners Index Bull 2X Shares |
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
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Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
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Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
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Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
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Direxion Daily Travel & Vacation Bull 2X Shares |
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Direxion Daily US Infrastructure Bull 2X Shares |
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You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to [email protected].
IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the shareholder reports from your financial intermediary such as a broker-dealer or bank. Instead, annual and semi-annual shareholder reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to continue receive paper copies of shareholder reports through the mail or to otherwise change your delivery method, contact your financial intermediary or follow the instructions included with this disclosure. Your election to receive shareholder reports in paper will apply to all funds that you hold through the financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
Table of Contents
Letter to Shareholders (Unaudited) |
4 |
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Performance Summary (Unaudited) |
14 |
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Expense Example (Unaudited) |
39 |
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Allocation of Portfolio Holdings (Unaudited) |
42 |
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Schedules of Investments |
43 |
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Statements of Assets and Liabilities |
74 |
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Statements of Operations |
81 |
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Statements of Changes in Net Assets |
88 |
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Financial Highlights |
101 |
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Notes to the Financial Statements |
105 |
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Report of
Independent Registered Public Accounting Firm |
135 |
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Supplemental Information (Unaudited) |
137 |
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Board Review of
Investment Advisory Agreement (Unaudited) |
138 |
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Board Review of
Liquidity Risk Management Program (Unaudited) |
143 |
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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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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 |
$ |
16,880,789 |
$ |
1,096,691 |
|||||||||||||||||||
Total return
of S&P 500® Index |
0.7258% representing
1 month LIBOR rate + spread |
UBS Securities
LLC |
12/13/2021 |
9,221 |
40,335,391 |
2,181,650 |
|||||||||||||||||||||
Total return
of S&P 500® Index |
0.3358% representing
1 month LIBOR rate + spread |
Citibank N.A. |
9/28/2022 |
200 |
870,700 |
51,019 |
|||||||||||||||||||||
$ |
58,086,880 |
$ |
3,329,360 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
47
Direxion Daily Latin America Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 26.7% |
|||||||||||
142,123 |
iShares Latin America 40 ETF (a)(b) |
$ |
3,564,444 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $4,550,778) |
$ |
3,564,444 |
|||||||||
SHORT TERM INVESTMENTS - 119.3% |
|||||||||||
Money Market Funds - 119.3% |
|||||||||||
12,335,299 | Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
12,335,299 |
||||||||
2,290,097 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
2,290,097 |
|||||||||
1,308,748 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
1,308,748 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $15,934,144) |
$ |
15,934,144 |
|||||||||
TOTAL INVESTMENTS
(Cost $20,484,922) - 146.0% (e) |
$ |
19,498,588 |
|||||||||
Liabilities in
Excess of Other Assets - (46.0)% |
(6,145,407 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
13,353,181 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,832,437.
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.7858% representing
1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
118,207 |
$ |
3,348,912 |
$ |
(359,517 |
) |
||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.6858% representing
1 month LIBOR rate + spread |
Barclays |
12/13/2021 |
183,724 |
5,894,040 |
(1,233,091 |
) |
||||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
1/19/2022 |
283,887 |
8,496,721 |
(1,213,689 |
) |
||||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
64,397 |
1,830,885 |
(194,960 |
) |
||||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
128,780 |
3,768,862 |
(496,869 |
) |
||||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.3358% representing
1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
20,862 |
618,500 |
(88,311 |
) |
||||||||||||||||||||
Total return of
iShares Latin America 40 ETF |
0.4858% representing
1 month LIBOR rate + spread |
J.P. Morgan |
8/8/2022 |
122,878 |
3,305,172 |
(224,278 |
) |
||||||||||||||||||||
$ |
27,263,092 |
$ |
(3,810,715 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
48
Direxion Daily MSCI Brazil Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 82.3% |
|||||||||||
5,204,891 |
iShares MSCI Brazil
Capped ETF (a)(b) |
$ |
152,607,404 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $182,053,729) |
$ |
152,607,404 |
|||||||||
SHORT TERM INVESTMENTS - 64.5% |
|||||||||||
Money Market Funds - 64.5% |
|||||||||||
119,588,409 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
119,588,409 |
||||||||
1,613 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
1,613 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $119,590,022) |
$ |
119,590,022 |
|||||||||
TOTAL INVESTMENTS
(Cost $301,643,751) - 146.8% (e) |
$ |
272,197,426 |
|||||||||
Liabilities in
Excess of Other Assets - (46.8)% |
(86,705,504 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
185,491,922 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $82,895,751.
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
Total return of
iShares MSCI Brazil Capped ETF |
0.1858%
representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/14/2021 |
4,767,376 |
$ |
155,000,899 |
$ |
(15,275,814 |
) |
||||||||||||||||||
Total return of
iShares MSCI Brazil Capped ETF |
0.6358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
2,316,957 |
82,947,061 |
(11,853,322 |
) |
||||||||||||||||||||
Total return of
iShares MSCI Brazil Capped ETF |
0.6358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
363,757 |
13,715,442 |
(2,860,947 |
) |
||||||||||||||||||||
$ |
251,663,402 |
$ |
(29,990,083 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
49
Direxion Daily MSCI India Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 18.5% |
|||||||||||
352,597 |
iShares MSCI India ETF (a) |
$ |
17,220,837 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $15,519,931) |
$ |
17,220,837 |
|||||||||
SHORT TERM INVESTMENTS - 78.5% |
|||||||||||
Money Market Funds - 78.5% |
|||||||||||
61,427,411 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
61,427,411 |
||||||||
550,014 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
550,014 |
|||||||||
10,877,841 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
10,877,841 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $72,855,266) |
$ |
72,855,266 |
|||||||||
TOTAL INVESTMENTS
(Cost $88,375,197) - 97.0% (c) |
$ |
90,076,103 |
|||||||||
Other Assets in
Excess of Liabilities - 3.0% |
2,769,516 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
92,845,619 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,897,004.
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return
of iShares MSCI India ETF |
0.8358%
representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/13/2021 |
1,283,479 |
$ |
53,186,056 |
$ |
9,348,192 |
|||||||||||||||||||
Total return of
iShares MSCI India ETF |
0.5858%
representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/15/2021 |
1,086,398 |
45,611,479 |
7,365,964 |
|||||||||||||||||||||
Total return of
iShares MSCI India ETF |
0.5858%
representing 1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
990,703 |
44,083,831 |
4,204,263 |
|||||||||||||||||||||
Total return of
iShares MSCI India ETF |
0.7358%
representing 1 month LIBOR rate + spread |
Citibank N.A. |
8/16/2022 |
11,000 |
505,560 |
30,916 |
|||||||||||||||||||||
Total return of
iShares MSCI India ETF |
0.5858%
representing 1 month LIBOR rate + spread |
BNP Paribas |
8/17/2022 |
25,908 |
1,150,069 |
113,448 |
|||||||||||||||||||||
Total return of
iShares MSCI India ETF |
0.8358%
representing 1 month LIBOR rate + spread |
Barclays |
10/6/2022 |
51,940 |
2,565,667 |
(29,463 |
) |
||||||||||||||||||||
$ |
147,102,662 |
$ |
21,033,320 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
50
Direxion Daily Russia Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 37.7% |
|||||||||||
865,990 |
VanEck VectorsTM Russia ETF (a) |
$ |
27,711,680 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $24,963,724) |
$ |
27,711,680 |
|||||||||
SHORT TERM INVESTMENTS - 65.9% |
|||||||||||
Money Market Funds - 65.9% |
|||||||||||
41,657,798 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
41,657,798 |
||||||||
6,755,060 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
6,755,060 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $48,412,858) |
$ |
48,412,858 |
|||||||||
TOTAL INVESTMENTS
(Cost $73,376,582) - 103.6% (c) |
$ |
76,124,538 |
|||||||||
Liabilities in
Excess of Other Assets - (3.6)% |
(2,630,143 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
73,494,395 |
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 $25,359,339.
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
VanEck VectorsTM Russia ETF |
0.7393%
representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/9/2021 |
1,287,575 |
$ |
32,980,820 |
$ |
8,071,051 |
|||||||||||||||||||
Total return of |
1.0358% representing |
||||||||||||||||||||||||||
VanEck
VectorsTM Russia ETF |
1 month
LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
500,320 |
16,279,907 |
(276,339 |
) |
||||||||||||||||||||
Total return of |
0.5658% representing |
||||||||||||||||||||||||||
VanEck
VectorsTM Russia ETF |
1 month
LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
1,891,715 |
51,681,654 |
8,718,886 |
|||||||||||||||||||||
Total return of |
0.5658% representing |
||||||||||||||||||||||||||
VanEck
VectorsTM Russia ETF |
1 month
LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
47,799 |
1,378,459 |
148,683 |
|||||||||||||||||||||
$ |
102,320,840 |
$ |
16,662,281 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
51
Direxion Daily 5G Communications Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 83.4% |
|||||||||||
Broadcasting (except Internet) - 2.2% |
|||||||||||
661 |
Altice USA, Inc. (a) |
$ |
10,774 |
||||||||
118 |
Charter Communications, Inc. (a) |
79,637 |
|||||||||
450 |
Rogers
Communications, Inc. ADR (Canada) |
20,961 |
|||||||||
111,372 |
|||||||||||
Computer and
Electronic Product Manufacturing - 43.9% |
|||||||||||
1,023 |
ADTRAN, Inc. |
18,905 |
|||||||||
2,626 |
Advanced Micro Devices, Inc. (a) |
315,724 |
|||||||||
1,076 |
Airgain, Inc. (a) |
12,083 |
|||||||||
1,378 |
Analog Devices, Inc. |
239,069 |
|||||||||
330 |
Apple, Inc. |
49,434 |
|||||||||
117 |
Arista Networks, Inc. (a) |
47,934 |
|||||||||
91 |
Broadcom, Inc. |
48,382 |
|||||||||
518 |
Calix, Inc. (a) |
32,422 |
|||||||||
2,374 |
Casa Systems, Inc. (a) |
15,027 |
|||||||||
5,733 |
Ceragon Networks
Ltd. ADR (Israel) (a) |
20,123 |
|||||||||
777 |
Cisco Systems, Inc. |
43,489 |
|||||||||
524 |
Clearfield, Inc. (a) |
29,601 |
|||||||||
960 |
Comtech
Telecommunications Corp. |
20,707 |
|||||||||
569 |
CTS Corp. |
20,268 |
|||||||||
404 |
Dell Technologies, Inc. (a) |
44,436 |
|||||||||
1,058 |
DZS, Inc. (a) |
11,532 |
|||||||||
2,119 |
EMCORE Corp. (a) |
15,850 |
|||||||||
2,054 |
INFINERA Corp. (a) |
15,590 |
|||||||||
737 |
Intel Corp. |
36,113 |
|||||||||
292 |
InterDigital, Inc. |
19,549 |
|||||||||
857 |
Keysight Technologies, Inc. (a) |
154,277 |
|||||||||
546 |
Lattice Semiconductor Corp. (a) |
37,914 |
|||||||||
270 |
Lumentum Holdings, Inc. (a) |
22,297 |
|||||||||
377 |
MACOM Technology
Solutions Holdings, Inc. (a) |
26,322 |
|||||||||
1,697 |
Marvell Technology, Inc. |
116,245 |
|||||||||
587 |
MaxLinear, Inc. (a) |
36,981 |
|||||||||
1,986 |
NeoPhotonics Corp. (a) |
20,098 |
|||||||||
240 |
NVIDIA Corp. |
61,361 |
|||||||||
689 |
NXP Semiconductors
NV ADR (Netherlands) |
138,393 |
|||||||||
326 |
Qorvo, Inc. (a) |
54,843 |
|||||||||
1,580 |
Qualcomm, Inc. |
210,203 |
|||||||||
719 |
Radware Ltd. ADR (Israel) (a) |
25,474 |
|||||||||
5,603 |
Resonant, Inc. (a) |
12,551 |
|||||||||
1,337 |
Sierra Wireless, Inc. ADR (Canada) (a) |
22,381 |
|||||||||
490 |
Silicom Ltd. ADR (Israel) (a) |
20,580 |
|||||||||
471 |
Skyworks Solutions, Inc. |
78,718 |
|||||||||
1,317 |
Viavi Solutions, Inc. (a) |
20,282 |
|||||||||
702 |
Xilinx, Inc. |
126,360 |
|||||||||
2,241,518 |
|||||||||||
Data Processing, Hosting and Related Services - 0.9% |
|||||||||||
492 |
CSG Systems International, Inc. |
24,625 |
|||||||||
270 |
CyrusOne, Inc. |
22,145 |
|||||||||
46,770 |
Shares |
Fair Value |
||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% |
|||||||||||
108 |
IPG Photonics Corp. (a) |
$ |
17,173 |
||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.4% |
|||||||||||
496 |
CEVA, Inc. (a) |
22,622 |
|||||||||
Machinery Manufacturing - 0.4% |
|||||||||||
307 |
II-VI, Inc. (a) |
18,577 |
|||||||||
Management of Companies and Enterprises - 0.5% |
|||||||||||
5,825 |
Telefonica S A ADR (Spain) |
25,339 |
|||||||||
Miscellaneous Store Retailers - 2.3% |
|||||||||||
2,208 |
Verizon Communications, Inc. |
117,002 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 0.5% |
|||||||||||
688 |
Corning, Inc. |
24,472 |
|||||||||
Nonstore Retailers - 0.9% |
|||||||||||
13 |
Amazon.com, Inc. (a) |
43,842 |
|||||||||
Professional, Scientific, and Technical Services - 7.8% |
|||||||||||
2,063 |
A10 Networks, Inc. (a) |
38,557 |
|||||||||
847 |
Amdocs Ltd. ADR |
65,931 |
|||||||||
964 |
Ciena Corp. (a) |
52,336 |
|||||||||
1,902 |
Extreme Networks, Inc. (a) |
18,697 |
|||||||||
348 |
F5 Networks, Inc. (a) |
73,480 |
|||||||||
2,092 |
Inseego Corp. (a)(b) |
12,970 |
|||||||||
1,035 |
Juniper Networks, Inc. |
30,553 |
|||||||||
677 |
Maxar Technologies, Inc. |
17,974 |
|||||||||
712 |
NetScout Systems, Inc. (a) |
19,267 |
|||||||||
2,674 |
Ribbon Communications, Inc. (a) |
14,627 |
|||||||||
70 |
Ubiquiti, Inc. |
21,387 |
|||||||||
223 |
VMware, Inc. |
33,829 |
|||||||||
399,608 |
|||||||||||
Publishing Industries (except Internet) - 4.0% |
|||||||||||
1,015 |
Akamai Technologies, Inc. (a) |
107,042 |
|||||||||
2,084 |
Akoustis Technologies, Inc. (a)(b) |
15,672 |
|||||||||
2,453 |
Hewlett Packard Enterprise Co. |
35,936 |
|||||||||
6,565 |
Limelight Networks, Inc. (a) |
19,564 |
|||||||||
620 |
National Instruments Corp. |
26,331 |
|||||||||
204,545 |
|||||||||||
Real Estate - 5.2% |
|||||||||||
413 |
American Tower Corp. |
116,454 |
|||||||||
159 |
CoreSite Realty Corp. |
22,651 |
|||||||||
394 |
Crown Castle International Corp. |
71,038 |
|||||||||
183 |
Digital Realty Trust, Inc. |
28,879 |
|||||||||
1,938 |
Uniti Group, Inc. |
27,733 |
|||||||||
266,755 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.6% |
|||||||||||
1,054 |
CommScope Holding Co., Inc. (a) |
11,288 |
|||||||||
298 |
GDS Holdings Ltd. ADR (China) (a) |
17,701 |
|||||||||
28,989 |
|||||||||||
Telecommunications - 13.5% |
|||||||||||
4,342 |
AT&T, Inc. |
109,679 |
|||||||||
938 |
BCE, Inc. ADR (Canada) |
48,279 |
|||||||||
444 |
Cambium Networks Corp. ADR (a) |
12,530 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
52
Direxion Daily 5G Communications Bull 2X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Telecommunications (continued) |
|||||||||||
82 |
Equinix, Inc. |
$ |
68,640 |
||||||||
10,308 |
Ericsson ADR (Sweden) |
112,048 |
|||||||||
1,450 |
KT Corp. ADR (South Korea) (a) |
18,575 |
|||||||||
1,484 |
Lumen Technologies, Inc. |
17,600 |
|||||||||
18,927 |
Nokia Corp. ADR (Finland) (a) |
107,505 |
|||||||||
2,151 |
Orange ADR (France) |
23,467 |
|||||||||
93 |
SBA Communications Corp. |
32,116 |
|||||||||
700 |
SK Telecom Ltd. ADR
(South Korea) (a) |
20,300 |
|||||||||
682 |
T-Mobile US, Inc. (a) |
78,450 |
|||||||||
2,816 |
Vodafone Group PLC
ADR (United Kingdom) |
42,099 |
|||||||||
691,288 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $4,187,594) |
$ |
4,259,872 |
|||||||||
SHORT TERM INVESTMENTS - 15.3% |
|||||||||||
Money Market Funds - 15.3% |
|||||||||||
775,109 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c) |
$ |
775,109 |
||||||||
5,791 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
5,791 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $780,900) |
$ |
780,900 |
|||||||||
TOTAL INVESTMENTS
(Cost $4,968,494) - 98.7% (d) |
$ |
5,040,772 |
|||||||||
Other Assets in
Excess of Liabilities - 1.3% |
68,523 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
5,109,295 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,271,509.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments to
be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
BlueStar® 5G Communications Index |
0.5858%
representing 1 month LIBOR rate + spread |
Barclays |
12/15/2021 |
29,750 |
$ |
5,906,327 |
$ |
64,993 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
53
Direxion Daily Cloud Computing Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 60.2% |
|||||||||||
Administrative and Support Services - 3.4% |
|||||||||||
976 |
Alarm.com, Inc. (a) |
$ |
82,238 |
||||||||
1,511 |
Atlassian Corp. PLC
ADR (United Kingdom) (a) |
692,235 |
|||||||||
1,963 |
NCINO, Inc. (a) |
142,632 |
|||||||||
917,105 |
|||||||||||
Ambulatory Health Care Services - 0.0% (†) |
|||||||||||
501 |
Tabula Rasa HealthCare, Inc. (a) |
13,602 |
|||||||||
Computer and
Electronic Product Manufacturing - 0.1% |
|||||||||||
823 |
Radware Ltd. ADR (Israel) (a) |
29,159 |
|||||||||
Data Processing, Hosting and Related Services - 2.3% |
|||||||||||
1,424 |
Five9, Inc. (a) |
225,006 |
|||||||||
787 |
Inovalon Holdings, Inc. (a) |
32,102 |
|||||||||
1,523 |
RingCentral, Inc. (a) |
371,277 |
|||||||||
628,385 |
|||||||||||
Heavy and Civil Engineering Construction - 0.5% |
|||||||||||
1,090 |
BlackLine, Inc. (a) |
138,288 |
|||||||||
Professional, Scientific, and Technical Services - 12.9% |
|||||||||||
1,554 |
2U, Inc. (a) |
45,905 |
|||||||||
2,869 |
Anaplan, Inc. (a) |
187,088 |
|||||||||
1,346 |
LivePerson, Inc. (a) |
69,333 |
|||||||||
1,244 |
Mimecast Ltd. ADR
(United Kingdom) (a) |
93,847 |
|||||||||
698 |
Model N, Inc. (a) |
22,622 |
|||||||||
3,907 |
Nutanix, Inc. (a) |
134,049 |
|||||||||
823 |
Paylocity Holding Corp. (a)(a) |
251,130 |
|||||||||
855 |
PROS Holdings Inc. (a) |
25,650 |
|||||||||
5,403 |
SAP SE ADR (Germany) |
782,246 |
|||||||||
1,385 |
ServiceNow, Inc. (a) |
966,398 |
|||||||||
842 |
Snowflake, Inc. (a) |
297,933 |
|||||||||
1,323 |
Unisys Corp. (a) |
33,829 |
|||||||||
466 |
VMware, Inc. (b) |
70,692 |
|||||||||
1,675 |
Zscaler, Inc. (a) |
534,091 |
|||||||||
3,514,813 |
|||||||||||
Publishing Industries (except Internet) - 38.7% |
|||||||||||
2,467 |
ACI Worldwide, Inc. (a) |
75,688 |
|||||||||
1,448 |
Adobe Systems, Inc. (a) |
941,721 |
|||||||||
3,454 |
Akamai Technologies, Inc. (a) |
364,259 |
|||||||||
210 |
AppFolio, Inc. (a) |
27,655 |
|||||||||
2,488 |
Autodesk, Inc. (a) |
790,214 |
|||||||||
1,691 |
Bill.com Holdings, Inc. (a) |
497,678 |
|||||||||
924 |
Blackbaud, Inc. (a) |
65,613 |
|||||||||
3,348 |
Box, Inc. (a) |
86,479 |
|||||||||
1,323 |
C3 AI, Inc. (a)(b) |
59,694 |
|||||||||
1,561 |
Coupa Software, Inc. (a) |
355,440 |
|||||||||
3,605 |
CrowdStrike Holdings, Inc. (a) |
1,015,889 |
|||||||||
3,301 |
DocuSign, Inc. (a) |
918,635 |
|||||||||
5,198 |
Dropbox, Inc. (a) |
158,487 |
|||||||||
777 |
Everbridge, Inc. (a) |
123,784 |
|||||||||
95 |
MicroStrategy, Inc. Class A (a)(b) |
67,931 |
|||||||||
9,796 |
Oracle Corp. |
939,828 |
|||||||||
1,091 |
Paycom Software, Inc. (a) |
597,704 |
|||||||||
730 |
Qualys, Inc. (a) |
90,870 |
|||||||||
3,124 |
Salesforce.com, Inc. (a) |
936,232 |
|||||||||
763 |
SPS Commerce, Inc. (a) |
116,533 |
Shares |
Fair Value |
||||||||||
Publishing Industries (except Internet) (continued) |
|||||||||||
2,006 |
Twilio, Inc. (a) |
$ |
584,468 |
||||||||
549 |
Upland Software, Inc. (a) |
18,320 |
|||||||||
2,571 |
Veeva Systems, Inc. (a) |
815,033 |
|||||||||
2,658 |
Workday, Inc. (a) |
770,767 |
|||||||||
699 |
Workiva Inc. (a) |
104,535 |
|||||||||
2,102 |
Zuora, Inc. (a) |
45,950 |
|||||||||
10,569,407 |
|||||||||||
Telecommunications - 2.3% |
|||||||||||
2,226 |
8x8 Inc. (a) |
50,441 |
|||||||||
2,077 |
Zoom Video
Communications, Inc. (a) |
570,448 |
|||||||||
620,889 |
|||||||||||
TOTAL COMMON
STOCKS (Cost $14,396,225) |
$ |
16,431,648 |
|||||||||
SHORT TERM INVESTMENTS - 39.1% |
|||||||||||
Money Market Funds - 39.1% |
|||||||||||
3,591,966 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
3,591,966 |
||||||||
40,767 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
40,767 |
|||||||||
7,039,764 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
7,039,764 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $10,672,497) |
$ |
10,672,497 |
|||||||||
TOTAL INVESTMENTS
(Cost $25,068,722) - 99.3% (e) |
$ |
27,104,145 |
|||||||||
Other Assets in
Excess of Liabilities - 0.7% |
196,994 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
27,301,139 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $12,699,811.
(†) Less than 0.05%.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
54
Direxion Daily Cloud Computing Bull 2X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
Indxx USA Cloud Computing Index |
0.2393%
representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/9/2021 |
17,683 |
$ |
22,704,162 |
$ |
1,551,833 |
|||||||||||||||||||
Total return of
Indxx USA Cloud Computing Index |
0.4858%
representing 1 month LIBOR rate + spread |
Citibank N.A. |
9/29/2022 |
10,137 |
12,819,701 |
1,085,385 |
|||||||||||||||||||||
$ |
35,523,863 |
$ |
2,637,218 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
55
Direxion Daily Cloud Computing Bear 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 114.8% |
|||||||||||
Money Market Funds - 114.8% |
|||||||||||
7,069,576 | Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
7,069,576 |
||||||||
13 | Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
13 |
|||||||||
7,066,865 | Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
7,066,865 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $14,136,454) (b) |
$ |
14,136,454 |
|||||||||
TOTAL INVESTMENTS
(Cost $14,136,454) - 114.8% |
$ |
14,136,454 |
|||||||||
Liabilities in
Excess of Other Assets - (14.8)% |
(1,821,181 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
12,315,273 |
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 $7,066,878.
Short Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received/(Paid) at Termination |
Terms of Payments
to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
(0.0608 representing 1 month LIBOR rate + spread)% |
Total return of
Indxx USA Cloud Computing Index |
Bank of
America Merrill Lynch |
12/9/2021 |
12,177 |
$ |
15,557,144 |
$ |
(1,155,370 |
) |
||||||||||||||||||
0.2858 representing 1 month LIBOR rate + spread% |
Total return of
Indxx USA Cloud Computing Index |
Citibank N.A. |
9/29/2022 |
5,775 |
7,326,405 |
(597,026 |
) |
||||||||||||||||||||
$ |
22,883,549 |
$ |
(1,752,396 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
56
Direxion Daily Energy Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 65.4% |
|||||||||||
Gasoline Stations - 13.3% |
|||||||||||
696,149 |
Chevron Corp. |
$ |
79,702,099 |
||||||||
Machinery Manufacturing - 1.4% |
|||||||||||
333,059 |
Baker Hughes, a GE Co. |
8,353,120 |
|||||||||
Oil and Gas Extraction - 11.6% |
|||||||||||
151,968 |
APA Corp. |
3,983,081 |
|||||||||
326,597 |
Coterra Energy, Inc. |
6,963,048 |
|||||||||
253,108 |
Devon Energy Corp. |
10,144,569 |
|||||||||
195,090 |
EOG Resources, Inc. |
18,038,022 |
|||||||||
316,941 |
Marathon Oil Corp. |
5,172,477 |
|||||||||
356,604 |
Occidental Petroleum Corp. |
11,956,932 |
|||||||||
176,081 |
Phillips 66 |
13,167,337 |
|||||||||
69,425,466 |
|||||||||||
Petroleum and Coal Products Manufacturing - 22.6% |
|||||||||||
236,757 |
ConocoPhillips |
17,636,029 |
|||||||||
1,374,956 |
Exxon Mobil Corp. |
88,643,413 |
|||||||||
256,560 |
Marathon Petroleum Corp. |
16,915,001 |
|||||||||
164,349 |
Valero Energy Corp. |
12,709,108 |
|||||||||
135,903,551 |
|||||||||||
Pipeline Transportation - 2.3% |
|||||||||||
488,421 |
Williams Companies, Inc. |
13,719,746 |
|||||||||
Support Activities for Mining - 10.1% |
|||||||||||
68,414 |
Diamondback Energy, Inc. |
7,333,296 |
|||||||||
357,986 |
Halliburton Co. |
8,946,070 |
|||||||||
110,793 |
Hess Corp. |
9,148,178 |
|||||||||
91,213 |
Pioneer Natural Resources Co. |
17,055,007 |
|||||||||
562,181 |
Schlumberger Ltd. ADR (a) |
18,135,959 |
|||||||||
60,618,510 |
|||||||||||
Utilities - 4.1% |
|||||||||||
783,596 |
Kinder Morgan, Inc. |
13,125,233 |
|||||||||
179,163 |
ONEOK, Inc. |
11,398,350 |
|||||||||
24,523,583 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $319,957,462) |
$ |
392,246,075 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 35.7% |
|||||||||||
Money Market Funds - 35.7% |
|||||||||||
190,440,286 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
190,440,286 |
||||||||
13,840,498 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
13,840,498 |
|||||||||
10,085,250 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
10,085,250 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $214,366,034) |
$ |
214,366,034 |
|||||||||
TOTAL INVESTMENTS
(Cost $534,323,496) - 101.1% (c) |
$ |
606,612,109 |
|||||||||
Liabilities in
Excess of Other Assets - (1.1)% |
(6,857,048 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
599,755,061 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $201,290,435.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
Energy Select Sector Index |
0.7258%
representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
123,867 |
$ |
65,781,245 |
$ |
10,015,113 |
|||||||||||||||||||
Total return of
Energy Select Sector Index |
0.7258% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
359,455 |
195,452,368 |
20,988,112 |
|||||||||||||||||||||
Total return of
Energy Select Sector Index |
0.4958% representing
1 month LIBOR rate + spread |
Barclays |
12/13/2021 |
102,236 |
59,129,672 |
2,974,422 |
|||||||||||||||||||||
Total return of
Energy Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
12/15/2021 |
155,883 |
64,836,575 |
31,531,448 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
57
Direxion Daily Energy Bull 2X Shares
Long Total Return Swap Contracts, continued
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
Energy Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
1/19/2022 |
72,987 |
$ |
31,065,723 |
$ |
14,032,731 |
|||||||||||||||||||
Total return of
Energy Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
2/16/2022 |
88,938 |
41,514,960 |
13,422,337 |
|||||||||||||||||||||
Total return of
Energy Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
49,000 |
25,274,920 |
4,745,785 |
|||||||||||||||||||||
Total return of
Energy Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
56,410 |
28,218,540 |
6,339,213 |
|||||||||||||||||||||
Total return
of Energy Select Sector Index |
0.5358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
8/8/2022 |
333,126 |
177,443,230 |
24,262,727 |
|||||||||||||||||||||
$ |
688,717,233 |
$ |
128,311,888 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
58
Direxion Daily Energy Bear 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 121.3% |
|||||||||||
Money Market Funds - 121.3% |
|||||||||||
33,904,870 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
33,904,870 |
||||||||
7,770,215 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (a) |
7,770,215 |
|||||||||
5,748,347 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
5,748,347 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $47,423,432) (b) |
$ |
47,423,432 |
|||||||||
TOTAL INVESTMENTS
(Cost $47,423,432) - 121.3% |
$ |
47,423,432 |
|||||||||
Liabilities in
Excess of Other Assets - (21.3)% |
(8,318,159 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
39,105,273 |
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 $22,844,399.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Depreciation |
|||||||||||||||||||||
0.3858%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
Credit Suisse
International |
12/7/2021 |
9,650 |
$ |
4,900,985 |
$ |
(1,014,899 |
) |
||||||||||||||||||
0.3658%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
UBS Securities LLC |
12/9/2021 |
30,769 |
18,030,684 |
(504,559 |
) |
||||||||||||||||||||
0.2358%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
Barclays |
12/13/2021 |
48,041 |
26,304,254 |
(2,822,358 |
) |
||||||||||||||||||||
0.0858%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
BNP Paribas |
1/19/2022 |
5,351 |
2,195,659 |
(1,119,633 |
) |
||||||||||||||||||||
0.0858%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
BNP Paribas |
2/16/2022 |
9,275 |
4,328,272 |
(1,416,622 |
) |
||||||||||||||||||||
0.0858%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
BNP Paribas |
4/20/2022 |
4,759 |
2,384,828 |
(537,203 |
) |
||||||||||||||||||||
0.0858%
representing 1 month LIBOR rate + spread |
Total return of
Energy Select Sector Index |
J.P. Morgan |
8/12/2022 |
22,165 |
12,076,685 |
(1,278,805 |
) |
||||||||||||||||||||
$ |
70,221,367 |
$ |
(8,694,079 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
59
Direxion Daily Global Clean Energy Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 71.6% |
|||||||||||
213,324 |
iShares Global Clean Energy ETF (a) |
$ |
5,390,697 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $4,786,614) |
$ |
5,390,697 |
|||||||||
SHORT TERM INVESTMENTS - 28.3% |
|||||||||||
Money Market Funds - 28.3% |
|||||||||||
1,600,697 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
1,600,697 |
||||||||
526,347 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
526,347 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $2,127,044) |
$ |
2,127,044 |
|||||||||
TOTAL INVESTMENTS
(Cost $6,913,658) - 99.9% (c) |
$ |
7,517,741 |
|||||||||
Other Assets in
Excess of Liabilities - 0.1% |
11,375 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
7,529,116 |
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 $3,012,991.
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
The S&P Global Clean Energy Index |
0.5393% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
9/27/2022 |
331,422 |
$ |
7,450,491 |
$ |
917,510 |
|||||||||||||||||||
Total return of
The S&P Global Clean Energy Index |
0.7358% representing
1 month LIBOR rate + spread |
Citibank N.A. |
10/19/2022 |
51,148 |
1,257,394 |
34,992 |
|||||||||||||||||||||
$ |
8,707,885 |
$ |
952,502 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
60
Direxion Daily Gold Miners Index Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 53.1% |
|||||||||||
12,580,106 |
VanEck
VectorsTM Gold Miners ETF (a) |
$ |
398,915,161 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $441,176,487) |
$ |
398,915,161 |
|||||||||
SHORT TERM INVESTMENTS - 61.2% |
|||||||||||
Money Market Funds - 61.2% |
|||||||||||
284,417,758 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
284,417,758 |
||||||||
174,789,808 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
174,789,808 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $459,207,566) |
$ |
459,207,566 |
|||||||||
TOTAL INVESTMENTS
(Cost $900,384,053) - 114.3% (c) |
$ |
858,122,727 |
|||||||||
Liabilities in
Excess of Other Assets - (14.3)% |
(107,258,648 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
750,864,079 |
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 $402,502,483.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.9158%
representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
360,313 |
$ |
12,265,388 |
$ |
(914,525 |
) |
||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.9393% representing
1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
6,547,478 |
232,500,944 |
(25,323,921 |
) |
||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
1.1458% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
5,193,479 |
162,406,585 |
2,303,850 |
|||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.9358% representing
1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
3,294,450 |
114,026,445 |
(9,974,049 |
) |
||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.8558% representing
1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
13,296,134 |
454,899,609 |
(35,066,398 |
) |
||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.8358% representing
1 month LIBOR rate + spread |
BNP Paribas |
4/20/2022 |
2,563,281 |
88,494,782 |
(6,862,307 |
) |
||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.8358% representing
1 month LIBOR rate + spread |
BNP Paribas |
5/18/2022 |
981,243 |
36,150,021 |
(5,197,696 |
) |
||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.8358%
representing 1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
2,041,611 |
80,054,704 |
(15,599,387 |
) |
||||||||||||||||||||
Total return of
VanEck Vectors® Gold Miners ETF |
0.8358% representing
1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
500,000 |
17,145,142 |
(1,333,933 |
) |
||||||||||||||||||||
$ |
1,197,943,620 |
$ |
(97,968,366 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
61
Direxion Daily Gold Miners Index Bear 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 112.8% |
|||||||||||
Money Market Funds - 112.8% |
|||||||||||
48,183,921 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
48,183,921 |
||||||||
24,107,794 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
24,107,794 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $72,291,715) (b) |
$ |
72,291,715 |
|||||||||
TOTAL INVESTMENTS
(Cost $72,291,715) - 112.8% |
$ |
72,291,715 |
|||||||||
Liabilities in
Excess of Other Assets - (12.8)% |
(8,215,668 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
64,076,047 |
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 $33,098,493.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination
Date |
Contracts |
Notional
Amount |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
0.5258%
representing 1 month LIBOR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
Credit Suisse
International |
12/7/2021 |
628,065 |
$ |
20,861,580 |
$ |
1,021,101 |
|||||||||||||||||||
0.7393%
representing 1 month LIBOR rate + spread |
Total return of
VanEck Vectors® Gold Miners ETF |
Bank of America
Merrill Lynch |
12/9/2021 |
236,788 |
8,382,295 |
873,370 |
|||||||||||||||||||||
0.6358%
representing 1 month LIBOR rate + spread |
Total return of
VanEck Vectors® Gold Miners ETF |
UBS Securities LLC |
12/9/2021 |
590,674 |
19,372,974 |
644,826 |
|||||||||||||||||||||
0.0358%
representing 1 month LIBOR rate + spread |
Total return of
VanEck Vectors® Gold Miners ETF |
J.P. Morgan |
12/9/2021 |
938,273 |
29,004,148 |
(747,213 |
) |
||||||||||||||||||||
0.3158%
representing 1 month LIBOR rate + spread |
Total return of
VanEck Vectors® Gold Miners ETF |
Citibank N.A. |
12/13/2021 |
1,141,393 |
43,318,196 |
7,184,163 |
|||||||||||||||||||||
0.4258%
representing 1 month LIBOR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
BNP Paribas |
9/21/2022 |
506,002 |
15,665,822 |
(388,327 |
) |
||||||||||||||||||||
$ |
136,605,015 |
$ |
8,587,920 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
62
Direxion Daily Junior Gold Miners Index Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 33.6% |
|||||||||||
4,008,356 |
VanEck
VectorsTM Junior Gold Miners ETF (a)(b) |
$ |
173,441,564 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $179,991,576) |
$ |
173,441,564 |
|||||||||
SHORT TERM INVESTMENTS - 89.7% |
|||||||||||
Money Market Funds - 89.7% |
|||||||||||
337,231,868 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
337,231,868 |
||||||||
125,303,990 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
125,303,990 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $462,535,858) |
$ |
462,535,858 |
|||||||||
TOTAL INVESTMENTS
(Cost $642,527,434) - 123.3% (e) |
$ |
635,977,422 |
|||||||||
Liabilities in
Excess of Other Assets - (23.3)% |
(120,167,545 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
515,809,877 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $296,049,773.
Long Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
1.3358% representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
1,776,632 |
$ |
84,169,044 |
$ |
(8,023,821 |
) |
||||||||||||||||||
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
0.8458% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
760,707 |
34,435,149 |
(1,578,874 |
) |
||||||||||||||||||||
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
0.8858% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
1,052,157 |
51,100,848 |
(5,853,523 |
) |
||||||||||||||||||||
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
0.8958% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
11,078,530 |
473,492,289 |
5,165,227 |
|||||||||||||||||||||
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
0.8358% representing 1 month LIBOR rate + spread |
BNP Paribas |
6/15/2022 |
5,165,038 |
274,263,518 |
(51,824,639 |
) |
||||||||||||||||||||
$ |
917,460,848 |
$ |
(62,115,630 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
63
Direxion Daily Junior Gold Miners Index Bear 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 113.8% |
|||||||||||
Money Market Funds - 113.8% |
|||||||||||
74,547,046 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
74,547,046 |
||||||||
11,602,598 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
11,602,598 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $86,149,644) (b) |
$ |
86,149,644 |
|||||||||
TOTAL INVESTMENTS
(Cost $86,149,644) - 113.8% |
$ |
86,149,644 |
|||||||||
Liabilities in
Excess of Other Assets - (13.8)% |
(10,474,844 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
75,674,800 |
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 $36,958,995.
Short Total Return Swap Contracts
October 31, 2021
Terms of Payments
to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
0.7158 representing 1 month LIBOR rate + spread% |
Total return of VanEck VectorsTM Junior Gold Miners ETF |
Credit Suisse
International |
12/7/2021 |
4,363 |
$ |
208,422 |
$ |
20,586 |
|||||||||||||||||||
0.3658 representing 1 month LIBOR rate + spread% |
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
Citibank N.A. |
12/23/2021 |
1,303,910 |
55,795,120 |
(617,966 |
) |
||||||||||||||||||||
0.4258 representing 1 month LIBOR rate + spread% |
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
BNP Paribas |
6/15/2022 |
651,626 |
34,601,341 |
6,473,223 |
|||||||||||||||||||||
0.5858 representing 1 month LIBOR rate + spread% |
Total return of
VanEck VectorsTM Junior Gold Miners ETF |
UBS Securities LLC |
12/13/2022 |
1,537,920 |
59,132,620 |
(7,392,626 |
) |
||||||||||||||||||||
$ |
149,737,503 |
$ |
(1,516,783 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
64
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 36.2% |
|||||||||||
441,733 |
Global X Robotics
& Artificial Intelligence ETF (a) |
$ |
16,644,500 |
||||||||
TOTAL INVESTMENT
COMPANIES (Cost $11,822,163) |
$ |
16,644,500 |
|||||||||
SHORT TERM INVESTMENTS - 84.2% |
|||||||||||
Money Market Funds - 84.2% |
|||||||||||
27,244,681 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
27,244,681 |
||||||||
2,069,108 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (b) |
2,069,108 |
|||||||||
9,434,144 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (b) |
9,434,144 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $38,747,933) |
$ |
38,747,933 |
|||||||||
TOTAL INVESTMENTS
(Cost $50,570,096) - 120.4% (c) |
$ |
55,392,433 |
|||||||||
Liabilities in
Excess of Other Assets - (20.4)% |
(9,389,452 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
46,002,981 |
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 $20,228,023.
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
Indxx Global Robotics and Artificial Intelligence Thematic Index |
1.0858% representing 1 month LIBOR rate + spread |
Credit Suisse International |
12/7/2021 |
225,516 |
$ |
7,137,580 |
$ |
1,336,142 |
|||||||||||||||||||
Total return of
Indxx Global Robotics and Artificial Intelligence Thematic Index |
0.7858% representing 1 month LIBOR rate + spread |
Barclays |
12/9/2021 |
291,787 |
10,789,066 |
170,984 |
|||||||||||||||||||||
Total return of
Indxx Global Robotics and Artificial Intelligence Thematic Index |
0.8358% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/13/2021 |
788,060 |
25,159,321 |
4,485,091 |
|||||||||||||||||||||
Total return of
Indxx Global Robotics and Artificial Intelligence Thematic Index |
0.5358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/15/2021 |
607,429 |
20,032,547 |
2,836,988 |
|||||||||||||||||||||
Total return of
Indxx Global Robotics and Artificial Intelligence Thematic Index |
0.7358% representing 1 month LIBOR rate + spread |
Citibank N.A. |
8/16/2022 |
87,197 |
3,355,827 |
(73,573 |
) |
||||||||||||||||||||
$ |
66,474,341 |
$ |
8,755,632 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
65
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 36.1% |
|||||||||||
Chemical Manufacturing - 0.9% |
|||||||||||
364,518 |
Alto Ingredients, Inc. (a) |
$ |
1,939,236 |
||||||||
844,817 |
Gevo, Inc. (a)(b) |
6,108,027 |
|||||||||
8,047,263 |
|||||||||||
Gasoline Stations - 1.1% |
|||||||||||
65,418 |
Chevron Corp. |
7,489,707 |
|||||||||
127,380 |
Delek US Holdings, Inc. (a) |
2,477,541 |
|||||||||
9,967,248 |
|||||||||||
Machinery Manufacturing - 0.9% |
|||||||||||
362,856 |
Range Resources Corp. (a) |
8,461,802 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.0%(†) |
|||||||||||
2,331 |
REX American
Resources Corp. (a) |
205,012 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 0.2% |
|||||||||||
48,980 |
World Fuel Services Corp. |
1,495,359 |
|||||||||
Mining (except Oil and Gas) - 0.5% |
|||||||||||
365,640 |
CNX Resources Corp. (a) |
5,342,000 |
|||||||||
Oil and Gas Extraction - 20.6% |
|||||||||||
394,522 |
Antero Resources Corp. (a) |
7,839,152 |
|||||||||
336,263 |
APA Corp. |
8,813,453 |
|||||||||
57,568 |
Bonanza Creek Energy, Inc. (a) |
3,231,868 |
|||||||||
28,115 |
Brigham Minerals Inc. |
651,706 |
|||||||||
979,923 |
Centennial Resource
Development, Inc. (a) |
7,055,446 |
|||||||||
801,620 |
Clean Energy Fuels Corp. (a)(b) |
7,390,936 |
|||||||||
173,958 |
Contango Oil & Gas Co. (a) |
718,447 |
|||||||||
162,861 |
Continental Resources, Inc. (b) |
7,949,245 |
|||||||||
343,056 |
Coterra Energy, Inc. |
7,313,954 |
|||||||||
223,898 |
Devon Energy Corp. |
8,973,832 |
|||||||||
93,605 |
EOG Resources, Inc. |
8,654,718 |
|||||||||
323,956 |
EQT Corp. (a) |
6,449,964 |
|||||||||
118,259 |
Green Plains, Inc. (a) |
4,487,929 |
|||||||||
926,495 |
Kosmos Energy Ltd. (a) |
3,335,382 |
|||||||||
175,853 |
Magnolia Oil & Gas Corp. |
3,671,811 |
|||||||||
557,651 |
Marathon Oil Corp. |
9,100,864 |
|||||||||
180,006 |
Matador Resources Co. |
7,533,251 |
|||||||||
291,646 |
Murphy Oil Corp. |
8,116,508 |
|||||||||
28,524 |
Oasis Petroleum, Inc. |
3,439,994 |
|||||||||
251,592 |
Occidental Petroleum Corp. |
8,435,880 |
|||||||||
221,762 |
Ovintiv, Inc. |
8,320,510 |
|||||||||
47,921 |
Par Pacific Holdings, Inc. (a) |
740,859 |
|||||||||
102,713 |
PDC Energy, Inc. |
5,372,917 |
|||||||||
94,674 |
Phillips 66 |
7,079,722 |
|||||||||
137,813 |
Renewable Energy Group, Inc. (a) |
8,820,032 |
|||||||||
316,935 |
SM Energy Co. |
10,877,209 |
|||||||||
1,251,938 |
Southwestern Energy Co. (a) |
6,109,458 |
|||||||||
105,176 |
Talos Energy, Inc. (a) |
1,364,133 |
|||||||||
1,795,220 |
Tellurian, Inc. (a) |
7,037,262 |
|||||||||
66,488 |
Whiting Petroleum Corp. (a) |
4,330,363 |
|||||||||
183,216,805 |
|||||||||||
Petroleum and Coal Products Manufacturing - 6.1% |
|||||||||||
112,769 |
ConocoPhillips |
8,400,163 |
|||||||||
130,047 |
CVR Energy, Inc. |
2,493,001 |
|||||||||
116,428 |
Exxon Mobil Corp. |
7,506,113 |
|||||||||
212,822 |
HollyFrontier Corp. |
7,193,384 |
|||||||||
78,340 |
Laredo Petroleum, Inc. (a) |
5,906,836 |
Shares |
Fair Value |
||||||||||
Petroleum and Coal Products Manufacturing (continued) |
|||||||||||
110,510 |
Marathon Petroleum Corp. |
$ |
7,285,924 |
||||||||
557,602 |
PBF Energy, Inc. (a) |
8,146,565 |
|||||||||
99,109 |
Valero Energy Corp. |
7,664,099 |
|||||||||
54,596,085 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.7% |
|||||||||||
4,611 |
Texas Pacific Land Corp. |
5,872,892 |
|||||||||
Support Activities for Mining - 4.8% |
|||||||||||
190,099 |
Callon Petroleum Co. (a)(b) |
9,833,821 |
|||||||||
71,894 |
Denbury, Inc. (a) |
6,086,546 |
|||||||||
83,749 |
Diamondback Energy, Inc. |
8,977,055 |
|||||||||
92,738 |
Hess Corp. |
7,657,377 |
|||||||||
93,585 |
Northern Oil and Gas, Inc. |
2,167,429 |
|||||||||
41,598 |
Pioneer Natural Resources Co. |
7,777,994 |
|||||||||
42,500,222 |
|||||||||||
Utilities - 0.3% |
|||||||||||
80,575 |
New Fortress Energy, Inc. |
2,417,250 |
|||||||||
TOTAL COMMON STOCKS
(Cost $301,863,428) |
$ |
322,121,938 |
|||||||||
SHORT TERM INVESTMENTS - 65.6% |
|||||||||||
Money Market Funds - 65.6% |
|||||||||||
460,435,736 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
460,435,736 |
||||||||
123,908,490 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
123,908,490 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $584,344,226) |
$ |
584,344,226 |
|||||||||
TOTAL INVESTMENTS
(Cost $886,207,654) - 101.7% (e) |
$ |
906,466,164 |
|||||||||
Liabilities in
Excess of Other Assets - (1.7)% |
(15,176,102 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
891,290,062 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $294,123,211.
(†) Less than 0.05%.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
66
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.5858% representing 1 month LIBOR rate + spread |
BNP Paribas |
11/17/2021 |
8,000 |
$ |
12,917,794 |
$ |
20,051,165 |
|||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.7358% representing 1 month LIBOR rate + spread |
Credit Suisse
International |
12/7/2021 |
51,855 |
125,359,623 |
87,415,781 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.4893% representing 1 month LIBOR rate + spread |
Bank of America
Merrill Lynch |
12/9/2021 |
51,037 |
205,087,129 |
3,124,847 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.7958% representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/9/2021 |
63,554 |
142,645,682 |
118,371,754 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.3358% representing 1 month LIBOR rate + spread |
J.P. Morgan |
12/9/2021 |
76,236 |
175,145,349 |
138,484,788 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.4358% representing 1 month LIBOR rate + spread |
Citibank N.A. |
12/13/2021 |
44,696 |
148,902,053 |
34,104,746 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.5858% representing 1 month LIBOR rate + spread |
BNP Paribas |
12/15/2021 |
35,000 |
79,232,463 |
64,579,166 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.5858% representing 1 month LIBOR rate + spread |
BNP Paribas |
2/16/2022 |
6,000 |
16,472,120 |
8,159,991 |
|||||||||||||||||||||
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
0.5858% representing 1 month LIBOR rate + spread |
BNP Paribas |
7/20/2022 |
22,000 |
81,797,540 |
8,021,542 |
|||||||||||||||||||||
$ |
987,559,753 |
$ |
482,313,780 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
67
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 142.2% |
|||||||||||
Money Market Funds - 142.2% |
|||||||||||
80,801,137 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (a) |
$ |
80,801,137 |
||||||||
52,157,286 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (a) |
52,157,286 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $132,958,423) (b) |
$ |
132,958,423 |
|||||||||
TOTAL INVESTMENTS
(Cost $132,958,423) - 142.2% |
$ |
132,958,423 |
|||||||||
Liabilities in
Excess of Other Assets - (42.2)% |
(39,468,682 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
93,489,741 |
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 $72,263,540.
Short Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received/ (Paid) at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
0.3858%
representing 1 month LIBOR rate + spread |
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
Credit Suisse
International |
12/7/2021 |
1,357 |
$ |
3,428,100 |
$ |
(2,149,356 |
) |
||||||||||||||||||
(0.3143)%
representing 1 month LIBOR rate + spread |
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
J.P. Morgan |
12/9/2021 |
9,646 |
29,085,487 |
(10,623,727 |
) |
||||||||||||||||||||
0.3658%
representing 1 month LIBOR rate + spread |
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
UBS Securities LLC |
12/9/2021 |
9,172 |
21,071,845 |
(16,674,664 |
) |
||||||||||||||||||||
0.0358%
representing 1 month LIBOR rate + spread |
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
Citibank N.A. |
12/13/2021 |
9,455 |
29,757,472 |
(8,992,050 |
) |
||||||||||||||||||||
0.2893%
representing 1 month LIBOR rate + spread |
Total return of
S&P Oil & Gas Exploration & Production Select Industry Index |
Bank of America
Merrill Lynch |
12/13/2021 |
16,253 |
65,997,464 |
(259,273 |
) |
||||||||||||||||||||
$ |
149,340,368 |
$ |
(38,699,070 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
68
Direxion Daily Select Large Caps & FANGs Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 90.0% |
|||||||||||
Administrative and Support Services - 4.6% |
|||||||||||
4,032 |
Roblox Corp. (a) |
$ |
338,768 |
||||||||
Broadcasting (except Internet) - 4.3% |
|||||||||||
1,041 |
Roku, Inc. (a) |
317,401 |
|||||||||
Computer and Electronic Product Manufacturing - 13.5% |
|||||||||||
2,754 |
Advanced Micro Devices, Inc. (a) |
331,113 |
|||||||||
2,187 |
Apple, Inc. |
327,613 |
|||||||||
1,338 |
NVIDIA Corp. |
342,086 |
|||||||||
1,000,812 |
|||||||||||
Motion Picture and Sound Recording Industries - 4.6% |
|||||||||||
495 |
Netflix, Inc. (a) |
341,703 |
|||||||||
Nonstore Retailers - 8.9% |
|||||||||||
97 |
Amazon.com, Inc. (a) |
327,126 |
|||||||||
1,702 |
DoorDash, Inc. (a) |
331,550 |
|||||||||
658,676 |
|||||||||||
Other Information Services - 4.5% |
|||||||||||
114 |
Alphabet, Inc. Class A (a) |
337,545 |
|||||||||
Professional, Scientific, and Technical Services - 18.1% |
|||||||||||
1,053 |
Meta Platforms, Inc. (a) |
340,719 |
|||||||||
13,013 |
Palantir Technologies, Inc. (a) |
336,776 |
|||||||||
6,134 |
Snap, Inc. (a) |
322,526 |
|||||||||
959 |
Snowflake, Inc. (a) |
339,333 |
|||||||||
1,339,354 |
|||||||||||
Publishing Industries (except Internet) - 13.6% |
|||||||||||
1,187 |
CrowdStrike Holdings, Inc. (a) |
334,497 |
|||||||||
1,029 |
Microsoft Corp. |
341,237 |
|||||||||
229 |
Shopify, Inc. ADR (Canada) (a) |
335,881 |
|||||||||
1,011,615 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 8.7% |
|||||||||||
8,180 |
NIO, Inc. ADR (a) |
322,374 |
|||||||||
946 |
Sea Ltd. ADR (a) |
325,017 |
|||||||||
647,391 |
Shares |
Fair Value |
||||||||||
Telecommunications - 4.5% |
|||||||||||
1,206 |
Zoom Video
Communications, Inc. (a) |
$ |
331,228 |
||||||||
Transportation Equipment Manufacturing - 4.7% |
|||||||||||
310 |
Tesla Motors, Inc. (a) |
345,340 |
|||||||||
TOTAL COMMON STOCKS
(Cost $6,231,340) |
$ |
6,669,833 |
|||||||||
SHORT TERM INVESTMENTS - 17.8% |
|||||||||||
Money Market Funds - 17.8% |
|||||||||||
1,319,282 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
1,319,282 |
||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,319,282) |
$ |
1,319,282 |
|||||||||
TOTAL INVESTMENTS
(Cost $7,550,622) - 107.8% (c) |
$ |
7,989,115 |
|||||||||
Liabilities in
Excess of Other Assets - (7.8)% |
(576,557 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
7,412,558 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,243,359.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
Total return of
ICE FANG 20 Index |
0.6358% representing
1 month LIBOR rate + spread |
UBS Securities LLC |
12/14/2022 |
16,639 |
$ |
7,943,822 |
$ |
209,900 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
69
Direxion Daily Travel & Vacation Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 90.6% |
|||||||||||
Accommodation - 31.8% |
|||||||||||
2,103 |
Boyd Gaming Co. (a) |
$ |
134,129 |
||||||||
2,346 |
Caesars Entertainment Inc. (a) |
256,793 |
|||||||||
1,189 |
Choice Hotels International, Inc. |
167,197 |
|||||||||
2,531 |
Hilton Grand Vacations, Inc. (a) |
127,259 |
|||||||||
3,177 |
Hilton Worldwide Holdings, Inc. (a) |
457,329 |
|||||||||
10,942 |
Host Hotels & Resorts, Inc. (a) |
184,154 |
|||||||||
2,372 |
Huazhu Group Ltd. ADR (a) |
109,966 |
|||||||||
3,171 |
InterContinental
Hotels Group PLC ADR (United Kingdom) (a) |
224,729 |
|||||||||
6,376 |
Las Vegas Sands Corp. (a) |
247,453 |
|||||||||
4,125 |
Marriott
International, Inc. Class A (a) |
660,082 |
|||||||||
7,148 |
Melco Crown
Entertainment Ltd. ADR (a) |
77,413 |
|||||||||
7,323 |
MGM Resorts International |
345,353 |
|||||||||
6,281 |
Park Hotels & Resorts, Inc. (a) |
116,387 |
|||||||||
2,399 |
Penn National Gaming, Inc. (a) |
171,768 |
|||||||||
8,062 |
Service Property Trust |
86,828 |
|||||||||
8,535 |
Sunstone Hotel Investors, Inc. (a) |
105,322 |
|||||||||
2,149 |
Travel + Leisure Co. |
116,777 |
|||||||||
574 |
Vail Resorts, Inc. |
197,863 |
|||||||||
2,003 |
Wyndham Hotels & Resorts, Inc. |
169,193 |
|||||||||
3,955,995 |
|||||||||||
Administrative and Support Services - 9.1% |
|||||||||||
264 |
Booking Holdings, Inc. (a) |
639,086 |
|||||||||
2,941 |
Live Nation Entertainment, Inc. (a) |
297,482 |
|||||||||
2,293 |
Six Flags Entertainment Corp. (a) |
94,311 |
|||||||||
3,018 |
TripAdvisor, Inc. (a) |
99,503 |
|||||||||
1,130,382 |
|||||||||||
Air Transportation - 16.0% |
|||||||||||
2,701 |
Alaska Air Group, Inc. (a) |
142,613 |
|||||||||
529 |
Allegiant Travel Co. (a) |
92,718 |
|||||||||
11,014 |
American Airlines Group, Inc. (a) |
211,469 |
|||||||||
9,980 |
Delta Air Lines, Inc. (a) |
390,517 |
|||||||||
7,534 |
JetBlue Airways Corp. (a) |
105,702 |
|||||||||
2,415 |
Ryanair Holdings PLC
ADR (Ireland) (a) |
274,127 |
|||||||||
2,116 |
SKYWEST, Inc. (a) |
91,051 |
|||||||||
7,581 |
Southwest Airlines Co. (a) |
358,430 |
|||||||||
3,621 |
Spirit Airlines, Inc. (a) |
79,119 |
|||||||||
5,376 |
United Continental
Holdings, Inc. (a) |
248,048 |
|||||||||
1,993,794 |
|||||||||||
Amusement, Gambling,
and Recreation Industries - 5.9% |
|||||||||||
3,469 |
The Walt Disney Co. (a) |
586,504 |
|||||||||
1,715 |
Wynn Resorts Ltd. (a) |
154,007 |
|||||||||
740,511 |
|||||||||||
Data Processing, Hosting and Related Services - 4.3% |
|||||||||||
3,153 |
Airbnb, Inc. (a) |
538,091 |
|||||||||
Management of Companies and Enterprises - 3.9% |
|||||||||||
7,082 |
Norwegian Cruise
Line Holdings Ltd. ADR (a) |
182,149 |
|||||||||
10,434 |
Trip.com Group Ltd. ADR (China) (a) |
297,995 |
|||||||||
480,144 |
Shares |
Fair Value |
||||||||||
Other Information Services - 0.8.% |
|||||||||||
9,228 |
Sabre Corp. (a) |
$ |
95,787 |
||||||||
Performing Arts, Spectator Sports, and Related Industries - 1.4% |
|||||||||||
775 |
Churchill Downs, Inc. |
178,250 |
|||||||||
Real Estate - 9.5% |
|||||||||||
7,714 |
Apple Hospitality REIT, Inc. |
121,187 |
|||||||||
3,993 |
Gaming & Leisure Properties, Inc. |
193,621 |
|||||||||
935 |
Marriott Vacations
Worldwide Corp. |
147,001 |
|||||||||
3,844 |
MGM Growth Properties LLC |
151,377 |
|||||||||
4,792 |
Pebblebrook Hotel Trust |
107,628 |
|||||||||
6,596 |
RLJ Lodging Trust |
95,114 |
|||||||||
1,664 |
Ryman Hospitality
Properties, Inc. (a) |
142,338 |
|||||||||
7,783 |
VICI Properties, Inc. |
228,431 |
|||||||||
1,186,697 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.8% |
|||||||||||
4,988 |
Virgin Galactic Holdings, Inc. (a)(b) |
93,525 |
|||||||||
Support Activities for Transportation - 2.5% |
|||||||||||
1,864 |
Expedia, Inc. (a) |
306,461 |
|||||||||
Water Transportation - 4.6% |
|||||||||||
13,062 |
Carnival Corp. ADR (a) |
289,454 |
|||||||||
3,416 |
Royal Caribbean
Cruises Ltd. ADR (Liberia) (a) |
288,413 |
|||||||||
577,867 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $11,752,198) |
$ |
11,277,504 |
|||||||||
SHORT TERM INVESTMENTS - 10.3% |
|||||||||||
Money Market Funds - 10.3% |
|||||||||||
739,014 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (c)(d) |
$ |
739,014 |
||||||||
423,722 |
Goldman Sachs
Financial Square Government Fund Institutional Shares, 0.03% (c) |
423,722 |
|||||||||
120,000 |
Goldman Sachs
Financial Square Treasury Instruments Fund Institutional Shares, 0.01% (c) |
120,000 |
|||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,282,736) |
$ |
1,282,736 |
|||||||||
TOTAL INVESTMENTS
(Cost $13,034,934) - 100.9% (e) |
$ |
12,560,240 |
|||||||||
Liabilities in
Excess of Other Assets - (0.9)% |
(113,445 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
12,446,795 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
70
Direxion Daily Travel & Vacation Bull 2X Shares
Schedule of Investments, continued
October 31, 2021
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at October 31, 2021.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,662,816.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
Total return of
BlueStar® Travel and Vacation Index |
0.5893%
representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/9/2021 |
3,373 |
$ |
551,129 |
$ |
(13,554 |
) |
||||||||||||||||||
Total return of
BlueStar® Travel and Vacation Index |
0.5858%
representing 1 month LIBOR rate + spread |
Citibank N.A. |
10/31/2022 |
82,092 |
13,088,903 |
(2,617 |
) |
||||||||||||||||||||
$ |
13,640,032 |
$ |
(16,171 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
71
Direxion Daily US Infrastructure Bull 2X Shares
Schedule of Investments
October 31, 2021
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 80.7% |
|||||||||||
Administrative and Support Services - 1.0% |
|||||||||||
614 |
Mastec, Inc. (a) |
$ |
54,726 |
||||||||
Air Transportation - 1.3% |
|||||||||||
914 |
Atlas Air Worldwide Holdings, Inc. (a) |
74,144 |
|||||||||
Computer and Electronic Product Manufacturing - 0.8% |
|||||||||||
550 |
Itron, Inc. (a) |
42,773 |
|||||||||
Construction of Buildings - 1.6% |
|||||||||||
584 |
Dycom Industries, Inc. (a) |
46,381 |
|||||||||
3,178 |
Tutor Perini Corp. (a) |
43,285 |
|||||||||
89,666 |
|||||||||||
Couriers and Messengers - 0.8% |
|||||||||||
1,863 |
Air Transport Services Group, Inc. (a) |
46,370 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 2.4% |
|||||||||||
1,915 |
American Superconductor Corp. (a) |
35,198 |
|||||||||
995 |
AZZ, Inc. |
52,864 |
|||||||||
1,652 |
Powell Industries, Inc. |
42,721 |
|||||||||
130,783 |
|||||||||||
Fabricated Metal Product Manufacturing - 1.0% |
|||||||||||
245 |
Valmont Industries, Inc. |
58,545 |
|||||||||
Heavy and Civil Engineering Construction - 6.5% |
|||||||||||
1,666 |
Construction Partners, Inc. (a) |
59,326 |
|||||||||
1,599 |
Granite Construction, Inc. |
59,355 |
|||||||||
3,474 |
Great Lakes Dredge & Dock Corp. (a) |
52,874 |
|||||||||
851 |
MYR Group, Inc. (a) |
86,930 |
|||||||||
1,627 |
Primoris Services Corp. |
43,848 |
|||||||||
2,313 |
Sterling Construction Co., Inc. (a) |
55,604 |
|||||||||
357,937 |
|||||||||||
Machinery Manufacturing - 1.4% |
|||||||||||
849 |
Arcosa, Inc. |
43,919 |
|||||||||
4,429 |
TechnipFMC PLC
(United Kingdom) (a) |
32,641 |
|||||||||
76,560 |
|||||||||||
Professional, Scientific, and Technical Services - 7.4% |
|||||||||||
945 |
AECOM (a) |
64,610 |
|||||||||
2,739 |
Fluor Corp. (a) |
53,246 |
|||||||||
2,457 |
Infrastructure and
Energy Alternatives, Inc. (a) |
27,199 |
|||||||||
469 |
Jacobs Engineering Group, Inc. |
65,857 |
|||||||||
542 |
NV5 Global, Inc. (a) |
56,438 |
|||||||||
1,331 |
Stantec, Inc. (Canada) |
73,604 |
|||||||||
389 |
Tetra Tech, Inc. |
68,332 |
|||||||||
409,286 |
|||||||||||
Rail Transportation - 6.6% |
|||||||||||
468 |
Canadian National
Railway Co. (Canada) |
62,202 |
|||||||||
704 |
Canadian Pacific
Railway Ltd. (Canada) |
54,490 |
|||||||||
1,656 |
CSX Corp. |
59,897 |
|||||||||
234 |
Kansas City Southern Railway Co. |
72,598 |
|||||||||
200 |
Norfolk Southern Corp. |
58,610 |
|||||||||
240 |
Union Pacific Corp. |
57,936 |
|||||||||
365,733 |
Shares |
Fair Value |
||||||||||
Real Estate - 2.0% |
|||||||||||
208 |
American Tower Corp. |
$ |
58,650 |
||||||||
297 |
Crown Castle International Corp. |
53,549 |
|||||||||
112,199 |
|||||||||||
Rental and Leasing Services - 2.8% |
|||||||||||
3,996 |
Global Ship Lease, Inc. ADR |
93,027 |
|||||||||
757 |
Ryder System, Inc. |
64,307 |
|||||||||
157,334 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 2.0% |
|||||||||||
908 |
Brookfield
Infrastructure Partners L.P. |
53,418 |
|||||||||
3,699 |
Verra Mobility Corp.(a) |
55,041 |
|||||||||
108,459 |
|||||||||||
Specialty Trade Contractors - 2.2% |
|||||||||||
4,016 |
Matrix Service Co. (a) |
41,084 |
|||||||||
672 |
Quanta Services, Inc. |
81,500 |
|||||||||
122,584 |
|||||||||||
Support Activities for Transportation - 8.0% |
|||||||||||
9,002 |
Daseke, Inc. (a) |
85,069 |
|||||||||
1,798 |
Echo Global Logistics, Inc. (a) |
86,717 |
|||||||||
660 |
Forward Air Corp. |
66,370 |
|||||||||
900 |
Hub Group, Inc. (a) |
70,713 |
|||||||||
352 |
J.B. Hunt Transport Services, Inc. |
69,411 |
|||||||||
792 |
Matson, Inc. |
65,958 |
|||||||||
444,238 |
|||||||||||
Telecommunications - 1.9% |
|||||||||||
1,095 |
Argan, Inc. |
45,180 |
|||||||||
176 |
SBA Communications Corp. |
60,778 |
|||||||||
105,958 |
|||||||||||
Transportation Equipment Manufacturing - 4.1% |
|||||||||||
7,375 |
Embraer SA (Brazil) (a) |
114,534 |
|||||||||
1,309 |
The Greenbrier Companies, Inc. |
53,695 |
|||||||||
638 |
Wabtec Corp. |
57,886 |
|||||||||
226,115 |
|||||||||||
Truck Transportation - 12.8% |
|||||||||||
1,022 |
ArcBest Corp. |
91,827 |
|||||||||
2,523 |
Heartland Express, Inc. |
41,201 |
|||||||||
1,184 |
Knight-Swift
Transportation Holdings, Inc. Class A |
67,121 |
|||||||||
2,987 |
Marten Transport Ltd. |
49,674 |
|||||||||
244 |
Old Dominion Freight Line, Inc. |
83,289 |
|||||||||
268 |
Saia, Inc. (a) |
83,787 |
|||||||||
2,255 |
Schneider National, Inc. |
56,240 |
|||||||||
712 |
TFI International, Inc. (Canada) |
78,911 |
|||||||||
7,015 |
US Xpress Enterprises, Inc. (a) |
53,103 |
|||||||||
2,233 |
Universal Logistics Holdings, Inc. |
47,072 |
|||||||||
1,207 |
Werner Enterprises, Inc. |
54,701 |
|||||||||
706,926 |
|||||||||||
Utilities - 7.2% |
|||||||||||
2,819 |
Algonquin Power
& Utilities Corp. (Canada) |
40,678 |
|||||||||
585 |
American Electric Power Co., Inc. |
49,555 |
|||||||||
801 |
Black Hills Corp. |
53,170 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
72
Direxion Daily US Infrastructure Bull 2X Shares
Schedule of Investments, continued
October 31, 2021
Shares |
Fair Value |
||||||||||
Utilities (continued) |
|||||||||||
1,801 |
MDU Resources Group, Inc. |
$ |
55,345 |
||||||||
2,138 |
NiSource, Inc. |
52,744 |
|||||||||
1,143 |
NRG Energy, Inc. |
45,594 |
|||||||||
790 |
Southwest Gas Holdings, Inc. |
54,708 |
|||||||||
740 |
Xcel Energy, Inc. |
47,797 |
|||||||||
399,591 |
|||||||||||
Water Transportation - 6.9% |
|||||||||||
4,213 |
Atlas Corp. (Canada) |
58,982 |
|||||||||
5,919 |
Costamare, Inc. ADR |
79,374 |
|||||||||
1,791 |
Danaos Corp. (Cyprus) |
133,609 |
|||||||||
933 |
Kirby Corp. (a) |
48,898 |
|||||||||
7,492 |
SFL Corp. Ltd. ADR |
59,262 |
|||||||||
380,125 |
|||||||||||
TOTAL COMMON STOCKS
(Cost $4,241,276) |
$ |
4,470,052 |
|||||||||
SHORT TERM INVESTMENTS - 19.8% |
|||||||||||
Money Market Funds - 19.8% |
|||||||||||
1,094,541 |
Dreyfus Government
Cash Management Institutional Shares, 0.03% (b) |
$ |
1,094,541 |
||||||||
TOTAL SHORT TERM
INVESTMENTS (Cost $1,094,541) |
$ |
1,094,541 |
|||||||||
TOTAL INVESTMENTS
(Cost $5,335,817) - 100.5% (c) |
$ |
5,564,593 |
|||||||||
Liabilities in
Excess of Other Assets - (0.5)% |
(26,445 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
5,538,148 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at October 31, 2021.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,729,722.
ADR - American Depository Receipt
Long Total Return Swap Contracts
October 31, 2021
Terms of
Payments to be Received at Termination |
Terms of Payments to
be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of
Indxx US Infrastructure Index |
0.5893%
representing 1 month LIBOR rate + spread |
Bank of
America Merrill Lynch |
12/14/2021 |
152 |
$ |
364,311 |
$ |
(3,166 |
) |
||||||||||||||||||
Total return of
Indxx US Infrastructure Index |
0.6858%
representing 1 month LIBOR rate + spread |
UBS Securities LLC |
12/17/2021 |
2,629 |
5,948,922 |
299,244 |
|||||||||||||||||||||
$ |
6,313,233 |
$ |
296,078 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
73
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily CSI 300 China A Share Bear 1X Shares |
Direxion Daily S&P 500® Bear 1X Shares |
Direxion Daily CSI 300 China A Share Bull 2X Shares |
Direxion Daily CSI China Internet Index Bull 2X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (Note 2) |
$ |
136,696,653 |
$ |
134,847,535 |
$ |
118,288,403 |
$ |
350,440,637 |
|||||||||||
Dividend and interest receivable |
3,360 |
2,645 |
8,396 |
2,243 |
|||||||||||||||
Due from broker for swap contracts |
311 |
— |
335 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
13,634 |
— |
7,205,485 |
— |
|||||||||||||||
Prepaid expenses and other assets |
37,449 |
29,499 |
39,573 |
26,514 |
|||||||||||||||
Total Assets |
136,751,407 |
134,879,679 |
125,542,192 |
350,469,394 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
— |
— |
— |
357,306 |
|||||||||||||||
Unrealized depreciation on swap contracts |
5,221,164 |
9,390,270 |
34,946 |
34,285,915 |
|||||||||||||||
Due to Adviser, net (Note 6) |
70,421 |
35,483 |
76,549 |
212,406 |
|||||||||||||||
Due to broker for swap contracts |
— |
1,754,143 |
7,438,956 |
1,098,944 |
|||||||||||||||
Accrued expenses and other liabilities |
65,326 |
30,504 |
72,898 |
81,487 |
|||||||||||||||
Total Liabilities |
5,356,911 |
11,210,400 |
7,623,349 |
36,036,058 |
|||||||||||||||
Net Assets |
$ |
131,394,496 |
$ |
123,669,279 |
$ |
117,918,843 |
$ |
314,433,336 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
166,213,872 |
$ |
231,966,493 |
$ |
113,084,674 |
$ |
484,075,475 |
|||||||||||
Total distributable earnings (loss) |
(34,819,376 |
) |
(108,297,214 |
) |
4,834,169 |
(169,642,139 |
) |
||||||||||||
Net Assets |
$ |
131,394,496 |
$ |
123,669,279 |
$ |
117,918,843 |
$ |
314,433,336 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
131,394,496 |
$ |
123,669,279 |
$ |
117,918,843 |
$ |
314,433,336 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
7,850,000 |
8,449,983 |
3,000,000 |
16,200,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
16.74 |
$ |
14.64 |
$ |
39.31 |
$ |
19.41 |
|||||||||||
Cost of Investments |
$ |
136,696,653 |
$ |
134,847,535 |
$ |
120,894,810 |
$ |
352,979,365 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
74
Statements of Assets and Liabilities
October 31, 2021
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 |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
71,138,661 |
$ |
19,498,588 |
$ |
272,197,426 |
$ |
90,076,103 |
|||||||||||
Receivable for Fund shares sold |
2,237 |
— |
58,779 |
— |
|||||||||||||||
Receivable for investments sold |
— |
— |
— |
3,918,460 |
|||||||||||||||
Dividend and interest receivable |
90 |
638 |
33,551 |
1,713 |
|||||||||||||||
Due from broker for swap contracts |
319,967 |
— |
168 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
3,329,360 |
— |
— |
21,062,783 |
|||||||||||||||
Prepaid expenses and other assets |
3,242 |
8,184 |
12,945 |
14,291 |
|||||||||||||||
Total Assets |
74,793,557 |
19,507,410 |
272,302,869 |
115,073,350 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
2,248,564 |
54,087,235 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
11,185,996 |
— |
— |
— |
|||||||||||||||
Payable for investments purchased |
690,193 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
3,810,715 |
29,990,083 |
29,463 |
|||||||||||||||
Due to Adviser, net (Note 6) |
22,070 |
8,292 |
158,243 |
65,580 |
|||||||||||||||
Due to broker for swap contracts |
3,220,000 |
65,342 |
2,474,916 |
22,060,000 |
|||||||||||||||
Accrued expenses and other liabilities |
27,583 |
21,316 |
100,470 |
72,688 |
|||||||||||||||
Total Liabilities |
15,145,842 |
6,154,229 |
86,810,947 |
22,227,731 |
|||||||||||||||
Net Assets |
$ |
59,647,715 |
$ |
13,353,181 |
$ |
185,491,922 |
$ |
92,845,619 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
43,427,676 |
$ |
67,410,113 |
$ |
726,819,097 |
$ |
72,601,343 |
|||||||||||
Total distributable earnings (loss) |
16,220,039 |
(54,056,932 |
) |
(541,327,175 |
) |
20,244,276 |
|||||||||||||
Net Assets |
$ |
59,647,715 |
$ |
13,353,181 |
$ |
185,491,922 |
$ |
92,845,619 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
59,647,715 |
$ |
13,353,181 |
$ |
185,491,922 |
$ |
92,845,619 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
533,236 |
240,721 |
2,758,631 |
1,499,686 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
111.86 |
$ |
55.47 |
$ |
67.24 |
$ |
61.91 |
|||||||||||
Cost of Investments |
$ |
59,068,418 |
$ |
20,484,922 |
$ |
301,643,751 |
$ |
88,375,197 |
* Securities loaned with values of $–, $2,099,472, $60,650,443 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
75
Statements of Assets and Liabilities
October 31, 2021
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 |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
76,124,538 |
$ |
5,040,772 |
$ |
27,104,145 |
$ |
14,136,454 |
|||||||||||
Receivable for investments sold |
— |
— |
15,266 |
— |
|||||||||||||||
Due from Adviser, net (Note 6) |
— |
4,905 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
1,032 |
3,926 |
255 |
223 |
|||||||||||||||
Due from broker for swap contracts |
90,957 |
185 |
129,799 |
26 |
|||||||||||||||
Foreign tax reclaims |
— |
— |
1,733 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
16,938,620 |
64,993 |
2,637,218 |
— |
|||||||||||||||
Prepaid expenses and other assets |
13,144 |
2,679 |
25,178 |
16,939 |
|||||||||||||||
Total Assets |
93,168,291 |
5,117,460 |
29,913,594 |
14,153,642 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
— |
44,273 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
— |
7,020 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
276,339 |
— |
— |
1,752,396 |
|||||||||||||||
Due to Adviser, net (Note 6) |
47,971 |
— |
16,910 |
725 |
|||||||||||||||
Due to broker for swap contracts |
19,322,559 |
— |
2,515,368 |
53,707 |
|||||||||||||||
Accrued expenses and other liabilities |
27,027 |
8,165 |
28,884 |
31,541 |
|||||||||||||||
Total Liabilities |
19,673,896 |
8,165 |
2,612,455 |
1,838,369 |
|||||||||||||||
Net Assets |
$ |
73,494,395 |
$ |
5,109,295 |
$ |
27,301,139 |
$ |
12,315,273 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
108,519,494 |
$ |
4,998,920 |
$ |
22,135,719 |
$ |
19,947,581 |
|||||||||||
Total distributable earnings (loss) |
(35,025,099 |
) |
110,375 |
5,165,420 |
(7,632,308 |
) |
|||||||||||||
Net Assets |
$ |
73,494,395 |
$ |
5,109,295 |
$ |
27,301,139 |
$ |
12,315,273 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
73,494,395 |
$ |
5,109,295 |
$ |
27,301,139 |
$ |
12,315,273 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
2,068,002 |
200,001 |
850,001 |
800,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
35.54 |
$ |
25.55 |
$ |
32.12 |
$ |
15.39 |
|||||||||||
Cost of Investments |
$ |
73,376,582 |
$ |
4,968,494 |
$ |
25,068,722 |
$ |
14,136,454 |
* Securities loaned with values of $–, $28,066, $105,284 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
76
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
Energy Bull 2X Shares |
Direxion Daily
Energy Bear 2X Shares |
Direxion Daily
Global Clean Energy Bull 2X Shares ETF |
Direxion
Daily Gold Miners Index Bull 2X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (Note 2) |
$ |
606,612,109 |
$ |
47,423,432 |
$ |
7,517,741 |
$ |
858,122,727 |
|||||||||||
Receivable for Fund shares sold |
475 |
549,691 |
— |
— |
|||||||||||||||
Due from Adviser, net (Note 6) |
— |
— |
7,630 |
— |
|||||||||||||||
Dividend and interest receivable |
505,677 |
942 |
28 |
8,681 |
|||||||||||||||
Due from broker for swap contracts |
87,623 |
— |
2,338 |
1 |
|||||||||||||||
Unrealized appreciation on swap contracts |
128,311,888 |
— |
952,502 |
2,303,850 |
|||||||||||||||
Prepaid expenses and other assets |
7,755 |
14,390 |
— |
25,929 |
|||||||||||||||
Total Assets |
735,525,527 |
47,988,455 |
8,480,239 |
860,461,188 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
1,603,127 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
8,694,079 |
— |
100,272,216 |
|||||||||||||||
Due to Adviser, net (Note 6) |
392,408 |
21,782 |
— |
520,561 |
|||||||||||||||
Due to broker for swap contracts |
133,531,034 |
131,727 |
940,006 |
8,354,032 |
|||||||||||||||
Accrued expenses and other liabilities |
243,897 |
35,594 |
11,117 |
450,300 |
|||||||||||||||
Total Liabilities |
135,770,466 |
8,883,182 |
951,123 |
109,597,109 |
|||||||||||||||
Net Assets |
$ |
599,755,061 |
$ |
39,105,273 |
$ |
7,529,116 |
$ |
750,864,079 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
797,677,745 |
$ |
199,098,362 |
$ |
6,063,144 |
$ |
2,701,570,651 |
|||||||||||
Total distributable earnings (loss) |
(197,922,684 |
) |
(159,993,089 |
) |
1,465,972 |
(1,950,706,572 |
) |
||||||||||||
Net Assets |
$ |
599,755,061 |
$ |
39,105,273 |
$ |
7,529,116 |
$ |
750,864,079 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
599,755,061 |
$ |
39,105,273 |
$ |
7,529,116 |
$ |
750,864,079 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
18,963,531 |
3,557,061 |
250,001 |
15,301,908 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
31.63 |
$ |
10.99 |
$ |
30.12 |
$ |
49.07 |
|||||||||||
Cost of Investments |
$ |
534,323,496 |
$ |
47,423,432 |
$ |
6,913,658 |
$ |
900,384,053 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
77
Statements of Assets and Liabilities
October 31, 2021
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 |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
72,291,715 |
$ |
635,977,422 |
$ |
86,149,644 |
$ |
55,392,433 |
|||||||||||
Receivable for Fund shares sold |
2,781 |
— |
495 |
2,988 |
|||||||||||||||
Dividend and interest receivable |
1,619 |
12,199 |
1,771 |
584 |
|||||||||||||||
Due from broker for swap contracts |
164,104 |
— |
3,654 |
103,320 |
|||||||||||||||
Unrealized appreciation on swap contracts |
9,723,460 |
5,165,227 |
6,493,809 |
8,829,205 |
|||||||||||||||
Prepaid expenses and other assets |
23,212 |
15,115 |
15,185 |
13,415 |
|||||||||||||||
Total Assets |
82,206,891 |
641,169,963 |
92,664,558 |
64,341,945 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
38,260,951 |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
9,270,561 |
— |
3,214,188 |
9,960,974 |
|||||||||||||||
Unrealized depreciation on swap contracts |
1,135,540 |
67,280,857 |
8,010,592 |
73,573 |
|||||||||||||||
Due to Adviser, net (Note 6) |
44,256 |
342,821 |
45,320 |
29,569 |
|||||||||||||||
Due to broker for swap contracts |
7,629,122 |
19,327,806 |
5,690,000 |
8,241,209 |
|||||||||||||||
Accrued expenses and other liabilities |
51,365 |
147,651 |
29,658 |
33,639 |
|||||||||||||||
Total Liabilities |
18,130,844 |
125,360,086 |
16,989,758 |
18,338,964 |
|||||||||||||||
Net Assets |
$ |
64,076,047 |
$ |
515,809,877 |
$ |
75,674,800 |
$ |
46,002,981 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
713,816,557 |
$ |
2,056,961,966 |
$ |
326,676,947 |
$ |
35,300,139 |
|||||||||||
Total distributable earnings (loss) |
(649,740,510 |
) |
(1,541,152,089 |
) |
(251,002,147 |
) |
10,702,842 |
||||||||||||
Net Assets |
$ |
64,076,047 |
$ |
515,809,877 |
$ |
75,674,800 |
$ |
46,002,981 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
64,076,047 |
$ |
515,809,877 |
$ |
75,674,800 |
$ |
46,002,981 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
3,110,171 |
7,693,351 |
6,882,449 |
923,646 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
20.60 |
$ |
67.05 |
$ |
11.00 |
$ |
49.81 |
|||||||||||
Cost of Investments |
$ |
72,291,715 |
$ |
642,527,434 |
$ |
86,149,644 |
$ |
50,570,096 |
* Securities loaned with values of $–, $36,385,743, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
78
Statements of Assets and Liabilities
October 31, 2021
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 |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair
value (including securities loaned*) (Note 2) |
$ |
906,466,164 |
$ |
132,958,423 |
$ |
7,989,115 |
$ |
12,560,240 |
|||||||||||
Receivable for Fund shares sold |
— |
242,881 |
— |
— |
|||||||||||||||
Receivable for investments sold |
— |
— |
741,016 |
— |
|||||||||||||||
Due from Adviser, net (Note 6) |
— |
— |
10,984 |
— |
|||||||||||||||
Dividend and interest receivable |
87,473 |
1,846 |
36 |
132 |
|||||||||||||||
Due from broker for swap contracts |
948,352 |
40,000 |
18,183 |
180,711 |
|||||||||||||||
Unrealized appreciation on swap contracts |
482,313,780 |
— |
209,900 |
— |
|||||||||||||||
Prepaid expenses and other assets |
9,987 |
17,796 |
— |
3,832 |
|||||||||||||||
Total Assets |
1,389,825,756 |
133,260,946 |
8,969,234 |
12,744,915 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
4,597,525 |
— |
— |
26,776 |
|||||||||||||||
Payable for Fund shares redeemed |
— |
958,238 |
— |
— |
|||||||||||||||
Payable for investments purchased |
— |
— |
1,403,320 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
38,699,070 |
— |
16,171 |
|||||||||||||||
Due to Adviser, net (Note 6) |
590,746 |
57,160 |
— |
1,217 |
|||||||||||||||
Due to broker for swap contracts |
492,991,100 |
18,546 |
140,180 |
244,961 |
|||||||||||||||
Accrued expenses and other liabilities |
356,323 |
38,191 |
13,176 |
8,995 |
|||||||||||||||
Total Liabilities |
498,535,694 |
39,771,205 |
1,556,676 |
298,120 |
|||||||||||||||
Net Assets |
$ |
891,290,062 |
$ |
93,489,741 |
$ |
7,412,558 |
$ |
12,446,795 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
737,099,131 |
$ |
245,343,359 |
$ |
6,355,681 |
$ |
13,848,089 |
|||||||||||
Total distributable earnings (loss) |
154,190,931 |
(151,853,618 |
) |
1,056,877 |
(1,401,294 |
) |
|||||||||||||
Net Assets |
$ |
891,290,062 |
$ |
93,489,741 |
$ |
7,412,558 |
$ |
12,446,795 |
|||||||||||
Calculation of Net
Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
891,290,062 |
$ |
93,489,741 |
$ |
7,412,558 |
$ |
12,446,795 |
|||||||||||
Shares outstanding
(unlimited shares of beneficial interest authorized, par value) |
8,078,422 |
19,246,196 |
250,001 |
600,001 |
|||||||||||||||
Net assets value,
redemption price and offering price per share |
$ |
110.33 |
$ |
4.86 |
$ |
29.65 |
$ |
20.74 |
|||||||||||
Cost of Investments |
$ |
886,207,654 |
$ |
132,958,423 |
$ |
7,550,622 |
$ |
13,034,934 |
* Securities loaned with values of $7,234,571, $–, $– and $64,294, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
79
Statements of Assets and Liabilities
October 31, 2021
Direxion Daily
US Infrastructure Bull 2X Shares |
|||||||
Assets: |
|||||||
Investments, at fair value (Note 2) |
$ |
5,564,593 |
|||||
Due from Adviser, net (Note 6) |
9,748 |
||||||
Dividend and interest receivable |
2,352 |
||||||
Due from broker for swap contracts |
472 |
||||||
Unrealized appreciation on swap contracts |
299,244 |
||||||
Total Assets |
5,876,409 |
||||||
Liabilities: |
|||||||
Unrealized depreciation on swap contracts |
3,166 |
||||||
Due to broker for swap contracts |
320,000 |
||||||
Accrued expenses and other liabilities |
15,095 |
||||||
Total Liabilities |
338,261 |
||||||
Net Assets |
$ |
5,538,148 |
|||||
Net Assets Consist of: |
|||||||
Capital stock |
$ |
4,999,893 |
|||||
Total distributable earnings |
538,255 |
||||||
Net Assets |
$ |
5,538,148 |
|||||
Calculation of Net Asset Value Per Share: |
|||||||
Net assets |
$ |
5,538,148 |
|||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
200,001 |
||||||
Net assets value, redemption price and offering price per share |
$ |
27.69 |
|||||
Cost of Investments |
$ |
5,335,817 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
80
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily CSI 300 China A Share Bear 1X Shares |
Direxion Daily S&P 500® Bear 1X Shares |
Direxion Daily CSI 300 China A Share Bull 2X Shares |
Direxion Daily
CSI China Internet Index Bull 2X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
— |
$ |
— |
$ |
207,238 |
$ |
80,284 |
|||||||||||
Interest income |
47,757 |
32,547 |
25,291 |
13,764 |
|||||||||||||||
Securities lending income |
— |
— |
422,894 |
161,404 |
|||||||||||||||
Total investment income |
47,757 |
32,547 |
655,423 |
255,452 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
1,067,945 |
442,853 |
1,030,132 |
1,013,143 |
|||||||||||||||
Fund servicing fees |
67,565 |
48,384 |
52,337 |
51,081 |
|||||||||||||||
Licensing fees |
53,395 |
63,263 |
41,203 |
40,527 |
|||||||||||||||
Management service fees (Note 6) |
44,139 |
31,370 |
34,045 |
33,312 |
|||||||||||||||
Professional fees |
22,482 |
18,827 |
19,604 |
19,081 |
|||||||||||||||
Reports to shareholders |
19,465 |
13,830 |
15,016 |
14,718 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,001 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Trustees' fees and expenses |
3,484 |
2,470 |
2,685 |
2,595 |
|||||||||||||||
Insurance fees |
3,161 |
2,251 |
2,441 |
2,437 |
|||||||||||||||
Interest expense |
2,445 |
— |
12,704 |
2,040 |
|||||||||||||||
Other |
3,337 |
4,552 |
1,802 |
1,776 |
|||||||||||||||
Total Expenses |
1,298,823 |
639,205 |
1,223,374 |
1,192,115 |
|||||||||||||||
Recoupment of
expenses to Adviser (Note 6) |
6,129 |
— |
5,454 |
6,137 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
— |
(69,822 |
) |
— |
(450 |
) |
|||||||||||||
Net Expenses |
1,304,952 |
569,383 |
1,228,828 |
1,197,802 |
|||||||||||||||
Net investment loss |
(1,257,195 |
) |
(536,836 |
) |
(573,405 |
) |
(942,350 |
) |
|||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain
(loss) on: Investment securities |
— |
— |
(1,265,505 |
) |
(43,432,501 |
) |
|||||||||||||
In-kind redemptions |
— |
— |
3,905,383 |
4,033,573 |
|||||||||||||||
Swap contracts |
(6,236,161 |
) |
(43,191,685 |
) |
43,455,209 |
(44,271,228 |
) |
||||||||||||
Net realized gain (loss) |
(6,236,161 |
) |
(43,191,685 |
) |
46,095,087 |
(83,670,156 |
) |
||||||||||||
Change in net
unrealized depreciation on: |
|||||||||||||||||||
Investment securities |
— |
— |
(2,548,602 |
) |
(4,551,586 |
) |
|||||||||||||
Swap contracts |
(3,411,971 |
) |
(6,973,039 |
) |
(20,824,147 |
) |
(56,087,964 |
) |
|||||||||||
Change in net unrealized depreciation |
(3,411,971 |
) |
(6,973,039 |
) |
(23,372,749 |
) |
(60,639,550 |
) |
|||||||||||
Net realized and unrealized gain (loss) |
(9,648,132 |
) |
(50,164,724 |
) |
22,722,338 |
(144,309,706 |
) |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
(10,905,327 |
) |
$ |
(50,701,560 |
) |
$ |
22,148,933 |
$ |
(145,252,056 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
81
Statements of Operations
For the Year Ended October 31, 2021
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 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
439,432 |
$ |
279,562 |
$ |
2,883,082 |
$ |
64,937 |
|||||||||||
Interest income |
265 |
4,335 |
25,706 |
17,189 |
|||||||||||||||
Securities lending income |
127 |
2,627 |
160,864 |
2,392 |
|||||||||||||||
Total investment income |
439,824 |
286,524 |
3,069,652 |
84,518 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
152,071 |
181,845 |
1,574,845 |
783,230 |
|||||||||||||||
Licensing fees |
18,248 |
24,246 |
— |
— |
|||||||||||||||
Fund servicing fees |
12,279 |
10,107 |
79,532 |
40,031 |
|||||||||||||||
Professional fees |
12,072 |
11,707 |
24,667 |
17,295 |
|||||||||||||||
Management service fees (Note 6) |
7,518 |
6,016 |
52,059 |
25,868 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,000 |
6,000 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Reports to shareholders |
3,317 |
2,652 |
22,952 |
11,416 |
|||||||||||||||
Interest expense |
779 |
1,389 |
9,432 |
15,617 |
|||||||||||||||
Trustees' fees and expenses |
587 |
475 |
4,101 |
2,041 |
|||||||||||||||
Insurance fees |
544 |
447 |
3,733 |
1,858 |
|||||||||||||||
Other |
415 |
701 |
132,071 |
43,142 |
|||||||||||||||
Total Expenses |
219,235 |
250,990 |
1,914,796 |
951,902 |
|||||||||||||||
Recoupment of
expenses to Adviser (Note 6) |
— |
— |
9,051 |
8,911 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(35,971 |
) |
(19,264 |
) |
— |
— |
|||||||||||||
Net Expenses |
183,264 |
231,726 |
1,923,847 |
960,813 |
|||||||||||||||
Net investment income (loss) |
256,560 |
54,798 |
1,145,805 |
(876,295 |
) |
||||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain
(loss) on: Investment securities |
21,683 |
— |
(7,331,530 |
) |
111,700 |
||||||||||||||
In-kind redemptions |
— |
4,921,063 |
40,008,636 |
11,950,531 |
|||||||||||||||
Swap contracts |
8,139,578 |
12,260,230 |
69,966,142 |
69,116,801 |
|||||||||||||||
Net realized gain |
8,161,261 |
17,181,293 |
102,643,248 |
81,179,032 |
|||||||||||||||
Change in net
unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
9,097,917 |
(1,217,479 |
) |
(25,868,992 |
) |
1,792,970 |
|||||||||||||
Swap contracts |
1,798,162 |
(3,969,672 |
) |
(34,567,728 |
) |
(11,759,155 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
10,896,079 |
(5,187,151 |
) |
(60,436,720 |
) |
(9,966,185 |
) |
||||||||||||
Net realized and unrealized gain |
19,057,340 |
11,994,142 |
42,206,528 |
71,212,847 |
|||||||||||||||
Net increase in net
assets resulting from operations |
$ |
19,313,900 |
$ |
12,048,940 |
$ |
43,352,333 |
$ |
70,336,552 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
82
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Russia Bull 2X Shares |
Direxion Daily
5G Communications Bull 2X Shares |
Direxion Daily
Cloud Computing Bull 2X Shares1 |
Direxion Daily
Cloud Computing Bear 2X Shares1 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend
income (net of foreign withholding tax of $—, $961, $2,487 and $—, respectively) |
$ |
1,131,498 |
$ |
23,912 |
$ |
24,856 |
$ |
— |
|||||||||||
Interest income |
8,319 |
57 |
1,308 |
2,373 |
|||||||||||||||
Securities lending income |
— |
19 |
1,189 |
— |
|||||||||||||||
Total investment income |
1,139,817 |
23,988 |
27,353 |
2,373 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
492,505 |
14,995 |
159,152 |
102,210 |
|||||||||||||||
Fund servicing fees |
25,528 |
1,719 |
8,845 |
6,025 |
|||||||||||||||
Management service fees (Note 6) |
16,264 |
496 |
5,241 |
3,386 |
|||||||||||||||
Professional fees |
14,563 |
10,135 |
11,464 |
10,952 |
|||||||||||||||
Interest expense |
9,376 |
— |
693 |
113 |
|||||||||||||||
Reports to shareholders |
7,174 |
199 |
2,317 |
1,490 |
|||||||||||||||
Pricing fees |
6,001 |
2,367 |
4,883 |
4,883 |
|||||||||||||||
Exchange listing fees |
5,404 |
2,145 |
4,426 |
4,426 |
|||||||||||||||
Licensing fees |
5,000 |
1,973 |
19,529 |
19,528 |
|||||||||||||||
Trustees' fees and expenses |
1,279 |
38 |
412 |
266 |
|||||||||||||||
Insurance fees |
1,170 |
33 |
361 |
234 |
|||||||||||||||
Offering fees |
— |
1,105 |
2,483 |
6,949 |
|||||||||||||||
Other |
1,214 |
26 |
279 |
179 |
|||||||||||||||
Total Expenses |
585,478 |
35,231 |
220,085 |
160,641 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
— |
(16,237 |
) |
(17,799 |
) |
(31,061 |
) |
||||||||||||
Net Expenses |
585,478 |
18,994 |
202,286 |
129,580 |
|||||||||||||||
Net investment income (loss) |
554,339 |
4,994 |
(174,933 |
) |
(127,207 |
) |
|||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain
(loss) on: Investment securities |
— |
(19,237 |
) |
(408,574 |
) |
— |
|||||||||||||
In-kind redemptions |
8,848,523 |
— |
1,368,563 |
— |
|||||||||||||||
Swap contracts |
30,982,703 |
(8,918 |
) |
1,558,038 |
(5,879,912 |
) |
|||||||||||||
Net realized gain (loss) |
39,831,226 |
(28,155 |
) |
2,518,027 |
(5,879,912 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
5,135,000 |
72,278 |
2,035,423 |
— |
|||||||||||||||
Swap contracts |
15,627,339 |
64,993 |
2,637,218 |
(1,752,396 |
) |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
20,762,339 |
137,271 |
4,672,641 |
(1,752,396 |
) |
||||||||||||||
Net realized and unrealized gain (loss) |
60,593,565 |
109,116 |
7,190,668 |
(7,632,308 |
) |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
61,147,904 |
$ |
114,110 |
$ |
7,015,735 |
$ |
(7,759,515 |
) |
1 Represents the period from January 8, 2021 (commencement of operations) to October 31, 2021.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
83
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
Energy Bull 2X Shares |
Direxion Daily
Energy Bear 2X Shares |
Direxion Daily
Global Clean Energy Bull 2X Shares ETF1 |
Direxion Daily
Gold Miners Index Bull 2X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
18,216,098 |
$ |
— |
$ |
— |
$ |
3,439,413 |
|||||||||||
Interest income |
46,401 |
6,651 |
54 |
95,581 |
|||||||||||||||
Securities lending income |
— |
— |
— |
300 |
|||||||||||||||
Total investment income |
18,262,499 |
6,651 |
54 |
3,535,294 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
4,201,529 |
225,893 |
10,377 |
7,170,407 |
|||||||||||||||
Licensing fees |
448,163 |
24,095 |
6,507 |
191,074 |
|||||||||||||||
Fund servicing fees |
209,870 |
12,272 |
1,493 |
358,825 |
|||||||||||||||
Management service fees (Note 6) |
138,738 |
7,462 |
343 |
237,063 |
|||||||||||||||
Reports to shareholders |
61,215 |
3,290 |
135 |
104,531 |
|||||||||||||||
Professional fees |
48,958 |
12,090 |
10,088 |
76,867 |
|||||||||||||||
Interest expense |
43,501 |
583 |
— |
44,242 |
|||||||||||||||
Trustees' fees and expenses |
10,924 |
586 |
26 |
18,696 |
|||||||||||||||
Insurance fees |
9,974 |
552 |
24 |
16,993 |
|||||||||||||||
Exchange listing fees |
6,913 |
5,404 |
1,415 |
5,723 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
1,562 |
6,001 |
|||||||||||||||
Offering fees |
— |
— |
867 |
— |
|||||||||||||||
Other |
13,374 |
395 |
18 |
12,539 |
|||||||||||||||
Total Expenses |
5,199,160 |
298,623 |
32,855 |
8,242,961 |
|||||||||||||||
Recoupment of
expenses to Adviser (Note 6) |
95,036 |
— |
— |
— |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(1,215 |
) |
(11,909 |
) |
(19,710 |
) |
(7,397 |
) |
|||||||||||
Net Expenses |
5,292,981 |
286,714 |
13,145 |
8,235,564 |
|||||||||||||||
Net investment income (loss) |
12,969,518 |
(280,063 |
) |
(13,091 |
) |
(4,700,270 |
) |
||||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain
(loss) on: Investment securities |
(7,532,541 |
) |
— |
(42,612 |
) |
(124,929,861 |
) |
||||||||||||
In-kind redemptions |
93,545,458 |
— |
— |
55,174,157 |
|||||||||||||||
Swap contracts |
222,640,569 |
(38,073,006 |
) |
(38,814 |
) |
78,375,644 |
|||||||||||||
Net realized gain (loss) |
308,653,486 |
(38,073,006 |
) |
(81,426 |
) |
8,619,940 |
|||||||||||||
Change in net
unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
119,182,914 |
— |
604,083 |
10,363,127 |
|||||||||||||||
Swap contracts |
178,856,484 |
(16,329,694 |
) |
952,502 |
(318,026,227 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
298,039,398 |
(16,329,694 |
) |
1,556,585 |
(307,663,100 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
606,692,884 |
(54,402,700 |
) |
1,475,159 |
(299,043,160 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
619,662,402 |
$ |
(54,682,763 |
) |
$ |
1,462,068 |
$ |
(303,743,430 |
) |
1 Represents the period from July 29, 2021 (commencement of operations) to October 31, 2021.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
84
Statements of Operations
For the Year Ended October 31, 2021
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 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
— |
$ |
4,759,448 |
$ |
— |
$ |
33,743 |
|||||||||||
Interest income |
16,933 |
82,234 |
16,215 |
5,594 |
|||||||||||||||
Securities lending income |
— |
7,823 |
— |
37 |
|||||||||||||||
Total investment income |
16,933 |
4,849,505 |
16,215 |
39,374 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
688,345 |
4,759,975 |
584,512 |
376,026 |
|||||||||||||||
Fund servicing fees |
35,319 |
238,553 |
28,948 |
19,775 |
|||||||||||||||
Management service fees (Note 6) |
22,739 |
157,377 |
19,312 |
12,425 |
|||||||||||||||
Licensing fees |
18,219 |
2,500 |
2,500 |
30,083 |
|||||||||||||||
Professional fees |
16,434 |
54,367 |
15,440 |
13,504 |
|||||||||||||||
Reports to shareholders |
10,036 |
69,387 |
8,519 |
5,481 |
|||||||||||||||
Exchange listing fees |
6,403 |
5,404 |
5,404 |
5,404 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
6,001 |
6,000 |
|||||||||||||||
Interest expense |
4,434 |
65,381 |
2,560 |
2,706 |
|||||||||||||||
Trustees' fees and expenses |
1,796 |
12,407 |
1,522 |
980 |
|||||||||||||||
Insurance fees |
1,632 |
11,278 |
1,386 |
891 |
|||||||||||||||
Other |
1,204 |
12,016 |
1,022 |
658 |
|||||||||||||||
Total Expenses |
812,562 |
5,394,646 |
677,126 |
473,933 |
|||||||||||||||
Recoupment of
expenses to Adviser (Note 6) |
655 |
— |
— |
5,321 |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(9,698 |
) |
— |
— |
(248 |
) |
|||||||||||||
Net Expenses |
803,519 |
5,394,646 |
677,126 |
479,006 |
|||||||||||||||
Net investment loss |
(786,586 |
) |
(545,141 |
) |
(660,911 |
) |
(439,632 |
) |
|||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain
(loss) on: Investment securities |
— |
(84,879,976 |
) |
— |
(512,139 |
) |
|||||||||||||
In-kind redemptions |
— |
36,403,311 |
— |
6,396,838 |
|||||||||||||||
Swap contracts |
8,499,717 |
(959,897 |
) |
7,764,779 |
25,087,885 |
||||||||||||||
Net realized gain (loss) |
8,499,717 |
(49,436,562 |
) |
7,764,779 |
30,972,584 |
||||||||||||||
Change in net
unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
— |
20,595,244 |
— |
1,261,494 |
|||||||||||||||
Swap contracts |
17,699,304 |
(242,177,306 |
) |
16,618,639 |
(4,804,239 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
17,699,304 |
(221,582,062 |
) |
16,618,639 |
(3,542,745 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
26,199,021 |
(271,018,624 |
) |
24,383,418 |
27,429,839 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
25,412,435 |
$ |
(271,563,765 |
) |
$ |
23,722,507 |
$ |
26,990,207 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
85
Statements of Operations
For the Year Ended October 31, 2021
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 Shares2 |
Direxion Daily
Travel & Vacation Bull 2X Shares1 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
4,920,540 |
$ |
— |
$ |
— |
$ |
23,437 |
|||||||||||
Interest income |
121,379 |
13,194 |
39 |
118 |
|||||||||||||||
Securities lending income |
63,421 |
— |
— |
73 |
|||||||||||||||
Total investment income |
5,105,340 |
13,194 |
39 |
23,628 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
5,455,577 |
468,989 |
4,116 |
29,906 |
|||||||||||||||
Licensing fees |
581,928 |
50,025 |
877 |
2,434 |
|||||||||||||||
Fund servicing fees |
271,904 |
24,350 |
1,190 |
2,432 |
|||||||||||||||
Management service fees (Note 6) |
179,997 |
15,488 |
136 |
988 |
|||||||||||||||
Interest expense |
107,349 |
1,094 |
— |
8 |
|||||||||||||||
Reports to shareholders |
79,460 |
6,827 |
52 |
434 |
|||||||||||||||
Professional fees |
60,441 |
14,319 |
10,028 |
10,265 |
|||||||||||||||
Trustees' fees and expenses |
14,163 |
1,209 |
9 |
76 |
|||||||||||||||
Insurance fees |
12,977 |
1,117 |
10 |
67 |
|||||||||||||||
Pricing fees |
6,001 |
6,001 |
526 |
2,367 |
|||||||||||||||
Exchange listing fees |
5,404 |
5,404 |
477 |
2,145 |
|||||||||||||||
Offering fees |
— |
— |
3,000 |
1,105 |
|||||||||||||||
Other |
18,212 |
821 |
7 |
53 |
|||||||||||||||
Total Expenses |
6,793,413 |
595,644 |
20,428 |
52,280 |
|||||||||||||||
Recoupment of
expenses to Adviser (Note 6) |
151,951 |
2,028 |
— |
— |
|||||||||||||||
Less: Reimbursement
of expenses from Adviser (Note 6) |
(2,261 |
) |
(2,524 |
) |
(15,215 |
) |
(14,391 |
) |
|||||||||||
Net Expenses |
6,943,103 |
595,148 |
5,213 |
37,889 |
|||||||||||||||
Net investment loss |
(1,837,763 |
) |
(581,954 |
) |
(5,174 |
) |
(14,261 |
) |
|||||||||||
Net realized and
unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain
(loss) on: Investment securities |
(21,999,640 |
) |
— |
13,333 |
(194,132 |
) |
|||||||||||||
In-kind redemptions |
119,114,520 |
— |
— |
123,576 |
|||||||||||||||
Swap contracts |
304,064,919 |
(86,858,681 |
) |
398,999 |
(737,721 |
) |
|||||||||||||
Net realized gain (loss) |
401,179,799 |
(86,858,681 |
) |
412,332 |
(808,277 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
48,097,623 |
— |
438,493 |
(474,694 |
) |
||||||||||||||
Swap contracts |
633,573,808 |
(55,088,450 |
) |
209,900 |
(16,171 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
681,671,431 |
(55,088,450 |
) |
648,393 |
(490,865 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
1,082,851,230 |
(141,947,131 |
) |
1,060,725 |
(1,299,142 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
$ |
1,081,013,467 |
$ |
(142,529,085 |
) |
$ |
1,055,551 |
$ |
(1,313,403 |
) |
1 Represents the period from June 10, 2021 (commencement of operations) to October 31, 2021.
2 Represents the period from September 30, 2021 (commencement of operations) to October 31, 2021.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
86
Statements of Operations
For the Year Ended October 31, 2021
Direxion Daily
US Infrastructure Bull 2X Shares |
|||||||
Investment Income: |
|||||||
Dividend
income (net of foreign withholding tax of $112) |
$ |
4,330 |
|||||
Interest income |
27 |
||||||
Total investment income |
4,357 |
||||||
Expenses: |
|||||||
Professional fees |
10,032 |
||||||
Investment advisory fees (Note 6) |
4,242 |
||||||
Licensing fees |
2,564 |
||||||
Fund servicing fees |
1,198 |
||||||
Pricing fees |
641 |
||||||
Exchange listing fees |
581 |
||||||
Management service fees (Note 6) |
140 |
||||||
Offering fees |
132 |
||||||
Reports to shareholders |
54 |
||||||
Insurance fees |
11 |
||||||
Trustees' fees and expenses |
10 |
||||||
Other |
8 |
||||||
Total Expenses |
19,613 |
||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(14,240 |
) |
|||||
Net Expenses |
5,373 |
||||||
Net investment loss |
(1,016 |
) |
|||||
Net realized and unrealized gain on investments: |
|||||||
Net realized gain on: |
|||||||
Swap contracts |
14,285 |
||||||
Net realized gain |
14,285 |
||||||
Change in net unrealized appreciation on: |
|||||||
Investment securities |
228,776 |
||||||
Swap contracts |
296,078 |
||||||
Change in net unrealized appreciation |
524,854 |
||||||
Net realized and unrealized gain |
539,139 |
||||||
Net increase in net assets resulting from operations |
$ |
538,123 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
87
Statements of Changes in Net Assets
Direxion Daily CSI
300 China A Share Bear 1X Shares |
Direxion Daily
S&P 500® Bear 1X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(1,257,195 |
) |
$ |
(27,574 |
) |
$ |
(536,836 |
) |
$ |
(259,288 |
) |
|||||||
Net realized loss |
(6,236,161 |
) |
(3,055,894 |
) |
(43,191,685 |
) |
(42,822,665 |
) |
|||||||||||
Change in net unrealized depreciation |
(3,411,971 |
) |
(1,690,515 |
) |
(6,973,039 |
) |
(1,658,148 |
) |
|||||||||||
Net (decrease) in
net assets resulting from operations |
(10,905,327 |
) |
(4,773,983 |
) |
(50,701,560 |
) |
(44,740,101 |
) |
|||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(50,677 |
) |
— |
(74,214 |
) |
|||||||||||||
Return of capital |
— |
(44,290 |
) |
— |
(50,440 |
) |
|||||||||||||
Total distributions |
— |
(94,967 |
) |
— |
(124,654 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
264,056,763 |
104,166,411 |
59,430,595 |
226,514,013 |
|||||||||||||||
Cost of shares redeemed |
(216,017,390 |
) |
(25,716,433 |
) |
(60,630,303 |
) |
(25,603,766 |
) |
|||||||||||
Transaction fees (Note 4) |
59,679 |
4,566 |
— |
— |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
48,099,052 |
78,454,544 |
(1,199,708 |
) |
200,910,247 |
||||||||||||||
Total increase (decrease) in net assets |
37,193,725 |
73,585,594 |
(51,901,268 |
) |
156,045,492 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
94,200,771 |
20,615,177 |
175,570,547 |
19,525,055 |
|||||||||||||||
End of year |
$ |
131,394,496 |
$ |
94,200,771 |
$ |
123,669,279 |
$ |
175,570,547 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
4,650,000 |
700,000 |
8,249,983 |
749,983 |
|||||||||||||||
Shares sold |
15,600,000 |
4,850,000 |
3,650,000 |
8,600,000 |
|||||||||||||||
Shares repurchased |
(12,400,000 |
) |
(900,000 |
) |
(3,450,000 |
) |
(1,100,000 |
) |
|||||||||||
Shares outstanding, end of year |
7,850,000 |
4,650,000 |
8,449,983 |
8,249,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
88
Statements of Changes in Net Assets
Direxion Daily CSI
300 China A Share Bull 2X Shares |
Direxion Daily CSI
China Internet Index Bull 2X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(573,405 |
) |
$ |
209,303 |
$ |
(942,350 |
) |
$ |
(51,752 |
) |
||||||||
Net realized gain (loss) |
46,095,087 |
21,740,387 |
(83,670,156 |
) |
18,215,749 |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
(23,372,749 |
) |
22,527,939 |
(60,639,550 |
) |
19,078,776 |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
22,148,933 |
44,477,629 |
(145,252,056 |
) |
37,242,773 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(404,988 |
) |
— |
(126,584 |
) |
|||||||||||||
Return of capital |
— |
(73,895 |
) |
— |
(89,169 |
) |
|||||||||||||
Total distributions |
— |
(478,883 |
) |
— |
(215,753 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
87,079,703 |
63,393,945 |
442,985,463 |
34,318,402 |
|||||||||||||||
Cost of shares redeemed |
(87,706,292 |
) |
(138,915,873 |
) |
(39,912,521 |
) |
(67,963,524 |
) |
|||||||||||
Transaction fees (Note 4) |
8,771 |
14,112 |
4,773 |
6,934 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(617,818 |
) |
(75,507,816 |
) |
403,077,715 |
(33,638,188 |
) |
||||||||||||
Total increase (decrease) in net assets |
21,531,115 |
(31,509,070 |
) |
257,825,659 |
3,388,832 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
96,387,728 |
127,896,798 |
56,607,677 |
53,218,845 |
|||||||||||||||
End of year |
$ |
117,918,843 |
$ |
96,387,728 |
$ |
314,433,336 |
$ |
56,607,677 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
2,950,000 |
5,950,000 |
1,050,001 |
2,200,001 |
|||||||||||||||
Shares sold |
2,000,000 |
2,700,000 |
16,050,000 |
1,050,000 |
|||||||||||||||
Shares repurchased |
(1,950,000 |
) |
(5,700,000 |
) |
(900,000 |
) |
(2,200,000 |
) |
|||||||||||
Shares outstanding, end of year |
3,000,000 |
2,950,000 |
16,200,001 |
1,050,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
89
Statements of Changes in Net Assets
Direxion Daily
S&P 500® Bull 2X Shares |
Direxion Daily
Latin America Bull 2X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income |
$ |
256,560 |
$ |
200,259 |
$ |
54,798 |
$ |
59,104 |
|||||||||||
Net realized gain (loss) |
8,161,261 |
3,008,479 |
17,181,293 |
(18,029,114 |
) |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
10,896,079 |
2,299,898 |
(5,187,151 |
) |
(142,770 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
19,313,900 |
5,508,636 |
12,048,940 |
(18,112,780 |
) |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(1,712,190 |
) |
(228,339 |
) |
(70,919 |
) |
(61,685 |
) |
|||||||||||
Return of capital |
— |
— |
(48,386 |
) |
(76,394 |
) |
|||||||||||||
Total distributions |
(1,712,190 |
) |
(228,339 |
) |
(119,305 |
) |
(138,079 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
92,337,294 |
9,808,536 |
4,568,838 |
39,614,358 |
|||||||||||||||
Cost of shares redeemed |
(67,628,708 |
) |
(8,627,454 |
) |
(23,358,408 |
) |
(9,695,166 |
) |
|||||||||||
Transaction fees (Note 4) |
13,526 |
1,131 |
4,672 |
3,474 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
24,722,112 |
1,182,213 |
(18,784,898 |
) |
29,922,666 |
||||||||||||||
Total increase (decrease) in net assets |
42,323,822 |
6,462,510 |
(6,855,263 |
) |
11,671,807 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
17,323,893 |
10,861,383 |
20,208,444 |
8,536,637 |
|||||||||||||||
End of year |
$ |
59,647,715 |
$ |
17,323,893 |
$ |
13,353,181 |
$ |
20,208,444 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
283,236 |
183,236 |
490,721 |
20,955 |
|||||||||||||||
Shares sold |
900,000 |
250,000 |
50,000 |
542,500 |
|||||||||||||||
Shares repurchased |
(650,000 |
) |
(150,000 |
) |
(300,000 |
) |
(72,734 |
) |
|||||||||||
Shares outstanding, end of year |
533,236 |
283,236 |
240,721 |
490,721 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
90
Statements of Changes in Net Assets
Direxion Daily
MSCI Brazil Bull 2X Shares |
Direxion Daily
MSCI India Bull 2X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
1,145,805 |
$ |
2,459,556 |
$ |
(876,295 |
) |
$ |
(354,284 |
) |
|||||||||
Net realized gain (loss) |
102,643,248 |
(573,046,110 |
) |
81,179,032 |
(18,646,115 |
) |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
(60,436,720 |
) |
(87,960,856 |
) |
(9,966,185 |
) |
25,165,864 |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
43,352,333 |
(658,547,410 |
) |
70,336,552 |
6,165,465 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(1,145,805 |
) |
(2,459,555 |
) |
— |
(15,893 |
) |
||||||||||||
Return of capital |
(490,797 |
) |
(604,582 |
) |
— |
(778 |
) |
||||||||||||
Total distributions |
(1,636,602 |
) |
(3,064,137 |
) |
— |
(16,671 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
218,999,576 |
747,424,198 |
157,703,223 |
78,866,820 |
|||||||||||||||
Cost of shares redeemed |
(236,123,149 |
) |
(338,213,399 |
) |
(219,599,179 |
) |
(84,098,374 |
) |
|||||||||||
Transaction fees (Note 4) |
47,224 |
68,075 |
58,878 |
31,039 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(17,076,349 |
) |
409,278,874 |
(61,837,078 |
) |
(5,200,515 |
) |
||||||||||||
Total increase (decrease) in net assets |
24,639,382 |
(252,332,673 |
) |
8,499,474 |
948,279 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
160,852,540 |
413,185,213 |
84,346,145 |
83,397,866 |
|||||||||||||||
End of year |
$ |
185,491,922 |
$ |
160,852,540 |
$ |
92,845,619 |
$ |
84,346,145 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
2,608,631 |
370,107 |
2,749,686 |
1,249,686 |
|||||||||||||||
Shares sold |
2,400,000 |
3,448,571 |
2,600,000 |
4,000,000 |
|||||||||||||||
Shares repurchased |
(2,250,000 |
) |
(1,210,047 |
) |
(3,850,000 |
) |
(2,500,000 |
) |
|||||||||||
Shares outstanding, end of year |
2,758,631 |
2,608,631 |
1,499,686 |
2,749,686 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
91
Statements of Changes in Net Assets
Direxion Daily
Russia Bull 2X Shares |
Direxion Daily
5G Communications Bull 2X Shares |
||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
For the Period
June 10, 20211 through October 31, 2021 |
|||||||||||||
Operations: |
|||||||||||||||
Net investment income |
$ |
554,339 |
$ |
279,034 |
$ |
4,994 |
|||||||||
Net realized gain (loss) |
39,831,226 |
(25,915,066 |
) |
(28,155 |
) |
||||||||||
Change in net unrealized appreciation (depreciation) |
20,762,339 |
(13,615,407 |
) |
137,271 |
|||||||||||
Net increase (decrease) in net assets resulting from operations |
61,147,904 |
(39,251,439 |
) |
114,110 |
|||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
(705,374 |
) |
(621,437 |
) |
(4,840 |
) |
|||||||||
Return of capital |
(202,389 |
) |
(33,321 |
) |
— |
||||||||||
Total distributions |
(907,763 |
) |
(654,758 |
) |
(4,840 |
) |
|||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
22,370,063 |
93,161,537 |
5,000,025 |
||||||||||||
Cost of shares redeemed |
(55,141,831 |
) |
(83,911,698 |
) |
— |
||||||||||
Transaction fees (Note 4) |
11,028 |
28,920 |
— |
||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(32,760,740 |
) |
9,278,759 |
5,000,025 |
|||||||||||
Total increase (decrease) in net assets |
27,479,401 |
(30,627,438 |
) |
5,109,295 |
|||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
46,014,994 |
76,642,432 |
— |
||||||||||||
End of year/period |
$ |
73,494,395 |
$ |
46,014,994 |
$ |
5,109,295 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
3,468,002 |
1,418,002 |
— |
||||||||||||
Shares sold |
800,000 |
5,550,000 |
200,001 |
||||||||||||
Shares repurchased |
(2,200,000 |
) |
(3,500,000 |
) |
— |
||||||||||
Shares outstanding, end of year/period |
2,068,002 |
3,468,002 |
200,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
92
Statements of Changes in Net Assets
Direxion Daily
Cloud Computing Bull 2X Shares |
Direxion Daily
Cloud Computing Bear 2X Shares |
||||||||||
For the Period
January 8, 20211 through October 31, 2021 |
For the Period
January 8, 20211 through October 31, 2021 |
||||||||||
Operations: |
|||||||||||
Net investment loss |
$ |
(174,933 |
) |
$ |
(127,207 |
) |
|||||
Net realized gain (loss) |
2,518,027 |
(5,879,912 |
) |
||||||||
Change in net unrealized appreciation (depreciation) |
4,672,641 |
(1,752,396 |
) |
||||||||
Net increase (decrease) in net assets resulting from operations |
7,015,735 |
(7,759,515 |
) |
||||||||
Distributions to shareholders: |
|||||||||||
Net distributions to shareholders |
— |
— |
|||||||||
Capital share transactions: |
|||||||||||
Proceeds from shares sold |
30,376,308 |
23,273,757 |
|||||||||
Cost of shares redeemed |
(10,092,861 |
) |
(3,199,803 |
) |
|||||||
Transaction fees (Note 4) |
1,957 |
834 |
|||||||||
Net increase in net assets resulting from capital transactions |
20,285,404 |
20,074,788 |
|||||||||
Total increase in net assets |
27,301,139 |
12,315,273 |
|||||||||
Net assets: |
|||||||||||
Beginning of period |
— |
— |
|||||||||
End of period |
$ |
27,301,139 |
$ |
12,315,273 |
|||||||
Changes in shares outstanding |
|||||||||||
Shares outstanding, beginning of period |
— |
— |
|||||||||
Shares sold |
1,200,001 |
925,001 |
|||||||||
Shares repurchased |
(350,000 |
) |
(125,000 |
) |
|||||||
Shares outstanding, end of period |
850,001 |
800,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
93
Statements of Changes in Net Assets
Direxion Daily
Energy Bull 2X Shares |
Direxion Daily
Energy Bear 2X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
12,969,518 |
$ |
8,311,594 |
$ |
(280,063 |
) |
$ |
(98,374 |
) |
|||||||||
Net realized gain (loss) |
308,653,486 |
(402,401,370 |
) |
(38,073,006 |
) |
49,312,193 |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
298,039,398 |
(87,996,847 |
) |
(16,329,694 |
) |
6,174,483 |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
619,662,402 |
(482,086,623 |
) |
(54,682,763 |
) |
55,388,302 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(13,092,316 |
) |
(8,061,166 |
) |
— |
(54,239 |
) |
||||||||||||
Return of capital |
— |
— |
— |
(30,169 |
) |
||||||||||||||
Total distributions |
(13,092,316 |
) |
(8,061,166 |
) |
— |
(84,408 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
345,538,387 |
656,982,160 |
156,689,364 |
173,582,980 |
|||||||||||||||
Cost of shares redeemed |
(609,987,702 |
) |
(194,547,068 |
) |
(96,555,883 |
) |
(221,448,859 |
) |
|||||||||||
Transaction fees (Note 4) |
136,002 |
111,843 |
28,967 |
524,611 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(264,313,313 |
) |
462,546,935 |
60,162,448 |
(47,341,268 |
) |
|||||||||||||
Total increase (decrease) in net assets |
342,256,773 |
(27,600,854 |
) |
5,479,685 |
7,962,626 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
257,498,288 |
285,099,142 |
33,625,588 |
25,662,962 |
|||||||||||||||
End of year |
$ |
599,755,061 |
$ |
257,498,288 |
$ |
39,105,273 |
$ |
33,625,588 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
30,463,531 |
1,985,002 |
457,061 |
507,061 |
|||||||||||||||
Shares sold |
18,350,000 |
37,895,000 |
7,700,000 |
2,500,000 |
|||||||||||||||
Shares repurchased |
(29,850,000 |
) |
(9,416,471 |
) |
(4,600,000 |
) |
(2,550,000 |
) |
|||||||||||
Shares outstanding, end of year |
18,963,531 |
30,463,531 |
3,557,061 |
457,061 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
94
Statements of Changes in Net Assets
Direxion Daily
Global Clean Energy Bull 2X Shares ETF |
Direxion Daily
Gold Miners Index Bull 2X Shares |
||||||||||||||
For the Period
July 29, 20211 through October 31, 2021 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
|||||||||||||
Operations: |
|||||||||||||||
Net investment loss |
$ |
(13,091 |
) |
$ |
(4,700,270 |
) |
$ |
(2,714,380 |
) |
||||||
Net realized gain (loss) |
(81,426 |
) |
8,619,940 |
(78,677,497 |
) |
||||||||||
Change in net unrealized appreciation (depreciation) |
1,556,585 |
(307,663,100 |
) |
(242,181,498 |
) |
||||||||||
Net increase (decrease) in net assets resulting from operations |
1,462,068 |
(303,743,430 |
) |
(323,573,375 |
) |
||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
— |
— |
(3,749,143 |
) |
|||||||||||
Return of capital |
— |
— |
(3,384,907 |
) |
|||||||||||
Total distributions |
— |
— |
(7,134,050 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
6,067,048 |
1,270,883,667 |
1,944,792,718 |
||||||||||||
Cost of shares redeemed |
— |
(1,248,537,836 |
) |
(2,125,276,430 |
) |
||||||||||
Transaction fees (Note 4) |
— |
255,404 |
1,650,138 |
||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
6,067,048 |
22,601,235 |
(178,833,574 |
) |
|||||||||||
Total increase (decrease) in net assets |
7,529,116 |
(281,142,195 |
) |
(509,540,999 |
) |
||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
— |
1,032,006,274 |
1,541,547,273 |
||||||||||||
End of year/period |
$ |
7,529,116 |
$ |
750,864,079 |
$ |
1,032,006,274 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
— |
13,451,908 |
9,747,165 |
||||||||||||
Shares sold |
250,001 |
20,750,000 |
25,080,000 |
||||||||||||
Shares repurchased |
— |
(18,900,000 |
) |
(21,375,257 |
) |
||||||||||
Shares outstanding, end of year/period |
250,001 |
15,301,908 |
13,451,908 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
95
Statements of Changes in Net Assets
Direxion Daily
Gold Miners Index Bear 2X Shares |
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(786,586 |
) |
$ |
409,738 |
$ |
(545,141 |
) |
$ |
(2,519,768 |
) |
||||||||
Net realized gain (loss) |
8,499,717 |
(205,288,482 |
) |
(49,436,562 |
) |
(180,109,637 |
) |
||||||||||||
Change in net
unrealized appreciation (depreciation) |
17,699,304 |
90,379,373 |
(221,582,062 |
) |
(163,668,879 |
) |
|||||||||||||
Net increase
(decrease) in net assets resulting from operations |
25,412,435 |
(114,499,371 |
) |
(271,563,765 |
) |
(346,298,284 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(897,333 |
) |
— |
(833,823 |
) |
|||||||||||||
Return of capital |
— |
(606,649 |
) |
(2,449,837 |
) |
(199,395 |
) |
||||||||||||
Total distributions |
— |
(1,503,982 |
) |
(2,449,837 |
) |
(1,033,218 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
411,796,690 |
919,384,135 |
783,062,248 |
1,367,685,270 |
|||||||||||||||
Cost of shares redeemed |
(474,856,919 |
) |
(1,081,791,973 |
) |
(666,253,215 |
) |
(1,297,369,468 |
) |
|||||||||||
Transaction fees (Note 4) |
128,613 |
1,332,590 |
134,753 |
1,164,490 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(62,931,616 |
) |
(161,075,248 |
) |
116,943,786 |
71,480,292 |
|||||||||||||
Total decrease in net assets |
(37,519,181 |
) |
(277,078,601 |
) |
(157,069,816 |
) |
(275,851,210 |
) |
|||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
101,595,228 |
378,673,829 |
672,879,693 |
948,730,903 |
|||||||||||||||
End of year |
$ |
64,076,047 |
$ |
101,595,228 |
$ |
515,809,877 |
$ |
672,879,693 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
5,060,171 |
2,230,748 |
5,743,351 |
1,364,876 |
|||||||||||||||
Shares sold |
21,600,000 |
25,660,000 |
8,850,000 |
13,445,000 |
|||||||||||||||
Shares repurchased |
(23,550,000 |
) |
(22,830,577 |
) |
(6,900,000 |
) |
(9,066,525 |
) |
|||||||||||
Shares outstanding, end of year |
3,110,171 |
5,060,171 |
7,693,351 |
5,743,351 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
96
Statements of Changes in Net Assets
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares1 |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(660,911 |
) |
$ |
10,490 |
$ |
(439,632 |
) |
$ |
(173,088 |
) |
||||||||
Net realized gain (loss) |
7,764,779 |
(121,795,167 |
) |
30,972,584 |
13,521,420 |
||||||||||||||
Change in net
unrealized appreciation (depreciation) |
16,618,639 |
15,357,893 |
(3,542,745 |
) |
13,369,867 |
||||||||||||||
Net increase
(decrease) in net assets resulting from operations |
23,722,507 |
(106,426,784 |
) |
26,990,207 |
26,718,199 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(352,328 |
) |
(8,502,373 |
) |
(24,752 |
) |
||||||||||||
Return of capital |
— |
(223,740 |
) |
— |
— |
||||||||||||||
Total distributions |
— |
(576,068 |
) |
(8,502,373 |
) |
(24,752 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
303,061,049 |
702,125,739 |
61,949,312 |
15,635,159 |
|||||||||||||||
Cost of shares redeemed |
(334,778,915 |
) |
(661,185,760 |
) |
(78,700,624 |
) |
(18,556,913 |
) |
|||||||||||
Transaction fees (Note 4) |
100,434 |
1,403,455 |
21,880 |
4,734 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(31,617,432 |
) |
42,343,434 |
(16,729,432 |
) |
(2,917,020 |
) |
||||||||||||
Total increase (decrease) in net assets |
(7,894,925 |
) |
(64,659,418 |
) |
1,758,402 |
23,776,427 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
83,569,725 |
148,229,143 |
44,244,579 |
20,468,152 |
|||||||||||||||
End of year |
$ |
75,674,800 |
$ |
83,569,725 |
$ |
46,002,981 |
$ |
44,244,579 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
7,132,449 |
441,509 |
1,323,645 |
900,000 |
|||||||||||||||
Shares sold |
30,400,000 |
25,956,000 |
1,300,001 |
1,050,000 |
|||||||||||||||
Shares repurchased |
(30,650,000 |
) |
(19,265,060 |
) |
(1,700,000 |
) |
(626,355 |
) |
|||||||||||
Shares outstanding, end of year |
6,882,449 |
7,132,449 |
923,646 |
1,323,645 |
1 Effective January 11, 2021, the Fund had a 5:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 5:1 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
97
Statements of Changes in Net Assets
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
||||||||||||||||||
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
Year Ended
October 31, 2021 |
Year Ended
October 31, 2020 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(1,837,763 |
) |
$ |
1,369,195 |
$ |
(581,954 |
) |
$ |
(220,311 |
) |
||||||||
Net realized gain (loss) |
401,179,799 |
(376,340,549 |
) |
(86,858,681 |
) |
61,409,923 |
|||||||||||||
Change in net
unrealized appreciation (depreciation) |
681,671,431 |
(139,703,432 |
) |
(55,088,450 |
) |
(4,854,742 |
) |
||||||||||||
Net increase
(decrease) in net assets resulting from operations |
1,081,013,467 |
(514,674,786 |
) |
(142,529,085 |
) |
56,334,870 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(875,162 |
) |
(563,199 |
) |
— |
(26,156 |
) |
||||||||||||
Return of capital |
(116 |
) |
— |
(7,191 |
) |
— |
|||||||||||||
Total distributions |
(875,278 |
) |
(563,199 |
) |
(7,191 |
) |
(26,156 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
694,180,923 |
1,062,005,865 |
417,762,619 |
452,764,929 |
|||||||||||||||
Cost of shares redeemed |
(1,225,559,152 |
) |
(398,504,921 |
) |
(220,848,691 |
) |
(506,649,204 |
) |
|||||||||||
Transaction fees (Note 4) |
280,356 |
253,383 |
66,255 |
615,686 |
|||||||||||||||
Net increase
(decrease) in net assets resulting from capital transactions |
(531,097,873 |
) |
663,754,327 |
196,980,183 |
(53,268,589 |
) |
|||||||||||||
Total increase in net assets |
549,040,316 |
148,516,342 |
54,443,907 |
3,040,125 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year |
342,249,746 |
193,733,404 |
39,045,834 |
36,005,709 |
|||||||||||||||
End of year |
$ |
891,290,062 |
$ |
342,249,746 |
$ |
93,489,741 |
$ |
39,045,834 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year |
17,528,422 |
179,149 |
546,196 |
486,956 |
|||||||||||||||
Shares sold |
10,250,000 |
24,977,500 |
37,800,000 |
5,430,000 |
|||||||||||||||
Shares repurchased |
(19,700,000 |
) |
(7,628,227 |
) |
(19,100,000 |
) |
(5,370,760 |
) |
|||||||||||
Shares outstanding, end of year |
8,078,422 |
17,528,422 |
19,246,196 |
546,196 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
98
Statements of Changes in Net Assets
Direxion Daily
Select Large Caps & FANGs Bull 2X Shares |
Direxion Daily
Travel & Vacation Bull 2X Shares |
||||||||||
For the Period
September 30, 20211 through October 31, 2021 |
For the Period
June 10, 20211 through October 31, 2021 |
||||||||||
Operations: |
|||||||||||
Net investment loss |
$ |
(5,174 |
) |
$ |
(14,261 |
) |
|||||
Net realized gain (loss) |
412,332 |
(808,277 |
) |
||||||||
Change in net unrealized appreciation (depreciation) |
648,393 |
(490,865 |
) |
||||||||
Net increase (decrease) in net assets resulting from operations |
1,055,551 |
(1,313,403 |
) |
||||||||
Distributions to shareholders: |
|||||||||||
Net distributions to shareholders |
— |
— |
|||||||||
Capital share transactions: |
|||||||||||
Proceeds from shares sold |
6,357,007 |
14,865,822 |
|||||||||
Cost of shares redeemed |
— |
(1,105,845 |
) |
||||||||
Transaction fees (Note 4) |
— |
221 |
|||||||||
Net increase in net assets resulting from capital transactions |
6,357,007 |
13,760,198 |
|||||||||
Total increase in net assets |
7,412,558 |
12,446,795 |
|||||||||
Net assets: |
|||||||||||
Beginning of period |
— |
— |
|||||||||
End of period |
$ |
7,412,558 |
$ |
12,446,795 |
|||||||
Changes in shares outstanding |
|||||||||||
Shares outstanding, beginning of period |
— |
— |
|||||||||
Shares sold |
250,001 |
650,001 |
|||||||||
Shares repurchased |
— |
(50,000 |
) |
||||||||
Shares outstanding, end of period |
250,001 |
600,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
99
Statements of Changes in Net Assets
Direxion Daily
US Infrastructure Bull 2X Shares |
|||||||
For the Period
September 23, 20211 through October 31, 2021 |
|||||||
Operations: |
|||||||
Net investment loss |
$ |
(1,016 |
) |
||||
Net realized gain |
14,285 |
||||||
Change in net unrealized appreciation |
524,854 |
||||||
Net increase in net assets resulting from operations |
538,123 |
||||||
Distributions to shareholders: |
|||||||
Net distributions to shareholders |
— |
||||||
Capital share transactions: |
|||||||
Proceeds from shares sold |
5,000,025 |
||||||
Cost of shares redeemed |
— |
||||||
Net increase in net assets resulting from capital transactions |
5,000,025 |
||||||
Total increase in net assets |
5,538,148 |
||||||
Net assets: |
|||||||
Beginning of period |
— |
||||||
End of period |
$ |
5,538,148 |
|||||
Changes in shares outstanding |
|||||||
Shares outstanding, beginning of period |
— |
||||||
Shares sold |
200,001 |
||||||
Shares repurchased |
— |
||||||
Shares outstanding, end of period |
200,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
100
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS5 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net
Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase
(Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total
Distributions |
Net Asset Value, End of Year/ Period |
Total
Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net
Expenses6 |
Total
Expenses |
Net Investment
Income (Loss) After Expense Reimbursement |
Net
Expenses2,6 |
Total
Expenses2 |
Net Investment
Income (Loss) After Expense Reimbursement2 |
Portfolio
Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
20.26 |
$ |
(0.12 |
) |
$ |
(0.12 |
) |
$ |
(3.40 |
) |
$ |
(3.52 |
) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
16.74 |
-17.37 |
% |
$ |
131,394 |
0.73 |
% |
0.73 |
% |
(0.70 |
)% |
0.73 |
% |
0.73 |
% |
(0.70 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
29.45 |
(0.03 |
) |
(0.03 |
) |
(9.06 |
) |
(9.09 |
) |
(0.05 |
) |
— |
(0.05 |
) |
(0.10 |
) |
$ |
20.26 |
-30.98 |
% |
$ |
94,201 |
0.80 |
% |
0.80 |
% |
(0.12 |
)% |
0.80 |
% |
0.80 |
% |
(0.12 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
38.58 |
0.48 |
0.50 |
(8.59 |
) |
(8.11 |
) |
(1.02 |
) |
— |
— |
(1.02 |
) |
$ |
29.45 |
-21.08 |
% |
$ |
20,615 |
0.88 |
% |
0.87 |
% |
1.44 |
% |
0.80 |
% |
0.79 |
% |
1.52 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
32.04 |
0.24 |
0.26 |
6.50 |
6.74 |
(0.20 |
) |
— |
— |
(0.20 |
) |
$ |
38.58 |
21.11 |
% |
$ |
115,750 |
0.85 |
% |
0.81 |
% |
0.72 |
% |
0.80 |
% |
0.76 |
% |
0.77 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
41.32 |
(0.05 |
) |
(0.05 |
) |
(9.23 |
) |
(9.28 |
) |
— |
— |
— |
— |
$ |
32.04 |
-22.46 |
% |
$ |
100,918 |
0.80 |
% |
0.79 |
% |
(0.12 |
)% |
0.80 |
% |
0.79 |
% |
(0.12 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
21.28 |
(0.07 |
) |
(0.07 |
) |
(6.57 |
) |
(6.64 |
) |
— |
— |
— |
— |
$ |
14.64 |
-31.20 |
% |
$ |
123,669 |
0.45 |
% |
0.51 |
% |
(0.42 |
)% |
0.45 |
% |
0.51 |
% |
(0.42 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
26.03 |
(0.06 |
) |
(0.05 |
) |
(4.60 |
) |
(4.66 |
) |
(0.05 |
) |
— |
(0.04 |
) |
(0.09 |
) |
$ |
21.28 |
-17.95 |
% |
$ |
175,571 |
0.45 |
% |
0.56 |
% |
(0.24 |
)% |
0.45 |
% |
0.56 |
% |
(0.24 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
29.73 |
0.52 |
0.52 |
(3.72 |
) |
(3.20 |
) |
(0.50 |
) |
— |
— |
(0.50 |
) |
$ |
26.03 |
-10.90 |
% |
$ |
19,525 |
0.45 |
% |
0.73 |
% |
1.86 |
% |
0.45 |
% |
0.73 |
% |
1.86 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
31.91 |
0.30 |
0.30 |
(2.14 |
) |
(1.84 |
) |
(0.34 |
) |
— |
— |
(0.34 |
) |
$ |
29.73 |
-5.74 |
% |
$ |
13,380 |
0.45 |
% |
0.65 |
% |
0.99 |
% |
0.45 |
% |
0.65 |
% |
0.99 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
39.30 |
0.07 |
0.08 |
(7.31 |
) |
(7.24 |
) |
(0.15 |
) |
— |
— |
(0.15 |
) |
$ |
31.91 |
-18.62 |
% |
$ |
33,504 |
0.45 |
% |
0.60 |
% |
0.21 |
% |
0.45 |
% |
0.60 |
% |
0.21 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
32.67 |
(0.17 |
) |
(0.17 |
) |
6.81 |
6.64 |
— |
— |
— |
— |
$ |
39.31 |
20.32 |
% |
$ |
117,919 |
0.90 |
% |
0.89 |
% |
(0.42 |
)% |
0.89 |
% |
0.88 |
% |
(0.41 |
)% |
123 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
21.50 |
0.05 |
0.06 |
11.21 |
11.26 |
(0.08 |
) |
— |
(0.01 |
) |
(0.09 |
) |
$ |
32.67 |
52.60 |
% |
$ |
96,388 |
1.01 |
% |
1.00 |
% |
0.19 |
% |
0.95 |
% |
0.94 |
% |
0.25 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
15.95 |
0.14 |
0.19 |
5.56 |
5.70 |
(0.15 |
) |
— |
— |
(0.15 |
) |
$ |
21.50 |
35.87 |
% |
$ |
127,897 |
1.20 |
% |
1.17 |
% |
0.69 |
% |
0.95 |
% |
0.92 |
% |
0.94 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
28.60 |
0.17 |
0.19 |
(12.76 |
) |
(12.59 |
) |
(0.06 |
) |
— |
— |
(0.06 |
) |
$ |
15.95 |
-44.05 |
% |
$ |
76,552 |
1.05 |
% |
1.03 |
% |
0.68 |
% |
0.95 |
% |
0.93 |
% |
0.78 |
% |
339 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
18.53 |
(0.08 |
) |
(0.06 |
) |
10.15 |
10.07 |
— |
— |
— |
— |
$ |
28.60 |
54.34 |
% |
$ |
70,078 |
1.03 |
% |
1.05 |
% |
(0.36 |
)% |
0.95 |
% |
0.97 |
% |
(0.28 |
)% |
1,747 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
53.91 |
(0.22 |
) |
(0.22 |
) |
(34.28 |
) |
(34.50 |
) |
— |
— |
— |
— |
$ |
19.41 |
-64.00 |
% |
$ |
314,433 |
0.89 |
% |
0.88 |
% |
(0.70 |
)% |
0.89 |
% |
0.88 |
% |
(0.70 |
)% |
23 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
24.19 |
(0.03 |
) |
(0.01 |
) |
29.85 |
29.82 |
(0.06 |
) |
— |
(0.04 |
) |
(0.10 |
) |
$ |
53.91 |
123.61 |
% |
$ |
56,608 |
1.00 |
% |
1.01 |
% |
(0.09 |
)% |
0.95 |
% |
0.96 |
% |
(0.04 |
)% |
40 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
22.70 |
0.18 |
0.20 |
1.50 |
1.68 |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
24.19 |
7.53 |
% |
$ |
53,219 |
1.03 |
% |
1.03 |
% |
0.74 |
% |
0.94 |
% |
0.94 |
% |
0.83 |
% |
13 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
49.07 |
0.22 |
0.28 |
(24.87 |
) |
(24.65 |
) |
(0.20 |
) |
(1.52 |
) |
— |
(1.72 |
) |
$ |
22.70 |
-52.04 |
% |
$ |
49,937 |
1.06 |
% |
1.03 |
% |
0.46 |
% |
0.95 |
% |
0.92 |
% |
0.57 |
% |
189 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Period
November 2, 20168 through October 31, 2017 |
$ |
25.00 |
(0.21 |
) |
(0.21 |
) |
24.28 |
24.07 |
— |
— |
— |
— |
$ |
49.07 |
96.28 |
% |
$ |
85,879 |
0.97 |
% |
1.13 |
% |
(0.48 |
)% |
0.95 |
% |
1.11 |
% |
(0.46 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
61.16 |
0.77 |
0.77 |
55.98 |
56.75 |
(0.69 |
) |
(5.36 |
) |
— |
(6.05 |
) |
$ |
111.86 |
98.25 |
% |
$ |
59,648 |
0.60 |
% |
0.72 |
% |
0.85 |
% |
0.60 |
% |
0.72 |
% |
0.85 |
% |
42 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
59.28 |
0.69 |
0.70 |
2.15 |
2.84 |
(0.75 |
) |
(0.21 |
) |
— |
(0.96 |
) |
$ |
61.16 |
4.75 |
% |
$ |
17,324 |
0.63 |
% |
0.88 |
% |
1.20 |
% |
0.60 |
% |
0.85 |
% |
1.23 |
% |
105 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
48.89 |
0.96 |
0.98 |
10.36 |
11.32 |
(0.93 |
) |
— |
— |
(0.93 |
) |
$ |
59.28 |
23.64 |
% |
$ |
10,861 |
0.51 |
% |
0.97 |
% |
1.85 |
% |
0.47 |
%9 |
0.93 |
% |
1.89 |
% |
75 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
46.22 |
0.89 |
0.98 |
4.02 |
4.91 |
(0.87 |
) |
(1.37 |
) |
— |
(2.24 |
) |
$ |
48.89 |
10.13 |
% |
$ |
6,514 |
0.18 |
% |
1.24 |
% |
1.71 |
% |
0.00 |
%9 |
1.06 |
% |
1.89 |
% |
59 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
36.00 |
0.17 |
0.30 |
16.07 |
16.24 |
(0.08 |
) |
(5.94 |
) |
— |
(6.02 |
) |
$ |
46.22 |
48.62 |
% |
$ |
3,847 |
0.82 |
% |
1.87 |
% |
0.40 |
% |
0.49 |
% |
1.54 |
% |
0.73 |
% |
363 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Latin America Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
41.18 |
0.17 |
0.17 |
14.45 |
14.62 |
(0.20 |
) |
— |
(0.13 |
) |
(0.33 |
) |
$ |
55.47 |
35.23 |
% |
$ |
13,353 |
0.96 |
% |
1.04 |
% |
0.22 |
% |
0.95 |
% |
1.03 |
% |
0.23 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
407.40 |
0.25 |
0.27 |
(365.75 |
) |
(365.50 |
) |
(0.32 |
) |
— |
(0.40 |
) |
(0.72 |
) |
$ |
41.18 |
-89.83 |
% |
$ |
20,208 |
0.98 |
% |
1.20 |
% |
0.41 |
% |
0.95 |
% |
1.17 |
% |
0.44 |
% |
71 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
474.80 |
4.20 |
5.00 |
(66.60 |
) |
(62.40 |
) |
(5.00 |
) |
— |
— |
(5.00 |
) |
$ |
407.40 |
-13.19 |
% |
$ |
8,537 |
1.16 |
% |
1.34 |
% |
0.95 |
% |
0.95 |
% |
1.13 |
% |
1.16 |
% |
302 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
630.80 |
5.80 |
6.20 |
(157.40 |
) |
(151.60 |
) |
(4.20 |
) |
— |
(0.20 |
) |
(4.40 |
) |
$ |
474.80 |
-24.04 |
% |
$ |
13,512 |
1.03 |
% |
1.19 |
% |
0.99 |
% |
0.95 |
% |
1.11 |
% |
1.07 |
% |
56 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
575.80 |
(1.60 |
) |
(0.80 |
) |
56.60 |
55.00 |
— |
— |
— |
— |
$ |
630.80 |
9.55 |
% |
$ |
14,796 |
1.12 |
% |
1.35 |
% |
(0.30 |
)% |
0.95 |
% |
1.18 |
% |
(0.13 |
)% |
58 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
61.66 |
0.56 |
0.56 |
5.94 |
6.50 |
(0.64 |
) |
— |
(0.28 |
) |
(0.92 |
) |
$ |
67.24 |
9.83 |
% |
$ |
185,492 |
0.91 |
% |
0.91 |
% |
0.55 |
% |
0.91 |
% |
0.91 |
% |
0.55 |
% |
25 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
1116.50 |
1.54 |
1.69 |
(1,049.80 |
) |
(1,048.26 |
) |
(5.28 |
) |
— |
(1.30 |
) |
(6.58 |
) |
$ |
61.66 |
-94.40 |
% |
$ |
160,853 |
1.05 |
% |
1.05 |
% |
1.01 |
% |
0.95 |
% |
0.95 |
% |
1.11 |
% |
232 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
1029.00 |
10.85 |
15.05 |
88.90 |
99.75 |
(12.25 |
) |
— |
— |
(12.25 |
) |
$ |
1116.50 |
9.85 |
% |
$ |
413,185 |
1.35 |
% |
1.33 |
% |
1.04 |
% |
0.95 |
% |
0.93 |
% |
1.44 |
% |
208 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
1410.15 |
14.00 |
15.75 |
(380.80 |
) |
(366.80 |
) |
(13.65 |
) |
— |
(0.70 |
) |
(14.35 |
) |
$ |
1029.00 |
-25.98 |
% |
$ |
407,268 |
1.15 |
% |
1.14 |
% |
1.54 |
% |
0.95 |
% |
0.94 |
% |
1.74 |
% |
133 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
1660.75 |
(1.05 |
) |
1.40 |
(249.55 |
) |
(250.60 |
) |
— |
— |
— |
— |
$ |
1410.15 |
-15.09 |
% |
$ |
153,270 |
1.13 |
% |
1.15 |
% |
(0.08 |
)% |
0.95 |
% |
0.97 |
% |
0.10 |
% |
42 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
101
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS5 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net
Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase
(Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total
Distributions |
Net Asset Value, End of Year/ Period |
Total
Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net
Expenses6 |
Total
Expenses |
Net Investment
Income (Loss) After Expense Reimbursement |
Net
Expenses2,6 |
Total
Expenses2 |
Net Investment
Income (Loss) After Expense Reimbursement2 |
Portfolio
Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
30.67 |
$ |
(0.41 |
) |
$ |
(0.40 |
) |
$ |
31.65 |
$ |
31.24 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
61.91 |
101.86 |
% |
$ |
92,846 |
0.92 |
% |
0.91 |
% |
(0.83 |
)% |
0.91 |
% |
0.90 |
% |
(0.82 |
)% |
11 |
% |
|||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
66.74 |
(0.14 |
) |
(0.13 |
) |
(35.92 |
) |
(36.06 |
) |
(0.01 |
) |
— |
(0.00 |
)10 |
(0.01 |
) |
$ |
30.67 |
-54.04 |
% |
$ |
84,346 |
0.99 |
% |
0.98 |
% |
(0.46 |
)% |
0.95 |
% |
0.94 |
% |
(0.42 |
)% |
157 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
51.51 |
0.60 |
0.67 |
15.20 |
15.80 |
(0.57 |
) |
— |
— |
(0.57 |
) |
$ |
66.74 |
30.61 |
% |
$ |
83,398 |
1.05 |
% |
1.03 |
% |
0.92 |
% |
0.95 |
% |
0.93 |
% |
1.02 |
% |
111 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
95.50 |
0.09 |
0.14 |
(43.76 |
) |
(43.67 |
) |
(0.24 |
) |
— |
(0.08 |
) |
(0.32 |
) |
$ |
51.51 |
-45.89 |
% |
$ |
100,427 |
1.01 |
% |
0.99 |
% |
0.11 |
% |
0.95 |
% |
0.93 |
% |
0.17 |
% |
59 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
57.82 |
(0.34 |
) |
(0.28 |
) |
38.02 |
37.68 |
— |
— |
— |
— |
$ |
95.50 |
65.17 |
% |
$ |
105,023 |
1.04 |
% |
1.07 |
% |
(0.49 |
)% |
0.95 |
% |
0.98 |
% |
(0.40 |
)% |
15 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
13.27 |
0.21 |
0.22 |
22.41 |
22.62 |
(0.27 |
) |
— |
(0.08 |
) |
(0.35 |
) |
$ |
35.54 |
172.12 |
% |
$ |
73,494 |
0.89 |
% |
0.89 |
% |
0.85 |
% |
0.88 |
% |
0.88 |
% |
0.86 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
54.05 |
0.09 |
0.10 |
(40.74 |
) |
(40.65 |
) |
(0.12 |
) |
— |
(0.01 |
) |
(0.13 |
) |
$ |
13.27 |
-75.17 |
% |
$ |
46,015 |
1.02 |
% |
1.02 |
% |
0.41 |
% |
0.93 |
% |
0.93 |
% |
0.50 |
% |
207 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
36.69 |
1.13 |
1.27 |
17.14 |
18.27 |
(0.91 |
) |
— |
— |
(0.91 |
) |
$ |
54.05 |
50.52 |
% |
$ |
76,642 |
1.25 |
% |
1.25 |
% |
2.79 |
% |
0.92 |
% |
0.92 |
% |
3.12 |
% |
8 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
48.86 |
0.86 |
0.90 |
(11.82 |
) |
(10.96 |
) |
(0.90 |
) |
— |
(0.31 |
) |
(1.21 |
) |
$ |
36.69 |
-23.20 |
% |
$ |
147,417 |
1.00 |
% |
1.00 |
% |
1.91 |
% |
0.90 |
% |
0.90 |
% |
2.01 |
% |
93 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
33.69 |
(0.32 |
) |
(0.25 |
) |
15.49 |
15.17 |
— |
— |
— |
— |
$ |
48.86 |
45.03 |
% |
$ |
142,583 |
1.11 |
% |
1.07 |
% |
(0.74 |
)% |
0.94 |
% |
0.90 |
% |
(0.57 |
)% |
65 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 10, 20218 through October 31, 2021 |
$ |
25.00 |
0.02 |
0.02 |
0.55 |
0.57 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
25.55 |
2.30 |
% |
$ |
5,109 |
0.95 |
% |
1.76 |
% |
0.25 |
% |
0.95 |
% |
1.76 |
% |
0.25 |
% |
19 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 8, 20218 through October 31, 2021 |
$ |
25.00 |
(0.18 |
) |
(0.17 |
) |
7.30 |
7.12 |
— |
— |
— |
— |
$ |
32.12 |
28.48 |
% |
$ |
27,301 |
0.95 |
% |
1.03 |
% |
(0.82 |
)% |
0.95 |
% |
1.03 |
% |
(0.82 |
)% |
19 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 8, 20218 through October 31, 2021 |
$ |
25.00 |
(0.16 |
) |
(0.16 |
) |
(9.45 |
) |
(9.61 |
) |
— |
— |
— |
— |
$ |
15.39 |
-38.44 |
% |
$ |
12,315 |
0.95 |
% |
1.18 |
% |
(0.93 |
)% |
0.95 |
% |
1.18 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.45 |
0.51 |
0.51 |
23.20 |
23.71 |
(0.53 |
) |
— |
— |
(0.53 |
) |
$ |
31.63 |
283.45 |
% |
$ |
599,755 |
0.95 |
% |
0.93 |
% |
2.31 |
% |
0.94 |
% |
0.92 |
% |
2.32 |
% |
36 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
143.60 |
0.52 |
0.53 |
(134.67 |
) |
(134.15 |
) |
(1.00 |
) |
— |
— |
(1.00 |
) |
$ |
8.45 |
-93.97 |
% |
$ |
257,498 |
0.98 |
% |
1.00 |
% |
2.80 |
% |
0.95 |
% |
0.97 |
% |
2.83 |
% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
253.40 |
3.00 |
3.30 |
(110.00 |
) |
(107.00 |
) |
(2.80 |
) |
— |
— |
(2.80 |
) |
$ |
143.60 |
-42.46 |
% |
$ |
285,099 |
1.10 |
% |
1.11 |
% |
1.56 |
% |
0.95 |
% |
0.96 |
% |
1.71 |
% |
204 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
291.60 |
4.20 |
4.60 |
(36.40 |
) |
(32.20 |
) |
(5.90 |
) |
— |
(0.10 |
) |
(6.00 |
) |
$ |
253.40 |
-11.59 |
% |
$ |
349,655 |
1.08 |
% |
1.08 |
% |
1.24 |
% |
0.95 |
% |
0.95 |
% |
1.37 |
% |
56 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
304.00 |
2.70 |
2.90 |
(14.30 |
) |
(11.60 |
) |
(0.80 |
) |
— |
— |
(0.80 |
) |
$ |
291.60 |
-3.77 |
% |
$ |
481,130 |
1.00 |
% |
1.00 |
% |
0.90 |
% |
0.95 |
% |
0.95 |
% |
0.95 |
% |
59 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
73.57 |
(0.17 |
) |
(0.17 |
) |
(62.41 |
) |
(62.58 |
) |
— |
— |
— |
— |
$ |
10.99 |
-85.06 |
% |
$ |
39,105 |
0.95 |
% |
0.99 |
% |
(0.93 |
)% |
0.95 |
% |
0.99 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
50.61 |
(0.19 |
) |
(0.16 |
) |
23.38 |
23.19 |
(0.15 |
) |
— |
(0.08 |
) |
(0.23 |
) |
$ |
73.57 |
45.80 |
% |
$ |
33,626 |
1.00 |
% |
1.09 |
% |
(0.32 |
)% |
0.95 |
% |
1.04 |
% |
(0.27 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
44.87 |
0.57 |
0.66 |
5.89 |
6.46 |
(0.72 |
) |
— |
— |
(0.72 |
) |
$ |
50.61 |
14.51 |
% |
$ |
25,663 |
1.14 |
% |
1.22 |
% |
1.22 |
% |
0.95 |
% |
1.03 |
% |
1.41 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
55.85 |
0.26 |
0.28 |
(11.08 |
) |
(10.82 |
) |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
44.87 |
-19.34 |
% |
$ |
51,915 |
1.00 |
% |
1.04 |
% |
0.65 |
% |
0.95 |
% |
0.99 |
% |
0.70 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
67.00 |
(0.20 |
) |
(0.15 |
) |
(10.95 |
) |
(11.15 |
) |
— |
— |
— |
— |
$ |
55.85 |
-16.64 |
% |
$ |
53,454 |
0.96 |
% |
1.04 |
% |
(0.31 |
)% |
0.95 |
% |
1.03 |
% |
(0.30 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period July 29, 20218 through October 31, 2021 |
$ |
25.00 |
(0.06 |
) |
(0.06 |
) |
5.18 |
5.12 |
— |
— |
— |
— |
$ |
30.12 |
20.48 |
% |
$ |
7,529 |
0.95 |
% |
2.37 |
% |
(0.95 |
)% |
0.95 |
% |
2.37 |
% |
(0.95 |
)% |
15 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
76.72 |
(0.30 |
) |
(0.30 |
) |
(27.35 |
) |
(27.65 |
) |
— |
— |
— |
— |
$ |
49.07 |
-36.04 |
% |
$ |
750,864 |
0.86 |
% |
0.86 |
% |
(0.49 |
)% |
0.86 |
% |
0.86 |
% |
(0.49 |
)% |
71 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
158.15 |
(0.22 |
) |
(0.06 |
) |
(80.50 |
) |
(80.72 |
) |
(0.37 |
) |
— |
(0.34 |
) |
(0.71 |
) |
$ |
76.72 |
-51.26 |
% |
$ |
1,032,006 |
1.07 |
% |
1.07 |
% |
(0.23 |
)% |
0.90 |
% |
0.90 |
% |
(0.06 |
)% |
333 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
66.40 |
0.40 |
0.80 |
91.90 |
92.30 |
(0.40 |
) |
— |
(0.15 |
) |
(0.55 |
) |
$ |
158.15 |
139.42 |
% |
$ |
1,541,547 |
1.30 |
% |
1.30 |
% |
0.37 |
% |
0.91 |
% |
0.91 |
% |
0.76 |
% |
231 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
145.15 |
0.55 |
0.60 |
(79.00 |
) |
(78.45 |
) |
(0.10 |
) |
— |
(0.20 |
) |
(0.30 |
) |
$ |
66.40 |
-54.12 |
% |
$ |
1,131,021 |
0.94 |
% |
0.94 |
% |
0.50 |
% |
0.91 |
% |
0.91 |
% |
0.53 |
% |
96 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
281.40 |
(0.70 |
) |
(0.65 |
) |
(135.55 |
) |
(136.25 |
) |
— |
— |
— |
— |
$ |
145.15 |
-48.42 |
% |
$ |
1,337,695 |
0.93 |
% |
0.93 |
% |
(0.39 |
)% |
0.90 |
% |
0.90 |
% |
(0.36 |
)% |
234 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
20.08 |
(0.17 |
) |
(0.17 |
) |
0.69 |
0.52 |
— |
— |
— |
— |
$ |
20.60 |
2.59 |
% |
$ |
64,076 |
0.87 |
% |
0.88 |
% |
(0.85 |
)% |
0.87 |
% |
0.88 |
% |
(0.85 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
169.75 |
0.10 |
0.11 |
(148.72 |
) |
(148.62 |
) |
(0.63 |
) |
— |
(0.42 |
) |
(1.05 |
) |
$ |
20.08 |
-88.01 |
% |
$ |
101,595 |
0.93 |
% |
0.93 |
% |
0.20 |
% |
0.91 |
% |
0.91 |
% |
0.22 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
875.50 |
4.00 |
4.25 |
(706.00 |
) |
(702.00 |
) |
(3.75 |
) |
— |
— |
(3.75 |
) |
$ |
169.75 |
-80.38 |
% |
$ |
378,674 |
1.01 |
% |
1.01 |
% |
1.57 |
% |
0.92 |
% |
0.92 |
% |
1.66 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
683.50 |
2.75 |
3.75 |
190.75 |
193.50 |
(1.50 |
) |
— |
— |
(1.50 |
) |
$ |
875.50 |
28.33 |
% |
$ |
154,753 |
1.04 |
% |
1.04 |
% |
0.43 |
% |
0.91 |
% |
0.91 |
% |
0.56 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
955.50 |
(2.25 |
) |
(1.75 |
) |
(269.75 |
) |
(272.00 |
) |
— |
— |
— |
— |
$ |
683.50 |
-28.47 |
% |
$ |
383,331 |
1.01 |
% |
0.99 |
% |
(0.31 |
)% |
0.94 |
% |
0.92 |
% |
(0.24 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
102
Financial Highlights
October 31, 2021
RATIOS TO AVERAGE NET ASSETS5 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net
Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase
(Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total
Distributions |
Net Asset Value, End of Year/ Period |
Total
Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net
Expenses6 |
Total
Expenses |
Net Investment
Income (Loss) After Expense Reimbursement |
Net
Expenses2,6 |
Total
Expenses2 |
Net Investment
Income (Loss) After Expense Reimbursement2 |
Portfolio
Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
117.16 |
$ |
(0.08 |
) |
$ |
(0.07 |
) |
$ |
(49.69 |
) |
$ |
(49.77 |
) |
$ |
— |
$ |
— |
$ |
(0.34 |
) |
$ |
(0.34 |
) |
$ |
67.05 |
-42.53 |
% |
$ |
515,810 |
0.85 |
% |
0.85 |
% |
(0.09 |
)% |
0.84 |
% |
0.84 |
% |
(0.08 |
)% |
67 |
% |
|||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
695.10 |
(0.55 |
) |
(0.30 |
) |
(577.27 |
) |
(577.82 |
) |
(0.10 |
) |
— |
(0.02 |
) |
(0.12 |
) |
$ |
117.16 |
-83.11 |
% |
$ |
672,880 |
1.02 |
% |
1.02 |
% |
(0.32 |
)% |
0.87 |
% |
0.87 |
% |
(0.17 |
)% |
312 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
357.50 |
3.20 |
5.10 |
338.50 |
341.70 |
(3.70 |
) |
— |
(0.40 |
) |
(4.10 |
) |
$ |
695.10 |
95.77 |
% |
$ |
948,731 |
1.26 |
% |
1.26 |
% |
0.62 |
% |
0.89 |
% |
0.89 |
% |
0.99 |
% |
279 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
756.50 |
2.00 |
2.50 |
(401.00 |
) |
(399.00 |
) |
— |
— |
— |
— |
$ |
357.50 |
-52.74 |
% |
$ |
635,801 |
0.93 |
% |
0.93 |
% |
0.35 |
% |
0.89 |
% |
0.89 |
% |
0.39 |
% |
116 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
2448.00 |
4.00 |
4.00 |
(1,691.00 |
) |
(1,687.00 |
) |
(4.50 |
) |
— |
— |
(4.50 |
) |
$ |
756.50 |
-69.00 |
% |
$ |
751,846 |
0.94 |
% |
0.94 |
% |
0.33 |
% |
0.90 |
% |
0.90 |
% |
0.37 |
% |
245 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
11.72 |
(0.09 |
) |
(0.09 |
) |
(0.63 |
) |
(0.72 |
) |
— |
— |
— |
— |
$ |
11.00 |
-6.14 |
% |
$ |
75,675 |
0.87 |
% |
0.87 |
% |
(0.84 |
)% |
0.87 |
% |
0.87 |
% |
(0.84 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
335.75 |
0.0010 |
0.01 |
(322.21 |
) |
(322.21 |
) |
(1.11 |
) |
— |
(0.71 |
) |
(1.82 |
) |
$ |
11.72 |
-96.42 |
% |
$ |
83,570 |
0.93 |
% |
0.93 |
% |
0.01 |
% |
0.91 |
% |
0.91 |
% |
0.03 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
1892.25 |
8.50 |
9.00 |
(1,555.75 |
) |
(1,547.25 |
) |
(9.25 |
) |
— |
— |
(9.25 |
) |
$ |
335.75 |
-82.03 |
% |
$ |
148,229 |
1.06 |
% |
1.03 |
% |
10.44 |
% |
0.95 |
% |
0.92 |
% |
1.55 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
1612.00 |
7.00 |
8.25 |
278.00 |
285.00 |
(4.75 |
) |
— |
— |
(4.75 |
) |
$ |
1892.25 |
17.70 |
% |
$ |
59,624 |
1.03 |
% |
0.99 |
% |
0.51 |
% |
0.95 |
% |
0.91 |
% |
0.59 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
2686.00 |
(5.00 |
) |
(3.50 |
) |
(1,069.00 |
) |
(1,074.00 |
) |
— |
— |
— |
— |
$ |
1612.00 |
-39.99 |
% |
$ |
115,274 |
1.03 |
% |
1.00 |
% |
(0.29 |
)% |
0.95 |
% |
0.92 |
% |
(0.21 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares11 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
33.43 |
(0.38 |
) |
(0.38 |
) |
23.19 |
22.81 |
(2.81 |
) |
(3.62 |
) |
— |
(6.43 |
) |
$ |
49.81 |
73.55 |
% |
$ |
46,003 |
0.96 |
% |
0.95 |
% |
(0.88 |
)% |
0.95 |
% |
0.94 |
% |
(0.87 |
)% |
11 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
22.74 |
(0.13 |
) |
(0.12 |
) |
10.85 |
10.72 |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
33.43 |
47.15 |
% |
$ |
44,245 |
1.03 |
% |
1.10 |
% |
(0.56 |
)% |
0.95 |
% |
1.02 |
% |
(0.48 |
)% |
93 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
23.56 |
0.16 |
0.18 |
(0.82 |
) |
(0.66 |
) |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
22.74 |
-2.66 |
% |
$ |
20,468 |
1.05 |
% |
1.19 |
% |
0.76 |
% |
0.95 |
% |
1.09 |
% |
0.86 |
% |
184 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period April 19, 20188 through October 31, 2018 |
$ |
50.00 |
(0.06 |
) |
(0.06 |
) |
(26.38 |
) |
(26.44 |
) |
— |
— |
— |
— |
$ |
23.56 |
-52.88 |
% |
$ |
4,123 |
0.95 |
% |
2.34 |
% |
(0.27 |
)% |
0.95 |
% |
2.34 |
% |
(0.27 |
)% |
75 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
19.53 |
(0.16 |
) |
(0.16 |
) |
91.03 |
90.87 |
(0.07 |
) |
— |
(0.00 |
)10 |
(0.07 |
) |
$ |
110.33 |
465.94 |
% |
$ |
891,290 |
0.95 |
% |
0.93 |
% |
(0.25 |
)% |
0.94 |
% |
0.92 |
% |
(0.24 |
)% |
194 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
1081.60 |
0.18 |
0.19 |
(1,059.32 |
) |
(1,059.14 |
) |
(2.93 |
) |
— |
— |
(2.93 |
) |
$ |
19.53 |
-98.19 |
% |
$ |
342,250 |
0.97 |
% |
1.00 |
% |
0.47 |
% |
0.95 |
% |
0.98 |
% |
0.49 |
% |
315 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
8752.00 |
24.00 |
27.60 |
(7,671.20 |
) |
(7,647.20 |
) |
(23.20 |
) |
— |
— |
(23.20 |
) |
$ |
1081.60 |
-87.55 |
% |
$ |
193,733 |
1.09 |
% |
1.10 |
% |
0.95 |
% |
0.95 |
% |
0.96 |
% |
1.09 |
% |
257 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
9772.00 |
24.00 |
36.00 |
(1,040.00 |
) |
(1,016.00 |
) |
(4.00 |
) |
— |
— |
(4.00 |
) |
$ |
8752.00 |
-10.42 |
% |
$ |
156,655 |
1.04 |
% |
1.05 |
% |
0.21 |
% |
0.95 |
% |
0.96 |
% |
0.30 |
% |
119 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
13812.00 |
(24.00 |
) |
(16.00 |
) |
(3,352.00 |
) |
(3,376.00 |
) |
— |
(664.00 |
) |
— |
(664.00 |
) |
$ |
9772.00 |
-27.03 |
% |
$ |
129,723 |
1.02 |
% |
1.04 |
% |
(0.24 |
)% |
0.95 |
% |
0.97 |
% |
(0.17 |
)% |
350 |
% |
|||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
71.49 |
(0.09 |
) |
(0.09 |
) |
(66.54 |
) |
(66.63 |
) |
— |
— |
— |
(0.00 |
)10 |
$ |
4.86 |
-93.20 |
% |
$ |
93,490 |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
73.94 |
(0.30 |
) |
(0.14 |
) |
(2.12 |
) |
(2.42 |
) |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
71.49 |
-3.26 |
% |
$ |
39,046 |
1.18 |
% |
1.24 |
% |
(0.44 |
)% |
0.95 |
% |
1.01 |
% |
(0.21 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
36.25 |
0.44 |
0.67 |
37.92 |
38.36 |
(0.67 |
) |
— |
— |
(0.67 |
) |
$ |
73.94 |
106.33 |
% |
$ |
36,006 |
1.40 |
% |
1.46 |
% |
0.88 |
% |
0.95 |
% |
1.01 |
% |
1.33 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
68.58 |
0.25 |
0.25 |
(32.42 |
) |
(32.17 |
) |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
36.25 |
-46.86 |
% |
$ |
42,465 |
0.99 |
% |
1.02 |
% |
0.77 |
% |
0.95 |
% |
0.98 |
% |
0.81 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
104.00 |
(0.29 |
) |
(0.21 |
) |
(35.13 |
) |
(35.42 |
) |
— |
— |
— |
— |
$ |
68.58 |
-34.05 |
% |
$ |
30,119 |
1.05 |
% |
1.18 |
% |
(0.38 |
)% |
0.95 |
% |
1.08 |
% |
(0.28 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period
September 30, 20218 through October 31, 2021 |
$ |
25.00 |
(0.02 |
) |
(0.02 |
) |
4.67 |
4.65 |
— |
— |
— |
— |
$ |
29.65 |
18.60 |
% |
$ |
7,413 |
0.95 |
% |
3.72 |
% |
(0.94 |
)% |
0.95 |
% |
3.72 |
% |
(0.94 |
)% |
20 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 10, 20218 through October 31, 2021 |
$ |
25.00 |
(0.03 |
) |
(0.03 |
) |
(4.23 |
) |
(4.26 |
) |
— |
— |
— |
— |
$ |
20.74 |
-17.04 |
% |
$ |
12,447 |
0.95 |
% |
1.31 |
% |
(0.36 |
)% |
0.95 |
% |
1.31 |
% |
(0.36 |
)% |
26 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period
September 23, 20218 through October 31, 2021 |
$ |
25.00 |
(0.01 |
) |
(0.01 |
) |
2.70 |
2.69 |
— |
— |
— |
— |
$ |
27.69 |
10.76 |
% |
$ |
5,538 |
0.95 |
% |
3.47 |
% |
(0.18 |
)% |
0.95 |
% |
3.47 |
% |
(0.18 |
)% |
0 |
% |
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Excludes interest expense and extraordinary expenses which comprise of tax and litigation expenses.
3 Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain (loss) per share will not equal the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures and swaps for the period.
4 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived or recouped by the investment advisor.
5 For periods less than a year, these ratios are annualized.
6 Net expenses include effects of any reimbursement/waiver or recoupment.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
103
Financial Highlights
October 31, 2021
7 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio. Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.
8 Commencement of operations.
9 This ratio includes the voluntary waiver of expenses by the Adviser. Excluding the voluntary waiver, the net expense ratio would have been 0.60%.
10 Between $(0.005) and $0.005.
11 Effective January 11, 2021, the Fund had a 5:1 forward stock split. Share amounts for all periods have been adjusted to give effect to the 5:1 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION
ANNUAL REPORT
104
Direxion Shares ETF Trust
Notes to the Financial Statements
October 31, 2021
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008, and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 77 separate series (each, a "Fund" and together the "Funds"). 25 of these Funds are included in this report:
Bull Funds |
Bear Funds |
||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
|||||||
Direxion Daily S&P 500® Bear 1X Shares |
|||||||
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 |
|||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
|||||||
Direxion Daily US Infrastructure Bull 2X Shares |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.
Rafferty Asset Management, LLC (the "Adviser") has registered as a commodity pool operator ("CPO"). All Funds presented in this report are considered commodity pools under the Commodity Exchange Act (the "CEA). Accordingly, the Adviser is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Fund's investment objective is to seek daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word "Bull" in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word "Bear" in their name attempt to provide investment results that correlate negatively to the return of an index or benchmark. The correlations sought by the Bull Funds are a multiple of 200% of the return of the target index or benchmark and a multiple of -100% or -200% of the return of the target index or benchmark for the Bear Funds.
Funds |
Index or Benchmark |
Daily Target |
|||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
CSI 300 Index |
-100 |
% |
||||||||
Direxion Daily S&P 500® Bear 1X Shares |
S&P 500® Index |
-100 |
% |
||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
CSI 300 Index |
200 |
% |
DIREXION
ANNUAL REPORT
105
Funds |
Index or Benchmark |
Daily Target |
|||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
CSI Overseas China Internet Index |
200 |
% |
||||||||
Direxion Daily S&P 500® Bull 2X Shares |
S&P 500® Index |
200 |
% |
||||||||
Direxion Daily Latin America Bull 2X Shares |
S&P Latin America 40 Index |
200 |
% |
||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
MSCI Brazil 25/50 Index |
200 |
% |
||||||||
Direxion Daily MSCI India Bull 2X Shares |
MSCI India Index |
200 |
% |
||||||||
Direxion Daily Russia Bull 2X Shares |
MVIS Russia Index |
200 |
% |
||||||||
Direxion Daily 5G Communications Bull 2X Shares |
BlueStar® 5G Communications Index |
200 |
% |
||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
200 |
% |
|||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
Indxx USA Cloud Computing Index |
-200 |
% |
||||||||
Direxion Daily Energy Bull 2X Shares |
200 |
% |
|||||||||
Direxion Daily Energy Bear 2X Shares |
Energy Select Sector Index |
-200 |
% |
||||||||
Direxion Global Clean Energy Bull 2X Shares |
S&P Global Clean Energy Index |
200 |
% |
||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
200 |
% |
|||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
NYSE Arca Gold Miners Index |
-200 |
% |
||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
200 |
% |
|||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
MVIS Global Junior Gold Miners Index |
-200 |
% |
||||||||
Direxion Daily Robotics, Artificial Intelligence & |
Indxx Global Robotics and Artificial |
||||||||||
Automation Index Bull 2X Shares |
Intelligence Thematic Index |
200 |
% |
||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
200 |
% |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
S&P Oil &
Gas Exploration & Production Select Industry Index |
-200 |
% |
||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
ICE FANG 20 Index |
200 |
% |
||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
BlueStar® Travel and Vacation Index |
200 |
% |
||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
Indxx US Infrastructure Index |
200 |
% |
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time ("Valuation Time")), each day the NYSE is open for business. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over-the-counter ("OTC") securities held by a Fund are valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities or; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. Futures contracts are valued at the settlement price established on the exchange on which they are traded, if that settlement price reflects trading prior to the Valuation Time. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation Time will be used. Securities, swap or futures contracts are fair valued as determined by the Adviser under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Fund's pricing service does not provide a valuation for such securities; c) the Fund's pricing service provides a valuation that in the judgment of the Adviser does not represent fair value; or d) the Fund or Adviser believes the market price is stale.
DIREXION
ANNUAL REPORT
106
b) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivative contracts and related cash collateral on the Statements of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. Each Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Funds' custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps".
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their investment objectives.
Accounting Standards Update No. 2013-01, "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope recognize derivative instruments accounted for under ASC 815, Derivatives and Hedging, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement of similar agreement.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent
DIREXION
ANNUAL REPORT
107
amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Interest earned on collateral pledged to a counterparty is presented as part of Interest income on the Statements of Operations. Interest incurred on collateral received from a counterparty is presented as Interest expense on the Statements of Operations.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of October 31, 2021, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement are detailed in the following tables.
In the event of the counterparty's default, bankruptcy or any other event for which the counterparty cannot meet its obligations, a Fund bears the risk of loss equal to the amount of the daily appreciation owed to the Fund. This obligation represents the daily gain accrued to the Fund from the close of business day prior to this event to the day on which this event occurs and the counterparty can no longer meet its obligations. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser. Shareholders may obtain swap counterparty financial statements at www.sec.gov. Swap contracts are subject to credit risk. Credit risk occurs when the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security. The counterparty to a swap contract might default on its obligations. In addition, the Funds have agreements with certain counterparties with which it trades swap contracts that contain credit risk-related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value and performance-based thresholds. The maximum exposure to the Funds in regard to potential counterparty default and credit-risk related contingent features at October 31, 2021 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.
Description: Swap Contract
Counterparty: Bank of America Merrill Lynch
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI
China Internet Index Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
10,632,295 |
$ |
— |
$ |
10,632,2951 |
$ |
— |
|||||||||||||||||||
Direxion Daily
Russia Bull 2X Shares |
8,071,051 |
— |
8,071,0511 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Cloud Computing Bull 2X Shares |
1,551,833 |
— |
1,288,600 |
263,233 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Cloud Computing Bear 2X Shares |
— |
— |
— |
— |
1,155,370 |
— |
1,155,3701 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Global Clean Energy Bull 2X Shares |
917,510 |
— |
917,5101 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold
Miners Index Bull 2X Shares |
— |
— |
— |
— |
25,323,921 |
— |
25,323,9211 |
— |
DIREXION
ANNUAL REPORT
108
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily Gold
Miners Index Bear 2X Shares |
$ |
873,370 |
$ |
— |
$ |
670,000 |
$ |
203,370 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
3,124,847 |
— |
3,124,8471 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
259,273 |
— |
259,2731 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares |
— |
— |
— |
— |
13,554 |
— |
13,5541 |
— |
|||||||||||||||||||||||||||
Direxion Daily US
Infrastructure Bull 2X Shares |
— |
— |
— |
— |
3,166 |
— |
— |
3,166 |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: BNP Paribas
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
CSI China Internet Index Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
10,737,663 |
$ |
— |
$ |
10,737,6631 |
$ |
— |
|||||||||||||||||||
Direxion Daily
Latin America Bull 2X Shares |
— |
— |
— |
— |
1,993,829 |
— |
1,993,8291 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Brazil Bull 2X Shares |
— |
— |
— |
— |
14,714,269 |
— |
14,714,2691 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI India Bull 2X Shares |
4,317,711 |
— |
4,317,7111 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Russia Bull 2X Shares |
8,867,569 |
— |
8,867,5691 |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
109
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bull 2X Shares |
$ |
70,071,514 |
$ |
— |
$ |
70,071,5141 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
Energy Bear 2X Shares |
— |
— |
— |
— |
3,073,458 |
— |
3,073,4581 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
28,993,323 |
— |
28,993,3231 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
388,327 |
— |
388,3271 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
51,824,639 |
— |
51,824,6391 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
6,473,223 |
— |
5,690,000 |
783,223 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
100,811,864 |
— |
100,811,8641 |
— |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Barclays
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts
not offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Latin
America Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
1,233,091 |
$ |
— |
$ |
1,233,0911 |
$ |
— |
|||||||||||||||||||
Direxion Daily MSCI
India Bull 2X Shares |
— |
— |
— |
— |
29,463 |
— |
29,4631 |
— |
|||||||||||||||||||||||||||
Direxion Daily 5G
Communications Bull 2X Shares |
64,993 |
— |
— |
64,993 |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
110
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts
not offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bull 2X Shares |
$ |
2,974,422 |
$ |
— |
$ |
2,974,4221 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
Energy Bear 2X Shares |
— |
— |
— |
— |
2,822,358 |
— |
2,822,3581 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
170,984 |
— |
— |
170,984 |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Citibank N.A.
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
225,088 |
$ |
— |
$ |
225,0881 |
$ |
— |
|||||||||||||||||||
Direxion Daily CSI
300 China A Share Bull 2X Shares |
1,349,827 |
— |
1,272,000 |
77,827 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily CSI
China Internet Index Bull 2X Shares |
— |
— |
— |
— |
7,599,462 |
— |
7,599,4621 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bull 2X Shares |
51,019 |
— |
— |
51,019 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI India Bull 2X Shares |
30,916 |
— |
— |
30,916 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Cloud Computing Bull 2X Shares |
1,085,385 |
— |
1,085,3851 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Cloud Computing Bear 2X Shares |
— |
— |
— |
— |
597,026 |
— |
597,0261 |
— |
DIREXION
ANNUAL REPORT
111
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Global Clean Energy Bull 2X Shares |
$ |
34,992 |
$ |
— |
$ |
— |
$ |
34,992 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
35,066,398 |
— |
35,066,3981 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bear 2X Shares |
7,184,163 |
— |
6,179,001 |
1,005,162 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
5,165,227 |
— |
5,165,2271 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
617,966 |
— |
617,9661 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
73,573 |
— |
73,5731 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
34,104,746 |
— |
34,104,7461 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
8,992,050 |
— |
8,992,0501 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares |
— |
— |
— |
— |
2,617 |
— |
— |
2,617 |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION
ANNUAL REPORT
112
Description: Swap Contract
Counterparty: Credit Suisse Capital LLC
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts
not offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
9,390,270 |
$ |
— |
$ |
9,390,2701 |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P 500® Bull 2X Shares |
1,096,691 |
— |
1,096,6911 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Latin America Bull 2X Shares |
— |
— |
— |
— |
359,517 |
— |
359,5171 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bull 2X Shares |
10,015,113 |
— |
10,015,1131 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bear 2X Shares |
— |
— |
— |
— |
1,014,899 |
— |
1,014,8991 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
914,525 |
— |
914,5251 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bear 2X Shares |
1,021,101 |
— |
470,000 |
551,101 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
8,023,821 |
— |
8,023,8211 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
20,586 |
— |
— |
20,586 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
1,336,142 |
— |
1,190,000 |
146,142 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
87,415,781 |
— |
87,415,7811 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
2,149,356 |
— |
2,149,3561 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION
ANNUAL REPORT
113
Description: Swap Contract
Counterparty: J.P. Morgan
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
CSI 300 China A Share Bear 1X Shares |
$ |
13,634 |
$ |
— |
$ |
— |
$ |
13,634 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
CSI 300 China A Share Bull 2X Shares |
— |
— |
— |
— |
34,946 |
— |
34,9461 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Latin America Bull 2X Shares |
— |
— |
— |
— |
224,278 |
— |
224,2781 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI India Bull 2X Shares |
7,365,964 |
— |
7,365,9641 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bull 2X Shares |
24,262,727 |
— |
24,262,7271 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bear 2X Shares |
— |
— |
— |
— |
1,278,805 |
— |
1,278,8051 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
9,974,049 |
— |
9,974,0491 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
747,213 |
— |
747,2131 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
5,853,523 |
— |
5,853,5231 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
2,836,988 |
— |
2,720,000 |
116,988 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
138,484,788 |
— |
138,484,7881 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
10,623,727 |
— |
10,623,7271 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
DIREXION
ANNUAL REPORT
114
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
4,996,076 |
$ |
— |
$ |
4,996,0761 |
$ |
— |
|||||||||||||||||||
Direxion Daily
CSI 300 China A Share Bull 2X Shares |
5,855,658 |
— |
5,855,6581 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
CSI China Internet Index Bull 2X Shares |
— |
— |
— |
— |
5,316,495 |
— |
5,316,4951 |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P 500® Bull 2X Shares |
2,181,650 |
— |
2,100,000 |
81,650 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI Brazil Bull 2X Shares |
— |
— |
— |
— |
15,275,814 |
— |
15,275,8141 |
— |
|||||||||||||||||||||||||||
Direxion Daily
MSCI India Bull 2X Shares |
9,348,192 |
— |
9,348,1921 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Russia Bull 2X Shares |
— |
— |
— |
— |
276,339 |
— |
276,3391 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bull 2X Shares |
20,988,112 |
— |
20,988,1121 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Energy Bear 2X Shares |
— |
— |
— |
— |
504,559 |
— |
504,5591 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bull 2X Shares |
2,303,850 |
— |
2,303,8501 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Gold Miners Index Bear 2X Shares |
644,826 |
— |
— |
644,826 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
1,578,874 |
— |
1,578,8741 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
7,392,626 |
— |
7,392,6261 |
— |
DIREXION
ANNUAL REPORT
115
Assets: |
Liabilities: |
||||||||||||||||||||||||||||||||||
Gross Amounts not
offset in the Statement of Asset and Liabilities |
Gross Amounts not
offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial
Instruments |
Collateral
Received |
Net
Amount2 |
Gross Amounts of Recognized Liabilities |
Financial
Instruments |
Collateral
Pledged |
Net
Amount |
|||||||||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
$ |
4,485,091 |
$ |
— |
$ |
4,330,000 |
$ |
155,091 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
118,371,754 |
— |
118,371,7541 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
16,674,664 |
— |
16,674,6641 |
— |
|||||||||||||||||||||||||||
Direxion Daily
Select Large Caps & FANGs Bull 2X Shares |
209,900 |
— |
140,000 |
69,900 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily
US Infrastructure Bull 2X Shares |
299,244 |
— |
299,2441 |
— |
— |
— |
— |
— |
c) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts
d) Risks of Futures Contracts, Options on Futures Contracts and Short Positions – The risks inherent in the use of options, futures contracts, options on futures contracts and short positions include 1) adverse changes in the fair value of such instruments; 2) imperfect correlation between the price of options and futures contracts and options thereon and movements in the price of the underlying securities, index or futures contracts; 3) the possible absence of a liquid secondary market for any particular instrument at any time; 4) the possible need to defer closing out certain positions to avoid adverse tax consequences; and 5) the possible non-performance by the counterparty under the terms of the contract. The Funds designate cash, cash equivalents and liquid securities as collateral for written options, futures contracts, options on futures contracts and short positions. The Funds were not invested in any type of futures or options contracts during the period ended October 31, 2021.
e) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging
DIREXION
ANNUAL REPORT
116
markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
f) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.
g) Securities Lending – Each Fund may lend up to 331/3% of the value of the securities in their portfolios to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, cash equivalents, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. Government securities held as collateral, net of fee rebates paid to borrower and net of fees paid to the lending agent. The amount of fees depends on a number of factors including the security type and the length of the loan. In addition, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. No more than 99% of the value of any security may be on loan at any time.
As of October 31, 2021, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.
As of October 31, 2021, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:
Funds |
Market Value
of Securities Loaned |
Cash
Collateral Received |
Non-Cash Collateral Received |
Total Collateral Received |
|||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
$ |
60,650,443 |
$ |
54,087,235 |
$ |
9,446,402 |
$ |
63,533,637 |
|||||||||||
Direxion Daily 5G
Communications Bull 2X Shares |
28,066 |
— |
28,710 |
28,710 |
|||||||||||||||
Direxion Daily Cloud
Computing Bull 2X Shares |
105,284 |
44,273 |
62,745 |
107,018 |
|||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
36,385,743 |
38,260,951 |
— |
38,260,951 |
|||||||||||||||
Direxion Daily Latin
America Bull 2X Shares |
2,099,472 |
2,248,564 |
— |
2,248,564 |
|||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
7,234,571 |
4,597,525 |
2,565,587 |
7,163,112 |
|||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares |
64,294 |
26,776 |
38,220 |
64,996 |
h) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
DIREXION
ANNUAL REPORT
117
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. No Funds paid this excise tax during the period ended October 31, 2021.
i) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets.
j) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.
k) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon the occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.
l) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended October 31, 2021 and October 31, 2020 are presented in the following table. The tax character of distributions to shareholders made during the period may differ from their ultimate characterization for U.S. Federal income tax purposes.
Year/Period
Ended October 31, 2021 |
Year
Ended October 31, 2020 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily CSI
300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
50,677 |
$ |
— |
$ |
44,290 |
|||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
— |
— |
74,214 |
— |
50,440 |
|||||||||||||||||||||
Direxion Daily CSI
300 China A Share Bull 2X Shares |
— |
— |
— |
404,988 |
— |
73,895 |
|||||||||||||||||||||
Direxion Daily CSI
China Internet Index Bull 2X Shares |
— |
— |
— |
126,584 |
— |
89,169 |
|||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
1,712,190 |
— |
— |
228,339 |
— |
— |
|||||||||||||||||||||
Direxion Daily Latin
America Bull 2X Shares |
70,919 |
— |
48,386 |
61,685 |
— |
76,394 |
|||||||||||||||||||||
Direxion Daily MSCI
Brazil Bull 2X Shares |
1,145,805 |
— |
490,797 |
2,459,555 |
— |
604,582 |
|||||||||||||||||||||
Direxion Daily MSCI
India Bull 2X Shares |
— |
— |
— |
15,893 |
— |
778 |
|||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares |
705,374 |
— |
202,389 |
621,437 |
— |
33,321 |
|||||||||||||||||||||
Direxion Daily 5G
Communications Bull 2X Shares2 |
4,840 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Cloud
Computing Bull 2X Shares1 |
— |
— |
— |
— |
— |
— |
DIREXION
ANNUAL REPORT
118
Year/Period
Ended October 31, 2021 |
Year
Ended October 31, 2020 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily Cloud
Computing Bear 2X Shares1 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
13,092,316 |
— |
— |
8,061,166 |
— |
— |
|||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
54,239 |
— |
30,169 |
|||||||||||||||||||||
Direxion Daily
Global Clean Energy Bull 2X Shares3 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Gold
Miners Index Bull 2X Shares |
— |
— |
— |
3,749,143 |
— |
3,384,907 |
|||||||||||||||||||||
Direxion Daily Gold
Miners Index Bear 2X Shares |
— |
— |
— |
897,333 |
— |
606,649 |
|||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
— |
— |
2,449,837 |
833,823 |
— |
199,395 |
|||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
352,328 |
— |
223,740 |
|||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
8,502,373 |
— |
— |
24,752 |
— |
— |
|||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
875,162 |
— |
116 |
563,199 |
— |
— |
|||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
7,191 |
26,156 |
— |
— |
|||||||||||||||||||||
Direxion Daily
Select Large Caps & FANGs Bull 2X Shares5 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares2 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily US
Infrastructure Bull 2X Shares4 |
— |
— |
— |
— |
— |
— |
1 Commenced operations on January 8, 2021.
2 Commenced operations on June 10, 2021.
3 Commenced operations on July 29, 2021.
4 Commenced operations on September 23, 2021.
5 Commenced operations on September 30, 2021.
At October 31, 2021, the components of accumulated earnings/(losses) on a tax-basis were as follows:
Funds | Net
Unrealized Appreciation (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily CSI
300 China A Share Bear 1X Shares |
$ |
(6,816,538 |
) |
$ |
— |
$ |
— |
$ |
(28,002,838 |
) |
$ |
(34,819,376 |
) |
||||||||||
Direxion Daily
S&P 500® Bear 1X Shares |
(51,394,223 |
) |
— |
— |
(56,902,991 |
) |
(108,297,214 |
) |
|||||||||||||||
Direxion Daily CSI
300 China A Share Bull 2X Shares |
2,996,438 |
1,837,731 |
— |
— |
4,834,169 |
||||||||||||||||||
Direxion Daily CSI
China Internet Index Bull 2X Shares |
(154,827,033 |
) |
— |
— |
(14,815,106 |
) |
(169,642,139 |
) |
|||||||||||||||
Direxion Daily
S&P 500® Bull 2X Shares |
14,635,656 |
1,584,383 |
— |
— |
16,220,039 |
||||||||||||||||||
Direxion Daily Latin
America Bull 2X Shares |
(7,009,924 |
) |
— |
— |
(47,047,008 |
) |
(54,056,932 |
) |
|||||||||||||||
Direxion Daily MSCI
Brazil Bull 2X Shares |
(117,269,531 |
) |
— |
— |
(424,057,644 |
) |
(541,327,175 |
) |
DIREXION
ANNUAL REPORT
119
Funds | Net
Unrealized Appreciation (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily MSCI
India Bull 2X Shares |
$ |
20,244,276 |
$ |
— |
$ |
— |
$ |
— |
$ |
20,244,276 |
|||||||||||||
Direxion Daily Russia Bull 2X Shares |
19,089,689 |
— |
— |
(54,114,788 |
) |
(35,025,099 |
) |
||||||||||||||||
Direxion Daily 5G
Communications Bull 2X Shares |
103,912 |
6,096 |
367 |
— |
110,375 |
||||||||||||||||||
Direxion Daily Cloud
Computing Bull 2X Shares |
4,248,639 |
916,781 |
— |
— |
5,165,420 |
||||||||||||||||||
Direxion Daily Cloud
Computing Bear 2X Shares |
(4,420,563 |
) |
— |
— |
(3,211,745 |
) |
(7,632,308 |
) |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
94,928,662 |
197,231 |
— |
(293,048,577 |
) |
(197,922,684 |
) |
||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
(27,118,552 |
) |
— |
— |
(132,874,537 |
) |
(159,993,089 |
) |
|||||||||||||||
Direxion Daily
Global Clean Energy Bull 2X Shares |
1,465,972 |
— |
— |
— |
1,465,972 |
||||||||||||||||||
Direxion Daily Gold
Miners Index Bull 2X Shares |
(370,461,403 |
) |
— |
— |
(1,580,245,169 |
) |
(1,950,706,572 |
) |
|||||||||||||||
Direxion Daily Gold
Miners Index Bear 2X Shares |
(12,760,425 |
) |
— |
— |
(636,980,085 |
) |
(649,740,510 |
) |
|||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
(276,341,687 |
) |
— |
— |
(1,264,810,402 |
) |
(1,541,152,089 |
) |
|||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
(39,210,018 |
) |
— |
— |
(211,792,129 |
) |
(251,002,147 |
) |
|||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
9,798,851 |
905,592 |
— |
(1,601 |
) |
10,702,842 |
|||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
407,318,696 |
— |
— |
(253,127,765 |
) |
154,190,931 |
|||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
(110,014,090 |
) |
— |
— |
(41,839,528 |
) |
(151,853,618 |
) |
|||||||||||||||
Direxion Daily
Select Large Caps & FANGs Bull 2X Shares |
647,917 |
408,960 |
— |
— |
1,056,877 |
||||||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares |
(706,838 |
) |
— |
— |
(694,456 |
) |
(1,401,294 |
) |
|||||||||||||||
Direxion Daily US
Infrastructure Bull 2X Shares |
524,854 |
13,401 |
— |
— |
538,255 |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At October 31, 2021, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:
Funds |
Tax Cost
of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
138,305,661 |
$ |
13,634 |
$ |
(6,830,172 |
) |
$ |
(6,816,538 |
) |
|||||||||
Direxion Daily S&P 500® Bear 1X Shares |
176,851,488 |
— |
(51,394,223 |
) |
(51,394,223 |
) |
|||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
122,462,504 |
7,249,938 |
(4,253,500 |
) |
2,996,438 |
||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
470,981,755 |
3,180,820 |
(158,007,853 |
) |
(154,827,033 |
) |
|||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
59,832,364 |
15,399,602 |
(763,946 |
) |
14,635,656 |
||||||||||||||
Direxion Daily Latin America Bull 2X Shares |
22,697,796 |
— |
(7,009,924 |
) |
(7,009,924 |
) |
|||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
359,476,875 |
— |
(117,269,531 |
) |
(117,269,531 |
) |
|||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
90,865,146 |
22,763,688 |
(2,519,412 |
) |
20,244,276 |
||||||||||||||
Direxion Daily Russia Bull 2X Shares |
73,697,129 |
19,761,558 |
(671,869 |
) |
19,089,689 |
||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
5,001,853 |
422,715 |
(318,803 |
) |
103,912 |
||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
25,492,724 |
5,608,511 |
(1,359,872 |
) |
4,248,639 |
||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
16,804,621 |
— |
(4,420,563 |
) |
(4,420,563 |
) |
DIREXION
ANNUAL REPORT
120
Funds |
Tax Cost
of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
$ |
639,995,336 |
$ |
202,257,479 |
$ |
(107,328,817 |
) |
$ |
94,928,662 |
||||||||||
Direxion Daily Energy Bear 2X Shares |
65,847,905 |
— |
(27,118,552 |
) |
(27,118,552 |
) |
|||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
7,004,271 |
1,556,585 |
(90,613 |
) |
1,465,972 |
||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
1,130,615,763 |
2,411,116 |
(372,872,519 |
) |
(370,461,403 |
) |
|||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
93,640,059 |
9,723,460 |
(22,483,885 |
) |
(12,760,425 |
) |
|||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
850,203,478 |
5,337,767 |
(281,679,454 |
) |
(276,341,687 |
) |
|||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
123,842,879 |
6,493,809 |
(45,703,827 |
) |
(39,210,018 |
) |
|||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
54,349,214 |
13,651,542 |
(3,852,691 |
) |
9,798,851 |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
981,461,248 |
511,113,744 |
(103,795,048 |
) |
407,318,696 |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
204,273,443 |
— |
(110,014,090 |
) |
(110,014,090 |
) |
|||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
7,551,097 |
781,320 |
(133,403 |
) |
647,917 |
||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
13,250,907 |
424,901 |
(1,131,739 |
) |
(706,838 |
) |
|||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
5,335,817 |
588,451 |
(63,597 |
) |
524,854 |
The difference between the book cost of investments and the tax cost of investments is primarily attributable to tax deferral of losses on wash sales.
On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax differences between accounting for total distributable earnings and capital stock under GAAP and tax reporting:
Funds | Total
Distributable Earnings (Loss) |
Capital Stock |
|||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
236,346 |
$ |
(236,346 |
) |
||||||
Direxion Daily S&P 500® Bear 1X Shares |
416,621 |
(416,621 |
) |
||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
(18,858,624 |
) |
18,858,624 |
||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
(2,765,960 |
) |
2,765,960 |
||||||||
Direxion Daily S&P 500® Bull 2X Shares |
(6,115,134 |
) |
6,115,134 |
||||||||
Direxion Daily Latin America Bull 2X Shares |
(4,132,784 |
) |
4,132,784 |
||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
(21,731,014 |
) |
21,731,014 |
||||||||
Direxion Daily MSCI India Bull 2X Shares |
(54,456,061 |
) |
54,456,061 |
||||||||
Direxion Daily Russia Bull 2X Shares |
(8,848,523 |
) |
8,848,523 |
||||||||
Direxion Daily 5G Communications Bull 2X Shares |
1,105 |
(1,105 |
) |
||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
(1,850,315 |
) |
1,850,315 |
||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
127,207 |
(127,207 |
) |
||||||||
Direxion Daily Energy Bull 2X Shares |
(56,165,358 |
) |
56,165,358 |
||||||||
Direxion Daily Energy Bear 2X Shares |
182,729 |
(182,729 |
) |
||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
3,904 |
(3,904 |
) |
||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
37,336,136 |
(37,336,136 |
) |
||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
146,424 |
(146,424 |
) |
||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
21,151,251 |
(21,151,251 |
) |
||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
303,507 |
(303,507 |
) |
||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
(30,676,918 |
) |
30,676,918 |
||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
(68,942,902 |
) |
68,942,902 |
||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
316,287 |
(316,287 |
) |
||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
1,326 |
(1,326 |
) |
||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
(87,891 |
) |
87,891 |
||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
132 |
(132 |
) |
GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended October 31, 2021, the permanent differences primarily relate to tax treatment of redemptions in-kind, net operating losses and the utilization of earnings and profits distributed to shareholders on redemption of shares.
In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a
DIREXION
ANNUAL REPORT
121
twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2021.
At October 31, 2021, these Funds deferred, on a tax basis, qualified late year losses of:
Funds | Ordinary Late Year Loss Deferral |
||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
1,076,933 |
|||||
Direxion Daily S&P 500® Bear 1X Shares |
424,293 |
||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
— |
||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
956,081 |
||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
||||||
Direxion Daily Latin America Bull 2X Shares |
16,121 |
||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
— |
||||||
Direxion Daily MSCI India Bull 2X Shares |
— |
||||||
Direxion Daily Russia Bull 2X Shares |
480,515 |
||||||
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 |
227,635 |
||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
— |
||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
6,519,323 |
||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
640,162 |
||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
3,898,732 |
||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
547,905 |
||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
1,715,490 |
||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
485,978 |
||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
— |
||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
— |
||||||
Direxion Daily US Infrastructure Bull 2X Shares |
— |
Under current law, each Fund may carry forward net capital losses indefinitely to use to offset capital gains realized in future years and their character is retained as either short-term and/or long-term.
At October 31, 2021, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains:
Funds | Utilized in
Current Year |
Unlimited ST |
Unlimited LT |
||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
26,925,905 |
$ |
— |
|||||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
56,478,698 |
— |
||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
10,088,930 |
— |
— |
||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
26,906,573 |
13,859,025 |
— |
||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Latin America Bull 2X Shares |
— |
26,900,012 |
20,130,876 |
||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
— |
424,057,644 |
— |
||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
9,714,156 |
— |
— |
||||||||||||
Direxion Daily Russia Bull 2X Shares |
13,227,204 |
53,634,273 |
— |
||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
— |
3,211,745 |
— |
||||||||||||
Direxion Daily Energy Bull 2X Shares |
109,655,108 |
247,598,299 |
45,448,189 |
||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
132,645,969 |
— |
||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
13,263,957 |
969,150,336 |
604,575,510 |
||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
636,339,923 |
— |
DIREXION
ANNUAL REPORT
122
Funds |
Utilized in
Current Year |
Unlimited ST |
Unlimited LT |
||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
$ |
37,299,008 |
$ |
1,260,911,670 |
$ |
— |
|||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
211,244,224 |
— |
||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
105,483,918 |
219,712,874 |
31,699,401 |
||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
41,353,550 |
— |
||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
— |
694,456 |
— |
||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
— |
— |
— |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of October 31, 2021, open U.S. Federal and state income tax years include the tax years ended October 31, 2018 through October 31, 2021. The Funds have no examinations in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in creation units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees payable to the Trust are imposed to compensate the Trust for the transfer and other transaction costs of a Fund associated with the issuance and redemption of creation units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is applicable to each creation or redemption transaction, regardless of the number of creation units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each creation unit purchased or redeemed is applicable to each creation or redemption transaction. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended October 31, 2021. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
86,995,125 |
36,345,943 |
84,836,172 |
87,323,242 |
|||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
19,636,082 |
164,777,094 |
430,315,630 |
32,329,556 |
DIREXION
ANNUAL REPORT
123
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
$ |
29,625,233 |
$ |
12,618,047 |
$ |
14,950,804 |
$ |
— |
|||||||||||
Direxion Daily Latin America Bull 2X Shares |
6,708,781 |
— |
4,593,461 |
23,266,472 |
|||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
88,004,700 |
29,143,751 |
214,620,522 |
234,779,044 |
|||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
43,646,815 |
3,918,460 |
7,402,638 |
70,198,739 |
|||||||||||||||
Direxion Daily Russia Bull 2X Shares |
21,854,875 |
— |
22,290,289 |
55,051,336 |
|||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares2 |
4,878,511 |
671,431 |
— |
— |
|||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares1 |
18,680,929 |
3,166,180 |
8,329,145 |
9,990,104 |
|||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares1 |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
276,665,022 |
140,726,943 |
315,240,079 |
463,107,965 |
|||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares3 |
4,283,765 |
551,087 |
1,096,548 |
— |
|||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
343,838,780 |
538,512,206 |
1,284,142,136 |
1,175,243,182 |
|||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
155,849,700 |
403,791,257 |
790,387,554 |
639,230,175 |
|||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
2,448,720 |
4,728,126 |
4,612,719 |
17,317,401 |
|||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
706,567,889 |
456,213,999 |
623,420,728 |
849,317,078 |
|||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares5 |
5,636,492 |
741,016 |
1,322,531 |
— |
|||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares2 |
5,232,161 |
2,143,015 |
9,927,016 |
1,098,833 |
|||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares4 |
4,241,276 |
— |
— |
— |
1 Represents the period from January 8, 2021 (commencement of operations) to October 31, 2021.
2 Represents the period from June 10, 2021 (commencement of operations) to October 31, 2021.
3 Represents the period from July 29, 2021 (commencement of operations) to October 31, 2021.
4 Represents the period from September 23, 2021 (commencement of operations) to October 31, 2021.
5 Represents the period from September 30, 2021 (commencement of operations) to October 31, 2021.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended October 31, 2021.
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between the Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory Agreement, each Fund pays the Adviser investment advisory fees at an annual rate based on its average daily net assets. These rates are as follows:
Direxion Daily CSI 300 China A Share Bear 1X Shares |
0.60 |
% |
|||||
Direxion Daily S&P 500® Bear 1X Shares |
0.35 |
% |
|||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily S&P 500® Bull 2X Shares |
0.50 |
% |
|||||
Direxion Daily Latin America Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily MSCI Brazil Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily MSCI India Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Russia Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily 5G Communications Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Cloud Computing Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Cloud Computing Bear 2X Shares |
0.75 |
% |
|||||
Direxion Daily Energy Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Energy Bear 2X Shares |
0.75 |
% |
|||||
Direxion Daily Global Clean Energy Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Gold Miners Index Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Gold Miners Index Bear 2X Shares |
0.75 |
% |
|||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
0.75 |
% |
DIREXION
ANNUAL REPORT
124
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
0.75 |
% |
|||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
0.75 |
% |
|||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Travel & Vacation Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily US Infrastructure Bull 2X Shares |
0.75 |
% |
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse the Funds' operating expenses to the extent that they exceed the following rates multiplied by the Fund's respective average daily net assets at least until September 1, 2023. Any expense waiver is subject to recoupment by the Adviser, as applicable, within the following three years if overall expenses fall below these percentage limitations.
Direxion Daily CSI 300 China A Share Bear 1X Shares |
0.80 |
% |
|||||
Direxion Daily S&P 500® Bear 1X Shares |
0.45 |
% |
|||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily S&P 500® Bull 2X Shares |
0.60 |
% |
|||||
Direxion Daily Latin America Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily MSCI Brazil Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily MSCI India Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Russia Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily 5G Communications Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Cloud Computing Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Cloud Computing Bear 2X Shares |
0.95 |
% |
|||||
Direxion Daily Energy Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Energy Bear 2X Shares |
0.95 |
% |
|||||
Direxion Daily Global Clean Energy Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Gold Miners Index Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Gold Miners Index Bear 2X Shares |
0.95 |
% |
|||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
0.95 |
% |
|||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
0.95 |
% |
|||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Travel & Vacation Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily US Infrastructure Bull 2X Shares |
0.95 |
% |
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
Potential Recoupment
Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October
31, 2022 |
October
31, 2023 |
October
31, 2024 |
Recoupment Amount |
||||||||||||||||||||||
Direxion Daily CSI
300 China A Share Bear 1X Shares |
$ |
6,129 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
69,822 |
45,074 |
130,155 |
69,822 |
245,051 |
|||||||||||||||||||||
Direxion Daily CSI
300 China A Share Bull 2X Shares |
5,454 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily CSI
China Internet Index Bull 2X Shares |
6,137 |
450 |
— |
— |
450 |
450 |
|||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
35,971 |
29,047 |
41,789 |
35,971 |
106,807 |
DIREXION
ANNUAL REPORT
125
Potential Recoupment
Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October
31, 2022 |
October
31, 2023 |
October
31, 2024 |
Recoupment Amount |
||||||||||||||||||||||
Direxion Daily Latin
America Bull 2X Shares |
$ |
— |
$ |
19,264 |
$ |
24,652 |
$ |
32,689 |
$ |
19,264 |
$ |
76,605 |
|||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
9,051 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
8,911 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Russia Bull 2X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily 5G
Communications Bull 2X Shares |
— |
16,237 |
— |
— |
16,237 |
16,237 |
|||||||||||||||||||||
Direxion Daily Cloud
Computing Bull 2X Shares |
— |
17,799 |
— |
— |
17,799 |
17,799 |
|||||||||||||||||||||
Direxion Daily Cloud
Computing Bear 2X Shares |
— |
31,061 |
— |
— |
31,061 |
31,061 |
|||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
95,036 |
1,215 |
— |
— |
1,215 |
1,215 |
|||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
11,909 |
21,811 |
28,222 |
11,909 |
61,942 |
|||||||||||||||||||||
Direxion Daily
Global Clean Energy Bull 2X Shares |
— |
19,710 |
— |
— |
19,710 |
19,710 |
|||||||||||||||||||||
Direxion Daily Gold
Miners Index Bull 2X Shares |
— |
7,397 |
— |
— |
7,397 |
7,397 |
|||||||||||||||||||||
Direxion Daily Gold
Miners Index Bear 2X Shares |
655 |
9,698 |
— |
— |
9,043 |
9,043 |
|||||||||||||||||||||
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 |
5,321 |
248 |
21,776 |
24,009 |
248 |
46,033 |
|||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
151,951 |
2,261 |
— |
— |
2,261 |
2,261 |
|||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
2,028 |
2,524 |
21,966 |
33,028 |
2,524 |
57,518 |
|||||||||||||||||||||
Direxion Daily
Select Large Caps & FANGs Bull 2X Shares |
— |
15,215 |
— |
— |
15,215 |
15,215 |
|||||||||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares |
— |
14,391 |
— |
— |
14,391 |
14,391 |
|||||||||||||||||||||
Direxion Daily US
Infrastructure Bull 2X Shares |
— |
14,240 |
— |
— |
14,240 |
14,240 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of October 31, 2021 is presented on the Statement of Assets and Liabilities as Due from (to) Adviser, net.
The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair valuation accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
DIREXION
ANNUAL REPORT
126
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' investments at October 31, 2021:
Asset Class |
Liability Class |
||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 2 |
|||||||||||||||||||||||||
Funds |
Investment Companies |
Common
Stocks |
Short Term
Investments |
Cash
Equivalents |
Total Return Swap Contracts* |
Total Return Swap Contracts* |
|||||||||||||||||||||
Direxion Daily CSI
300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
136,696,653 |
$ |
— |
$ |
13,634 |
$ |
(5,221,164 |
) |
||||||||||||||
Direxion Daily
S&P 500® Bear 1X Shares |
— |
— |
134,847,535 |
— |
— |
(9,390,270 |
) |
||||||||||||||||||||
Direxion Daily CSI
300 China A Share Bull 2X Shares |
51,544,327 |
— |
66,744,076 |
— |
7,205,485 |
(34,946 |
) |
||||||||||||||||||||
Direxion Daily CSI
China Internet Index Bull 2X Shares |
228,467,074 |
— |
121,973,563 |
— |
— |
(34,285,915 |
) |
||||||||||||||||||||
Direxion Daily
S&P 500® Bull 2X Shares |
57,952,897 |
— |
13,185,764 |
— |
3,329,360 |
— |
|||||||||||||||||||||
Direxion Daily Latin
America Bull 2X Shares |
3,564,444 |
— |
15,934,144 |
— |
— |
(3,810,715 |
) |
||||||||||||||||||||
Direxion Daily MSCI
Brazil Bull 2X Shares |
152,607,404 |
— |
119,590,022 |
— |
— |
(29,990,083 |
) |
||||||||||||||||||||
Direxion Daily MSCI
India Bull 2X Shares |
17,220,837 |
— |
72,855,266 |
— |
21,062,783 |
(29,463 |
) |
||||||||||||||||||||
Direxion Daily
Russia Bull 2X Shares |
27,711,680 |
— |
48,412,858 |
— |
16,938,620 |
(276,339 |
) |
||||||||||||||||||||
Direxion Daily 5G
Communications Bull 2X Shares |
— |
4,259,872 |
780,900 |
— |
64,993 |
— |
|||||||||||||||||||||
Direxion Daily Cloud
Computing Bull 2X Shares |
— |
16,431,648 |
10,672,497 |
— |
2,637,218 |
— |
|||||||||||||||||||||
Direxion Daily Cloud
Computing Bear 2X Shares |
— |
— |
14,136,454 |
— |
— |
(1,752,396 |
) |
||||||||||||||||||||
Direxion Daily
Energy Bull 2X Shares |
— |
392,246,075 |
214,366,034 |
— |
128,311,888 |
— |
|||||||||||||||||||||
Direxion Daily
Energy Bear 2X Shares |
— |
— |
47,423,432 |
— |
— |
(8,694,079 |
) |
||||||||||||||||||||
Direxion Daily
Global Clean Energy Bull 2X Shares |
5,390,697 |
— |
2,127,044 |
— |
952,502 |
— |
|||||||||||||||||||||
Direxion Daily Gold
Miners Index Bull 2X Shares |
398,915,161 |
— |
459,207,566 |
— |
2,303,850 |
(100,272,216 |
) |
||||||||||||||||||||
Direxion Daily Gold
Miners Index Bear 2X Shares |
— |
— |
72,291,715 |
— |
9,723,460 |
(1,135,540 |
) |
||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bull 2X Shares |
173,441,564 |
— |
462,535,858 |
— |
5,165,227 |
(67,280,857 |
) |
||||||||||||||||||||
Direxion Daily
Junior Gold Miners Index Bear 2X Shares |
— |
— |
86,149,644 |
— |
6,493,809 |
(8,010,592 |
) |
||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
16,644,500 |
— |
38,747,933 |
— |
8,829,205 |
(73,573 |
) |
||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
— |
322,121,938 |
584,344,226 |
— |
482,313,780 |
— |
DIREXION
ANNUAL REPORT
127
Asset Class |
Liability Class |
||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 2 |
|||||||||||||||||||||||||
Funds |
Investment Companies |
Common
Stocks |
Short Term
Investments |
Cash
Equivalents |
Total Return Swap Contracts* |
Total Return Swap Contracts* |
|||||||||||||||||||||
Direxion Daily
S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
$ |
— |
$ |
— |
$ |
132,958,423 |
$ |
— |
$ |
— |
$ |
(38,699,070 |
) |
||||||||||||||
Direxion Daily
Select Large Caps & FANGs Bull 2X Shares |
— |
6,669,833 |
1,319,282 |
— |
209,900 |
— |
|||||||||||||||||||||
Direxion Daily
Travel & Vacation Bull 2X Shares |
— |
11,277,504 |
1,282,736 |
— |
— |
(16,171 |
) |
||||||||||||||||||||
Direxion Daily US
Infrastructure Bull 2X Shares |
— |
4,470,052 |
1,094,541 |
— |
299,244 |
(3,166 |
) |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, and b) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
There were no Level 3 securities held by the Funds during the period ended October 31, 2021.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of October 31, 2021, the Funds were invested in swap contracts. At October 31, 2021, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 |
|||||||||||
Swap
Contracts Fund |
Equity Risk |
Total |
|||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
13,634 |
$ |
13,634 |
|||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
7,205,485 |
7,205,485 |
|||||||||
Direxion Daily S&P 500® Bull 2X Shares |
3,329,360 |
3,329,360 |
|||||||||
Direxion Daily MSCI India Bull 2X Shares |
21,062,783 |
21,062,783 |
|||||||||
Direxion Daily Russia Bull 2X Shares |
16,938,620 |
16,938,620 |
|||||||||
Direxion Daily 5G Communications Bull 2X Shares |
64,993 |
64,993 |
|||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
2,637,218 |
2,637,218 |
|||||||||
Direxion Daily Energy Bull 2X Shares |
128,311,888 |
128,311,888 |
|||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
952,502 |
952,502 |
|||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
2,303,850 |
2,303,850 |
|||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
9,723,460 |
9,723,460 |
|||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
5,165,227 |
5,165,227 |
|||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
6,493,809 |
6,493,809 |
|||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
8,829,205 |
8,829,205 |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
482,313,780 |
482,313,780 |
|||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
209,900 |
209,900 |
|||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
299,244 |
299,244 |
DIREXION
ANNUAL REPORT
128
Liability Derivatives2 |
|||||||||||
Swap
Contracts Fund |
Equity Risk |
Total |
|||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
5,221,164 |
$ |
5,221,164 |
|||||||
Direxion Daily S&P 500® Bear 1X Shares |
9,390,270 |
9,390,270 |
|||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
34,946 |
34,946 |
|||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
34,285,915 |
34,285,915 |
|||||||||
Direxion Daily Latin America Bull 2X Shares |
3,810,715 |
3,810,715 |
|||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
29,990,083 |
29,990,083 |
|||||||||
Direxion Daily MSCI India Bull 2X Shares |
29,463 |
29,463 |
|||||||||
Direxion Daily Russia Bull 2X Shares |
276,339 |
276,339 |
|||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
1,752,396 |
1,752,396 |
|||||||||
Direxion Daily Energy Bear 2X Shares |
8,694,079 |
8,694,079 |
|||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
100,272,216 |
100,272,216 |
|||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
1,135,540 |
1,135,540 |
|||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
67,280,857 |
67,280,857 |
|||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
8,010,592 |
8,010,592 |
|||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
73,573 |
73,573 |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
38,699,070 |
38,699,070 |
|||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
16,171 |
16,171 |
|||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
3,166 |
3,166 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended October 31, 2021, by primary risk, were as follows:
Net Realized
Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||
Fund |
Equity
Risk |
Equity Risk |
|||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
Swap Contracts |
$ |
(6,236,161 |
) |
$ |
(3,411,971 |
) |
||||||||
Direxion Daily S&P 500® Bear 1X Shares |
Swap Contracts |
(43,191,685 |
) |
(6,973,039 |
) |
||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
Swap Contracts |
43,455,209 |
(20,824,147 |
) |
|||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
Swap Contracts |
(44,271,228 |
) |
(56,087,964 |
) |
||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
Swap Contracts |
8,139,578 |
1,798,162 |
||||||||||||
Direxion Daily Latin America Bull 2X Shares |
Swap Contracts |
12,260,230 |
(3,969,672 |
) |
|||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
Swap Contracts |
69,966,142 |
(34,567,728 |
) |
|||||||||||
Direxion Daily MSCI India Bull 2X Shares |
Swap Contracts |
69,116,801 |
(11,759,155 |
) |
|||||||||||
Direxion Daily Russia Bull 2X Shares |
Swap Contracts |
30,982,703 |
15,627,339 |
||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
Swap Contracts |
(8,918 |
) |
64,993 |
|||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
Swap Contracts |
1,558,038 |
2,637,218 |
||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
Swap Contracts |
(5,879,912 |
) |
(1,752,396 |
) |
||||||||||
Direxion Daily Energy Bull 2X Shares |
Swap Contracts |
222,640,569 |
178,856,484 |
||||||||||||
Direxion Daily Energy Bear 2X Shares |
Swap Contracts |
(38,073,006 |
) |
(16,329,694 |
) |
||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
Swap Contracts |
(38,814 |
) |
952,502 |
|||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
Swap Contracts |
78,375,644 |
(318,026,227 |
) |
|||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
Swap Contracts |
8,499,717 |
17,699,304 |
||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
Swap Contracts |
(959,897 |
) |
(242,177,306 |
) |
||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
Swap Contracts |
7,764,779 |
16,618,639 |
||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
Swap Contracts |
25,087,885 |
(4,804,239 |
) |
DIREXION
ANNUAL REPORT
129
Net Realized
Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||
Fund |
Equity
Risk |
Equity Risk |
|||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Swap Contracts |
$ |
304,064,919 |
$ |
633,573,808 |
||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
Swap Contracts |
(86,858,681 |
) |
(55,088,450 |
) |
||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
Swap Contracts |
398,999 |
209,900 |
||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
Swap Contracts |
(737,721 |
) |
(16,171 |
) |
||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
Swap Contracts |
14,285 |
296,078 |
1 Statements of Operations location: Net realized gain (loss) on swap contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap contracts.
For the period ended October 31, 2021, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts |
|||||||||||
Long Total
Return Swap Contracts |
Short Total
Return Swap Contracts |
||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
160,591,294 |
|||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
126,232,825 |
|||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
221,972,507 |
— |
|||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
209,274,710 |
— |
|||||||||
Direxion Daily S&P 500® Bull 2X Shares |
30,799,828 |
— |
|||||||||
Direxion Daily Latin America Bull 2X Shares |
34,302,543 |
— |
|||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
267,311,664 |
— |
|||||||||
Direxion Daily MSCI India Bull 2X Shares |
136,105,732 |
— |
|||||||||
Direxion Daily Russia Bull 2X Shares |
84,973,007 |
— |
|||||||||
Direxion Daily 5G Communications Bull 2X Shares |
3,989,986 |
— |
|||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
26,487,069 |
— |
|||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
— |
24,360,688 |
|||||||||
Direxion Daily Energy Bull 2X Shares |
610,949,617 |
— |
|||||||||
Direxion Daily Energy Bear 2X Shares |
— |
64,607,024 |
|||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
4,789,380 |
— |
|||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
1,397,684,096 |
— |
|||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
174,175,848 |
|||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
1,009,403,858 |
— |
|||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
161,142,180 |
|||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
65,876,622 |
— |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
927,624,841 |
— |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
118,333,623 |
|||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
3,971,911 |
— |
|||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
7,858,268 |
— |
|||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
3,156,617 |
— |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of -100%, 200%, or -200% daily performance of their respective index.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay
DIREXION
ANNUAL REPORT
130
associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns
DIREXION
ANNUAL REPORT
131
and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and futures contracts may be used to create leverage. Certain Funds employ leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
10. ADDITIONAL INFORMATION
On January 11, 2021 shares of the following Fund were adjusted to reflect a forward stock split. The effect of the forward stock split was to increase the number of shares outstanding and decrease the net asset value. The forward stock split has
DIREXION
ANNUAL REPORT
132
no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the forward stock split is as follows:
Funds |
Effective Date |
Rate |
Net Asset Value Before Split |
Net Asset Value After Split |
Shares
Outstanding Before Split |
Shares
Outstanding After Split |
|||||||||||||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
1/11/21 |
5 |
:1 |
218.48 |
43.70 |
264,729 |
1,323,645 |
11. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date of the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On December 8, 2021, certain Funds declared capital gain distributions with an ex-date of December 9, 2021 and payable date of December 16, 2021. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per Share Short Term Capital Gain Distribution |
Per Share Long Term Capital Gain Distribution |
|||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
$ |
0.69349 |
$ |
0.00000 |
|||||||
Direxion Daily S&P 500® Bull 2X Shares |
2.26798 |
0.00000 |
|||||||||
Direxion Daily 5G Communications Bull 2X Shares |
0.02896 |
0.00184 |
|||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
1.01865 |
0.00000 |
|||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
0.98046 |
0.00000 |
|||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
1.18072 |
0.00000 |
|||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
0.05361 |
0.00000 |
On December 20, 2021, certain Funds declared income distributions with an ex-date of December 21, 2021 and payable date of December 29, 2021. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per
Share Income Distribution |
||||||
Direxion Daily S&P 500® Bull 2X Shares |
$ |
0.94217 |
|||||
Direxion Daily Latin America Bull 2X Shares |
0.67444 |
||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
3.58843 |
||||||
Direxion Daily MSCI India Bull 2X Shares |
1.40326 |
||||||
Direxion Daily 5G Communications Bull 2X Shares |
0.08837 |
||||||
Direxion Daily Energy Bull 2X Shares |
0.18535 |
||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
0.04624 |
||||||
Direxion Daily US Infrastructure Bull 2X Shares |
0.00398 |
DIREXION
ANNUAL REPORT
133
Direxion Shares ETF Trust
Effective December 1, 2021, the following table under "Principal Officers of the Trust" is replaced in its entirety as indicated below.
Supplement dated
December 1, 2021 to the
Statements of Additional Information ("SAI")
for
each series of the Direxion Shares ETF Trust (the "Trust")
The following table under "Principal Officers of the Trust" for each of the Trust's SAIs is replaced in its entirety as indicated below.
Name, Address
and Age |
Position(s) Held with Fund |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of
Portfolios in the Direxion Family of Investment Companies Overseen by Trustee(2) |
Other
Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D.
O'Neill(1) Age: 53 |
Chief Executive Officer |
One Year; Since 2021 |
Chief Executive Officer, Rafferty Asset Management, LLC, since 2021; Managing Director, Rafferty Asset Management, LLC, January 1999-January 2019. |
N/A |
N/A |
||||||||||||||||||
Patrick J. Rudnick
Age: 48 |
Principal Executive Officer |
One Year; Since 2018 |
Senior Vice President, Rafferty Asset Management, LLC, since March 2013. |
N/A |
N/A |
||||||||||||||||||
Angela
Brickl Age: 45 |
Chief Compliance Officer Secretary |
One Year; Since 2018 One Year; Since 2011 |
Chief Operating Officer, Rafferty Asset Management, LLC, since May 2021; General Counsel, Rafferty Asset Management LLC, since October 2010; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012. |
N/A |
N/A |
||||||||||||||||||
Corey
Noltner Age: 32 |
Principal Financial Officer |
One Year; Since 2021 |
Senior Business Analyst, Rafferty Asset Management, LLC, since 2015. |
N/A |
N/A |
(1) Mr. O'Neill serves as Chairman of the Board of Trustees of the Direxion Funds, Direxion Insurance Trust and Direxion Shares ETF Trust.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this SAI, offers for sale to the public 78 of the 105 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this SAI, does not have any funds registered with the SEC.
For more information, please contact the Funds at (866) 476-7523.
Please retain this Supplement with your SAI.
DIREXION
ANNUAL REPORT
134
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® Bear 1X Shares, 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 and the Board of Trustees of Direxion Shares ETF Trust.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® Bear 1X Shares, 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 and Direxion Daily US Infrastructure Bull 2X Shares (collectively referred to as the "Funds"), (25 of the funds constituting Direxion Shares ETF Trust (the "Trust")), including the schedules of investments, as of October 31, 2021, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (25 of the funds constituting Direxion Shares ETF Trust) at October 31, 2021, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual fund
constituting the Direxion Shares ETF Trust |
Statement
of operations |
Statements
of changes in net assets |
Financial highlights |
||||||||||||
Direxion Daily CSI
300 China A Share Bear 1X Shares Direxion Daily S&P 500® Bear 1X Shares Direxion Daily CSI 300 China A Share 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 Energy Bull 2X Shares Direxion Daily Energy Bear 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 S&P Oil & Gas Exp. & Prod. Bull 2X Shares Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the five years in the period ended October 31, 2021 | ||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the four years in the period ended October 31, 2021 and the period from November 2, 2016 (commencement of operations) through October 31, 2017 |
DIREXION
ANNUAL REPORT
135
Direxion Shares ETF Trust
Report of Independent Registered Public Accounting Firm
Individual fund
constituting the Direxion Shares ETF Trust |
Statement
of operations |
Statements
of changes in net assets |
Financial highlights |
||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
For the year ended October 31, 2021 |
For each of the two years in the period ended October 31, 2021 |
For each of the three years in the period ended October 31, 2021 and the period from April 19, 2018 (commencement of operations) through October 31, 2018 |
||||||||||||
Direxion Daily 5G
Communications Bull 2X Shares Direxion Daily Travel & Vacation Bull 2X Shares |
For the period from June 10, 2021 (commencement of operations) through October 31, 2021 |
||||||||||||||
Direxion Daily Cloud
Computing Bull 2X Shares Direxion Daily Cloud Computing Bear 2X Shares |
For the period from January 8, 2021 (commencement of operations) through October 31, 2021 |
||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
For the period from July 29, 2021 (commencement of operations) through October 31, 2021 |
||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
For the period from September 30, 2021 (commencement of operations) through October 31, 2021 |
||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
For the period from September 23, 2021 (commencement of operations) through October 31, 2021 |
Basis for Opinion
These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on each of the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Direxion investment companies since 2001.
Minneapolis,
Minnesota
December 22, 2021
DIREXION
ANNUAL REPORT
136
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Federal Tax Status of Dividends Declared during the Tax Year
For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction ("DRD"), the individual qualified dividend rate ("QDI"), the qualified interest income rate ("QII"), and the qualified short-term gain rate ("QSTG") is presented below.
Funds |
DRD |
QDI |
QII |
QSTG |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
9.55 |
% |
9.55 |
% |
0.00 |
% |
88.64 |
% |
|||||||||||
Direxion Daily Latin America Bull 2X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily MSCI India Bull X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Russia Bull 2X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Energy Bull 2X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Energy Bear 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily
Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
0.61 |
% |
0.61 |
% |
0.00 |
% |
100.00 |
% |
|||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
100.00 |
% |
100.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxon Daily Travel & Vacation Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
|||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
The Funds are designating as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended October 31, 2021. To the extent necessary to fully distribute such capital gain, the Funds also designate earnings and profits distributed to shareholders on the redemption of shares.
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION
ANNUAL REPORT
137
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Provided below is a summary of certain of the factors the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "Trust"), including the trustees who are not "interested persons" as defined in the Investment Company Act of 1940, (the "Independent Trustees"), considered in approving the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the Trust, on behalf of the Direxion Daily Select Large Caps & FANGs Bull 2X Shares at the November 24, 2020 meeting, the Direxion Daily 5G Communications Bull 2X Shares at the February 10, 2021 meeting, and the Direxion Daily Global Clean Energy Bull 2X Shares, Direxion Daily Travel & Vacation Bull 2X Shares and Direxion Daily US Infrastructure Bull 2X Shares at the May 18, 2021 meeting, each a series of the Trust. Each series of the Trust listed above is referred to herein as a "Fund" and collectively as the "Funds." The Board, including the trustees who are not "interested persons" of the Trust as defined in the Investment Company Act of 1940 Act, as amended (the "Independent Trustees"), unanimously approved the Agreement on behalf of the Funds. The Board, including the Independent Trustees, determined that the terms of the Agreement for the Funds were fair and reasonable and in the best interests of shareholders.
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the projected profitability to the Adviser based upon its services to be provided to the Fund; (3) the extent to which economies of scale might be realized as the Fund grows; (4) whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits anticipated to be derived and identified by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services Provided. The Board considered the nature, extent and quality of the services to be provided under the Agreement by the Adviser. Based on written materials received, a presentation from senior representatives of the Adviser and a discussion with the Adviser about its personnel, operations and financial condition, the Board considered the quality of the services provided by the Adviser under the Agreement. In this regard, the Board considered information regarding the experience, qualifications and professional background of the portfolio managers and other personnel at the Adviser with principal responsibility for the Funds, as well as the capacity and integrity of the Adviser's senior management and staff. The Board noted that the Adviser has provided services to the Trust since its inception date and has developed an expertise in managing funds with investment strategies similar to the Funds. The Board considered the Adviser's representations that it has the financial resources and appropriate staffing to manage the Funds and to meet its fee waiver and expense obligations thereto. The Board considered that the Adviser will oversee all aspects of the operation of the Funds, including oversight of the Funds' service providers, and provide compliance services to the Funds. The Board observed that because the Funds had not commenced operations, they did not have any prior performance history. Under the totality of the circumstances, the Board determined that, in the exercise of its business judgment, the nature, extent and quality of the services to be provided by the Adviser to the Funds under the Agreement were fair and reasonable.
Costs of Services Provided to the Funds and Profits Realized. The Board considered the fairness and reasonableness of the investment advisory fee rates to be paid to the Adviser by the Funds, including in light of the investment advisory services to be provided by the Adviser. The Board considered the fees to be paid to the Adviser on an annual basis, including as limited by the Operating Expense Limitation Agreement. The Board considered the proposed advisory fee rate and net expense ratio for each Fund was similar to those of comparable exchange-traded funds and to those of similar series of the Trust.
The Board further considered the overall profitability of the Adviser's investment business and, because the Funds had not commenced operations and the Adviser had no prior profit data related to the Funds, the Board considered the break-even analysis provided by the Adviser for each Fund. The Board considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, portfolio rebalancing, regulatory compliance, and entrepreneurial risk. The Board also considered the costs that investors would likely incur if they independently sought to achieve the investment objectives of the Funds. Based on these considerations, the Board determined that, in the exercise of its business judgment, the costs of the services to be provided and any profits that may be realized under the Agreement was not excessive.
Economies of Scale. The Board considered whether economies of scale may be realized by each Fund as it grows larger and the extent to which any such economies of scale are reflected in contractual fee rates. Noting that the Funds had not yet commenced operations and did not yet have any assets, the Board concluded that economies of scale were not a material factor for the Board to consider in approving the Agreement.
DIREXION
ANNUAL REPORT
138
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Other Benefits. The Board considered the Adviser's representation that its relationship with the Funds may enable it to attract assets to the other funds. The Board also considered that the Adviser's overall business with brokerage firms may allow it to negotiate lower commission rates and get better execution for all of its portfolio trades. Based on these and other considerations, the Board determined that such benefits to the Adviser would likely not be material and, overall, would be reasonable.
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, and its consideration of information received throughout the year from the Adviser, the Board determined, in the exercise of its business judgment, that the advisory arrangements, as outlined in the Agreement, were fair and reasonable in light of the services performed, or to be performed, expenses incurred, or to be incurred and such other matters as the Board considered relevant.
DIREXION
ANNUAL REPORT
139
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Consistent with the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") annually considers the renewal of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion Daily CSI 300 China A Share Bear 1X Shares, Direxion Daily S&P 500® Bear 1X Shares, 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 Energy Bull 2X Shares, Direxion Daily Energy Bear 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, and the Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares, each a series of the ETF Trust. The Agreement is initially approved for a two-year period and must be renewed yearly thereafter to remain in effect. Each series of the ETF Trust is referred to herein as a "Fund" and collectively as the "Funds."
At a meeting held on August 18, 2021, the Board, including the trustees who are not "interested persons" of the ETF Trust as defined in the 1940 Act (the "Independent Trustees"), unanimously approved the renewal of the Agreement, on behalf of the Funds. The Independent Trustees had previously considered information pertaining to the renewal of the Agreement outside the presence of the Adviser's representatives and Fund management in executive sessions held on August 4, 2021 and August 18, 2021.
In considering whether to renew the Agreement, the Board requested, and the Adviser provided, information that the Board and Adviser believed to be reasonably necessary to evaluate the Agreement. Among other information, the Board obtained and reviewed the following:
• Detailed information regarding the advisory services provided by the Adviser to the Funds;
• The investment objectives of the Funds, which require daily rebalancing and the utilization of complex financial instruments that are not typical of traditional index tracking exchange-traded funds;
• The level of attention required by the Adviser due to the frequent and large trading activity in the Funds;
• The Adviser's Form ADV;
• Information about the professional qualifications of those employees primarily responsible for providing services to the Funds;
• Information regarding each component of the contractual advisory fee rates for the prior fiscal year;
• Information regarding advisory fees earned and waivers made by the Adviser in connection with providing services to the Funds for the prior fiscal year or since inception, if shorter;
• Information regarding fees paid to the Adviser under, and an evaluation of the services provided per the Management Services Agreement for the prior fiscal year;
• Performance information;
• Comparative industry fee data, including peer group comparisons;
• Information regarding the consolidated financial condition of the Adviser and the profitability of the Adviser; and
• Information regarding how the Adviser monitors the Funds' compliance with regulatory requirements and ETF Trust procedures.
The Board considered that, with respect to most Funds, they had also received information relevant to their annual review of the Agreement since the Fund's inception and, most recently, throughout the past year at regular Board meetings in connection with their oversight of the Funds, including information bearing on the Funds' service provider arrangements and performance results. In addition, the Board received a memorandum from counsel regarding its responsibilities with respect to the approval of the Agreement and participated in a question and answer session with representatives of the Adviser. The Board carefully evaluated the relevant information and the Independent Trustees were advised by legal counsel with respect to their deliberations.
DIREXION
ANNUAL REPORT
140
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreement and each Trustee may have afforded different weight or importance to different factors. For each Fund, the Board considered, among others, the following factors to the extent applicable: (1) the nature, extent, and quality of the services provided; (2) the investment performance; (3) the profitability of the Fund and the advisory business to the Adviser; (4) the extent to which economies of scale might be realized as the Fund grows and whether fee levels reflect these economies of scale, if any, for the benefit of the Fund's shareholders; (5) comparisons of services and fees with contracts entered into by the Adviser with other clients (such as institutional investors), if any; and (6) other benefits derived or anticipated to be derived and identified by the Adviser from its relationship with the Fund.
Nature, Extent and Quality of Services Provided. The Board reviewed, among other matters, the Adviser's business, assets under management, financial resources and capitalization, quality and quantity of personnel, experience, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services provided, and to be provided by the Adviser, under the Agreement and noted there would be no significant differences between the scope of services provided by the Adviser in the past year and those to be provided in the upcoming year. The Board considered the Adviser's representation to the Board that it would continue to provide investment and related services that are of materially the same quality as the services that have been provided to the Funds in the past and whether those services remain appropriate in scope and extent in light of the Funds' operations, the competitive landscape of the investment company business and investor needs.
The Board focused on the quality of the Adviser's personnel and operations and the systems and processes required to manage the Funds effectively, and noted that such personnel, systems and processes may not be present at other investment advisers. The Board considered, as applicable: (1) the Adviser's success in achieving each Fund's daily leveraged investment objective or daily inverse leveraged investment objective; (2) differences between managing leveraged and non-leveraged portfolios, which include developing index optimization and representative sampling investment strategies as well as specialized skills for trading complex financial instruments; (3) information regarding the Adviser's management of derivatives trading activities on behalf of the Funds, including the selection of swap counterparties and the negotiation of favorable derivatives contract terms; (4) the Adviser's ability to manage the Funds in a tax efficient manner, which is more challenging for leveraged than non-leveraged funds; and (5) the size, professional experience and skills of the Adviser's portfolio management staff and the Adviser's ability to recruit, train, and retain personnel with the relevant experience and expertise necessary to manage the Funds. The Board considered that the Adviser oversees all aspects of the operation of the Funds, including oversight of the Funds' service providers, and provides compliance services to the Funds.
Comparison of Advisory Services and Fees. The Board considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of the investment advisory services provided by the Adviser. In this regard, the Board also considered the ability of investors to achieve independently the investment objective of the Funds and the costs to investors of seeking to do so by utilizing a margin account or other means. The Board concluded that it would be difficult for an investor to implement independently any Fund's investment strategy and that attempting to do so would likely be cost-prohibitive. From this perspective, the Board noted the cost effectiveness for investors of employing the Funds to achieve certain investment objectives.
The Board further considered the fairness and reasonableness of the investment advisory fee rate payable to the Adviser by each Fund in light of fee rates paid by other investment companies offering strategies similar in nature to the Funds. In this regard, the Board reviewed information prepared by the Adviser, using data provided by Morningstar, Inc., to compare the Funds' actual advisory fee rates, and gross and net total expenses with those of other funds with common key characteristics, such as asset size, investment objective or industry focus ("Peer Group"). The Board noted the difficulty in compiling a broad and diverse Peer Group because, by design, each Fund is unique and, therefore, few (if any) fund complexes have funds with substantially similar investment objectives and operations. They noted that an independent consultant in 2019 had advised the Board on the Peer Group selection methodology and that the methodology employed in 2021 was consistent with that suggested by the independent consultant.
The Board noted that the comparison reports included the contractual advisory fee and net and gross total expense ratios for each Fund and each Peer Group fund. The Board considered that the Adviser had agreed to limit the total expenses of the Funds (subject to certain exclusions) for the next year by contractually agreeing to pay certain expenses of the Funds under a separate Operating Expense Limitation Agreement.
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ANNUAL REPORT
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
Performance of the Funds. The Board focused on the correlation of each Fund's return to the model performance return for the periods ending June 30, 2021 and June 30, 2020 or since inception if a Fund did not have two full years of operations. In this regard, the Board considered each Fund's daily returns versus model returns ("Tracking Difference"), the standard deviation of the Tracking Differences, and a tracking error analysis provided by the Adviser. The Board also reviewed the total return of each Fund for the one-year or, if shorter, since inception period ended June 30, 2021. The Board considered reports provided to it in anticipation of the meeting, as well as performance reports provided at regular Board meetings throughout the year. The Board noted that the correlation of returns for each Fund to its model performance was generally within reasonable ranges during the reviewed periods. The Board considered that, given the investment objectives of the Funds, the correlation of each such Fund's performance with the model performance and Tracking Error were more meaningful indicia of the quality of the Advisor's management than a Fund's total return.
Costs of Services Provided to the Funds and Profits Realized by the Adviser. The Board reviewed information regarding the profitability of the Adviser based on the fee rates payable under the Agreement. The Board considered the profitability of each Fund and the overall profitability of the Adviser, as reflected in the Adviser's profitability analysis, as well as information provided by the Adviser concerning the methodology used to allocate various expenses. The Board also considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, the dedication of personnel resources to daily portfolio management activities (including rebalancing of the Funds), regulatory compliance, and entrepreneurial risk. The Board further considered a report on other investment advisers' profitability, which was compiled using publicly available information. The Board recognized that it is difficult to compare profitability among investment advisory firms because certain information is not publicly available. Further, to the extent such information is available, the Board acknowledged that it is affected by numerous factors, including the nature of a firm's fund shareholder base, the structure of the adviser and its tax status, the types of funds it manages, its business mix, assumptions regarding allocations and the reporting of operating profits and net income net (rather than gross) of distribution and marketing expenses.
Economies of Scale. The Board considered the current breakpoints included in the Advisory Fee Waiver Agreement, which provide for reduced advisory fee rates for certain Funds when the assets of such Funds reach certain levels. The Board also considered the Adviser's explanation as to why these breakpoints appropriately reflect the Funds' economies of scale. In considering the asset levels of the Funds that have no breakpoints in the Advisory Fee Waiver Agreement with the Adviser, the Board considered the fact that the size of these Funds often increases and decreases significantly, making economies of scale elusive.
Other Benefits. The Board considered indirect and "fall-out" benefits that the Adviser or its affiliates may derive from their relationship to the Funds. Such benefits include the Adviser's ability to leverage its investment management personnel or infrastructure to manage other accounts. In this regard, the Board noted that the Funds pay a management services fee to the Adviser.
Conclusion. Based on, but not limited to, the above considerations and determinations, the Board, including the Independent Trustees, determined that the Agreement for the Funds was fair and reasonable in light of the nature, extent and quality of the services to be performed, the fee rates to be paid, the Adviser's expenses and such other matters as the Board considered relevant in the exercise of its business judgment. Accordingly, the Board concluded that the continuation of the Agreement was in the best interests of the shareholders of the Funds. On this basis, the Board unanimously voted in favor of the renewal of the Agreement.
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Direxion Shares ETF Trust
Board Review of Liquidity Risk Management Program (Unaudited)
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), the Direxion Shares ETF Trust (the "Trust"), on behalf of each series of the Trust (the "Funds"), established a liquidity risk management program (the "Liquidity Program") to assess and manage each Fund's liquidity risk, which is the risk that a Fund is unable to meet investor redemption requests without significantly diluting the remaining investors' interests in the Fund.
At its November 19, 2021 meeting, the Board of Trustees (the "Board") of the Trust reviewed the Liquidity Program. The Board has appointed Rafferty Asset Management, LLC, the investment advisor to the Funds, as the Liquidity Program administrator. At the meeting, Rafferty Asset Management, LLC provided the Board with a written report that addressed the operation of the Funds' Liquidity Program and assessed the adequacy and effectiveness of the implementation of the Liquidity Program (the "Report"). The Report covered the period from November 1, 2020 through October 31, 2021 (the "Report Period"). The Report noted the following:
• The Liquidity Program supported each Fund's ability to meet redemption requests timely;
• The Liquidity Program supported Rafferty Asset Management, LLC's management of each Fund's liquidity, including during periods of market volatility and net redemptions;
• No material liquidity issues were identified during the report period;
• There were no material changes to the Liquidity Program during the report period; and
• The Liquidity Program operated adequately during the report period.
The Report also described the Liquidity Program's liquidity classification methodology for categorizing a Fund's investment (including derivative transactions) into one of four liquidity buckets as required by the Liquidity Rule. The Report stated that the Liquidity Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other risks.
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Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address
and Age |
Position(s) Held with Fund |
Term of
Office and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of
Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other
Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D.
O'Neill(1) Age: 53 |
Chairman of the Board of Trustees |
Lifetime of Trust until removal or resignation; Since 2008 |
Chief Executive Officer of Rafferty Asset Management, LLC, since 2021 – present; Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. |
108 |
None. |
Independent Trustees
Name, Address and
Age |
Position(s) Held with Fund |
Term of
Office and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of
Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other
Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
David L.
Driscoll Age: 52 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Partner, King Associates, LLP, since 2004; Board Advisor, University Common Real Estate, since 2012; Principal, Grey Oaks LLP since 2003; Member, Kendrick LLC, since 2006. |
108 |
None. |
||||||||||||||||||
Jacob C.
Gaffey Age: 73 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. |
108 |
None. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
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Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
Name, Address and
Age |
Position(s) Held with Fund |
Term of
Office and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of
Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other
Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Henry W.
Mulholland Age: 58 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2017 |
Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. |
108 |
None. |
||||||||||||||||||
Kathleen M.
Berkery Age: 54 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2019 |
Rynkar, Vail & Barrett, LLC, since 2018 as Manager – Trusts & Estates; Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017 as Financial Advisor. |
108 |
None. |
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this report, does not have any funds registered with the SEC.
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ANNUAL REPORT
145
Direxion Shares ETF Trust
Trustees and Officers (Unaudited)
The officers of the Trust conduct and supervise its daily business. Unless otherwise noted, an individual's business address is 1301 Avenue of the Americas, 28th Floor, New York, New York 10019. As of the date of this report, the officers of the Trust, their ages, their business address and their principal occupations during the past five years are as follows:
Principal Officers of the Trust
Name, Address and
Age |
Position(s) Held with Fund |
Term of
Office and Length of Time Served |
Principal
Occupation(s) During Past Five Years |
# of
Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other
Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D.
O'Neill(1) Age: 53 |
Chief Executive Officer |
One Year; Since 2021 |
Chief Executive Officer, Rafferty Asset Management, LLC, since 2021; Managing Director of Rafferty Asset Management, LLC, January 1999 – January 2019 and Direxion Advisors, LLC, November 2017 – January 2019. |
108 |
N/A |
||||||||||||||||||
Patrick J.
Rudnick Age: 48 |
Principal Executive Officer Principal Financial Officer |
One Year; Since 2018 One Year; Since 2010 |
Senior Vice President, since March 2013, Rafferty Asset Management, LLC; Senior Vice President, since November 2017, Direxion Advisors, LLC. |
N/A |
N/A |
||||||||||||||||||
Angela
Brickl Age: 45 |
Chief Compliance Officer Secretary |
One Year; Since 2018 One Year; Since 2011 |
General Counsel, Rafferty Asset Management LLC, since October 2010 and Direxion Advisors, LLC, since November 2017; Chief Compliance Officer, Rafferty Asset Management, LLC, since September 2012 and Direxion Advisors, LLC, since November 2017. |
N/A |
N/A |
(1) Mr. O'Neill serves as Chairman of the Board of Trustees of the Direxion Funds, Direxion Insurance Trust, and the Direxion Shares ETF Trust.
(2) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this SAI, offers for sale to the public 77 of the 97 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 12 funds registered with the SEC and the Direxion Insurance Trust which, as of the date of this SAI, does not have any funds registered with the SEC.
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ANNUAL REPORT
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ANNUAL REPORT OCTOBER 31, 2021
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com
Investment Adviser
Rafferty Asset
Management, LLC
1301 Avenue of the Americas (6th Ave.), 28th Floor
New
York, NY 10019
Administrator
U.S. Bancorp Fund
Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York
Mellon
101 Barclay Street
New York, New York 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services,
LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' website, www.direxioninvestments.com or by calling (800) 851-0511.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
PRIVACY NOTICE
At the Direxion Funds, we are committed to protecting your privacy. To open and service your Direxion accounts, we collect and maintain certain nonpublic personal information about you, such as your address, phone number, social security number, purchases, sales, account balances, bank account information and other personal financial information. We collect this information from the following sources:
• Account applications or other forms on which you provide information,
• Mail, e-mail, the telephone and our website, and
• Your transactions and account inquiries with us.
We safeguard the personal information that you have entrusted to us in the following ways:
• As a general policy, only those employees who maintain your account and respond to your requests for additional services have access to your account information.
• We maintain physical, electronic, and procedural safeguards to insure the security of your personal information and to prevent unauthorized access to your information.
We do not disclose any nonpublic personal information about you or our former shareholders to anyone, except as permitted or required by law. In the course of conducting business and maintaining your account we may share shareholder information, as allowed by law, with our affiliated companies and with other service providers, including financial intermediaries, custodians, transfer agents and marketing consultants. Those companies are contractually bound to use that information only for the services for which we hired them. They are not permitted to use or share our shareholders' nonpublic personal information for any other purpose. There also may be times when we provide information to federal, state or local authorities as required by law.
In the event that you hold fund shares of Direxion through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
For questions about our policy, please contact us at (800) 851-0511.
This page is not a part of the Annual Report.
DIREXION ANNUAL REPORT