UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22201
Direxion Shares ETF Trust
(Exact name of registrant as specified in charter)
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019
(Address of principal executive offices) (Zip code)
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019
(Name and address of agent for service)
1-800-851-0511
Registrant's telephone number, including area code
Date of fiscal year end: October 31, 2022
Date of reporting period: April 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a)
DIREXION SHARES ETF TRUST
SEMI-ANNUAL REPORT APRIL 30, 2022
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Direxion Fallen Knives ETF
Direxion Hydrogen ETF
Direxion Low Priced Stock ETF
Direxion Moonshot Innovators ETF
Direxion mRNA ETF
Direxion Nanotechnology ETF
Direxion NASDAQ-100® Equal Weighted Index Shares
Direxion Work From Home ETF
Direxion World Without Waste ETF
Direxion Russell 1000® Growth Over Value ETF
Direxion Russell 1000® Value Over Growth ETF
You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to info@direxionfunds.com.
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 |
4 |
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Expense Example |
10 |
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Allocation of Portfolio Holdings |
12 |
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Schedules of Investments |
13 |
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Statements of Assets and Liabilities |
29 |
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Statements of Operations |
32 |
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Statements of Changes in Net Assets |
35 |
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Financial Highlights |
41 |
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Notes to the Financial Statements |
43 |
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Supplemental Information |
58 |
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Board Review of Investment Advisory Agreement |
59 |
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Trustees and Officers |
61 |
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Letter to Shareholders (Unaudited)
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2021 to April 30, 2022 (the "Semi-Annual Period").
Market Review:
Although global equities ended 2021 on a high note, the Omicron variant of Covid-19 was beginning to spread, and the CPI index started to creep upward. The equity rally did not last into 2022, as the S&P 500 recorded its worst January since 2008, with value names outperforming growth names. Equity markets continued to decline through February 2022, further magnified by the Russian invasion of Ukraine. The S&P 500 posted its first monthly gain of the year in March 2022, but not all global markets followed suit. At the same time, Chinese markets were crashing, primarily due to renewed countrywide Covid-19 shut-downs. April 2022 was extremely volatile, with equity markets struggling both domestically and internationally.
In November 2021, the treasury yield curve flattened and appetite for bonds was weak. There was a slight shift in December 2021, as investors looked towards the debt markets as a safe haven against mounting inflationary pressures, but risk-off sentiment returned in 2022 as the Federal Reserve took a hawkish stance against the economic environment. The Russian invasion of Ukraine weakened the fixed income segment of the market further, especially in emerging market debt. The end of this period saw the treasury yield curve shift higher, hurting fixed income returns. The general economic sentiment was weak as CPI and inflation rose, geopolitical tensions continued, and the Federal Reserve raised rates.
Factors Affecting the ETFs Performance:
Benchmark Performance – The performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. The market conditions that affected the benchmark indexes during the past year are described in the Market Review section above.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index funds' fees, which cause a greater negative impact on ETF performance. Transaction costs are not included in the expense ratio of the ETFs.
The ETFs Performance Review:
The following discussion relates to the performance of the ETFs for the Semi-Annual Period. The performance of the ETFs for the Semi-Annual Period is important primarily for understanding whether the ETFs meet their investment goals. All ETF returns are NAV (net asset value) returns.
Non-Leveraged ETFs
The Direxion Auspice Broad Commodity Strategy ETF seeks to provide total returns that exceed that of the Auspice Broad Commodity Index over a complete market cycle. The Auspice Broad Commodity Index attempts to capture upward trends in the commodity markets while minimizing risk during down trends. The Auspice Broad Commodity Index will use a quantitative methodology to track either long or flat positions in a diversified portfolio of 12 different commodity futures contracts, or "components", which cover the energy, metal, and agricultural sectors. It attempts to incorporate dynamic risk management and contract rolling methods. For the Semi-Annual Period, the Auspice Broad Commodity Index returned 16.01%, while the Direxion Auspice Broad Commodity Strategy ETF returned 15.64%.
DIREXION SEMI-ANNUAL REPORT
4
Commodities have rallied in an otherwise bear market, primarily due to inflation. In particular, the energy and agriculture holdings the Direxion Auspice Broad Commodity Strategy ETF performed extremely well. Heating oil futures were up 128.12% and natural gas futures were up 116.31% over the Semi-Annual Period. The performance for metals was more muted, with silver down 4.26%, gold up 6.36%, and copper essentially flat. The Direxion Auspice Broad Commodity Strategy ETF had strong performance despite overall market volatility.
The Direxion Fallen Knives ETF seeks investment results, before fees and expenses, that track the Indxx US Fallen Knives Index. The Indxx US Fallen Knives Index is designed by Indxx, LLC to consist of U.S equity securities that have experienced considerable share price declines over the prior year and have financial health, suggesting that the security has potential for share price recovery in the future. For the Semi-Annual Period, the Indxx US Fallen Knives Index returned -29.59%, while the Direxion Fallen Knives ETF returned -29.70%.
Grocery Outlet Holding Corp. (GO), a grocery store owner and operator, was one of the top performers during the Semi-Annual, with a total return of 44.69%. Coupa Software Inc. (COUP) was one of the bottom performers that has a significant portfolio weight, losing -63.72% this period. Almost 50% of the Direxion Fallen Knives ETF's portfolio is held in health care, which experienced losses as a sector.
The Direxion Hydrogen ETF seeks investment results, before fees and expenses, that track the Indxx Hydrogen Economy Index. The Indxx Hydrogen Economy Index tracks the performance of companies that provide goods and/or services related to the Hydrogen Industry, including hydrogen generation and storage, fuel cells, hydrogen stations, and hydrogen-based vehicles. The Index includes domestic securities as well as securities listed on various foreign markets, including among others, Japan and South Korea. The Index is reconstituted annually and rebalanced quarterly. For the Semi-Annual Period, the Indxx Hydrogen Economy Index returned -28.98%, while the Direxion Hydrogen ETF returned -28.93%.
Idemitsu Kosan (5019 JP Equity) was one of the top performers, while Ballard Power Systems (BLDP) brought up the rear for the Direxion Hydrogen ETF. Two of the biggest names in the hydrogen industry, Plug Power (PLUG) and Bloom Energy (BE), also experienced significant losses during the Semi-Annual Period. However, hydrogen is gaining momentum as an important source for the global energy transition.
The Direxion Low Priced Stock ETF seeks investment results, before fees and expenses, that track the Solactive Two Bucks Index. The Solactive Two Bucks Index is an equal-weighted index provided by Solactive AG that is designed to measure the performance of U.S.-listed securities with relatively low trading prices. The Index Provider begins with the Solactive GBS United States All Cap Index and applies certain requirements that vary depending on the quarter at which the Index is rebalanced in order to select a total of 50 securities. The Index is rebalanced and reconstituted quarterly in February, May, August, and November. For the Semi-Annual Period, the Solactive Two Bucks Index returned -28.51%, while the Direxion Low Priced Stock ETF returned -28.33%.
Nextier Oilfield Solutions (NEX) and RPC Inc. (RES) both experienced significant gains of 138.73% and 89.38%, respectively, during the Semi-Annual Period. However, the majority of the Direxion Low Priced Stock ETF's portfolio posted negative returns, which outweighed these substantial gains. Despite losses, roughly 40% of the portfolio is held in the energy sector, which has potential for strong returns moving forward.
The Direxion Moonshot Innovators ETF seeks investment results, before fees and expenses, that track the S&P Kensho Moonshots Index. The S&P Kensho Moonshots Index is comprised of 50 U.S. companies that pursue innovative technologies that have the potential to disrupt existing technologies and/or industries (i.e., moonshot innovators) and are considered to have the highest "early-stage composite innovation scores" which is determined based off a natural language processing review of the constituent company's latest annual regulatory filing for the use of words and phrases that are related to innovation. The Index is modified equal-weighted, reconstituted annually, and rebalanced semi-annually. For the Semi-Annual Period, the S&P Kensho Moonshots Index returned -52.54%, while the Direxion Moonshot Innovators ETF returned -52.37%.
DIREXION SEMI-ANNUAL REPORT
5
Some more well-known names, such as Dropbox and Yelp, experienced losses during the Semi-Annual Period, in line with the overall holdings of the Direxion Moonshot Innovators ETF. Tech names have had difficulties recently, and IT companies make up roughly 50% of the portfolio.
The Direxion mRNA ETF seeks investment results, before fees and expenses, that track the BITA Messenger RNA Technology Index. The BITA Messenger RNA Technology Index provides exposure to the performance of companies, publicly listed in the United States, Canada and Europe, that are leading the development and application of messenger RNA ("mRNA") technology. mRNA is a single-stranded ribonucleic acid ("RNA") molecule that is complementary to one of the DNA strands of a gene. mRNA plays a vital role in protein synthesis in the human body, and mRNA technologies leverage this vital role to enable targeted cells to produce proteins that enable the body to fight or prevent a given disease. As an example, mRNA technology is the basis for certain COVID-19 vaccines. Eligible companies must meet certain conditions as specified by the Index Provider as well as market capitalization and liquidity requirements. Index constituents are weighted based on a modified free float market capitalization and reconstituted and rebalanced quarterly. Since the Fund's inception on December 9, 2021, the BITA Messenger RNA Technology Index returned -42.33%, while the Direxion mRNA ETF returned -42.40%.
The top performer during the Semi-Annual Period was Vertex Pharmaceuticals (VRTX), which returned 32.24% and has a portfolio weight of 9.25%, the highest weighted stock in the Direxion mRNA ETF. Well-known bio tech companies Moderna (MRNA) and Bio N Tech (BNTX) experienced almost identical losses of roughly -52%. Gritstone Bio (GRTS) was the worst performer, losing -79.03% since the Fund's inception, with a weight of 3.55%. For the most part, the healthcare sector has struggled during the Period, which has translated to poor fund performance, but many companies have interesting projects upcoming. For example, Bio N Tech is in a trial for pancreatic cancer treatment.
The Direxion Nanotechnology ETF seeks investment results, before fees and expenses, that track the S&P Kensho Extended Nanotechnology Index. The S&P Kensho Extended Nanotechnology Index, a subsector index within the S&P Kensho New Economy Index Series, is designed to measure the performance of U.S. listed securities, including depositary receipts, of companies involved in the nanotechnology industry. The Index Provider defines nanotechnology as the creation and/or manipulation of matter at the molecular (or smaller) level. The Index includes companies that produce nanomaterials or provide systems, products and services that allow for construction, measurement, simulation or manipulation of nanomaterials. Since the Fund's inception on November 23, 2021, the S&P Kensho Extended Nanotechnology Index returned -39.24%, while the Direxion Nanotechnology ETF returned -39.36%.
Jazz Pharmaceuticals (JAZZ) was the top performer, returning 17.94%. However, many other names in the healthcare sector, which makes up nearly 70% of the Direxion Nanotechnology ETF, did not fare as well during the Semi-Annual Period. Well-known Moderna (MRNA) returned -60.14% and Bio N Tech (BNTX) returned -49.41% during the six month period, each with a portfolio weight of roughly 2.5%. Bruker Corp. (BRKR) is the top holding, making up 10.47% of the portfolio, and lost -29.13% this period.
The Direxion NASDAQ-100® Equal Weighted Index Shares seeks investment results, before fees and expenses, that track the NASDAQ-100® Equal Weighted Index. The NASDAQ-100® Equal Weighted Index is the equal weighted version of the NASDAQ-100 Index® which includes approximately 100 of the largest domestic and international non-financial companies listed on the NASDAQ® Stock Market based on market capitalization selected by NASDAQ, Inc., the index provider. Equal weighting is a method of weighting index stocks whereby the same exposure is provided to both the smallest and largest companies included in the Index. The Index is rebalanced quarterly and reconstituted annually. For the Semi-Annual Period, the NASDAQ-100® Equal Weighted Index returned -17.67%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned -17.86%.
The Direxion NASDAQ-100® Equal Weighted Index Shares slightly outperformed the NASDAQ-100® , with the later returning -18.90%. Some of the top performers during the Semi-Annual Period were well-known consumer names, such as Kraft Heinz and Dollar Tree, returning 18.63% and 46.67%, respectively. Exelon also performed well, returning 23.59%. The IT sector had a rough six months, with names like Netflix, PayPal, and Docusign losing -60% to -70%.
DIREXION SEMI-ANNUAL REPORT
6
The Direxion Work From Home ETF seeks investment results, before fees and expenses, that track the Solactive Remote Work Index. The Solactive Remote Work Index is comprised of U.S. listed securities and ADRs of companies that provide products and services in at least one of the following business segments that facilitate the ability of people to work from home: remote communications, cyber security, online project and document management, and cloud computing technologies ("WFH Industries"). The Index consists of 40 companies, namely, the top 10 ranked companies in each of the four WFH Industries. The Index is equal weighted at each semi-annual reconstitution and rebalance date. For the Semi-Annual Period, the Solactive Remote Work Index returned -26.43%, while the Direxion Work From Home ETF returned -26.40%.
Plantronics (POLY), a headset company, was the top performer during the Semi-Annual Period, returning 38.07%. Names such as Ring Central (RNG) and Docusign (DOCU) were among bottom performers, falling -66.38% and -70.86%, respectively. Names in the IT sector make up 86.48% of the Direxion Work From Home ETF, and tech generally had a tough six months.
The Direxion World Without Waste ETF seeks investment results, before fees and expenses, that track the Indxx US Circular Economy Index. The Indxx US Circular Economy Index tracks the performance of 50 US-listed companies that are representative of the transformative shift from the linear model of economy to a circular one. The index includes five sub-themes central to the circular economy, providing investors access to the shifting paradigm in growing segments such as biofuels, solar power, and waste management, along with collaboration and content sharing platforms. Companies that cumulatively derive revenue greater than, or equal to, 50% from categories comprising a sub-theme, are 'pure-play' companies. All of the 'pure-play' companies from the sub-themes will form the selection list. The top 10 companies from each sub-theme, by largest total market capitalization, will form the final index. For the Semi-Annual Period, the Indxx US Circular Economy Index returned -31.40%, while the Direxion World Without Waste ETF returned -31.55%.
US Ecology (ECOL), a waste collection and management company, was the top performer during the Semi-Annual Period, gaining 44.24%. Well-known names in tech such as Shopify, Netflix, Etsy, and Zoom were all down between roughly 60%-70%, contributing more greatly to the Direxion World Without Waste ETF's performance.
Relative Weight ETFs
The Direxion Russell 1000® Growth Over Value ETF seeks investment results, before fees and expenses, that track the Russell 1000® Growth/Value 150/50 Index. Russell 1000® Growth/Value 150/50 Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Growth Index (the "Long Component") and 50% short exposure to the Russell 1000® Value Index (the "Short Component"). On a monthly basis, the index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the index value. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a growth over value investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. For the Semi-Annual Period, the Russell 1000® Growth/Value 150/50 Index returned -24.42%, while the Direxion Russell 1000® Growth Over Value ETF returned -24.76%.
The Direxion Russell 1000® Value Over Growth ETF seeks investment results, before fees and expenses, that track the Russell 1000® Value/Growth 150/50 Index. The Russell 1000® Value/Growth 150/50 Index measures the performance of a portfolio that has 150% long exposure to the Russell 1000® Value Index (the "Long Component") and 50% short exposure to the Russell 1000® Growth Index (the "Short Component"). On a monthly basis, the index will rebalance such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the index value. In tracking the index, the Fund seeks to provide a vehicle for investors looking to efficiently express a value over growth investment view by overweighting exposure to the Long Component and shorting exposure to the Short Component. For the Semi-Annual Period, the Russell 1000® Value/Growth 150/50 Index returned 3.35%, while the Direxion Russell 1000® Value Over Growth ETF returned 2.86%.
DIREXION SEMI-ANNUAL REPORT
7
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
|
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Patrick Rudnick |
Corey Noltner |
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Principal Executive Officer |
Principal Financial Officer |
An investor should carefully consider a Fund's investment objective, risks, charges, and expenses before investing. A Fund's prospectus and summary prospectus contain this and other information about the Direxion Shares. To obtain a Fund's prospectus and summary prospectus call 866-476-7523 or visit our website at direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate. An investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. For the most recent month-end performance please visit the Fund's website at direxion.com.
Short-term performance, in particular, is not a good indication of the Fund's future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, Fund performance may be subject to substantial short-term changes. For additional information, see the Fund's prospectus.
Shares of the Direxion Shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally calculated) and do not represent the returns you would receive if you traded shares at other times. Brokerage commissions will reduce returns. Fund returns assume that dividends and capital gains distributions have been reinvested in the Fund at NAV. 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.
Futures Contract: an agreement traded on an organized exchange to buy or sell assets, especially commodities or shares, at a fixed price but to be delivered and paid for later.
Direxion Auspice Broad Commodity Strategy ETF – Commodities and futures generally are volatile and are not suitable for all investors. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Commodity linked derivatives also may be subject to credit and interest rate risks that in general affect the values of debt securities. 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 leverage, imperfect correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Futures contracts are typically exchange traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. Futures markets are highly volatile and the use of futures may increase the volatility of the Fund. 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. There may not be a liquid secondary market for the futures contracts.
DIREXION SEMI-ANNUAL REPORT
8
Under amended regulations promulgated by the U.S. Commodities Futures Trading Commission ("CFTC"), the Fund and the Subsidiary are considered commodity pools, and therefore each is subject to regulation under the Commodity Exchange Act and CFTC rules. The Adviser is registered as a commodity pool operator ("CPO") and will manage both the Fund and Subsidiary in accordance with CFTC rules, as well as the rules that apply to registered investment companies, which includes registering both the Fund and the Subsidiary as commodity pools. Registration as a commodity pool subjects the registrant to additional laws, regulations and enforcement policies, all of which may potentially increase compliance costs and may affect the operations and financial performance of the Fund or the Subsidiary. Additionally, the Subsidiary's positions in futures contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC. Such actions may subject the Fund to substantial losses.
Direxion Relative Weight ETFs Risks – Investing involves risk including possible loss of principal. The ETFs' investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in or shorting securities or other investments. There is no guarantee that the returns on an ETF's long or short positions will produce high, or even positive returns and the ETF could lose money if either or both of the ETF's long and short positions produce negative returns. Please see the summary and full prospectuses for a more complete description of these and other risks of the ETFs.
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 that results from an ETF's investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts and swaps are subject to market risks that may cause their price to fluctuate over time. The ETFs do not attempt to, and should not be expected to, provide returns which are a multiple of the return of their respective index for periods other than a single day. For other risks including leverage, correlation, daily compounding, market volatility and risks specific to an industry or sector, please read the prospectus.
The views of this letter were those of the Adviser as of April 30, 2022 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 SEMI-ANNUAL REPORT
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Expense Example (Unaudited)
April 30, 2022
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2021 to April 30, 2022).
Actual expenses
The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2021 to April 30, 2022" to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period November 1, 2021 to April 30, 2022* |
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Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
|||||||||||||||||||
Based on actual fund return |
0.88 |
% |
$ |
1,000.00 |
$ |
1,156.40 |
$ |
4.71 |
|||||||||||
Based on hypothetical 5% return |
0.88 |
% |
1,000.00 |
1,020.43 |
4.41 |
||||||||||||||
Direxion Fallen Knives ETF |
|||||||||||||||||||
Based on actual fund return |
0.50 |
% |
1,000.00 |
703.00 |
2.11 |
||||||||||||||
Based on hypothetical 5% return |
0.50 |
% |
1,000.00 |
1,022.32 |
2.51 |
||||||||||||||
Direxion Hydrogen ETF |
|||||||||||||||||||
Based on actual fund return |
0.45 |
% |
1,000.00 |
710.70 |
1.91 |
||||||||||||||
Based on hypothetical 5% return |
0.45 |
% |
1,000.00 |
1,022.56 |
2.26 |
||||||||||||||
Direxion Low Priced Stock ETF |
|||||||||||||||||||
Based on actual fund return |
0.50 |
% |
1,000.00 |
716.70 |
2.13 |
||||||||||||||
Based on hypothetical 5% return |
0.50 |
% |
1,000.00 |
1,022.32 |
2.51 |
DIREXION SEMI-ANNUAL REPORT
10
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period November 1, 2021 to April 30, 2022* |
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Direxion Moonshot Innovators ETF |
|||||||||||||||||||
Based on actual fund return |
0.65 |
% |
$ |
1,000.00 |
$ |
476.30 |
$ |
2.38 |
|||||||||||
Based on hypothetical 5% return |
0.65 |
% |
1,000.00 |
1,021.57 |
3.26 |
||||||||||||||
Direxion mRNA ETF2 |
|||||||||||||||||||
Based on actual fund return |
0.65 |
% |
1,000.00 |
576.00 |
2.01 |
||||||||||||||
Based on hypothetical 5% return |
0.65 |
% |
1,000.00 |
1,017.04 |
2.57 |
||||||||||||||
Direxion Nanotechnology ETF1 |
|||||||||||||||||||
Based on actual fund return |
0.65 |
% |
1,000.00 |
606.40 |
2.27 |
||||||||||||||
Based on hypothetical 5% return |
0.65 |
% |
1,000.00 |
1,018.95 |
2.86 |
||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
|||||||||||||||||||
Based on actual fund return |
0.35 |
% |
1,000.00 |
821.40 |
1.58 |
||||||||||||||
Based on hypothetical 5% return |
0.35 |
% |
1,000.00 |
1,023.06 |
1.76 |
||||||||||||||
Direxion Work From Home ETF |
|||||||||||||||||||
Based on actual fund return |
0.45 |
% |
1,000.00 |
736.00 |
1.94 |
||||||||||||||
Based on hypothetical 5% return |
0.45 |
% |
1,000.00 |
1,022.56 |
2.26 |
||||||||||||||
Direxion World Without Waste ETF |
|||||||||||||||||||
Based on actual fund return |
0.50 |
% |
1,000.00 |
684.50 |
2.09 |
||||||||||||||
Based on hypothetical 5% return |
0.50 |
% |
1,000.00 |
1,022.32 |
2.51 |
||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
|||||||||||||||||||
Based on actual fund return |
0.45 |
% |
1,000.00 |
752.40 |
1.96 |
||||||||||||||
Based on hypothetical 5% return |
0.45 |
% |
1,000.00 |
1,022.56 |
2.26 |
||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
|||||||||||||||||||
Based on actual fund return |
0.45 |
% |
1,000.00 |
1,028.60 |
2.26 |
||||||||||||||
Based on hypothetical 5% return |
0.45 |
% |
1,000.00 |
1,022.56 |
2.26 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2021 to April 30, 2022), 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 November 23, 2021 (commencement of operations) to April 30, 2022, multiplied by 159 days (the number of days since commencement of operations to April 30, 2022), 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 December 9, 2021 (commencement of operations) to April 30, 2022, multiplied by 143 days (the number of days since commencement of operations to April 30, 2022), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
11
Allocation of Portfolio Holdings (Unaudited)
April 30, 2022
Cash* |
Common Stocks |
Investment Companies |
Futures |
Swaps |
Total |
||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
97 |
% |
— |
— |
3 |
% |
— |
100 |
% |
||||||||||||||||||
Direxion Fallen Knives ETF |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion Hydrogen ETF |
2 |
% |
98 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion Low Priced Stock ETF |
1 |
% |
99 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion Moonshot Innovators ETF |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion mRNA ETF |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion Nanotechnology ETF |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion Work From Home ETF |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion World Without Waste ETF |
0 |
%** |
100 |
% |
— |
— |
— |
100 |
% |
||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
13 |
% |
— |
97 |
% |
— |
(10 |
)% |
100 |
% |
|||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
12 |
% |
— |
90 |
% |
— |
(2 |
)% |
100 |
% |
* Cash, cash equivalents and other assets less liabilities.
** Percentage is less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
12
Direxion Auspice Broad Commodity Strategy ETF (Consolidated)
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 94.3% |
|||||||||||
Money Market Funds - 94.3% |
|||||||||||
405,335,661 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
405,335,661 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $405,335,661) |
$ |
405,335,661 |
|||||||||
TOTAL INVESTMENTS (Cost $405,335,661) - 94.3% |
$ |
405,335,661 |
|||||||||
Other Assets in Excess of Liabilities - 5.7% |
24,621,775 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
429,957,436 |
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 April 30, 2022.
(b) $20,448,813 of cash is pledged as collateral for futures contracts.
Long Futures Contracts (Unaudited)
April 30, 2022
Reference Entity |
Expiration |
Number of |
Notional |
Variation |
Unrealized |
||||||||||||||||||
Copper |
7/27/22 |
244 |
$ |
26,891,850 |
$ |
(150,625 |
) |
$ |
(1,889,051 |
) |
|||||||||||||
Corn |
12/14/22 |
800 |
30,050,000 |
(19,875 |
) |
6,493,920 |
|||||||||||||||||
Cotton No. 2 |
12/7/22 |
478 |
29,174,730 |
(691,510 |
) |
3,879,213 |
|||||||||||||||||
Gasoline RBOB |
10/31/22 |
143 |
16,921,905 |
(111,359 |
) |
(409,692 |
) |
||||||||||||||||
Gold |
6/28/22 |
246 |
47,027,820 |
495,690 |
(586,983 |
) |
|||||||||||||||||
Natural Gas |
3/29/23 |
382 |
17,335,160 |
648,390 |
1,461,128 |
||||||||||||||||||
NY Harbor ULSD |
5/31/22 |
97 |
16,366,073 |
35,478 |
4,723,842 |
||||||||||||||||||
Silver |
7/27/22 |
248 |
28,625,400 |
(117,600 |
) |
(1,957,848 |
) |
||||||||||||||||
Soybean |
11/14/22 |
442 |
33,475,975 |
(136,563 |
) |
3,433,575 |
|||||||||||||||||
Sugar #11 |
4/28/23 |
2185 |
45,958,416 |
48,104 |
(2,222,145 |
) |
|||||||||||||||||
Wheat |
12/14/22 |
341 |
18,043,162 |
(421,250 |
) |
(1,029,966 |
) |
||||||||||||||||
WTI Crude Oil |
2/21/23 |
152 |
13,541,680 |
(123,830 |
) |
(833,168 |
) |
||||||||||||||||
$ |
323,412,171 |
$ |
(544,950 |
) |
$ |
11,062,825 |
All futures contracts held by Direxion BCS Fund Ltd. See Note 1.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
13
Direxion Fallen Knives ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 100.0% |
|||||||||||
Accommodation - 4.1% |
|||||||||||
3,986 |
Las Vegas Sands Corp. (a) |
$ |
141,223 |
||||||||
Administrative and Support Services - 2.2% |
|||||||||||
12,333 |
MultiPlan Corporation (a) |
54,635 |
|||||||||
7,111 |
Workhorse Group, Inc. (a)(b) |
21,404 |
|||||||||
76,039 |
|||||||||||
Ambulatory Health Care Services - 1.8% |
|||||||||||
10,735 |
Invitae Corp. (a) |
57,003 |
|||||||||
1,177 |
Tabula Rasa HealthCare, Inc. (a) |
3,966 |
|||||||||
60,969 |
|||||||||||
Chemical Manufacturing - 28.0% |
|||||||||||
1,828 |
ADC Therapeutics SA (a)(b) |
21,516 |
|||||||||
13,009 |
Amicus Therapeutics, Inc. (a) |
92,104 |
|||||||||
3,462 |
Coherus BioSciences, Inc. (a) |
31,296 |
|||||||||
2,078 |
Forma Therapeutics Holdings, Inc. (a) |
15,710 |
|||||||||
2,251 |
Generation Bio Co. (a) |
14,249 |
|||||||||
2,559 |
Gossamer Bio, Inc. (a) |
17,683 |
|||||||||
5,729 |
Ionis Pharmaceuticals, Inc. (a) |
210,598 |
|||||||||
1,150 |
iTeos Therapeutics, Inc. (a) |
30,693 |
|||||||||
1,491 |
ORIC Pharmaceuticals Inc. (a) |
4,950 |
|||||||||
3,307 |
PTC Therapeutics, Inc. (a) |
116,836 |
|||||||||
2,439 |
Sage Therapeutics, Inc. (a) |
76,877 |
|||||||||
2,447 |
Sarepta Therapeutics, Inc. (a) |
176,967 |
|||||||||
2,752 |
Travere Therapeutics, Inc. (a) |
69,158 |
|||||||||
2,082 |
Turning Point Therapeutics, Inc. (a) |
61,294 |
|||||||||
2,002 |
uniQure N.V. ADR (Netherlands) (a) |
29,910 |
|||||||||
969,841 |
|||||||||||
Credit Intermediation and Related Activities - 1.3% |
|||||||||||
552 |
LendingTree, Inc. (a) |
43,840 |
|||||||||
Food and Beverage Stores - 4.1% |
|||||||||||
4,225 |
Grocery Outlet Holding Corp. (a)(b) |
142,256 |
|||||||||
Food Manufacturing - 5.5% |
|||||||||||
1,913 |
McCormick & Co, Inc. |
192,390 |
|||||||||
Hospitals - 0.0% † |
|||||||||||
558 |
Ontrak, Inc. (a) |
664 |
|||||||||
Merchant Wholesalers, Durable Goods - 1.6% |
|||||||||||
1,631 |
Silk Road Medical, Inc. (a) |
57,167 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 5.1% |
|||||||||||
3,030 |
Global Blood Therapeutics, Inc. (a) |
93,021 |
|||||||||
3,530 |
Relay Therapeutics, Inc. (a) |
84,120 |
|||||||||
177,141 |
|||||||||||
Mining (except Oil and Gas) - 2.0% |
|||||||||||
10,975 |
NovaGold Resources Inc. ADR (Canada) (a) |
68,265 |
|||||||||
Miscellaneous Manufacturing - 5.4% |
|||||||||||
8,079 |
Cerus Corp. (a) |
37,325 |
|||||||||
2,444 |
Haemonetics Corp. (a) |
123,837 |
|||||||||
9,989 |
Inovio Pharmaceuticals, Inc. (a)(b) |
27,270 |
|||||||||
188,432 |
Shares |
Fair Value |
||||||||||
Performing Arts, Spectator Sports, and Related Industries - 1.9% |
|||||||||||
18,246 |
iQIYI, Inc. ADR (China) (a) |
$ |
64,956 |
||||||||
Petroleum and Coal Products Manufacturing - 2.3% |
|||||||||||
18,981 |
YPF Sociedad Anónima ADR (Argentina) (a) |
80,479 |
|||||||||
Printing and Related Support Activities - 0.9% |
|||||||||||
3,399 |
Arko Corp. |
31,509 |
|||||||||
Professional, Scientific, and Technical Services - 9.5% |
|||||||||||
3,517 |
Allogene Therapeutics, Inc. (a) |
29,367 |
|||||||||
2,798 |
Alteryx, Inc. (a) |
179,632 |
|||||||||
3,014 |
Kura Oncology, Inc. (a) |
43,251 |
|||||||||
1,566 |
Model N, Inc. (a) |
40,465 |
|||||||||
763 |
Simulations Plus, Inc. |
35,602 |
|||||||||
328,317 |
|||||||||||
Publishing Industries (except Internet) - 18.3% |
|||||||||||
6,134 |
21Vianet Group, Inc. ADR (China) (a) |
36,620 |
|||||||||
1,845 |
Citrix Systems, Inc. |
184,684 |
|||||||||
1,569 |
Coupa Software, Inc. (a) |
135,405 |
|||||||||
5,135 |
Fastly, Inc. (a) |
81,647 |
|||||||||
1,596 |
Splunk, Inc. (a) |
194,744 |
|||||||||
633,100 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 5.1% |
|||||||||||
4,772 |
Canoo Inc. (a)(b) |
22,905 |
|||||||||
4,364 |
GDS Holdings Ltd. ADR (China) (a)(b) |
137,117 |
|||||||||
5,208 |
Hyliion Holdings Corp. (a) |
16,718 |
|||||||||
176,740 |
|||||||||||
Telecommunications - 0.7% |
|||||||||||
1,090 |
Bandwidth Inc. (a) |
24,111 |
|||||||||
Transportation Equipment Manufacturing - 0.2% |
|||||||||||
4,528 |
XL Fleet Corp. (a) |
6,339 |
|||||||||
TOTAL COMMON STOCKS (Cost $5,253,991) |
$ |
3,463,778 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
14
Direxion Fallen Knives ETF
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 10.6% |
|||||||||||
Money Market Funds - 10.6% |
|||||||||||
367,947 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
367,947 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $367,947) |
$ |
367,947 |
|||||||||
TOTAL INVESTMENTS (Cost $5,621,938) - 110.6% (e) |
$ |
3,831,725 |
|||||||||
Liabilities in Excess of Other Assets - (10.6)% |
(368,343 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,463,382 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
† Less than 0.005%.
(a) Non-income producing security.
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
15
Direxion Hydrogen ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 98.1% |
|||||||||||
Chemical Manufacturing - 44.8% |
|||||||||||
16,027 |
Air Liquide S.A. (France) (a) |
$ |
2,795,523 |
||||||||
6,332 |
Air Products & Chemicals, Inc. |
1,482,131 |
|||||||||
55,812 |
Air Water, Inc. (Japan) (a) |
741,374 |
|||||||||
158,032 |
Cell Impact AB (Sweden) (a) |
294,010 |
|||||||||
52,322 |
Doosan Fuel Cell Co., Ltd (South Korea) (a) |
1,451,769 |
|||||||||
358,194 |
ITM Power (United Kingdom) (a)(b) |
1,490,339 |
|||||||||
7,626 |
Linde PLC (Ireland) ADR |
2,379,007 |
|||||||||
60,603 |
McPhy Energy SAS (France) (a)(b) |
1,119,472 |
|||||||||
51,098 |
Nippon Sanso Holdings Corp. (Japan) (a) |
921,705 |
|||||||||
837,439 |
PTT Global Chemical PCL (Thailand) (a) |
1,222,539 |
|||||||||
55,488 |
Showa Denko K.K. (Japan) (a) |
1,082,264 |
|||||||||
14,980,133 |
|||||||||||
Computer and Electronic Product Manufacturing - 7.9% |
|||||||||||
142,784 |
Bloom Energy Corp. |
2,650,071 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 15.1% |
|||||||||||
153,838 |
Chung-Hsin Electric & Machinery Manufacturing Corp. (Taiwan) (a) |
283,923 |
|||||||||
3,691 |
Hyosung Heavy Industries (South Korea) (a) |
163,979 |
|||||||||
123,726 |
Plug Power, Inc. (b) |
2,600,721 |
|||||||||
79,453 |
PowerCell Sweden AB (Sweden) (a) |
1,185,708 |
|||||||||
6,466 |
SFC Energy AG (Germany) (a)(b) |
175,308 |
|||||||||
6,680 |
VARTA AG (Germany) (a) |
632,687 |
|||||||||
5,042,326 |
|||||||||||
Heavy and Civil Engineering Construction - 0.5% |
|||||||||||
7,483 |
SK D&D Co., Ltd. (South Korea) (a) |
170,393 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.5% |
|||||||||||
5,555 |
Hyster-Yale Materials Handling, Inc. |
170,650 |
|||||||||
Miscellaneous Manufacturing - 0.5% |
|||||||||||
42,219 |
Hexagon Purus Holding AS (Norway) (a) |
165,494 |
|||||||||
Oil and Gas Extraction - 9.2% |
|||||||||||
167,035 |
CIMC Enric Holdings Limited (Hong Kong) (a)(b) |
177,123 |
|||||||||
399,181 |
ENEOS Holdings, Inc. (Japan) (a) |
1,405,575 |
|||||||||
57,324 |
Idemitsu Kosan Co., Ltd (Japan) (a) |
1,506,547 |
|||||||||
3,089,245 |
|||||||||||
Primary Metal Manufacturing - 0.5% |
|||||||||||
93,001 |
Kaori Heat Treatment Co., Ltd. (Taiwan) (a) |
168,803 |
|||||||||
Transportation Equipment Manufacturing - 7.6% |
|||||||||||
307,296 |
Ballard Power Systems, Inc. (Canada) ADR (b) |
2,550,557 |
Shares |
Fair Value |
||||||||||
Utilities - 11.5% |
|||||||||||
168,373 |
Ceres Power Holdings PLC (United Kingdom) (a) |
$ |
1,574,864 |
||||||||
350,277 |
FuelCell Energy, Inc. |
1,429,130 |
|||||||||
14,574 |
Korea Gas Corp. (South Korea) (a) |
475,744 |
|||||||||
18,510 |
S-Fuelcell Co., Ltd (South Korea) (a) |
352,221 |
|||||||||
3,831,959 |
|||||||||||
TOTAL COMMON STOCKS (Cost $42,933,407) |
$ |
32,819,631 |
|||||||||
SHORT TERM INVESTMENTS - 15.2% |
|||||||||||
Money Market Funds - 15.2% |
|||||||||||
5,072,575 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
5,072,575 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,072,575) |
$ |
5,072,575 |
|||||||||
TOTAL INVESTMENTS (Cost $48,005,982) - 113.3% |
$ |
37,892,206 |
|||||||||
Liabilities in Excess of Other Assets - (13.3)% |
(4,449,989 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
33,442,217 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
16
Direxion Low Priced Stock ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.4% |
|||||||||||
Administrative and Support Services - 6.3% |
|||||||||||
23,652 |
Arrival Group ADR (United Kingdom) (a) |
$ |
45,648 |
||||||||
63,878 |
CarLotz, Inc. (a) |
56,717 |
|||||||||
48,350 |
Citius Pharmaceuticals, Inc. (a)(b) |
48,834 |
|||||||||
18,541 |
MultiPlan Corporation (a) |
82,137 |
|||||||||
233,336 |
|||||||||||
Broadcasting (except Internet) - 2.0% |
|||||||||||
17,896 |
Qurate Retail, Inc. (a) |
75,342 |
|||||||||
Chemical Manufacturing - 15.9% |
|||||||||||
67,318 |
Adverum Biotechnologies, Inc. (a) |
72,030 |
|||||||||
19,276 |
Amyris, Inc. (a) |
66,117 |
|||||||||
21,715 |
Antares Pharma, Inc. (a) |
120,844 |
|||||||||
26,763 |
CymaBay Therapeutics, Inc. (a) |
60,752 |
|||||||||
66,804 |
Kala Pharmaceuticals, Inc. (a) |
43,389 |
|||||||||
22,555 |
MannKind Corp. (a) |
70,597 |
|||||||||
24,933 |
OPKO Health, Inc. (a) |
67,319 |
|||||||||
33,920 |
Xeris Biopharma Holdings, Inc. (a) |
82,765 |
|||||||||
583,813 |
|||||||||||
Computer and Electronic Product Manufacturing - 3.3% |
|||||||||||
49,443 |
Orbital Energy Group, Inc. (a)(b) |
58,837 |
|||||||||
45,110 |
Senseonics Holdings, Inc. (a)(b) |
63,154 |
|||||||||
121,991 |
|||||||||||
Insurance Carriers and Related Activities - 4.5% |
|||||||||||
22,969 |
Genworth Financial, Inc. Class A (a) |
85,215 |
|||||||||
42,689 |
Hippo Holdings, Inc. (a) |
80,255 |
|||||||||
165,470 |
|||||||||||
Merchant Wholesalers, Nondurable Goods - 4.2% |
|||||||||||
20,352 |
Amneal Pharmaceuticals, Inc. (a) |
78,559 |
|||||||||
37,885 |
Endo International PLC ADR (Ireland) (a) |
75,770 |
|||||||||
154,329 |
|||||||||||
Mining (except Oil and Gas) - 2.2% |
|||||||||||
18,699 |
Uranium Energy Corp. (a)(b) |
79,471 |
|||||||||
Miscellaneous Manufacturing - 1.9% |
|||||||||||
25,892 |
Accuray, Inc. (a) |
68,873 |
|||||||||
Oil and Gas Extraction - 9.0% |
|||||||||||
11,064 |
Kosmos Energy Ltd. (a) |
74,793 |
|||||||||
11,907 |
Southwestern Energy Co. (a) |
89,303 |
|||||||||
13,803 |
Tellurian, Inc. (a) |
68,739 |
|||||||||
20,738 |
W&T Offshore, Inc. (a) |
98,713 |
|||||||||
331,548 |
|||||||||||
Professional, Scientific, and Technical Services - 15.0% |
|||||||||||
37,885 |
22nd Century Group, Inc. (a) |
72,360 |
|||||||||
25,148 |
Clear Channel Outdoor Holdings, Inc. (a) |
61,864 |
|||||||||
38,383 |
ContextLogic, Inc. (a) |
65,251 |
|||||||||
18,739 |
ironSource Ltd. ADR (Israel) (a) |
71,770 |
|||||||||
12,610 |
NextDecade Corp. (a)(b) |
70,490 |
|||||||||
28,506 |
Pieris Pharmaceuticals, Inc. (a) |
79,817 |
|||||||||
37,721 |
Sorrento Therapeutics Inc. (a)(b) |
56,959 |
|||||||||
28,978 |
Vinco Ventures, Inc. (a)(b) |
71,865 |
|||||||||
550,376 |
Shares |
Fair Value |
||||||||||
Real Estate - 7.2% |
|||||||||||
27,178 |
Diversified Healthcare Trust |
$ |
61,151 |
||||||||
37,885 |
Invesco Mortgage Capital (b) |
65,920 |
|||||||||
23,976 |
New York Mortgage Trust, Inc. |
77,203 |
|||||||||
50,008 |
VBI Vaccines Inc. ADR (Canada) (a) |
62,510 |
|||||||||
266,784 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 18.7% |
|||||||||||
20,026 |
BGC Partners, Inc. |
72,694 |
|||||||||
18,463 |
Desktop Metal, Inc. (a) |
64,805 |
|||||||||
19,844 |
EQRx, Inc. (a) |
102,990 |
|||||||||
20,837 |
Ginkgo Bioworks Holdings, Inc. (a) |
60,427 |
|||||||||
25,220 |
Grab Holdings Ltd. ADR (Cayman Islands) (a) |
74,399 |
|||||||||
19,447 |
Payoneer Global, Inc. (a) |
81,288 |
|||||||||
24,652 |
Paysafe Ltd. ADR (United Kingdom) (a) |
68,533 |
|||||||||
18,081 |
Roivant Sciences Ltd. ADR (Switzerland) (a) |
66,719 |
|||||||||
34,454 |
Sharecare, Inc. (a) |
94,404 |
|||||||||
686,259 |
|||||||||||
Support Activities for Mining - 1.9% |
|||||||||||
18,861 |
Transocean Ltd. ADR (Switzerland) (a) |
70,917 |
|||||||||
Transportation Equipment Manufacturing - 4.5% |
|||||||||||
45,580 |
REE Automotive Ltd. ADR (Israel) (a) |
84,323 |
|||||||||
27,094 |
XOS, Inc. (a) |
81,553 |
|||||||||
165,876 |
|||||||||||
Water Transportation - 2.8% |
|||||||||||
40,144 |
Nordic American Tankers Ltd. (Bermuda) ADR |
102,769 |
|||||||||
TOTAL COMMON STOCKS (Cost $4,517,634) |
$ |
3,657,154 |
|||||||||
SHORT TERM INVESTMENTS - 12.5% |
|||||||||||
Money Market Funds - 12.5% |
|||||||||||
459,703 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
459,703 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $459,703) |
$ |
459,703 |
|||||||||
TOTAL INVESTMENTS (Cost $4,977,337) - 111.9% |
$ |
4,116,857 |
|||||||||
Liabilities in Excess of Other Assets - (11.9)% |
(437,248 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,679,609 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Moonshot Innovators ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.6% |
|||||||||||
Administrative and Support Services - 2.1% |
|||||||||||
369,926 |
Workhorse Group, Inc. (a)(b) |
$ |
1,113,477 |
||||||||
Chemical Manufacturing - 4.0% |
|||||||||||
51,831 |
Arcturus Therapeutics Holdings, Inc. (a)(b) |
1,004,485 |
|||||||||
323,020 |
ImmunityBio, Inc. (a)(b) |
1,172,562 |
|||||||||
2,177,047 |
|||||||||||
Computer and Electronic Product Manufacturing - 15.4% |
|||||||||||
75,657 |
908 Devices, Inc. (a)(b) |
1,342,912 |
|||||||||
239,721 |
Accelerate Diagnostics, Inc. (a)(b) |
230,132 |
|||||||||
9,406 |
Ambarella Inc. ADR (a) |
772,044 |
|||||||||
322,004 |
Canaan, Inc. ADR (a)(b) |
1,223,615 |
|||||||||
284,670 |
MicroVision, Inc. (a)(b) |
919,484 |
|||||||||
439,284 |
Nano Dimension Ltd. ADR (Israel) (a)(b) |
1,247,567 |
|||||||||
196,181 |
Vuzix Corp. (a)(b) |
1,014,256 |
|||||||||
101,913 |
Xperi Holdings, Corp. |
1,589,843 |
|||||||||
8,339,853 |
|||||||||||
Credit Intermediation and Related Activities - 1.8% |
|||||||||||
64,254 |
LendingClub Corp. (a) |
979,874 |
|||||||||
Food Services and Drinking Places - 3.3% |
|||||||||||
54,695 |
Yelp, Inc. (a) |
1,779,228 |
|||||||||
Management of Companies and Enterprises - 2.4% |
|||||||||||
1,425,375 |
Ebang International Holdings, Inc. ADR (a)(b) |
1,325,599 |
|||||||||
Merchant Wholesalers, Durable Goods - 4.9% |
|||||||||||
42,649 |
Agilysys, Inc. (a) |
1,569,910 |
|||||||||
808,846 |
OneConnect Financial Technology Co. Ltd. ADR (a) |
1,108,119 |
|||||||||
2,678,029 |
|||||||||||
Miscellaneous Manufacturing - 2.8% |
|||||||||||
1,445,589 |
Asensus Surgical, Inc. (a) |
655,285 |
|||||||||
306,968 |
Inovio Pharmaceuticals, Inc. (a)(b) |
838,023 |
|||||||||
1,493,308 |
|||||||||||
Nonmetallic Mineral Product Manufacturing - 1.2% |
|||||||||||
430,928 |
View, Inc. (a)(b) |
663,629 |
|||||||||
Primary Metal Manufacturing - 2.5% |
|||||||||||
9,961 |
Silicon Laboratories, Inc. (a) |
1,343,839 |
|||||||||
Professional, Scientific, and Technical Services - 19.5% |
|||||||||||
134,894 |
A10 Networks, Inc. |
1,926,286 |
|||||||||
532,188 |
Adaptimmune Therapeutics PLC ADR (United Kingdom) ADR (a) |
915,363 |
|||||||||
25,476 |
Asana, Inc. (a) |
682,757 |
|||||||||
25,673 |
Crispr Therapeutics AG ADR (Switzerland) (a) |
1,273,894 |
|||||||||
165,051 |
Gritstone bio, Inc. (a) |
427,482 |
|||||||||
62,846 |
Juniper Networks, Inc. |
1,980,906 |
|||||||||
64,837 |
NetScout Systems, Inc. (a) |
1,996,980 |
|||||||||
283,490 |
ProQR Therapeutics N.V. ADR (Netherlands) (a) |
196,459 |
|||||||||
102,890 |
Recursion Pharmaceuticals, Inc. (a)(b) |
637,918 |
|||||||||
51,181 |
Tusimple Holdings, Inc. (a)(b) |
530,747 |
|||||||||
10,568,792 |
Shares |
Fair Value |
||||||||||
Publishing Industries (except Internet) - 9.9% |
|||||||||||
47,574 |
BigCommerce Holdings, Inc. (a) |
$ |
850,148 |
||||||||
59,968 |
C3.ai, Inc. (a)(b) |
1,018,856 |
|||||||||
82,647 |
Dropbox, Inc. (a) |
1,797,572 |
|||||||||
38,714 |
Varonis Systems, Inc. (a) |
1,672,445 |
|||||||||
5,339,021 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 15.5% |
|||||||||||
209,922 |
Aeva Technologies, Inc. (a) |
688,544 |
|||||||||
297,998 |
Bit Mining Ltd. ADR (a) |
497,657 |
|||||||||
264,030 |
Butterfly Network, Inc. (a)(b) |
879,220 |
|||||||||
97,146 |
ChargePoint Holdings, Inc. (a)(b) |
1,257,069 |
|||||||||
327,702 |
Desktop Metal, Inc. (a)(b) |
1,150,234 |
|||||||||
235,367 |
EOS Enegy Enterprises, Inc. (a)(b) |
498,978 |
|||||||||
312,614 |
Ouster, Inc. (a)(b) |
1,034,752 |
|||||||||
103,518 |
Stem, Inc. (a) |
742,224 |
|||||||||
370,598 |
Velodyne Lidar, Inc. (a) |
696,724 |
|||||||||
125,503 |
Virgin Galactic Holdings, Inc. (a)(b) |
940,018 |
|||||||||
8,385,420 |
|||||||||||
Support Activities for Mining - 3.3% |
|||||||||||
95,341 |
Energy Recovery, Inc. (a) |
1,765,715 |
|||||||||
Transportation Equipment Manufacturing - 11.0% |
|||||||||||
141,058 |
Ballard Power Systems, Inc. ADR (Canada) (a) |
1,170,781 |
|||||||||
710,200 |
ElectraMeccanica Vehicles Corp. ADR (Canada) (a)(b) |
1,242,850 |
|||||||||
126,136 |
Luminar Technologies, Inc. (a)(b) |
1,560,302 |
|||||||||
196,931 |
Nikola Corp. (a)(b) |
1,413,965 |
|||||||||
491,155 |
Romeo Power, Inc. (a)(b) |
540,270 |
|||||||||
5,928,168 |
|||||||||||
TOTAL COMMON STOCKS (Cost $137,130,987) |
$ |
53,880,999 |
|||||||||
SHORT TERM INVESTMENTS - 32.9% |
|||||||||||
Money Market Funds - 32.9% |
|||||||||||
17,781,788 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
17,781,788 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $17,781,788) |
$ |
17,781,788 |
|||||||||
TOTAL INVESTMENTS (Cost $154,912,775) - 132.5% |
$ |
71,662,787 |
|||||||||
Liabilities in Excess of Other Assets - (32.5)% |
(17,592,980 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
54,069,807 |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Direxion Moonshot Innovators ETF
Schedule of Investments, continued (Unaudited)
April 30, 2022
(c) Represents annualized seven-day yield at April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion mRNA ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.9% |
|||||||||||
Chemical Manufacturing - 63.2% |
|||||||||||
1,788 |
Alnylam Pharmaceuticals, Inc. (a) |
$ |
238,573 |
||||||||
63,186 |
Arbutus Biopharma Corp. ADR (Canada) (a) |
147,223 |
|||||||||
6,732 |
Arcturus Therapeutics Holdings, Inc. (a) |
130,466 |
|||||||||
1,536 |
BeiGene Ltd. (a) |
245,760 |
|||||||||
2,556 |
Intellia Therapeutics, Inc. (a) |
125,321 |
|||||||||
4,180 |
Ionis Pharmaceuticals, Inc. (a) |
153,657 |
|||||||||
4,694 |
Maravai LifeSciences Holdings, Inc. (a) |
144,247 |
|||||||||
29,577 |
Omega Therapeutics, Inc. (a) |
100,857 |
|||||||||
32,194 |
Sangamo Therapeutics, Inc. (a) |
133,605 |
|||||||||
2,619 |
Sarepta Therapeutics, Inc. (a) |
189,406 |
|||||||||
8,923 |
Stoke Therapeutics, Inc. (a) |
128,848 |
|||||||||
1,137 |
Vertex Pharmaceuticals, Inc. (a) |
310,651 |
|||||||||
2,048,614 |
|||||||||||
Management of Companies and Enterprises - 4.7% |
|||||||||||
8,922 |
CureVac N.V. ADR (Netherlands) (a) |
152,477 |
|||||||||
Professional, Scientific, and Technical Services - 32.0% |
|||||||||||
3,544 |
Arrowhead Pharmaceuticals, Inc. (a) |
145,694 |
|||||||||
1,693 |
BioNTech SE ADR (Germany) (a) |
234,955 |
|||||||||
82,347 |
Brooklyn ImmunoTherapeutics, Inc. (a) |
86,464 |
|||||||||
16,689 |
Codex DNA, Inc. (a) |
61,749 |
|||||||||
20,391 |
Enochian Biosciences, Inc. (a) |
156,807 |
|||||||||
46,117 |
Gritstone bio, Inc. (a) |
119,443 |
|||||||||
1,714 |
Moderna, Inc. (a) |
230,379 |
|||||||||
1,035,491 |
|||||||||||
TOTAL COMMON STOCKS (Cost $4,820,865) |
$ |
3,236,582 |
|||||||||
SHORT TERM INVESTMENTS - 0.2% |
|||||||||||
Money Market Funds - 0.2% |
|||||||||||
5,257 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
5,257 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,257) |
$ |
5,257 |
|||||||||
TOTAL INVESTMENTS (Cost $4,826,122) - 100.1% |
$ |
3,241,839 |
|||||||||
Liabilities in Excess of Other Assets - (0.1)% |
(1,227 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,240,612 |
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 April 30, 2022.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Nanotechnology ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.9% |
|||||||||||
Chemical Manufacturing - 32.8% |
|||||||||||
1,720 |
Alkermes PLC ADR (Ireland) (a) |
$ |
49,622 |
||||||||
300 |
Alnylam Pharmaceuticals, Inc. (a) |
40,029 |
|||||||||
6,416 |
Arcturus Therapeutics Holdings, Inc. (a) |
124,342 |
|||||||||
2,586 |
Beam Therapeutics, Inc. (a) |
97,053 |
|||||||||
619 |
Cabot Corp. |
40,761 |
|||||||||
8,889 |
Generation Bio Co. (a) |
56,267 |
|||||||||
481 |
Intellia Therapeutics, Inc. (a) |
23,583 |
|||||||||
318 |
Jazz Pharmaceuticals PLC ADR (Ireland) (a) |
50,950 |
|||||||||
12,839 |
Matinas BioPharma Holdings, Inc. (a) |
9,052 |
|||||||||
1,114 |
Omega Therapeutics, Inc. (a) |
3,799 |
|||||||||
495,458 |
|||||||||||
Computer and Electronic Product Manufacturing - 41.6% |
|||||||||||
349 |
AMETEK, Inc. |
44,065 |
|||||||||
20,756 |
Bionano Genomics, Inc. (a) |
33,832 |
|||||||||
2,761 |
Bruker Corp. |
158,730 |
|||||||||
172 |
Danaher Corp. |
43,194 |
|||||||||
48,788 |
Nano Dimension Ltd. ADR (Israel) (a) |
138,558 |
|||||||||
2,977 |
NeoPhotonics Corp. (a) |
45,072 |
|||||||||
272 |
NVE Corp. |
12,615 |
|||||||||
3,879 |
Pacific Biosciences of California, Inc. (a) |
24,593 |
|||||||||
6,359 |
Seer, Inc. (a) |
46,294 |
|||||||||
84 |
Thermo Fisher Scientific, Inc. |
46,445 |
|||||||||
7,110 |
Vuzix Corp. (a) |
36,759 |
|||||||||
630,157 |
|||||||||||
Machinery Manufacturing - 7.9% |
|||||||||||
242 |
IDEX Corp. |
45,936 |
|||||||||
78 |
Lam Research Corp. |
36,329 |
|||||||||
388 |
Nova Ltd. ADR (Israel) (a) |
38,261 |
|||||||||
120,526 |
|||||||||||
Management of Companies and Enterprises - 0.5% |
|||||||||||
2,759 |
Clene, Inc. (a) |
7,146 |
|||||||||
Merchant Wholesalers, Durable Goods - 2.5% |
|||||||||||
120 |
KLA-Tencor Corp. |
38,311 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 1.9% |
|||||||||||
4,085 |
PDS Biotechnology Corp. (a) |
22,590 |
|||||||||
2,254 |
Poseida Therapeutics, Inc. (a) |
6,965 |
|||||||||
29,555 |
|||||||||||
Miscellaneous Manufacturing - 5.2% |
|||||||||||
2,048 |
AngioDynamics, Inc. (a) |
43,111 |
|||||||||
3,074 |
Cytek Biosciences, Inc. (a) |
29,049 |
|||||||||
37,841 |
Surgalign Holdings, Inc. (a) |
7,205 |
|||||||||
79,365 |
|||||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 1.5% |
|||||||||||
4,114 |
Liquidia Technologies, Inc. (a) |
22,380 |
|||||||||
Professional, Scientific, and Technical Services - 6.0% |
|||||||||||
278 |
BioNTech SE ADR (Germany) (a) |
38,581 |
|||||||||
303 |
Moderna, Inc. (a) |
40,726 |
|||||||||
15,350 |
Selecta Biosciences, Inc. (a) |
11,763 |
|||||||||
91,070 |
|||||||||||
TOTAL COMMON STOCKS (Cost $2,450,324) |
$ |
1,513,968 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 0.2% |
|||||||||||
Money Market Funds - 0.2% |
|||||||||||
2,338 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
2,338 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,338) |
$ |
2,338 |
|||||||||
TOTAL INVESTMENTS (Cost $2,452,662) - 100.1% |
$ |
1,516,306 |
|||||||||
Liabilities in Excess of Other Assets - (0.1)% |
(724 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
1,515,582 |
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 April 30, 2022.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.9% |
|||||||||||
Accommodation - 1.1% |
|||||||||||
35,757 |
Marriott International, Inc. Class A (a) |
$ |
6,347,583 |
||||||||
Administrative and Support Services - 3.0% |
|||||||||||
20,766 |
Atlassian Corp. PLC ADR (United Kingdom) (a) |
4,668,820 |
|||||||||
28,516 |
Automatic Data Processing, Inc. |
6,221,621 |
|||||||||
2,802 |
Booking Holdings, Inc. (a) |
6,193,288 |
|||||||||
17,083,729 |
|||||||||||
Apparel Manufacturing - 1.2% |
|||||||||||
19,312 |
Lululemon Athletica, Inc. (a) |
6,848,615 |
|||||||||
Beverage and Tobacco Product Manufacturing - 3.4% |
|||||||||||
161,907 |
Keurig Dr Pepper Inc. |
6,055,322 |
|||||||||
75,955 |
Monster Beverage Corp. (a) |
6,507,824 |
|||||||||
37,606 |
PepsiCo, Inc. |
6,457,326 |
|||||||||
19,020,472 |
|||||||||||
Broadcasting (except Internet) - 2.8% |
|||||||||||
10,605 |
Charter Communications, Inc. (a) |
4,544,137 |
|||||||||
130,499 |
Comcast Corp. Class A |
5,188,640 |
|||||||||
967,126 |
Sirius XM Holdings, Inc. (b) |
5,802,756 |
|||||||||
15,535,533 |
|||||||||||
Chemical Manufacturing - 7.6% |
|||||||||||
25,915 |
Amgen, Inc. |
6,043,119 |
|||||||||
96,816 |
AstraZeneca PLC ADR (England) |
6,428,582 |
|||||||||
29,356 |
Biogen, Inc. (a) |
6,089,609 |
|||||||||
103,026 |
Gilead Sciences, Inc. |
6,113,563 |
|||||||||
8,923 |
Regeneron Pharmaceuticals, Inc. (a) |
5,881,238 |
|||||||||
42,872 |
Seagen Inc. (a) |
5,616,661 |
|||||||||
24,577 |
Vertex Pharmaceuticals, Inc. (a) |
6,714,928 |
|||||||||
42,887,700 |
|||||||||||
Clothing and Clothing Accessories Stores - 1.2% |
|||||||||||
65,594 |
Ross Stores, Inc. |
6,544,313 |
|||||||||
Computer and Electronic Product Manufacturing - 17.1% |
|||||||||||
53,963 |
Advanced Micro Devices, Inc. (a) |
4,614,916 |
|||||||||
37,455 |
Analog Devices, Inc. |
5,782,303 |
|||||||||
37,338 |
Apple, Inc. |
5,886,336 |
|||||||||
10,025 |
Broadcom, Inc. |
5,557,760 |
|||||||||
109,377 |
Cisco Systems, Inc. |
5,357,286 |
|||||||||
19,133 |
Fortinet, Inc. (a) |
5,529,628 |
|||||||||
31,441 |
Honeywell International, Inc. |
6,084,148 |
|||||||||
11,288 |
IDEXX Laboratories, Inc. (a) |
4,859,258 |
|||||||||
17,684 |
Illumina, Inc. (a) |
5,245,959 |
|||||||||
129,017 |
Intel Corp. |
5,623,851 |
|||||||||
85,828 |
Marvell Technology, Inc. |
4,984,890 |
|||||||||
79,201 |
Microchip Technology, Inc. |
5,163,905 |
|||||||||
77,086 |
Micron Technology, Inc. |
5,256,494 |
|||||||||
23,144 |
NVIDIA Corp. |
4,292,518 |
|||||||||
31,821 |
NXP Semiconductors N.V. ADR (Netherlands) |
5,438,209 |
|||||||||
39,757 |
Qualcomm, Inc. |
5,553,655 |
|||||||||
45,290 |
Skyworks Solutions, Inc. |
5,131,357 |
|||||||||
33,989 |
Texas Instruments, Inc. |
5,786,627 |
|||||||||
96,149,100 |
Shares |
Fair Value |
||||||||||
Data Processing, Hosting and Related Services - 2.9% |
|||||||||||
36,660 |
Airbnb, Inc. (a) |
$ |
5,616,679 |
||||||||
60,845 |
Fiserv, Inc. (a) |
5,957,942 |
|||||||||
59,618 |
Match Group, Inc. (a) |
4,718,765 |
|||||||||
16,293,386 |
|||||||||||
Food Manufacturing - 2.4% |
|||||||||||
99,532 |
Mondelez International, Inc. |
6,417,823 |
|||||||||
162,725 |
The Kraft Heinz Co. |
6,936,967 |
|||||||||
13,354,790 |
|||||||||||
Food Services and Drinking Places - 2.0% |
|||||||||||
15,289 |
Cintas Corp. |
6,073,708 |
|||||||||
68,321 |
Starbucks Corp. |
5,099,480 |
|||||||||
11,173,188 |
|||||||||||
General Merchandise Stores - 2.1% |
|||||||||||
10,906 |
Costco Wholesale Corp. |
5,798,938 |
|||||||||
38,955 |
Dollar Tree, Inc. (a) |
6,328,240 |
|||||||||
12,127,178 |
|||||||||||
Health and Personal Care Stores - 1.0% |
|||||||||||
129,264 |
Walgreens Boots Alliance, Inc. |
5,480,794 |
|||||||||
Machinery Manufacturing - 2.7% |
|||||||||||
45,304 |
Applied Materials, Inc. |
4,999,297 |
|||||||||
9,008 |
ASML Holding NV ADR (Netherlands) |
5,078,440 |
|||||||||
11,241 |
Lam Research Corp. |
5,235,608 |
|||||||||
15,313,345 |
|||||||||||
Merchant Wholesalers, Durable Goods - 2.9% |
|||||||||||
47,368 |
Copart, Inc. (a) |
5,383,373 |
|||||||||
105,786 |
Fastenal Co. |
5,851,024 |
|||||||||
16,770 |
KLA-Tencor Corp. |
5,353,990 |
|||||||||
16,588,387 |
|||||||||||
Miscellaneous Manufacturing - 2.6% |
|||||||||||
13,822 |
Align Technology, Inc. (a) |
4,007,136 |
|||||||||
13,083 |
DexCom, Inc. (a) |
5,345,452 |
|||||||||
21,098 |
Intuitive Surgical, Inc. (a) |
5,048,751 |
|||||||||
14,401,339 |
|||||||||||
Motion Picture and Sound Recording Industries - 0.5% |
|||||||||||
16,082 |
Netflix, Inc. (a) |
3,061,369 |
|||||||||
Motor Vehicle and Parts Dealers - 0.9% |
|||||||||||
8,869 |
O'Reilly Automotive, Inc. (a) |
5,379,492 |
|||||||||
Nonstore Retailers - 4.9% |
|||||||||||
1,895 |
Amazon.com, Inc. (a) |
4,710,269 |
|||||||||
109,284 |
eBay, Inc. |
5,674,025 |
|||||||||
94,000 |
JD.com, Inc. ADR (China) (a) |
5,796,040 |
|||||||||
5,160 |
MercadoLibre, Inc. (a) |
5,023,931 |
|||||||||
143,704 |
Pinduoduo Inc. ADR (China) (a) |
6,192,205 |
|||||||||
27,396,470 |
|||||||||||
Other Information Services - 1.8% |
|||||||||||
1,124 |
Alphabet, Inc. Class A (a) |
2,565,181 |
|||||||||
1,118 |
Alphabet, Inc. Class C (a) |
2,570,651 |
|||||||||
41,080 |
Baidu, Inc. ADR (China) (a) |
5,100,904 |
|||||||||
10,236,736 |
|||||||||||
Performing Arts, Spectator Sports, and Related Industries - 2.1% |
|||||||||||
77,734 |
Activision Blizzard, Inc. |
5,876,690 |
|||||||||
48,477 |
Electronic Arts, Inc. |
5,722,710 |
|||||||||
11,599,400 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion NASDAQ-100® Equal Weighted Index Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Professional, Scientific, and Technical Services - 8.6% |
|||||||||||
66,745 |
Cognizant Technology Solutions Corp. Class A |
$ |
5,399,670 |
||||||||
28,275 |
Meta Platforms, Inc. (a) |
5,668,289 |
|||||||||
34,216 |
Moderna, Inc. (a) |
4,598,973 |
|||||||||
35,080 |
Okta, Inc. (a) |
4,185,395 |
|||||||||
10,611 |
Palto Alto Networks, Inc. (a) |
5,955,742 |
|||||||||
47,777 |
Paychex, Inc. |
6,054,779 |
|||||||||
27,737 |
VeriSign, Inc. (a) |
4,956,325 |
|||||||||
29,393 |
Verisk Analytics, Inc. Class A |
5,997,642 |
|||||||||
27,487 |
Zscaler, Inc. (a) |
5,572,714 |
|||||||||
48,389,529 |
|||||||||||
Publishing Industries (except Internet) - 11.6% |
|||||||||||
13,504 |
Adobe Systems, Inc. (a) |
5,346,909 |
|||||||||
19,215 |
ANSYS, Inc. (a) |
5,297,383 |
|||||||||
28,705 |
Autodesk, Inc. (a) |
5,433,282 |
|||||||||
38,530 |
Cadence Design Systems, Inc. (a) |
5,812,251 |
|||||||||
29,421 |
CrowdStrike Holdings, Inc. (a) |
5,847,718 |
|||||||||
42,000 |
Datadog, Inc. (a) |
5,072,760 |
|||||||||
64,094 |
DocuSign, Inc. (a) |
5,191,614 |
|||||||||
12,762 |
Intuit, Inc. |
5,344,088 |
|||||||||
20,379 |
Microsoft Corp. |
5,655,580 |
|||||||||
47,820 |
Splunk, Inc. (a) |
5,834,996 |
|||||||||
19,240 |
Synopsys, Inc. (a) |
5,517,840 |
|||||||||
25,136 |
Workday, Inc. (a) |
5,195,611 |
|||||||||
65,550,032 |
|||||||||||
Rail Transportation - 1.0% |
|||||||||||
168,597 |
CSX Corp. |
5,789,621 |
|||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.8% |
|||||||||||
238,485 |
Lucid Group, Inc. (a)(b) |
4,311,809 |
|||||||||
Specialty Trade Contractors - 1.1% |
|||||||||||
67,885 |
NetEase.com, Inc. ADR (China) |
6,471,477 |
|||||||||
Telecommunications - 2.8% |
|||||||||||
51,540 |
PayPal Holdings, Inc. (a) |
4,531,912 |
|||||||||
48,132 |
T-Mobile US, Inc. (a) |
5,926,975 |
|||||||||
52,653 |
Zoom Video Communications, Inc. (a) |
5,242,659 |
|||||||||
15,701,546 |
|||||||||||
Transportation Equipment Manufacturing - 2.1% |
|||||||||||
69,043 |
Paccar, Inc. |
5,734,021 |
|||||||||
6,756 |
Tesla Motors, Inc. (a) |
5,882,855 |
|||||||||
11,616,876 |
|||||||||||
Truck Transportation - 0.9% |
|||||||||||
18,642 |
Old Dominion Freight Line, Inc. |
5,221,997 |
|||||||||
Utilities - 4.8% |
|||||||||||
65,075 |
American Electric Power Co., Inc. |
6,449,583 |
|||||||||
124,915 |
Constellation Energy Corp. |
7,396,217 |
|||||||||
141,554 |
Exelon Corp. |
6,621,896 |
|||||||||
88,991 |
Xcel Energy, Inc. |
6,519,480 |
|||||||||
26,987,176 |
|||||||||||
TOTAL COMMON STOCKS (Cost $614,779,122) |
$ |
562,862,982 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 2.0% |
|||||||||||
Money Market Funds - 2.0% |
|||||||||||
11,584,609 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
11,584,609 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $11,584,609) |
$ |
11,584,609 |
|||||||||
TOTAL INVESTMENTS (Cost $626,363,731) - 101.9% |
$ |
574,447,591 |
|||||||||
Liabilities in Excess of Other Assets - (1.9)% |
(10,851,954 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
563,595,637 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Work From Home ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.8% |
|||||||||||
Administrative and Support Services - 7.0% |
|||||||||||
17,539 |
Alibaba Group Holding Ltd. ADR (a) |
$ |
1,702,861 |
||||||||
5,978 |
Atlassian Corp. PLC ADR (United Kingdom) (a) |
1,344,034 |
|||||||||
43,229 |
SentinelOne, Inc. (a) |
1,438,229 |
|||||||||
4,485,124 |
|||||||||||
Computer and Electronic Product Manufacturing - 21.9% |
|||||||||||
135,547 |
Avaya Holdings Corp. (a) |
1,253,810 |
|||||||||
3,157 |
Broadcom, Inc. |
1,750,209 |
|||||||||
32,927 |
Cisco Systems, Inc. |
1,612,764 |
|||||||||
5,363 |
Fortinet, Inc. (a) |
1,549,961 |
|||||||||
14,927 |
International Business Machines Corp. |
1,973,499 |
|||||||||
27,322 |
Marvell Technology, Inc. |
1,586,862 |
|||||||||
22,797 |
NetApp, Inc. |
1,669,880 |
|||||||||
65,515 |
Plantronics, Inc (a) |
2,611,428 |
|||||||||
14,008,413 |
|||||||||||
Data Processing, Hosting and Related Services - 1.9% |
|||||||||||
14,701 |
RingCentral, Inc. (a) |
1,247,381 |
|||||||||
Electronics and Appliance Stores - 2.7% |
|||||||||||
35,070 |
Smartsheet, Inc. (a) |
1,694,933 |
|||||||||
Management of Companies and Enterprises - 3.0% |
|||||||||||
99,402 |
America Movil SAB de CV Series L ADR (Mexico) |
1,931,381 |
|||||||||
Nonstore Retailers - 2.4% |
|||||||||||
607 |
Amazon.com, Inc. (a) |
1,508,777 |
|||||||||
Other Information Services - 2.5% |
|||||||||||
688 |
Alphabet, Inc. Class A (a) |
1,570,147 |
|||||||||
Professional, Scientific, and Technical Services - 14.2% |
|||||||||||
384,381 |
Inseego Corp. (a)(b) |
1,095,486 |
|||||||||
8,883 |
Meta Platforms, Inc. (a) |
1,780,775 |
|||||||||
67,824 |
Nutanix, Inc. (a) |
1,697,635 |
|||||||||
10,120 |
Okta, Inc. (a) |
1,207,417 |
|||||||||
3,175 |
Palto Alto Networks, Inc. (a) |
1,782,064 |
|||||||||
7,267 |
Zscaler, Inc. (a) |
1,473,311 |
|||||||||
9,036,688 |
|||||||||||
Publishing Industries (except Internet) - 36.9% |
|||||||||||
3,925 |
Adobe Systems, Inc. (a) |
1,554,104 |
|||||||||
165,372 |
Agora, Inc. ADR (a) |
1,218,791 |
|||||||||
71,110 |
Box, Inc. (a) |
2,177,388 |
|||||||||
9,164 |
CrowdStrike Holdings, Inc. (a) |
1,821,437 |
|||||||||
10,941 |
CyberArk Software Ltd. ADR Israel (a) |
1,719,269 |
|||||||||
16,160 |
DocuSign, Inc. (a) |
1,308,960 |
|||||||||
2,780,251 |
Exela Technologies, Inc. (a) |
915,815 |
|||||||||
6,159 |
Microsoft Corp. |
1,709,246 |
|||||||||
23,618 |
Oracle Corp. |
1,733,561 |
|||||||||
86,234 |
Ping Identity Holding Corp. (a) |
2,253,294 |
|||||||||
40,913 |
Progress Software Corp. |
1,963,006 |
|||||||||
359,702 |
Tuya, Inc. ADR (a) |
892,061 |
|||||||||
11,132 |
Twilio, Inc. (a) |
1,244,780 |
|||||||||
99,830 |
Upland Software, Inc. (a) |
1,489,463 |
|||||||||
7,443 |
Workday, Inc. (a) |
1,538,468 |
|||||||||
23,539,643 |
Shares |
Fair Value |
||||||||||
Telecommunications - 7.3% |
|||||||||||
144,442 |
8x8 Inc. (a) |
$ |
1,324,533 |
||||||||
92,212 |
Vonage Holdings Corp. (a) |
1,840,552 |
|||||||||
15,204 |
Zoom Video Communications, Inc. (a) |
1,513,862 |
|||||||||
4,678,947 |
|||||||||||
TOTAL COMMON STOCKS (Cost $76,255,604) |
$ |
63,701,434 |
|||||||||
SHORT TERM INVESTMENTS - 1.2% |
|||||||||||
Money Market Funds - 1.2% |
|||||||||||
794,494 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
794,494 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $794,494) |
$ |
794,494 |
|||||||||
TOTAL INVESTMENTS (Cost $77,050,098) - 101.0% |
$ |
64,495,928 |
|||||||||
Liabilities in Excess of Other Assets - (1.0)% |
(682,922 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
63,813,006 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion World Without Waste ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 99.7% |
|||||||||||
Administrative and Support Services - 8.0% |
|||||||||||
368 |
Atlassian Corp. PLC ADR (United Kingdom) (a) |
$ |
82,737 |
||||||||
948 |
Cloudflare, Inc. (a) |
81,661 |
|||||||||
1,947 |
US Ecology, Inc (a) |
93,436 |
|||||||||
579 |
Waste Management, Inc. |
95,211 |
|||||||||
353,045 |
|||||||||||
Chemical Manufacturing - 2.0% |
|||||||||||
519 |
Ecolab, Inc. |
87,887 |
|||||||||
Computer and Electronic Product Manufacturing - 6.1% |
|||||||||||
4,716 |
Bloom Energy Corp. (a) |
87,529 |
|||||||||
596 |
Enphase Energy, Inc. (a) |
96,194 |
|||||||||
5,056 |
SunPower Corp. (a) |
83,475 |
|||||||||
267,198 |
|||||||||||
Data Processing, Hosting and Related Services - 2.1% |
|||||||||||
591 |
Airbnb, Inc. (a) |
90,547 |
|||||||||
Machinery Manufacturing - 2.0% |
|||||||||||
2,122 |
Evoqua Water Technologies (a) |
88,466 |
|||||||||
Merchant Wholesalers, Durable Goods - 7.6% |
|||||||||||
7,762 |
Cars.com, Inc. (a) |
86,314 |
|||||||||
786 |
Copart, Inc. (a) |
89,329 |
|||||||||
5,509 |
KAR Auction Services, Inc. (a) |
80,762 |
|||||||||
1,721 |
Schnitzer Steel Industries, Inc. |
78,529 |
|||||||||
334,934 |
|||||||||||
Miscellaneous Store Retailers - 1.9% |
|||||||||||
917 |
Etsy, Inc. (a) |
85,455 |
|||||||||
Motion Picture and Sound Recording Industries - 1.8% |
|||||||||||
428 |
Netflix, Inc. (a) |
81,474 |
|||||||||
Motor Vehicle and Parts Dealers - 2.0% |
|||||||||||
57,644 |
Vroom, Inc. (a)(b) |
89,925 |
|||||||||
Nonstore Retailers - 9.7% |
|||||||||||
2,643 |
CarGurus, Inc. (a) |
86,373 |
|||||||||
1,705 |
eBay, Inc. |
88,524 |
|||||||||
12,434 |
Jumia Technologies AG ADR (Germany) (a) |
87,909 |
|||||||||
92 |
MercadoLibre, Inc. (a) |
89,574 |
|||||||||
11,543 |
ThredUp, Inc. (a)(b) |
76,068 |
|||||||||
428,448 |
|||||||||||
Professional, Scientific, and Technical Services - 8.4% |
|||||||||||
496 |
Meta Platforms, Inc. (a) |
99,433 |
|||||||||
190 |
ServiceNow, Inc. (a) |
90,839 |
|||||||||
3,174 |
Snap, Inc. (a) |
90,332 |
|||||||||
433 |
Verisk Analytics, Inc. Class A |
88,354 |
|||||||||
368,958 |
|||||||||||
Publishing Industries (except Internet) - 20.2% |
|||||||||||
224 |
Adobe Systems, Inc. (a) |
88,693 |
|||||||||
479 |
Autodesk, Inc. (a) |
90,665 |
|||||||||
445 |
CrowdStrike Holdings, Inc. (a) |
88,448 |
|||||||||
767 |
Datadog, Inc. (a) |
92,638 |
|||||||||
201 |
Intuit, Inc. |
84,169 |
|||||||||
527 |
Salesforce.com, Inc. (a) |
92,721 |
|||||||||
194 |
Shopify, Inc. ADR (Canada) (a) |
82,803 |
Shares |
Fair Value |
||||||||||
Publishing Industries (except Internet) (continued) |
|||||||||||
892 |
Thomson Reuters Corp. ADR (Canada) |
$ |
89,164 |
||||||||
502 |
Veeva Systems, Inc. (a) |
91,339 |
|||||||||
440 |
Workday, Inc. (a) |
90,948 |
|||||||||
891,588 |
|||||||||||
Repair and Maintenance - 1.9% |
|||||||||||
2,812 |
GFL Environmental Inc. ADR (Canada) |
84,726 |
|||||||||
Specialty Trade Contractors - 2.0% |
|||||||||||
4,440 |
Sunrun, Inc. (a) |
88,711 |
|||||||||
Telecommunications - 2.1% |
|||||||||||
925 |
Zoom Video Communications, Inc. (a) |
92,102 |
|||||||||
Transit and Ground Passenger Transportation - 2.1% |
|||||||||||
2,948 |
Uber Technologies, Inc. (a) |
92,803 |
|||||||||
Transportation Equipment Manufacturing - 1.8% |
|||||||||||
93 |
Tesla Motors, Inc. (a) |
80,981 |
|||||||||
Utilities - 11.9% |
|||||||||||
2,852 |
Atlantica Sustainable Infrastructure PLC ADR (United Kingdom) |
88,127 |
|||||||||
1,897 |
Essential Utilities, Inc. |
84,910 |
|||||||||
1,255 |
First Solar, Inc. (a) |
91,652 |
|||||||||
826 |
IDACORP, Inc. |
86,879 |
|||||||||
1,287 |
NextEra Energy Partners LP |
85,791 |
|||||||||
1,137 |
Ormat Technologies Inc. (b) |
88,345 |
|||||||||
525,704 |
|||||||||||
Waste Management and Remediation Services - 6.1% |
|||||||||||
1,068 |
Casella Waste Systems, Inc (a) |
87,832 |
|||||||||
859 |
Clean Harbors, Inc. (a) |
90,135 |
|||||||||
693 |
Republic Services, Inc. |
93,049 |
|||||||||
271,016 |
|||||||||||
TOTAL COMMON STOCKS (Cost $5,316,576) |
$ |
4,403,968 |
|||||||||
SHORT TERM INVESTMENTS - 4.7% |
|||||||||||
Money Market Funds - 4.7% |
|||||||||||
207,931 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
207,931 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $207,931) |
$ |
207,931 |
|||||||||
TOTAL INVESTMENTS (Cost $5,524,507) - 104.4% |
$ |
4,611,899 |
|||||||||
Liabilities in Excess of Other Assets - (4.4)% |
(195,476 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
4,416,423 |
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 SEMI-ANNUAL REPORT
25
Direxion World Without Waste ETF
Schedule of Investments, continued (Unaudited)
April 30, 2022
(b) A portion of this security represents a security on loan.
(c) Represents annualized seven-day yield at April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Russell 1000® Growth Over Value ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 97.4% |
|||||||||||
29,273 |
iShares Russell 1000 Growth ETF (a)(b) |
$ |
7,135,294 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $8,663,217) |
$ |
7,135,294 |
|||||||||
SHORT TERM INVESTMENTS - 55.6% |
|||||||||||
Money Market Funds - 55.6% |
|||||||||||
3,214,185 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
3,214,185 |
||||||||
855,979 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
855,979 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,070,164) |
$ |
4,070,164 |
|||||||||
TOTAL INVESTMENTS (Cost $12,733,381) - 153.0% (e) |
$ |
11,205,458 |
|||||||||
Liabilities in Excess of Other Assets - (53.0)% |
(3,880,686 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
7,324,772 |
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 April 30, 2022.
(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 $5,250,304.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Russell 1000® Growth Index |
0.7800% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
1,570 |
$ |
4,655,637 |
$ |
(803,299 |
) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of Russell 1000® Value Index |
Credit Suisse International |
12/7/2022 |
2,377 |
$ |
3,794,704 |
$ |
100,056 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Russell 1000® Value Over Growth ETF
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 90.1% |
|||||||||||
163,210 |
iShares Russell 1000 Value ETF (a) |
$ |
25,530,941 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $26,293,188) |
$ |
25,530,941 |
|||||||||
SHORT TERM INVESTMENTS - 10.3% |
|||||||||||
Money Market Funds - 10.3% |
|||||||||||
2,795,982 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
2,795,982 |
||||||||
115,417 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
115,417 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,911,399) |
$ |
2,911,399 |
|||||||||
TOTAL INVESTMENTS (Cost $29,204,587) - 100.4% (c) |
$ |
28,442,340 |
|||||||||
Liabilities in Excess of Other Assets - (0.4)% |
(114,602 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
28,327,738 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $6,385,288.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Russell 1000® Value Index |
0.9000% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
11,007 |
$ |
17,680,344 |
$ |
(654,364 |
) |
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
0.4700% representing 1 month SOFR rate + spread |
Total return of Russell 1000® Growth Index |
Credit Suisse International |
12/7/2022 |
5,774 |
$ |
14,164,973 |
$ |
(119 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
Direxion Fallen Knives ETF |
Direxion Hydrogen ETF |
Direxion Low Priced Stock ETF |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
405,335,661 |
$ |
3,831,725 |
$ |
37,892,206 |
$ |
4,116,857 |
|||||||||||
Receivable for Fund shares sold |
5,058,832 |
— |
— |
— |
|||||||||||||||
Receivable for investments sold |
— |
— |
1,683,156 |
1,161,014 |
|||||||||||||||
Deposit at broker for futures contracts |
20,448,813 |
— |
— |
— |
|||||||||||||||
Dividend and interest receivable |
74,199 |
376 |
86,344 |
4,129 |
|||||||||||||||
Tax reclaim receivable |
— |
— |
13,600 |
— |
|||||||||||||||
Prepaid expenses and other assets |
295,667 |
— |
— |
— |
|||||||||||||||
Total Assets |
431,213,172 |
3,832,101 |
39,675,306 |
5,282,000 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
367,128 |
5,072,575 |
448,181 |
|||||||||||||||
Payable for investments purchased |
— |
— |
1,095,416 |
1,152,536 |
|||||||||||||||
Due to Adviser, net (Note 6) |
170,824 |
1,432 |
12,176 |
1,507 |
|||||||||||||||
Due to custodian |
— |
— |
51,400 |
— |
|||||||||||||||
Due to broker for futures contracts |
471,632 |
— |
— |
— |
|||||||||||||||
Variation margin payable |
544,950 |
— |
— |
— |
|||||||||||||||
Accrued operating services fees (Note 6) |
68,330 |
159 |
1,522 |
167 |
|||||||||||||||
Total Liabilities |
1,255,736 |
368,719 |
6,233,089 |
1,602,391 |
|||||||||||||||
Net Assets |
$ |
429,957,436 |
$ |
3,463,382 |
$ |
33,442,217 |
$ |
3,679,609 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
359,550,817 |
$ |
5,294,954 |
$ |
46,011,467 |
$ |
5,484,255 |
|||||||||||
Total distributable earnings (loss) |
70,406,619 |
(1,831,572 |
) |
(12,569,250 |
) |
(1,804,646 |
) |
||||||||||||
Net Assets |
$ |
429,957,436 |
$ |
3,463,382 |
$ |
33,442,217 |
$ |
3,679,609 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
429,957,436 |
$ |
3,463,382 |
$ |
33,442,217 |
$ |
3,679,609 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
12,750,001 |
75,001 |
1,950,002 |
550,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
33.72 |
$ |
46.18 |
$ |
17.15 |
$ |
6.69 |
|||||||||||
Cost of Investments |
$ |
405,335,661 |
$ |
5,621,938 |
$ |
48,005,982 |
$ |
4,977,337 |
* Securities loaned with values of $–, $364,968, $7,430,906 and $409,282, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Moonshot Innovators ETF |
Direxion mRNA ETF |
Direxion Nanotechnology ETF |
Direxion NASDAQ-100® Equal Weighted Index Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
71,662,787 |
$ |
3,241,839 |
$ |
1,516,306 |
$ |
574,447,591 |
|||||||||||
Receivable for Fund shares sold |
— |
— |
— |
15,637 |
|||||||||||||||
Receivable for investments sold |
— |
87,471 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
17,606 |
— |
210 |
105,763 |
|||||||||||||||
Total Assets |
71,680,393 |
3,329,310 |
1,516,516 |
574,568,991 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
17,577,290 |
— |
— |
10,787,296 |
|||||||||||||||
Payable for investments purchased |
— |
86,650 |
— |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
30,735 |
1,890 |
862 |
159,478 |
|||||||||||||||
Accrued operating services fees (Note 6) |
2,561 |
158 |
72 |
26,580 |
|||||||||||||||
Total Liabilities |
17,610,586 |
88,698 |
934 |
10,973,354 |
|||||||||||||||
Net Assets |
$ |
54,069,807 |
$ |
3,240,612 |
$ |
1,515,582 |
$ |
563,595,637 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
191,313,447 |
$ |
5,089,053 |
$ |
2,500,025 |
$ |
542,479,209 |
|||||||||||
Total distributable earnings (loss) |
(137,243,640 |
) |
(1,848,441 |
) |
(984,443 |
) |
21,116,428 |
||||||||||||
Net Assets |
$ |
54,069,807 |
$ |
3,240,612 |
$ |
1,515,582 |
$ |
563,595,637 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
54,069,807 |
$ |
3,240,612 |
$ |
1,515,582 |
$ |
563,595,637 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
3,400,001 |
225,001 |
100,001 |
8,150,002 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
15.90 |
$ |
14.40 |
$ |
15.16 |
$ |
69.15 |
|||||||||||
Cost of Investments |
$ |
154,912,775 |
$ |
4,826,122 |
$ |
2,452,662 |
$ |
626,363,731 |
* Securities loaned with values of $16,822,313, $–, $– and $10,460,277, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Work From Home ETF |
Direxion World Without Waste ETF |
Direxion Russell 1000® Growth Over Value ETF |
Direxion Russell 1000® Value Over Growth ETF |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
64,495,928 |
$ |
4,611,899 |
$ |
11,205,458 |
$ |
28,442,340 |
|||||||||||
Receivable for investments sold |
— |
382,425 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
393 |
508 |
711 |
119 |
|||||||||||||||
Due from broker for swap contracts |
— |
— |
14,668 |
2,434,000 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
100,056 |
— |
|||||||||||||||
Total Assets |
64,496,321 |
4,994,832 |
11,320,893 |
30,876,459 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
657,015 |
204,534 |
2,867,955 |
— |
|||||||||||||||
Payable for investments purchased |
— |
371,840 |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
— |
— |
803,299 |
654,483 |
|||||||||||||||
Due to Adviser, net (Note 6) |
23,378 |
1,832 |
3,251 |
9,221 |
|||||||||||||||
Due to broker for swap contracts |
— |
— |
321,210 |
1,883,864 |
|||||||||||||||
Accrued operating services fees (Note 6) |
2,922 |
203 |
406 |
1,153 |
|||||||||||||||
Total Liabilities |
683,315 |
578,409 |
3,996,121 |
2,548,721 |
|||||||||||||||
Net Assets |
$ |
63,813,006 |
$ |
4,416,423 |
$ |
7,324,772 |
$ |
28,327,738 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
73,869,453 |
$ |
5,780,395 |
$ |
11,910,632 |
$ |
29,646,174 |
|||||||||||
Total distributable loss |
(10,056,447 |
) |
(1,363,972 |
) |
(4,585,860 |
) |
(1,318,436 |
) |
|||||||||||
Net Assets |
$ |
63,813,006 |
$ |
4,416,423 |
$ |
7,324,772 |
$ |
28,327,738 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
63,813,006 |
$ |
4,416,423 |
$ |
7,324,772 |
$ |
28,327,738 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
1,125,001 |
225,001 |
75,001 |
475,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
56.72 |
$ |
19.63 |
$ |
97.66 |
$ |
59.64 |
|||||||||||
Cost of Investments |
$ |
77,050,098 |
$ |
5,524,507 |
$ |
12,733,381 |
$ |
29,204,587 |
* Securities loaned with values of $624,164, $188,711, $2,686,125 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
Direxion Fallen Knives ETF |
Direxion Hydrogen ETF |
Direxion Low Priced Stock ETF |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $—, $36,603 and $—, respectively) |
$ |
— |
$ |
2,891 |
$ |
190,031 |
$ |
16,688 |
|||||||||||
Interest income |
131,867 |
2 |
5 |
3 |
|||||||||||||||
Securities lending income |
— |
1,395 |
74,547 |
10,529 |
|||||||||||||||
Total investment income |
131,867 |
4,288 |
264,583 |
27,220 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
775,868 |
9,267 |
74,896 |
9,366 |
|||||||||||||||
Operating services fees (Note 6) |
310,347 |
1,030 |
9,362 |
1,041 |
|||||||||||||||
Excise tax |
281,127 |
— |
— |
— |
|||||||||||||||
Total Expenses |
1,367,342 |
10,297 |
84,258 |
10,407 |
|||||||||||||||
Net investment income (loss) |
(1,235,475 |
) |
(6,009 |
) |
180,325 |
16,813 |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
— |
(34,554 |
) |
(1,962,305 |
) |
(685,064 |
) |
||||||||||||
Foreign currency translation |
— |
— |
(30,368 |
) |
— |
||||||||||||||
In-kind redemptions |
— |
— |
(46,225 |
) |
— |
||||||||||||||
Futures contracts |
51,061,633 |
— |
— |
— |
|||||||||||||||
Net realized gain (loss) |
51,061,633 |
(34,554 |
) |
(2,038,898 |
) |
(685,064 |
) |
||||||||||||
Change in net unrealized depreciation on: |
|||||||||||||||||||
Investment securities |
— |
(1,456,274 |
) |
(11,480,111 |
) |
(789,561 |
) |
||||||||||||
Foreign currency translation |
— |
— |
(4,277 |
) |
— |
||||||||||||||
Futures contracts |
(4,259,431 |
) |
— |
— |
— |
||||||||||||||
Change in net unrealized depreciation |
(4,259,431 |
) |
(1,456,274 |
) |
(11,484,388 |
) |
(789,561 |
) |
|||||||||||
Net realized and unrealized gain (loss) |
46,802,202 |
(1,490,828 |
) |
(13,532,286 |
) |
(1,474,625 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
45,566,727 |
$ |
(1,496,837 |
) |
$ |
(13,342,961 |
) |
$ |
(1,457,812 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Moonshot Innovators ETF |
Direxion mRNA ETF2 |
Direxion Nanotechnology ETF1 |
Direxion NASDAQ-100® Equal Weighted Index Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $—, $— and $7,302, respectively) |
$ |
54,485 |
$ |
— |
$ |
2,060 |
$ |
2,383,160 |
|||||||||||
Interest income |
96 |
3 |
3 |
308 |
|||||||||||||||
Securities lending income |
504,951 |
— |
495 |
111,798 |
|||||||||||||||
Total investment income |
559,532 |
3 |
2,558 |
2,495,266 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
269,750 |
8,252 |
5,284 |
743,302 |
|||||||||||||||
Operating services fees (Note 6) |
22,479 |
688 |
440 |
123,884 |
|||||||||||||||
Total Expenses |
292,229 |
8,940 |
5,724 |
867,186 |
|||||||||||||||
Net investment income (loss) |
267,303 |
(8,937 |
) |
(3,166 |
) |
1,628,080 |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(11,961,893 |
) |
(255,221 |
) |
(44,921 |
) |
(3,984,767 |
) |
|||||||||||
In-kind redemptions |
(7,755,256 |
) |
— |
— |
79,488,774 |
||||||||||||||
Net realized gain (loss) |
(19,717,149 |
) |
(255,221 |
) |
(44,921 |
) |
75,504,007 |
||||||||||||
Change in net unrealized depreciation on: |
|||||||||||||||||||
Investment securities |
(46,882,667 |
) |
(1,584,283 |
) |
(936,356 |
) |
(171,464,574 |
) |
|||||||||||
Change in net unrealized depreciation |
(46,882,667 |
) |
(1,584,283 |
) |
(936,356 |
) |
(171,464,574 |
) |
|||||||||||
Net realized and unrealized loss |
(66,599,816 |
) |
(1,839,504 |
) |
(981,277 |
) |
(95,960,567 |
) |
|||||||||||
Net decrease in net assets resulting from operations |
$ |
(66,332,513 |
) |
$ |
(1,848,441 |
) |
$ |
(984,443 |
) |
$ |
(94,332,487 |
) |
1 Represents the period from November 23, 2021 (commencement of operations) to April 30, 2022.
2 Represents the period from December 9, 2021 (commencement of operations) to April 30, 2022.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Work From Home ETF |
Direxion World Without Waste ETF |
Direxion Russell 1000® Growth Over Value ETF |
Direxion Russell 1000® Value Over Growth ETF |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $116, $— and $—, respectively) |
$ |
794,869 |
$ |
12,258 |
$ |
48,224 |
$ |
225,947 |
|||||||||||
Interest income |
55 |
4 |
503 |
777 |
|||||||||||||||
Securities lending income |
13,444 |
167 |
4,640 |
— |
|||||||||||||||
Total investment income |
808,368 |
12,429 |
53,367 |
226,724 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
179,640 |
12,088 |
33,845 |
59,148 |
|||||||||||||||
Operating services fees (Note 6) |
22,455 |
1,343 |
4,231 |
7,394 |
|||||||||||||||
Interest expense |
— |
— |
55 |
707 |
|||||||||||||||
Total Expenses |
202,095 |
13,431 |
38,131 |
67,249 |
|||||||||||||||
Net investment income (loss) |
606,273 |
(1,002 |
) |
15,236 |
159,475 |
||||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(31,856 |
) |
(439,007 |
) |
(593,884 |
) |
— |
||||||||||||
In-kind redemptions |
3,105,688 |
— |
199,093 |
2,181,474 |
|||||||||||||||
Swap contracts |
— |
— |
(472,270 |
) |
1,590,172 |
||||||||||||||
Net realized gain (loss) |
3,073,832 |
(439,007 |
) |
(867,061 |
) |
3,771,646 |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(29,866,988 |
) |
(1,643,556 |
) |
(2,469,750 |
) |
(3,518,617 |
) |
|||||||||||
Swap contracts |
— |
— |
(1,011,753 |
) |
538,961 |
||||||||||||||
Change in net unrealized depreciation |
(29,866,988 |
) |
(1,643,556 |
) |
(3,481,503 |
) |
(2,979,656 |
) |
|||||||||||
Net realized and unrealized gain (loss) |
(26,793,156 |
) |
(2,082,563 |
) |
(4,348,564 |
) |
791,990 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(26,186,883 |
) |
$ |
(2,083,565 |
) |
$ |
(4,333,328 |
) |
$ |
951,465 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Statements of Changes in Net Assets
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
Direxion Fallen Knives ETF |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(1,235,475 |
) |
$ |
(985,938 |
) |
$ |
(6,009 |
) |
$ |
65,774 |
||||||||
Net realized gain (loss) |
51,061,633 |
26,159,862 |
(34,554 |
) |
2,769,745 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(4,259,431 |
) |
14,721,431 |
(1,456,274 |
) |
(462,436 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
45,566,727 |
39,895,355 |
(1,496,837 |
) |
2,373,083 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(30,825,354 |
) |
— |
(217,418 |
) |
(535,643 |
) |
||||||||||||
Total distributions |
(30,825,354 |
) |
— |
(217,418 |
) |
(535,643 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
166,779,623 |
184,462,965 |
— |
3,793,568 |
|||||||||||||||
Cost of shares redeemed |
(5,012,179 |
) |
(14,894,665 |
) |
— |
(7,299,839 |
) |
||||||||||||
Transaction fees (Note 4) |
17,681 |
21,425 |
— |
— |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
161,785,125 |
169,589,725 |
— |
(3,506,271 |
) |
||||||||||||||
Total increase (decrease) in net assets |
176,526,498 |
209,485,080 |
(1,714,255 |
) |
(1,668,831 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
253,430,938 |
43,945,858 |
5,177,637 |
6,846,468 |
|||||||||||||||
End of year/period |
$ |
429,957,436 |
$ |
253,430,938 |
$ |
3,463,382 |
$ |
5,177,637 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
7,750,001 |
1,900,001 |
75,001 |
125,001 |
|||||||||||||||
Shares sold |
5,150,000 |
6,350,000 |
— |
50,000 |
|||||||||||||||
Shares repurchased |
(150,000 |
) |
(500,000 |
) |
— |
(100,000 |
) |
||||||||||||
Shares outstanding, end of year/period |
12,750,001 |
7,750,001 |
75,001 |
75,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Statements of Changes in Net Assets
Direxion Hydrogen ETF |
Direxion Low Priced Stock ETF |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period March 25, 20211 through October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
For the Period July 22, 20211 through October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income |
$ |
180,325 |
$ |
237,351 |
$ |
16,813 |
$ |
13,858 |
|||||||||||
Net realized loss |
(2,038,898 |
) |
(509,003 |
) |
(685,064 |
) |
(272,685 |
) |
|||||||||||
Change in net unrealized appreciation (depreciation) |
(11,484,388 |
) |
1,365,039 |
(789,561 |
) |
(70,919 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(13,342,961 |
) |
1,093,387 |
(1,457,812 |
) |
(329,746 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(192,241 |
) |
(127,435 |
) |
(15,741 |
) |
(1,347 |
) |
|||||||||||
Total distributions |
(192,241 |
) |
(127,435 |
) |
(15,741 |
) |
(1,347 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
13,995,842 |
40,248,269 |
— |
5,483,755 |
|||||||||||||||
Cost of shares redeemed |
(8,232,644 |
) |
— |
— |
— |
||||||||||||||
Transaction fees (Note 4) |
— |
— |
— |
500 |
|||||||||||||||
Net increase in net assets resulting from capital transactions |
5,763,198 |
40,248,269 |
— |
5,484,255 |
|||||||||||||||
Total increase (decrease) in net assets |
(7,772,004 |
) |
41,214,221 |
(1,473,553 |
) |
5,153,162 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
41,214,221 |
— |
5,153,162 |
— |
|||||||||||||||
End of year/period |
$ |
33,442,217 |
$ |
41,214,221 |
$ |
3,679,609 |
$ |
5,153,162 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,700,002 |
— |
550,001 |
— |
|||||||||||||||
Shares sold |
650,000 |
1,700,002 |
— |
550,001 |
|||||||||||||||
Shares repurchased |
(400,000 |
) |
— |
— |
— |
||||||||||||||
Shares outstanding, end of year/period |
1,950,002 |
1,700,002 |
550,001 |
550,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Statements of Changes in Net Assets
Direxion Moonshot Innovators ETF |
Direxion mRNA ETF |
||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period November 12, 20201 through October 31, 2021 |
For the Period December 9, 20211 through April 30, 2022 (Unaudited) |
|||||||||||||
Operations: |
|||||||||||||||
Net investment income (loss) |
$ |
267,303 |
$ |
1,076,890 |
$ |
(8,937 |
) |
||||||||
Net realized loss |
(19,717,149 |
) |
(22,705,046 |
) |
(255,221 |
) |
|||||||||
Change in net unrealized depreciation |
(46,882,667 |
) |
(36,367,321 |
) |
(1,584,283 |
) |
|||||||||
Net decrease in net assets resulting from operations |
(66,332,513 |
) |
(57,995,477 |
) |
(1,848,441 |
) |
|||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
(1,146,145 |
) |
(680,526 |
) |
— |
||||||||||
Total distributions |
(1,146,145 |
) |
(680,526 |
) |
— |
||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
9,462,316 |
383,639,876 |
5,088,553 |
||||||||||||
Cost of shares redeemed |
(39,729,162 |
) |
(173,148,562 |
) |
— |
||||||||||
Transaction fees (Note 4) |
— |
— |
500 |
||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(30,266,846 |
) |
210,491,314 |
5,089,053 |
|||||||||||
Total increase (decrease) in net assets |
(97,745,504 |
) |
151,815,311 |
3,240,612 |
|||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
151,815,311 |
— |
— |
||||||||||||
End of year/period |
$ |
54,069,807 |
$ |
151,815,311 |
$ |
3,240,612 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
4,500,001 |
— |
— |
||||||||||||
Shares sold |
350,000 |
9,325,001 |
225,001 |
||||||||||||
Shares repurchased |
(1,450,000 |
) |
(4,825,000 |
) |
— |
||||||||||
Shares outstanding, end of year/period |
3,400,001 |
4,500,001 |
225,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Statements of Changes in Net Assets
Direxion Nanotechnology ETF |
Direxion NASDAQ-100® Equal Weighted Index Shares |
||||||||||||||
For the Period November 23, 20211 through April 30, 2022 (Unaudited) |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
|||||||||||||
Operations: |
|||||||||||||||
Net investment income (loss) |
$ |
(3,166 |
) |
$ |
1,628,080 |
$ |
1,862,366 |
||||||||
Net realized gain (loss) |
(44,921 |
) |
75,504,007 |
41,329,702 |
|||||||||||
Change in net unrealized appreciation (depreciation) |
(936,356 |
) |
(171,464,574 |
) |
71,501,564 |
||||||||||
Net increase (decrease) in net assets resulting from operations |
(984,443 |
) |
(94,332,487 |
) |
114,693,632 |
||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
— |
(16,017,487 |
) |
(2,011,608 |
) |
||||||||||
Total distributions |
— |
(16,017,487 |
) |
(2,011,608 |
) |
||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
2,500,025 |
526,154,582 |
96,387,917 |
||||||||||||
Cost of shares redeemed |
— |
(284,473,145 |
) |
(51,005,012 |
) |
||||||||||
Net increase in net assets resulting from capital transactions |
2,500,025 |
241,681,437 |
45,382,905 |
||||||||||||
Total increase in net assets |
1,515,582 |
131,331,463 |
158,064,929 |
||||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
— |
432,264,174 |
274,199,245 |
||||||||||||
End of year/period |
$ |
1,515,582 |
$ |
563,595,637 |
$ |
432,264,174 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
— |
4,950,002 |
4,350,002 |
||||||||||||
Shares sold |
100,001 |
7,050,000 |
1,250,000 |
||||||||||||
Shares repurchased |
— |
(3,850,000 |
) |
(650,000 |
) |
||||||||||
Shares outstanding, end of year/period |
100,001 |
8,150,002 |
4,950,002 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Statements of Changes in Net Assets
Direxion Work From Home ETF |
Direxion World Without Waste ETF |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
For the Period December 17, 20201 through October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
606,273 |
$ |
410,492 |
$ |
(1,002 |
) |
$ |
(3,562 |
) |
|||||||||
Net realized gain (loss) |
3,073,832 |
35,124,597 |
(439,007 |
) |
491,440 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(29,866,988 |
) |
16,725,812 |
(1,643,556 |
) |
730,948 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(26,186,883 |
) |
52,260,901 |
(2,083,565 |
) |
1,218,826 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(651,615 |
) |
(1,572,820 |
) |
(499,149 |
) |
(84 |
) |
|||||||||||
Total distributions |
(651,615 |
) |
(1,572,820 |
) |
(499,149 |
) |
(84 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
1,987,577 |
31,133,230 |
780,370 |
5,000,025 |
|||||||||||||||
Cost of shares redeemed |
(21,825,849 |
) |
(104,409,325 |
) |
— |
— |
|||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(19,838,272 |
) |
(73,276,095 |
) |
780,370 |
5,000,025 |
|||||||||||||
Total increase (decrease) in net assets |
(46,676,770 |
) |
(22,588,014 |
) |
(1,802,344 |
) |
6,218,767 |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
110,489,776 |
133,077,790 |
6,218,767 |
— |
|||||||||||||||
End of year/period |
$ |
63,813,006 |
$ |
110,489,776 |
$ |
4,416,423 |
$ |
6,218,767 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,425,001 |
2,475,001 |
200,001 |
— |
|||||||||||||||
Shares sold |
25,000 |
475,000 |
25,000 |
200,001 |
|||||||||||||||
Shares repurchased |
(325,000 |
) |
(1,525,000 |
) |
— |
— |
|||||||||||||
Shares outstanding, end of year/period |
1,125,001 |
1,425,001 |
225,001 |
200,001 |
1 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Statements of Changes in Net Assets
Direxion Russell 1000® Growth Over Value ETF |
Direxion Russell 1000® Value Over Growth ETF |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income |
$ |
15,236 |
$ |
19,746 |
$ |
159,475 |
$ |
430,537 |
|||||||||||
Net realized gain (loss) |
(867,061 |
) |
8,800,351 |
3,771,646 |
6,093,740 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(3,481,503 |
) |
(1,991,760 |
) |
(2,979,656 |
) |
3,465,318 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(4,333,328 |
) |
6,828,337 |
951,465 |
9,989,595 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(17,726 |
) |
(39,505 |
) |
(195,629 |
) |
(405,394 |
) |
|||||||||||
Total distributions |
(17,726 |
) |
(39,505 |
) |
(195,629 |
) |
(405,394 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
9,988,197 |
28,505,479 |
10,423,962 |
37,940,228 |
|||||||||||||||
Cost of shares redeemed |
(14,553,318 |
) |
(49,034,243 |
) |
(16,451,264 |
) |
(33,707,431 |
) |
|||||||||||
Transaction fees (Note 4) |
5,681 |
15,751 |
5,375 |
14,591 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(4,559,440 |
) |
(20,513,013 |
) |
(6,021,927 |
) |
4,247,388 |
||||||||||||
Total increase (decrease) in net assets |
(8,910,494 |
) |
(13,724,181 |
) |
(5,266,091 |
) |
13,831,589 |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
16,235,266 |
29,959,447 |
33,593,829 |
19,762,240 |
|||||||||||||||
End of year/period |
$ |
7,324,772 |
$ |
16,235,266 |
$ |
28,327,738 |
$ |
33,593,829 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
125,001 |
325,001 |
575,001 |
475,001 |
|||||||||||||||
Shares sold |
75,000 |
250,000 |
175,000 |
700,000 |
|||||||||||||||
Shares repurchased |
(125,000 |
) |
(450,000 |
) |
(275,000 |
) |
(600,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
75,001 |
125,001 |
475,001 |
575,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS5 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses6 |
Total Expenses |
Net Investment Income (Loss) After Expense Reimbursement |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) After Expense Reimbursement2 |
Portfolio Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
32.70 |
$ |
(0.13 |
) |
$ |
(0.10 |
) |
$ |
4.66 |
$ |
4.53 |
$ |
(3.51 |
) |
$ |
— |
$ |
— |
$ |
(3.51 |
) |
$ |
33.72 |
15.64 |
% |
$ |
429,957 |
0.88 |
% |
0.88 |
% |
(0.80 |
)% |
0.70 |
% |
0.70 |
% |
(0.62 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
23.13 |
(0.20 |
) |
(0.20 |
) |
9.77 |
9.57 |
— |
— |
— |
— |
$ |
32.70 |
41.37 |
% |
$ |
253,431 |
0.70 |
% |
0.70 |
% |
(0.67 |
)% |
0.70 |
% |
0.70 |
% |
(0.67 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
23.53 |
(0.02 |
) |
(0.02 |
) |
(0.29 |
) |
(0.31 |
) |
(0.06 |
) |
— |
(0.03 |
) |
(0.09 |
) |
$ |
23.13 |
-1.31 |
% |
$ |
43,946 |
0.70 |
% |
0.70 |
% |
(0.10 |
)% |
0.70 |
% |
0.70 |
% |
(0.10 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
24.58 |
0.35 |
0.35 |
(0.77 |
) |
(0.42 |
) |
(0.63 |
) |
— |
— |
(0.63 |
) |
$ |
23.53 |
-1.72 |
% |
$ |
42,360 |
0.70 |
% |
0.79 |
% |
1.47 |
% |
0.70 |
% |
0.79 |
% |
1.47 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
23.82 |
0.20 |
0.20 |
0.72 |
0.92 |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
24.58 |
3.84 |
% |
$ |
52,847 |
0.70 |
% |
0.84 |
% |
0.80 |
% |
0.70 |
% |
0.84 |
% |
0.80 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Period March 30, 20178 through October 31, 2017 |
$ |
25.00 |
0.01 |
0.01 |
(1.19 |
) |
(1.18 |
) |
— |
— |
— |
— |
$ |
23.82 |
-4.72 |
% |
$ |
11,911 |
0.70 |
% |
1.35 |
% |
0.07 |
% |
0.70 |
% |
1.35 |
% |
0.07 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Fallen Knives ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
69.03 |
(0.08 |
) |
(0.08 |
) |
(19.87 |
) |
(19.95 |
) |
— |
(2.90 |
) |
— |
(2.90 |
) |
$ |
46.18 |
-29.70 |
% |
$ |
3,463 |
0.50 |
% |
0.50 |
% |
(0.29 |
)% |
0.50 |
% |
0.50 |
% |
(0.29 |
)% |
11 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
54.77 |
0.50 |
0.50 |
17.99 |
18.49 |
(0.51 |
) |
(3.72 |
) |
— |
(4.23 |
) |
$ |
69.03 |
34.30 |
% |
$ |
5,178 |
0.50 |
% |
0.50 |
% |
0.69 |
% |
0.50 |
% |
0.50 |
% |
0.69 |
% |
113 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 11, 20208 through October 31, 2020 |
$ |
50.00 |
0.07 |
0.07 |
4.74 |
4.81 |
(0.04 |
) |
— |
— |
(0.04 |
) |
$ |
54.77 |
9.63 |
% |
$ |
6,846 |
0.50 |
% |
0.50 |
% |
0.32 |
% |
0.50 |
% |
0.50 |
% |
0.32 |
% |
115 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Hydrogen ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
24.24 |
0.10 |
0.10 |
(7.10 |
) |
(7.00 |
) |
(0.09 |
) |
— |
— |
(0.09 |
) |
$ |
17.15 |
-28.93 |
% |
$ |
33,442 |
0.45 |
% |
0.45 |
% |
0.96 |
% |
0.45 |
% |
0.45 |
% |
0.96 |
% |
16 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period March 25, 20218 through October 31, 2021 |
$ |
25.00 |
0.16 |
0.16 |
0.16 |
0.32 |
(0.08 |
) |
— |
— |
(0.08 |
) |
$ |
24.24 |
1.37 |
% |
$ |
41,224 |
0.45 |
% |
0.45 |
% |
1.21 |
% |
0.45 |
% |
0.45 |
% |
1.21 |
% |
55 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Low Priced Stock ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
9.37 |
0.03 |
0.03 |
(2.68 |
) |
(2.65 |
) |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
6.69 |
-28.33 |
% |
$ |
3,680 |
0.50 |
% |
0.50 |
% |
0.81 |
% |
0.50 |
% |
0.50 |
% |
0.81 |
% |
47 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period July 22, 20218 through October 31, 2021 |
$ |
10.00 |
0.03 |
0.03 |
(0.66 |
) |
(0.63 |
) |
(0.00 |
)9 |
— |
— |
(0.00 |
)9 |
$ |
9.37 |
-6.27 |
% |
$ |
5,153 |
0.50 |
% |
0.50 |
% |
0.97 |
% |
0.50 |
% |
0.50 |
% |
0.97 |
% |
83 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Moonshot Innovators ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
33.74 |
0.07 |
0.07 |
(17.61 |
) |
(17.54 |
) |
(0.30 |
) |
— |
— |
(0.30 |
) |
$ |
15.90 |
-52.37 |
% |
$ |
54,070 |
0.65 |
% |
0.65 |
% |
0.59 |
% |
0.65 |
% |
0.65 |
% |
0.59 |
% |
42 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period November 12, 20208 through October 31, 2021 |
$ |
25.00 |
0.27 |
0.27 |
8.61 |
8.88 |
(0.14 |
) |
— |
— |
(0.14 |
) |
$ |
33.74 |
35.54 |
% |
$ |
151,815 |
0.65 |
% |
0.65 |
% |
0.76 |
% |
0.65 |
% |
0.65 |
% |
0.76 |
% |
87 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion mRNA ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period December 9, 20218 through April 30, 2022 |
$ |
25.00 |
(0.05 |
) |
(0.05 |
) |
(10.55 |
) |
(10.60 |
) |
— |
— |
— |
— |
$ |
14.40 |
-42.40 |
% |
$ |
3,241 |
0.65 |
% |
0.65 |
% |
(0.65 |
)% |
0.65 |
% |
0.65 |
% |
(0.65 |
)% |
30 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Nanotechnology ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 23, 20218 through April 30, 2022 |
$ |
25.00 |
(0.03 |
) |
(0.03 |
) |
(9.81 |
) |
(9.84 |
) |
— |
— |
— |
— |
$ |
15.16 |
-39.36 |
% |
$ |
1,516 |
0.65 |
% |
0.65 |
% |
(0.36 |
)% |
0.65 |
% |
0.65 |
% |
(0.36 |
)% |
46 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
87.33 |
0.25 |
0.25 |
(15.55 |
) |
(15.30 |
) |
(0.23 |
) |
(2.65 |
) |
— |
(2.88 |
) |
$ |
69.15 |
-17.86 |
% |
$ |
563,596 |
0.35 |
% |
0.35 |
% |
0.66 |
% |
0.35 |
% |
0.35 |
% |
0.66 |
% |
22 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
63.03 |
0.39 |
0.39 |
24.33 |
24.72 |
(0.39 |
) |
(0.03 |
) |
— |
(0.42 |
) |
$ |
87.33 |
39.30 |
% |
$ |
432,264 |
0.35 |
% |
0.35 |
% |
0.49 |
% |
0.35 |
% |
0.35 |
% |
0.49 |
% |
30 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
51.32 |
0.38 |
0.38 |
11.72 |
12.10 |
(0.39 |
) |
— |
— |
(0.39 |
) |
$ |
63.03 |
23.69 |
% |
$ |
274,199 |
0.35 |
% |
0.35 |
% |
0.67 |
% |
0.35 |
% |
0.35 |
% |
0.67 |
% |
35 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
43.27 |
0.39 |
0.39 |
8.04 |
8.43 |
(0.38 |
) |
— |
— |
(0.38 |
) |
$ |
51.32 |
19.59 |
% |
$ |
215,563 |
0.35 |
% |
0.44 |
% |
0.82 |
% |
0.35 |
% |
0.44 |
% |
0.82 |
% |
28 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
41.90 |
0.31 |
0.31 |
1.37 |
1.68 |
(0.31 |
) |
— |
— |
(0.31 |
) |
$ |
43.27 |
3.98 |
% |
$ |
179,574 |
0.35 |
% |
0.49 |
% |
0.68 |
% |
0.35 |
% |
0.49 |
% |
0.68 |
% |
27 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
33.44 |
0.28 |
0.28 |
8.44 |
8.72 |
(0.26 |
) |
— |
— |
(0.26 |
) |
$ |
41.90 |
26.16 |
% |
$ |
144,561 |
0.35 |
% |
0.52 |
% |
0.73 |
% |
0.35 |
% |
0.52 |
% |
0.73 |
% |
31 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Work From Home ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
77.54 |
0.46 |
0.46 |
(20.82 |
) |
(20.36 |
) |
(0.46 |
) |
— |
— |
(0.46 |
) |
$ |
56.72 |
-26.40 |
% |
$ |
63,813 |
0.45 |
% |
0.45 |
% |
1.35 |
% |
0.45 |
% |
0.45 |
% |
1.35 |
% |
20 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
53.77 |
0.22 |
0.22 |
24.24 |
24.46 |
(0.27 |
) |
(0.42 |
) |
— |
(0.69 |
) |
$ |
77.54 |
45.69 |
% |
$ |
110,490 |
0.45 |
% |
0.45 |
% |
0.31 |
% |
0.45 |
% |
0.45 |
% |
0.31 |
% |
35 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Period June 25, 20208 through October 31, 2020 |
$ |
50.00 |
0.15 |
0.15 |
3.65 |
3.80 |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
53.77 |
7.60 |
% |
$ |
133,078 |
0.45 |
% |
0.45 |
% |
0.81 |
% |
0.45 |
% |
0.45 |
% |
0.81 |
% |
32 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion World Without Waste ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
31.09 |
(0.00 |
)9 |
(0.00 |
)9 |
(9.25 |
) |
(9.25 |
) |
— |
(2.21 |
) |
— |
(2.21 |
) |
$ |
19.63 |
-31.55 |
% |
$ |
4,416 |
0.50 |
% |
0.50 |
% |
(0.04 |
)% |
0.50 |
% |
0.50 |
% |
(0.04 |
)% |
29 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Period December 17, 20208 through October 31, 2021 |
$ |
25.00 |
(0.02 |
) |
(0.02 |
) |
6.11 |
6.09 |
(0.00 |
)9 |
— |
— |
(0.00 |
)9 |
$ |
31.09 |
24.36 |
% |
$ |
6,219 |
0.50 |
% |
0.50 |
% |
(0.07 |
)% |
0.50 |
% |
0.50 |
% |
(0.07 |
)% |
63 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
129.88 |
0.11 |
0.11 |
(32.24 |
) |
(32.13 |
) |
(0.09 |
) |
— |
— |
(0.09 |
) |
$ |
97.66 |
-24.76 |
% |
$ |
7,325 |
0.45 |
% |
0.45 |
% |
0.18 |
% |
0.45 |
% |
0.45 |
% |
0.18 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
92.18 |
0.10 |
0.11 |
37.76 |
37.86 |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
129.88 |
41.11 |
% |
$ |
16,235 |
0.45 |
% |
0.45 |
% |
0.10 |
% |
0.45 |
% |
0.45 |
% |
0.10 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
61.55 |
0.35 |
0.36 |
30.60 |
30.95 |
(0.32 |
) |
— |
— |
(0.32 |
) |
$ |
92.18 |
50.43 |
% |
$ |
29,959 |
0.47 |
% |
0.47 |
% |
0.45 |
% |
0.45 |
% |
0.45 |
% |
0.47 |
% |
12 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 |
$ |
50.00 |
0.26 |
0.28 |
11.48 |
11.74 |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
61.55 |
23.50 |
% |
$ |
29,236 |
0.49 |
% |
0.61 |
% |
0.56 |
% |
0.45 |
% |
0.57 |
% |
0.60 |
% |
13 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
58.42 |
0.32 |
0.32 |
1.33 |
1.65 |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
59.64 |
2.86 |
% |
$ |
28,328 |
0.45 |
% |
0.45 |
% |
1.08 |
% |
0.45 |
% |
0.45 |
% |
1.08 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
41.60 |
0.66 |
0.66 |
16.73 |
17.39 |
(0.57 |
) |
— |
— |
(0.57 |
) |
$ |
58.42 |
41.96 |
% |
$ |
33,594 |
0.45 |
% |
0.45 |
% |
1.20 |
% |
0.45 |
% |
0.45 |
% |
1.20 |
% |
3 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
55.11 |
1.05 |
1.06 |
(13.54 |
) |
(12.49 |
) |
(1.02 |
) |
— |
— |
(1.02 |
) |
$ |
41.60 |
-23.00 |
% |
$ |
19,762 |
0.46 |
% |
0.46 |
% |
2.24 |
% |
0.45 |
% |
0.45 |
% |
2.25 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period January 16, 20198 through October 31, 2019 |
$ |
50.00 |
0.71 |
0.71 |
4.81 |
5.52 |
(0.41 |
) |
— |
— |
(0.41 |
) |
$ |
55.11 |
11.06 |
% |
$ |
31,687 |
0.46 |
% |
0.59 |
% |
1.69 |
% |
0.45 |
% |
0.58 |
% |
1.70 |
% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Financial Highlights
April 30, 2022
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Excludes interest expense and extraordinary expenses which comprise of tax and litigation expenses.
3 Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain (loss) per share will not equal the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures and swaps for the period.
4 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the years ended October 31, 2016 through October 31, 2019, the total return would have been lower if certain expenses had not been reimbursed/waived by the investment advisor.
5 For periods less than a year, these ratios are annualized.
6 For the years ended October 31, 2016 through October 31, 2019, net expenses include affects of any reimbursement/waiver or recoupment.
7 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio. Short-term securities with maturities less than or equal to 366 days are also excluded from portfolio turnover calculation.
8 Commencement of operations.
9 Between $(0.005) and $0.005.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2022
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 82 separate series (each, a "Fund" and together the "Funds"). 12 of these Funds are included in this report:
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
|||||||
Direxion Fallen Knives ETF |
|||||||
Direxion Hydrogen ETF |
|||||||
Direxion Low Priced Stock ETF |
|||||||
Direxion Moonshot Innovators ETF |
|||||||
Direxion mRNA ETF |
|||||||
Direxion Nanotechnology ETF |
|||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
|||||||
Direxion Work From Home ETF |
|||||||
Direxion World Without Waste ETF |
|||||||
Direxion Russell 1000® Growth Over Value ETF |
|||||||
Direxion Russell 1000® Value Over Growth ETF |
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codifications ("ASC") 946, Financial Services-Investment Companies.
Rafferty Asset Management, LLC ("Rafferty") serves as investment adviser to the Funds. Rafferty has registered as a commodity pool operator ("CPO") and the Direxion Auspice Broad Commodity Strategy ETF (Consolidated), Direxion Russell 1000® Growth Over Value ETF and Direxion Russell 1000® Value Over Growth ETF are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, Rafferty is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) is managed to track the performance of the Auspice Broad Commodity Index. The Auspice Broad Commodity Index is a long/flat commodities index. A long/flat approach allows the Fund to attempt to take advantage of higher commodity prices, and at the same time shift into a cash position of an individual commodity that shows a downward trend in price. The Fund primarily invests in commodity and financial futures contracts directly and/or indirectly through its wholly-owned subsidiary, Direxion BCS Fund Ltd. ("BCS Fund"), in order to track the returns of the Auspice Broad Commodity Index within the limitation of the U.S. federal tax requirements applicable to regulated investment companies.
Each Fund seeks investment results, before fees and expenses, that track the performance of the underlying index as listed below:
Funds |
Index or Benchmark |
||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
Auspice Broad Commodity Index |
||||||
Direxion Fallen Knives ETF |
Indxx US Fallen Knives Index |
||||||
Direxion Hydrogen ETF |
Indxx Hydrogen Economy Index |
||||||
Direxion Low Priced Stock ETF |
Solactive Two Bucks Index |
||||||
Direxion Moonshot Innovators ETF |
S&P Kensho Moonshots Index |
||||||
Direxion mRNA ETF |
BITA Messenger RNA Technology Index |
||||||
Direxion Nanotechnology ETF |
S&P Kensho Extended Nanotechnology Index |
DIREXION SEMI-ANNUAL REPORT
43
Funds |
Index or Benchmark |
||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
NASDAQ-100® Equal Weighted Index |
||||||
Direxion Work From Home ETF |
Solactive Remote Work Index |
||||||
Direxion World Without Waste ETF |
Indxx US Circular Economy Index |
||||||
Direxion Russell 1000® Growth Over Value ETF |
Russell 1000® Growth/Value 150/50 Index(a) |
||||||
Direxion Russell 1000® Value Over Growth ETF |
Russell 1000® Value/Growth 150/50 Index(a) |
(a) Effective on February 28, 2022, the names of benchmark index for the Direxion Russell 1000® Growth Over Value ETF and Direxion Russell 1000® Value over Growth ETF, changed from Russell 1000® Growth/Value 150/50 Index and Russell 1000® Value/Growth 150/50 Index, to the Russell 1000® Growth/Value 150/50 Index and Russell 1000® Value/Growth 150/50 Index, respectively.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time ("Valuation Time")), each day the NYSE is open for business. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over-the-counter ("OTC") securities held by a Fund are valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities or; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation Time will be used. Securities and swap contracts are fair valued as determined by the Rafferty under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities; c) the Funds' pricing service provides a valuation that in the judgment of the Rafferty does not represent fair value; or d) the Fund or Rafferty believes the market price is stale.
b) 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 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
DIREXION SEMI-ANNUAL REPORT
44
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 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 April 30, 2022, 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
DIREXION SEMI-ANNUAL REPORT
45
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 April 30, 2022 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: Credit Suisse International
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 Russell 1000® Growth Over Value ETF |
$ |
100,056 |
$ |
— |
$ |
100,056 |
$ |
— |
$ |
803,299 |
$ |
100,056 |
$ |
703,2431 |
$ |
— |
|||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
— |
— |
— |
— |
654,483 |
— |
654,4831 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
c) Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against, changes in the values of commodities, equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) was invested in futures contracts as of the period ended April 30, 2022.
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 options during the period ended April 30, 2022.
e) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
DIREXION SEMI-ANNUAL REPORT
46
f) Foreign Currency Translation – The accounting records of the Funds are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the Funds after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The Funds do not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
g) Basis for Consolidation – The Direxion Auspice Broad Commodity Strategy ETF may invest up to 25% of its total assets in the Direxion BCS Fund Ltd. ("BCS Fund"). The BCS Fund, which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Direxion Auspice Broad Commodity Strategy ETF. The BCS Fund acts as an investment vehicle to facilitate entering into certain investments for the Direxion Auspice Broad Commodity Strategy ETF consistent with the Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of April 30, 2022, the net assets of the Direxion Auspice Broad Commodity Strategy ETF were $429,957,436 of which $86,216,316, or approximately 20.1%, represented the Direxion Auspice Broad Commodity Strategy ETF's ownership of all issued shares and voting rights of the BCS Fund. All intercompany balances, revenues and expenses have been eliminated in consolidation.
h) Risks of Investing Commodity-Linked Derivatives – The Direxion Auspice Broad Commodity Strategy ETF, through its investment in the subsidiary, may hold commodity-linked derivatives. Commodity-linked derivatives provide exposure, which may include long and/or short exposure, to the investment returns of physical commodities that trade in the commodities markets without investing directly in physical commodities. The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity (such as heating oil, precious metals, livestock, or agricultural products), a commodity futures contract or commodity index, or some other readily measurable economic variable. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, volatility of the underlying benchmark, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The value of commodity-linked derivatives will rise or fall in response to changes in the underlying commodity or related index. Investments in commodity-linked derivatives may be subject to greater volatility than non-derivative based investments. A highly liquid secondary market may not exist for certain commodity-linked derivatives, and there can be no assurance that one will develop. The Direxion Auspice Broad Commodity Strategy ETF held commodity-linked derivatives during the period ended April 30, 2022.
i) 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.
j) 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 April 30, 2022, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of
DIREXION SEMI-ANNUAL REPORT
47
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 April 30, 2022, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:
Funds |
Market Value of Securities Loaned |
Cash Collateral Received |
Non-Cash Collateral Received |
Total Collateral Received |
|||||||||||||||
Direxion Fallen Knives ETF |
$ |
364,968 |
$ |
367,128 |
$ |
— |
$ |
367,128 |
|||||||||||
Direxion Hydrogen ETF |
7,430,906 |
5,072,575 |
2,489,748 |
7,562,323 |
|||||||||||||||
Direxion Low Priced Stock ETF |
409,282 |
448,181 |
— |
448,181 |
|||||||||||||||
Direxion Moonshot Innovators ETF |
16,822,313 |
17,577,290 |
533,755 |
18,111,045 |
|||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
10,460,277 |
10,787,296 |
560,657 |
11,347,953 |
|||||||||||||||
Direxion Work From Home ETF |
624,164 |
657,015 |
— |
657,015 |
|||||||||||||||
Direxion World Without Waste ETF |
188,711 |
204,534 |
— |
204,534 |
|||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
2,686,125 |
2,867,955 |
— |
2,867,955 |
k) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. The Direxion Auspice Broad Commodity Strategy ETF (Consolidated) paid this excise tax during the period ended April 30, 2022.
l) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets. Expenses are charged to the Funds daily. Expenses are computed based on each Fund's respective average daily net assets. For additional discussion on expenses, refer to Note 6.
m) 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.
n) 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.
o) 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.
DIREXION SEMI-ANNUAL REPORT
48
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2022 and October 31, 2021 are presented in the following table. The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.
Period Ended April 30, 2022 (Unaudited) |
Year/Period Ended October 31, 2021 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
30,825,354 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||
Direxion Fallen Knives ETF |
217,418 |
— |
— |
535,643 |
— |
— |
|||||||||||||||||||||
Direxion Hydrogen ETF1 |
192,241 |
— |
— |
127,435 |
— |
— |
|||||||||||||||||||||
Direxion Low Priced Stock ETF2 |
15,741 |
— |
— |
1,347 |
— |
— |
|||||||||||||||||||||
Direxion Moonshot Innovators ETF |
1,146,145 |
— |
— |
680,526 |
— |
— |
|||||||||||||||||||||
Direxion mRNA ETF4 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Nanotechnology ETF3 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
14,916,940 |
1,100,547 |
— |
2,011,608 |
— |
— |
|||||||||||||||||||||
Direxion Work From Home ETF |
651,615 |
— |
— |
1,572,820 |
— |
— |
|||||||||||||||||||||
Direxion World Without Waste ETF |
499,149 |
— |
— |
84 |
— |
— |
|||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
17,726 |
— |
— |
39,505 |
— |
— |
|||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
195,629 |
— |
— |
405,394 |
— |
— |
1 Commenced operations on March 25, 2021.
2 Commenced operations on July 22, 2021.
3 Commenced operations on November 23, 2021.
4 Commenced operations on December 9, 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 |
Undistributed Capital Gain |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
15,322,256 |
$ |
40,346,848 |
$ |
— |
$ |
(3,858 |
) |
$ |
55,665,246 |
||||||||||||
Direxion Fallen Knives ETF |
(334,735 |
) |
217,418 |
— |
— |
(117,317 |
) |
||||||||||||||||
Direxion Hydrogen ETF |
1,097,829 |
94,742 |
— |
(226,619 |
) |
965,952 |
|||||||||||||||||
Direxion Low Priced Stock ETF |
(76,580 |
) |
6,361 |
— |
(260,874 |
) |
(331,093 |
) |
|||||||||||||||
Direxion Moonshot Innovators ETF |
(36,861,292 |
) |
700,633 |
— |
(33,604,323 |
) |
(69,764,982 |
) |
|||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
116,912,089 |
13,453,796 |
1,100,517 |
— |
131,466,402 |
||||||||||||||||||
Direxion Work From Home ETF |
16,725,094 |
56,957 |
— |
— |
16,782,051 |
||||||||||||||||||
Direxion World Without Waste ETF |
720,519 |
498,223 |
— |
— |
1,218,742 |
||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
(234,806 |
) |
— |
— |
— |
(234,806 |
) |
||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
(2,178,738 |
) |
104,466 |
— |
— |
(2,074,272 |
) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
DIREXION SEMI-ANNUAL REPORT
49
At April 30, 2022, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:
Funds |
Tax Cost of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
405,335,661 |
$ |
— |
$ |
— |
$ |
— |
|||||||||||
Direxion Fallen Knives ETF |
5,621,938 |
75,534 |
(1,865,747 |
) |
(1,790,213 |
) |
|||||||||||||
Direxion Hydrogen ETF |
48,005,982 |
427,160 |
(10,540,936 |
) |
(10,113,776 |
) |
|||||||||||||
Direxion Low Priced Stock ETF |
4,977,337 |
239,835 |
(1,100,315 |
) |
(860,480 |
) |
|||||||||||||
Direxion Moonshot Innovators ETF |
154,912,775 |
357,103 |
(83,607,091 |
) |
(83,249,988 |
) |
|||||||||||||
Direxion mRNA ETF |
4,826,122 |
97,634 |
(1,681,917 |
) |
(1,584,283 |
) |
|||||||||||||
Direxion Nanotechnology ETF |
2,452,662 |
30,364 |
(966,720 |
) |
(936,356 |
) |
|||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
626,363,731 |
15,010,913 |
(66,927,053 |
) |
(51,916,140 |
) |
|||||||||||||
Direxion Work From Home ETF |
77,050,098 |
9,362,975 |
(21,917,145 |
) |
(12,554,170 |
) |
|||||||||||||
Direxion World Without Waste ETF |
5,524,507 |
287,479 |
(1,200,087 |
) |
(912,608 |
) |
|||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
12,733,381 |
— |
(1,527,923 |
) |
(1,527,923 |
) |
|||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
29,204,587 |
— |
(762,247 |
) |
(762,247 |
) |
In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2021.
At October 31, 2021, these Funds deferred, on a tax basis, no qualified late year losses.
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 Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
— |
$ |
— |
$ |
— |
|||||||||
Direxion Fallen Knives ETF |
— |
— |
— |
||||||||||||
Direxion Hydrogen ETF |
— |
226,619 |
— |
||||||||||||
Direxion Low Priced Stock ETF |
— |
260,874 |
— |
||||||||||||
Direxion Moonshot Innovators ETF |
— |
33,604,323 |
— |
||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
— |
— |
— |
||||||||||||
Direxion Work From Home ETF |
— |
— |
— |
||||||||||||
Direxion World Without Waste ETF |
— |
— |
— |
||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
— |
— |
— |
||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
1,400,695 |
— |
— |
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 April 30, 2022, open U.S. Federal and state income tax years include the tax years ended October 31, 2019 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.
DIREXION SEMI-ANNUAL REPORT
50
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." The number of shares in a Creation Unit for each respective Fund is as follows:
Fund |
Number of shares per Creation Unit |
||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
50,000 |
shares |
|||||
Direxion Fallen Knives ETF |
25,000 |
shares |
|||||
Direxion Hydrogen ETF |
50,000 |
shares |
|||||
Direxion Low Priced Stock ETF |
25,000 |
shares |
|||||
Direxion Moonshot Innovators ETF |
25,000 |
shares |
|||||
Direxion mRNA ETF |
25,000 |
shares |
|||||
Direxion Nanotechnology ETF |
25,000 |
shares |
|||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
50,000 |
shares |
|||||
Direxion Work From Home ETF |
25,000 |
shares |
|||||
Direxion World Without Waste ETF |
25,000 |
shares |
|||||
Direxion Russell 1000® Growth Over Value ETF |
25,000 |
shares |
|||||
Direxion Russell 1000® Value Over Growth ETF |
25,000 |
shares |
Creation Units of the Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2022. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||
Direxion Fallen Knives ETF |
476,010 |
627,998 |
— |
— |
|||||||||||||||
Direxion Hydrogen ETF |
5,758,663 |
5,833,544 |
12,814,889 |
7,468,370 |
|||||||||||||||
Direxion Low Priced Stock ETF |
2,050,569 |
1,941,159 |
— |
— |
|||||||||||||||
Direxion Moonshot Innovators ETF |
38,569,017 |
38,998,655 |
9,477,088 |
39,733,915 |
|||||||||||||||
Direxion mRNA ETF2 |
3,613,921 |
861,223 |
2,588,652 |
— |
|||||||||||||||
Direxion Nanotechnology ETF1 |
3,283,759 |
788,514 |
— |
— |
|||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
110,598,498 |
125,203,636 |
526,037,454 |
284,455,579 |
|||||||||||||||
Direxion Work From Home ETF |
18,483,994 |
18,503,946 |
1,986,927 |
21,817,243 |
|||||||||||||||
Direxion World Without Waste ETF |
1,604,458 |
2,110,819 |
780,680 |
— |
|||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
— |
3,050,756 |
9,538,023 |
11,345,414 |
|||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
— |
— |
9,930,551 |
15,606,504 |
1 Represents the period from November 23, 2021 (commencement of operations) to April 30, 2022.
2 Represents the period from December 9, 2021 (commencement of operations) to April 30, 2022.
DIREXION SEMI-ANNUAL REPORT
51
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2022.
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between each Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory Agreement, each Fund pays their respective Adviser an investment advisory fees at an annual rate based on its average daily net assets. These rates are as follows:
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
0.50 |
% |
|||||
Direxion Fallen Knives ETF |
0.45 |
% |
|||||
Direxion Hydrogen ETF |
0.40 |
% |
|||||
Direxion Low Priced Stock ETF |
0.45 |
% |
|||||
Direxion Moonshot Innovators ETF |
0.60 |
% |
|||||
Direxion mRNA ETF |
0.60 |
% |
|||||
Direxion Nanotechnology ETF |
0.60 |
% |
|||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
0.30 |
% |
|||||
Direxion Work From Home ETF |
0.40 |
% |
|||||
Direxion World Without Waste ETF |
0.45 |
% |
|||||
Direxion Russell 1000® Growth Over Value ETF |
0.40 |
% |
|||||
Direxion Russell 1000® Value Over Growth ETF |
0.40 |
% |
Additionally, the Trust has entered into a Management Services Agreement with Rafferty. Under the Management Services Agreement, the Trust pays Rafferty management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates Rafferty for performing certain management, administration and compliance functions related to the Trust.
The Funds have entered into an Operating Services Agreement. Under the Operating Services Agreement, Rafferty will pay all the expenses (with certain exceptions such as management fees, Rule 12b-1 fees and swap financing and related costs) of the Funds in exchange for a fee calculated based on the following rates multiplied by the respective average daily net assets of each Fund.
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
0.20 |
% |
|||||
Direxion Fallen Knives ETF |
0.05 |
% |
|||||
Direxion Hydrogen ETF |
0.05 |
% |
|||||
Direxion Low Priced Stock ETF |
0.05 |
% |
|||||
Direxion Moonshot Innovators ETF |
0.05 |
% |
|||||
Direxion mRNA ETF |
0.05 |
% |
|||||
Direxion Nanotechnology ETF |
0.05 |
% |
|||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
0.05 |
% |
|||||
Direxion Work From Home ETF |
0.05 |
% |
|||||
Direxion World Without Waste ETF |
0.05 |
% |
|||||
Direxion Russell 1000® Growth Over Value ETF |
0.05 |
% |
|||||
Direxion Russell 1000® Value Over Growth ETF |
0.05 |
% |
The Board has adopted a Distribution and Service Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to charge an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees were charged by any Fund.
7. FAIR VALUE MEASUREMENTS
The Funds follow authoritative fair valuation accounting standards, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs
DIREXION SEMI-ANNUAL REPORT
52
and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities, in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds' investments at April 30, 2022:
Asset Class |
Liability Class |
||||||||||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 1 |
Level 2 |
||||||||||||||||||||||||||||||||
Funds |
Investment Companies |
Common Stocks |
Short Term Investments |
Cash Equivalents |
Futures Contracts* |
Total Return Swap Contracts* |
Futures Contracts* |
Total Return Swap Contracts* |
|||||||||||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
— |
$ |
— |
$ |
405,335,661 |
$ |
— |
$ |
11,062,825 |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Fallen Knives ETF |
— |
3,463,778 |
367,947 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Hydrogen ETF |
— |
32,819,631 |
5,072,575 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Low Priced Stock ETF |
— |
3,657,154 |
459,703 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Moonshot Innovators ETF |
— |
53,880,999 |
17,781,788 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion mRNA ETF |
— |
3,236,582 |
5,257 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Nanotechnology ETF |
— |
1,513,968 |
2,338 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
— |
562,862,982 |
11,584,609 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Work From Home ETF |
— |
63,701,434 |
794,494 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion World Without Waste ETF |
— |
4,403,968 |
207,931 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
7,135,294 |
— |
4,070,164 |
— |
— |
100,056 |
— |
(803,299 |
) |
||||||||||||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
25,530,941 |
— |
2,911,399 |
— |
— |
— |
— |
(654,483 |
) |
For further detail on each asset class, see each Fund's Schedule of Investments.
* Futures contracts and total return swap contracts are valued at the unrealized appreciation/(depreciation).
The Funds also follow authoritative accounting standards, which require additional disclosure regarding fair value measurements. Specifically, these standards require reporting entities to disclose a) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, b) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
DIREXION SEMI-ANNUAL REPORT
53
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 April 30, 2022, certain Funds were invested in swap contracts. At April 30, 2022, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 |
|||||||||||
Swap Contracts Fund |
Equity Risk |
Total |
|||||||||
Direxion Russell 1000® Growth Over Value ETF |
$ |
100,056 |
$ |
100,056 |
|||||||
Futures Contracts* Fund |
Commodity Risk |
Total |
|||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
11,062,825 |
$ |
11,062,825 |
|||||||
Liability Derivatives2 |
|||||||||||
Swap Contracts Fund |
Equity Risk |
Total |
|||||||||
Direxion Russell 1000® Growth Over Value ETF |
$ |
803,299 |
$ |
803,299 |
|||||||
Direxion Russell 1000® Value Over Growth ETF |
654,483 |
654,483 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
* Cumulative appreciation(depreciation) of futures contracts as reported in the Schedule of Investments.
Only current day's variation margin, if any, is reported in the Statements of Assets and Liabilities.
Transactions in derivative instruments during the period ended April 30, 2022, by primary risk, were as follows:
Net Realized Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Commodity Risk |
Equity Risk |
Commodity Risk |
|||||||||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
Futures Contracts |
$ |
— |
$ |
51,061,633 |
$ |
— |
$ |
(4,259,431 |
) |
|||||||||||||
Direxion Russell 1000® Growth Over Value ETF |
Swap Contracts |
(472,270 |
) |
— |
(1,011,753 |
) |
— |
||||||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
Swap Contracts |
1,590,172 |
— |
538,961 |
— |
1 Statements of Operations location: Net realized gain (loss) on swap and futures contracts.
2 Statements of Operations location: Change in net unrealized appreciation (depreciation) on swap and futures contracts.
For the period ended April 30, 2022, 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 |
Long Futures Contracts |
|||||||||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
— |
$ |
— |
$ |
238,238,275 |
|||||||||
Direxion Russell 1000® Growth Over Value ETF |
7,883,079 |
6,794,295 |
— |
||||||||||||
Direxion Russell 1000® Value Over Growth ETF |
17,854,532 |
15,644,609 |
— |
DIREXION SEMI-ANNUAL REPORT
54
The Funds utilize this volume of derivatives in order to meet the investment objectives of each respective Fund.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
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
DIREXION SEMI-ANNUAL REPORT
55
by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Currency Exchange Rate Risk – Changes in foreign currency exchange rates will affect the value of the Fund's investments in securities denominated in a country's currency. Generally, when the U.S. Dollar rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. Dollars. Devaluation of a currency by a country's government or banking authority also will have a significant impact on the value of any investments denominated in that currency. If the Fund is exposed to a limited number of currencies, any change in the value of these currencies could have a material impact on the Fund's net asset value.
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.
DIREXION SEMI-ANNUAL REPORT
56
10. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date of the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
On June 21, 2022, certain Funds declared income distributions with an ex-date of June 22, 2022 and payable date of June 29, 2022. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per Share Income Distribution |
||||||
Direxion Auspice Broad Commodity Strategy ETF (Consolidated) |
$ |
1.16408 |
|||||
Direxion Hydrogen ETF |
0.09393 |
||||||
Direxion Low Priced Stock ETF |
0.01381 |
||||||
Direxion NASDAQ-100® Equal Weighted Index Shares |
0.13982 |
||||||
Direxion Work From Home ETF |
0.01244 |
||||||
Direxion World Without Waste ETF |
0.00144 |
||||||
Direxion Russell 1000® Growth Over Value ETF |
0.07436 |
||||||
Direxion Russell 1000® Value Over Growth ETF |
0.36785 |
DIREXION SEMI-ANNUAL REPORT
57
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
New Fund Investment Advisory Agreement Approval
At meetings held on August 18, 2021 and November 19, 2021, the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") considered the approval of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion mRNA ETF and Direxion Nanotechnology ETF, respectively, each a series of the ETF Trust. Each such series is referred to herein as a "Fund" and collectively as the "Funds."
Following such consideration, 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 relevant 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 ETF 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 representation that it has the financial resources and appropriate staffing to manage the relevant 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 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 pursuant to contractual fee waivers and expense reimbursement arrangements. The Board considered that the proposed advisory fee rate and net expense ratio for each Fund was similar to those of comparable exchange-traded funds and the same as 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 the Funds. The Board considered the significant drivers of cost for the Adviser including, but not limited to, intellectual capital, portfolio rebalancing, regulatory compliance, and entrepreneurial risk. Based on these considerations, the Board determined that, in the exercise of its business judgment, the costs of the services to be provided and any profits that may be realized under the Agreement was not excessive.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
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 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.
Other Benefits. The Board considered the Adviser's representations that its relationship with the Funds may enable it to attract assets to 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 SEMI-ANNUAL REPORT
60
Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and Age |
Position(s) Held with Fund |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(3) |
Other Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D. O'Neill(1) Age: 54 |
Chairman of the Board of Trustees |
Lifetime of Trust until removal or resignation; Since 2008 |
Chief Executive Officer 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. |
139 |
None. |
||||||||||||||||||
Angela Brickl(2) Age: 46 |
Trustee Chief Compliance Officer Secretary |
Lifetime of Trust until removal or resignation; Since 2022 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. |
139 |
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. |
139 |
None. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.
(3) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
61
Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age |
Position(s) Held with Fund |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Jacob C. Gaffey Age: 74 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. |
139 |
None. |
||||||||||||||||||
Henry W. Mulholland Age: 59 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2017 |
Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. |
139 |
None. |
||||||||||||||||||
Kathleen M. Berkery Age: 54 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2019 |
Chief Financial Officer, Student Sponsor Partners, since November 2021; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, since 2018; Financial Advisor, Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017. |
139 |
None. |
||||||||||||||||||
Carlyle Peake Age: 50 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2022 |
Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011. |
139 |
None. |
||||||||||||||||||
Mary Jo Collins Age: 65 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2022 |
Managing Director, Imperial Capital LLC, since 2020; Director, Royal Bank of Canada, 2014 – 2020. |
139 |
None. |
(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 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
62
Direxion Shares ETF Trust
Trustees and Officers
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: 54 |
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. |
93 |
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: 46 |
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 |
||||||||||||||||||
Corey Noltner Age: 33 |
Principal Financial Officer |
One Year; Since 2021 |
Senior Business Analyst, Rafferty Asset Management, LLC, since October 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 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 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
63
SEMI–ANNUAL REPORT APRIL 30, 2022
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com
Investment Advisers
Rafferty Asset Management, LLC
Direxion Advisors, LLC
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019
Administrator
U.S. Bancorp Fund Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York Mellon
101 Barclay Street
New York, New York 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
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 Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI–ANNUAL REPORT APRIL 30, 2022
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 www.direxioninvestments.com
1X BEAR FUNDS
Direxion Daily CSI 300 China A Share Bear 1X Shares
Direxion Daily S&P 500® Bear 1X Shares
2X BULL FUNDS |
2X BEAR FUNDS |
||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares | |||||||
Direxion Daily CSI China Internet Index Bull 2X Shares | |||||||
Direxion Daily S&P 500® Bull 2X Shares | |||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares | |||||||
Direxion Daily MSCI Brazil Bull 2X Shares | |||||||
Direxion Daily MSCI India 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 FinTech Bull 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 |
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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 Metal Miners Bull 2X Shares | |||||||
Direxion Daily Oil Services Bull 2X Shares | |||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares | |||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
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Direxion Daily Select Large Caps & FANGs Bull 2X Shares | |||||||
Direxion Daily Software Bull 2X Shares | |||||||
Direxion Daily TIPS Bull 2X Shares |
Direxion Daily TIPS Bear 2X Shares |
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Direxion Daily Travel & Vacation Bull 2X Shares | |||||||
Direxion Daily US Infrastructure Bull 2X Shares |
You can find a Fund's prospectus, reports to shareholders, and other information about the Fund online at http://www.direxioninvestments.com/regulatory-documents. You can also get this information at no cost by calling (800) 851-0511 or by sending an email request to info@direxionfunds.com.
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 |
4 |
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Expense Example |
13 |
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Allocation of Portfolio Holdings |
16 |
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Schedules of Investments |
17 |
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Statements of Assets and Liabilities |
56 |
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Statements of Operations |
64 |
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Statements of Changes in Net Assets |
72 |
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Financial Highlights |
87 |
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Notes to the Financial Statements |
92 |
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Supplemental Information |
123 |
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Board Review of Investment Advisory Agreement |
124 |
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Trustees and Officers |
126 |
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Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2021 to April 30, 2022 (the "Semi-Annual Period").
Market Review:
Although global equities ended 2021 on a high note, the Omicron variant of Covid-19 was beginning to spread, and the CPI index started to creep upward. The equity rally did not last into 2022, as the S&P 500 recorded its worst January since 2008, with value names outperforming growth names. Equity markets continued to decline through February 2022, further magnified by the Russian invasion of Ukraine. The S&P 500 posted its first monthly gain of the year in March 2022, but not all global markets followed suit. At the same time, Chinese markets were crashing, primarily due to renewed countrywide Covid-19 shut-downs. April 2022 was extremely volatile, with equity markets struggling both domestically and internationally.
In November 2021, the treasury yield curve flattened and appetite for bonds was weak. There was a slight shift in December 2021, as investors looked towards the debt markets as a safe haven against mounting inflationary pressures, but risk-off sentiment returned in 2022 as the Federal Reserve took a hawkish stance against the economic environment. The Russian invasion of Ukraine weakened the fixed income segment of the market further, especially in emerging market debt. The end of this period saw the treasury yield curve shift higher, hurting fixed income returns. The general economic sentiment was weak as CPI and inflation rose, geopolitical tensions continued, and the Federal Reserve raised rates.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 200%, -100% or -200% of the performance of a particular benchmark. All ETF returns are NAV (net asset value) returns.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods of longer than one day and the performance of the ETFs over longer periods may not correlate to their benchmarks' performance. The ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.
The ETFs with the word "Bull" in their name (the "Bull ETFs") attempt to provide investment results that correlate to 200% of the return of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
The Funds with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -100% or -200% of the return of a benchmark index, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target benchmark index.
In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the benchmark index will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.
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Each ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.
Factors Affecting Direxion Shares Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results (before fees and expenses) of either 200% (for the Bull ETFs) or -100% or -200% (for the Bear ETFs) of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time, but deviates from its underlying index in the short-term.
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Equity Dividends and Bond Interest – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Equity Bear ETFs are negatively impacted as they are obligated to pay the dividends. Treasury Bull ETFs receive interest, accrued on a daily basis, to account for the Treasury's semi-annual coupon payments while the Treasury Bear ETFs pay interest, accrued on a daily basis.
Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.
Direxion Shares Performance Review:
The Direxion Daily 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 Semi-Annual Period, the CSI 300 Index returned -21.97%. The Direxion Daily CSI 300 China A Share Bear 1X Shares returned 22.16%, while the model indicated an expected return of 23.86%.
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 Semi-Annual Period, the S&P 500® Index returned -9.65%. The Direxion Daily S&P 500® Bear 1X Shares 8.40%, while the model indicated an expected return of 8.50%.
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 Semi-Annual Period, the CSI 300 Index returned -21.97%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily CSI 300 China A Share Bull 2X Shares returned -40.47%, while the model indicated an expected return -41.10%.
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 Semi-Annual Period, the CSI Overseas China Internet Index returned -36.30%. 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 -69.86%, while the model indicated an expected return of -69.64%.
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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 Semi-Annual Period, the S&P 500® Index returned -9.65%. 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 S&P 500® Bull 2X Shares returned -20.61%, while the model indicated an expected return of -19.99%.
The Direxion Daily S&P 500® Equal Weight Bull 2X Shares seeks to provide 200% of the daily return of the S&P 500 Equal Weight Index. The S&P 500 Equal Weight Index consists of all of the components of the S&P 500® Index. The Index is an equal-weighted version of the S&P 500® Index. Unlike the S&P 500® Index, which employs a float-adjusted market capitalization weighted methodology, the Index assigns each component security the same weight upon rebalance. The Index is a stock market index tracking the performance of 500 large companies listed on stock exchanges in the United States. Since the Fund's inception on January 20, 2022, the S&P 500 Equal Weight Index returned -5.85%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® Equal Weight Bull 2X Shares returned -12.92%, while the model indicated an expected return of -12.40%.
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 Semi-Annual Period, the MSCI Brazil 25/50 Index returned 20.26%. 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 37.73%, while the model indicated an expected return of 38.91%.
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 Semi-Annual Period, the MSCI India Index returned -4.84%. 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 MSCI India Bull 2X Shares returned -12.41%, while the model indicated an expected return of -11.48%.
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. For the Semi-Annual Period, the BlueStar® 5G Communications Index returned -10.20%. 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 -22.60%, while the model indicated an expected return of -22.03%.
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; and Software as a service. For the Semi-Annual Period, the Indxx USA Cloud Computing Index returned -40.03%. Given
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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 -67.18%, while the model indicated an expected return of -66.93%. The Direxion Daily Cloud Computing Bear 2X Shares returned 115.46%, while the model indicated an expected return of 116.97%.
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 Semi-Annual Period, the Energy Select Sector Index returned 33.96%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Energy Bull 2X Shares returned 70.56%, while the model indicated an expected return of 72.02%. The Direxion Daily Energy Bear 2X Shares returned -51.14%, while the model indicated an expected return of -50.97%.
The Direxion Daily FinTech Bull 2X Shares seeks to provide 200% of the daily return of the Indxx US FinTech and Decentralized Finance Index. The Indxx US FinTech and Decentralized Finance Index includes U.S.-listed securities, including ADRs, of companies that derive a minimum of 50% of their total revenue from offering technology-driven financial services ("FinTech"), including companies that facilitate decentralized finance systems. Indxx, the Index Provider, defines FinTech as being comprised of the following types of companies: Digital Payments, Point-of-Sale, Personal Finance Software and Credit/Debit Card Issuers, Tax Compliance Software and Backend Payment Processing, Decentralized Finance, Financial Enterprise Solutions, and Peer-to-Peer Lending and Crowdfunding. Since the Fund's inception on January 20, 2022, the Indxx US FinTech and Decentralized Finance Index returned -13.65%. 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 FinTech Bull 2X Shares returned -29.00%, while the model indicated an expected return of -28.51%.
The Direxion Daily Global Clean Energy Bull 2X Shares seeks to provide 200% of the daily return of the S&P Global Clean Energy Index. The S&P Global Clean Energy Index is designed to track the performance of companies from developed markets whose economic fortunes are tied to the global clean energy business. The Index has a target constituent count of 100 and is limited to those stocks traded on a developed market exchange that meet or exceed, at the time of inclusion, $300 million in total market capitalization, $100 million in float adjusted market capitalization, and $3 million average daily value traded over a six month period. The Index is rebalanced semiannually. For the Semi-Annual Period, the S&P Global Clean Energy Index returned -24.19%. 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 -47.36%, while the model indicated an expected return of -46.14%.
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 Semi-Annual Period, the NYSE Arca Gold Miners Index returned 12.27%. 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 18.52%, while the model indicated an expected return of 19.91%. The Direxion Daily Gold Miners Index Bear 2X Shares returned -32.09%, while the model indicated an expected return of -31.99%.
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
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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 Semi-Annual Period, the MVIS Global Junior Gold Miners Index returned 1.12%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Junior Gold Miners Index Bull 2X Shares returned -5.38%, while the model indicated an expected return of -4.15%. The Direxion Daily Junior Gold Miners Index Bear 2X Shares returned -19.73%, while the model indicated an expected return of -19.59%.
The Direxion Daily Metal Miners Bull 2X Shares seeks to provide 200% of the daily return of the S&P Metals & Mining Select Industry Index. The S&P Metals & Mining Select Industry Index is a modified equal-weighted index that is designed to measure the performance of the equity securities of companies in the S&P Total Market Index that are classified by the Global Industry Classification Standard (GICS) as being in the metals and mining industry. The metals and mining industry includes companies in the following sub-industries: aluminum; coal & consumable fuels; copper; diversified metals & mining; gold; precious metals & minerals; silver; and steel. The Index does not include metal commodities. Since the Fund's inception on December 16, 2021, the S&P Metals & Mining Select Industry Index returned 35.83%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Metal Miners Bull 2X Shares returned 74.04%, while the model indicated an expected return of 75.56%.
The Direxion Daily Oil Services Bull 2X Shares seeks to provide 200% of the daily return of the MVIS US Listed Oil Services 25 Index. The MVIS US Listed Oil Services 25 Index includes companies that have common stocks or depositary receipts listed on a U.S. stock exchange and that provide services to the oil industry. To be eligible for initial inclusion in the Index, companies must generate at least 50% of their revenues from providing services to upstream oil companies, such as those engaged primarily in providing oil equipment, oil services or oil drilling. Of the largest 50 such stocks by full market capitalization, the top 25 by free-float market capitalization and three-month average daily trading volume are included in the Index. Since the Fund's inception on January 20, 2022, the MVIS US Listed Oil Services 25 Index returned 19.24%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Oil Services Bull 2X Shares returned 34.13%, while the model indicated an expected return of 34.81%.
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 Semi-Annual Period, the Indxx Global Robotics & Artificial Intelligence Thematic Index returned -36.70%. 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 -62.64%, while the model indicated an expected return of -62.18%.
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 Semi-Annual Period, the S&P Oil & Gas Exploration & Production Select Industry Index returned 25.32%. 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
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Exp. & Prod. Bull 2X Shares returned 43.86%, while the model indicated an expected return of 45.16%. The Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares returned -50.10%, while the model indicated an expected return of -49.81%.
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. For the Semi-Annual Period, the ICE FANG 20 Index returned -45.19%. 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 -73.75%, while the model indicated an expected return of -73.49%.
The Direxion Daily Software Bull 2X Shares seeks to provide 200% of the daily return of the S&P North American Expanded Technology Software Index. The S&P North American Expanded Technology Software Index measures the performance of the constituents of the S&P North American Technology Software Index (the "Underlying Index") as well as certain eligible supplemental stocks. The Underlying Index measures the performance of U.S. and Canadian stocks that are classified in the application software, systems software and home entertainment software sub-industries of the Global Industry Classification Standard (GICS) information technology sector. At its quarterly rebalances, the Index is weighted by float-adjusted market capitalization, subject to the following diversification requirements: (1) the weight of a single component cannot exceed 8.5%, and (2) the aggregate weight of the Index components with a weight greater than 4.5% cannot exceed 45%. Since the Fund's inception on December 16, 2021, the S&P North American Expanded Technology Software Index returned -25.28%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Software Bull 2X Shares returned -47.40%, while the model indicated an expected return of -47.10%.
The Direxion Daily TIPS Bull 2X Shares and the Direxion Daily TIPS Bear 2X Shares seek to provide 200% and -200%, respectively, of the daily return of the Solactive TIPS ETF Index. The Solactive TIPS ETF Index provides exposure to the iShares TIPS Bond ETF, which seeks to track the investment results of an index composed of inflation-protected U.S Treasury bonds, commonly known as "TIPS." TIPS are securities issued by the U.S. Treasury that are designed to provide inflation protection to investors. Since the Funds' inception on April 7, 2022, the Solactive TIPS ETF Index returned -0.41%. 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 TIPS Bull 2X Shares returned -0.96%, while the model indicated an expected return of -0.84%. The Direxion Daily TIPS Bear 2X Shares returned 0.72%, while the model indicated an expected return of 0.76%.
The Direxion Daily Travel & Vacation Bull 2X Shares seeks to provide 200% of the daily return of the BlueStar® Travel and Vacation Index. The BlueStar® Travel and Vacation Index is provided by MV Index Solutions GmbH and is comprised of US listed stocks, including depository receipts, of companies that are "Travel and Vacation" companies, as defined by the Index Provider. To be eligible for inclusion in the Index, a company must either (a) derive 25% or more of its revenue from, or devote 25% or more of its annual budget to, operating theme parks and/or hotels or (b) derive 50% or more of its revenue from, or devote 50% or more of its annual budget to the following activities: 1. Hotel accommodations; 2. Commercial airlines; 3. Casino resorts; 4. Hotel time shares; 5. Ski resorts; 6. Cruises; 7. Hotel real estate investment trusts; 8. Performing arts centers; 9. Online travel and event booking; 10. Specialty travel and experiences (such as outer space passenger travel), and 11. Operation of theme parks. For the Semi-Annual Period, the BlueStar® Travel and Vacation Index returned -8.37%. 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 -22.71%, while the model indicated an expected return of -22.01%.
DIREXION SEMI-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. For the Semi-Annual Period, the Indxx US Infrastructure Index returned -3.33%. 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 US Infrastructure Bull 2X Shares returned -8.81%, while the model indicated an expected return of -8.26%.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
|
|
||||||
Patrick Rudnick |
Corey Nolter |
||||||
Principal Executive Officer |
Principal Financial Officer |
DIREXION SEMI-ANNUAL REPORT
11
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.
The views of this letter were those of the Adviser as of April 30, 2022 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 SEMI-ANNUAL REPORT
12
Expense Example (Unaudited)
April 30, 2022
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 (November 1, 2021 to April 30, 2022).
Actual Expenses
The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2021 to April 30, 2022" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period November 1, 2021 to April 30, 2022* |
||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
|||||||||||||||||||
Based on actual fund return |
0.73 |
% |
$ |
1,000.00 |
$ |
1,221.60 |
$ |
4.02 |
|||||||||||
Based on hypothetical 5% return |
0.73 |
% |
1,000.00 |
1,021.17 |
3.66 |
||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
|||||||||||||||||||
Based on actual fund return |
0.45 |
% |
1,000.00 |
1,084.00 |
2.33 |
||||||||||||||
Based on hypothetical 5% return |
0.45 |
% |
1,000.00 |
1,022.56 |
2.26 |
||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.89 |
% |
1,000.00 |
595.30 |
3.52 |
||||||||||||||
Based on hypothetical 5% return |
0.89 |
% |
1,000.00 |
1,020.38 |
4.46 |
DIREXION SEMI-ANNUAL REPORT
13
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period November 1, 2021 to April 30, 2022* |
||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.87 |
% |
$ |
1,000.00 |
$ |
301.40 |
$ |
2.81 |
|||||||||||
Based on hypothetical 5% return |
0.87 |
% |
1,000.00 |
1,020.48 |
4.36 |
||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.60 |
% |
1,000.00 |
793.90 |
2.67 |
||||||||||||||
Based on hypothetical 5% return |
0.60 |
% |
1,000.00 |
1,021.82 |
3.01 |
||||||||||||||
Direxion Daily S&P 500 Equal Weight Bull 2X Shares2 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
870.80 |
2.46 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,011.21 |
2.64 |
||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.93 |
% |
1,000.00 |
1,377.30 |
5.48 |
||||||||||||||
Based on hypothetical 5% return |
0.93 |
% |
1,000.00 |
1,020.18 |
4.66 |
||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.91 |
% |
1,000.00 |
875.90 |
4.23 |
||||||||||||||
Based on hypothetical 5% return |
0.91 |
% |
1,000.00 |
1,020.28 |
4.56 |
||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
774.00 |
4.18 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
328.20 |
3.13 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.97 |
% |
1,000.00 |
2,154.60 |
7.59 |
||||||||||||||
Based on hypothetical 5% return |
0.97 |
% |
1,000.00 |
1,019.98 |
4.86 |
||||||||||||||
Direxion Daily Energy Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.94 |
% |
1,000.00 |
1,705.60 |
6.31 |
||||||||||||||
Based on hypothetical 5% return |
0.94 |
% |
1,000.00 |
1,020.13 |
4.71 |
||||||||||||||
Direxion Daily Energy Bear 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
488.60 |
3.51 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Fintech Bull 2X Shares2 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
710.00 |
2.25 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,011.21 |
2.64 |
||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares ETF |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
526.40 |
3.63 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.88 |
% |
1,000.00 |
1,185.20 |
4.77 |
||||||||||||||
Based on hypothetical 5% return |
0.88 |
% |
1,000.00 |
1,020.43 |
4.41 |
||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
679.10 |
3.96 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.85 |
% |
1,000.00 |
946.20 |
4.10 |
||||||||||||||
Based on hypothetical 5% return |
0.85 |
% |
1,000.00 |
1,020.58 |
4.26 |
DIREXION SEMI-ANNUAL REPORT
14
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period November 1, 2021 to April 30, 2022* |
||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.92 |
% |
$ |
1,000.00 |
$ |
802.70 |
$ |
4.11 |
|||||||||||
Based on hypothetical 5% return |
0.92 |
% |
1,000.00 |
1,020.23 |
4.61 |
||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares1 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,740.40 |
4.85 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,015.09 |
3.57 |
||||||||||||||
Direxion Daily Oil Services Bull 2X Shares2 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,341.30 |
3.08 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,011.21 |
2.64 |
||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
373.60 |
3.24 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,438.60 |
5.74 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
499.00 |
3.53 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
262.50 |
2.97 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Software Bull 2X Shares1 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
526.00 |
2.70 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,015.09 |
3.57 |
||||||||||||||
Direxion Daily TIPS Bull 2X Shares3 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
990.40 |
0.62 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,002.66 |
0.63 |
||||||||||||||
Direxion Daily TIPS Bear 2X Shares3 |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,007.20 |
0.63 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,002.66 |
0.63 |
||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
772.90 |
4.18 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
911.90 |
4.50 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2021 to April 30, 2022), 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 December 16, 2021 (commencement of operations) to April 30, 2022, multiplied by 136 days (the number of days since commencement of operations to April 30, 2022), 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 January 20, 2022 (commencement of operations) to April 30, 2022, multiplied by 101 days (the number of days since commencement of operations to April 30, 2022), 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 April 7, 2022 (commencement of operations) to April 30, 2022, multiplied by 24 days (the number of days since commencement of operations to April 30, 2022), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
15
Allocation of Portfolio Holdings (Unaudited)
April 30, 2022
Cash* |
Common Stocks |
Investment Companies |
Swaps |
Total |
|||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
96 |
% |
— |
— |
4 |
% |
100 |
% |
|||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
98 |
% |
— |
— |
2 |
% |
100 |
% |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
126 |
% |
— |
2 |
% |
(28 |
)% |
100 |
% |
||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
66 |
% |
— |
48 |
% |
(14 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
8 |
% |
— |
100 |
% |
(8 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
36 |
% |
— |
71 |
% |
(7 |
)% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
71 |
% |
— |
23 |
% |
6 |
% |
100 |
% |
||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
68 |
% |
— |
35 |
% |
(3 |
)% |
100 |
% |
||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
30 |
% |
81 |
% |
— |
(11 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
29 |
% |
97 |
% |
— |
(26 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
80 |
% |
— |
— |
20 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
(4 |
)% |
90 |
% |
— |
14 |
% |
100 |
% |
||||||||||||||
Direxion Daily Energy Bear 2X Shares |
107 |
% |
— |
— |
(7 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
30 |
% |
85 |
% |
— |
(15 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
20 |
% |
— |
86 |
% |
(6 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
31 |
% |
— |
55 |
% |
14 |
% |
100 |
% |
||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
105 |
% |
— |
— |
(5 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
76 |
% |
— |
44 |
% |
(20 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
80 |
% |
— |
— |
20 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
29 |
% |
85 |
% |
— |
(14 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
20 |
% |
81 |
% |
— |
(1 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
75 |
% |
— |
63 |
% |
(38 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
26 |
% |
51 |
% |
— |
23 |
% |
100 |
% |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
101 |
% |
— |
— |
(1 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
18 |
% |
86 |
% |
— |
(4 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Software Bull 2X Shares |
28 |
% |
87 |
% |
— |
(15 |
)% |
100 |
% |
||||||||||||||
Direxion Daily TIPS Bull 2X Shares |
33 |
% |
— |
67 |
% |
0 |
%** |
100 |
% |
||||||||||||||
Direxion Daily TIPS Bear 2X Shares |
99 |
% |
— |
— |
1 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
23 |
% |
79 |
% |
— |
(2 |
)% |
100 |
% |
||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
38 |
% |
66 |
% |
— |
(4 |
)% |
100 |
% |
* Cash, cash equivalents and other assets less liabilities.
** Percentage is less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
16
Direxion Daily CSI 300 China A Share Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 101.8% |
|||||||||||
Money Market Funds - 101.8% |
|||||||||||
155,261,681 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
155,261,681 |
||||||||
8,126,700 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
8,126,700 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $163,388,381) (b) |
$ |
163,388,381 |
|||||||||
TOTAL INVESTMENTS (Cost $163,388,381) - 101.8% |
$ |
163,388,381 |
|||||||||
Liabilities in Excess of Other Assets - (1.8)% |
(2,843,237 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
160,545,144 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $28,085,513.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
(2.9200)% representing 1 month SOFR rate + spread |
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF |
Citibank N.A. |
12/13/2022 |
1,009,416 |
$ |
29,234,005 |
$ |
(1,039,275 |
) |
||||||||||||||||||
(1.3300)% representing 1 month SOFR rate + spread |
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF |
UBS Securities LLC |
12/13/2022 |
4,222,796 |
133,058,748 |
6,280,017 |
|||||||||||||||||||||
(2.7200)% representing 1 month SOFR rate + spread |
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF |
J.P. Morgan |
12/13/2022 |
122,882 |
4,189,566 |
457,593 |
|||||||||||||||||||||
$ |
166,482,319 |
$ |
5,698,335 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Daily S&P 500® Bear 1X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 92.5% |
|||||||||||
Money Market Funds - 92.5% |
|||||||||||
311,177,650 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
311,177,650 |
||||||||
18,474,520 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
18,474,520 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $329,652,170) (b) |
$ |
329,652,170 |
|||||||||
TOTAL INVESTMENTS (Cost $329,652,170) - 92.5% |
$ |
329,652,170 |
|||||||||
Other Assets in Excess of Liabilities - 7.5% |
26,661,321 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
356,313,491 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $57,443,533.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
Credit Suisse International |
12/7/2022 |
18,140 |
$ |
83,292,894 |
$ |
8,043,212 |
|||||||||||||||||||
0.6500% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
UBS Securities LLC |
12/14/2022 |
68,096 |
281,367,905 |
312,123 |
|||||||||||||||||||||
$ |
364,660,799 |
$ |
8,355,335 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Direxion Daily CSI 300 China A Share Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 1.9% |
|||||||||||
37,927 |
Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF (a) |
$ |
1,137,051 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,115,341) |
$ |
1,137,051 |
|||||||||
SHORT TERM INVESTMENTS - 126.3% |
|||||||||||
Money Market Funds - 126.3% |
|||||||||||
51,704,191 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
51,704,191 |
||||||||
23,729,638 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
23,729,638 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $75,433,829) |
$ |
75,433,829 |
|||||||||
TOTAL INVESTMENTS (Cost $76,549,170) - 128.2% (c) |
$ |
76,570,880 |
|||||||||
Liabilities in Excess of Other Assets - (28.2)% |
(16,828,742 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
59,742,138 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $43,147,751.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF |
(2.7200)% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
1,737,491 |
$ |
61,921,545 |
$ |
(9,063,896 |
) |
||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF |
(1.7200)% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/13/2022 |
122,882 |
4,796,538 |
(1,032,072 |
) |
||||||||||||||||||||
Total return of Deutsche Xtrackers Harvest CSI 300 China A-Shares ETF |
(1.0300)% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
2,087,191 |
69,340,406 |
(6,682,710 |
) |
||||||||||||||||||||
$ |
136,058,489 |
$ |
(16,778,678 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion Daily CSI China Internet Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 47.9% |
|||||||||||
5,738,917 |
KraneShares CSI China Internet ETF (a) |
$ |
162,239,184 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $164,925,040) |
$ |
162,239,184 |
|||||||||
SHORT TERM INVESTMENTS - 70.2% |
|||||||||||
Money Market Funds - 70.2% |
|||||||||||
163,232,755 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
163,232,755 |
||||||||
19,440,103 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (b) |
19,440,103 |
|||||||||
55,478,400 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
55,478,400 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $238,151,258) |
$ |
238,151,258 |
|||||||||
TOTAL INVESTMENTS (Cost $403,076,298) - 118.1% (c) |
$ |
400,390,442 |
|||||||||
Liabilities in Excess of Other Assets - (18.1)% |
(61,382,528 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
339,007,914 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $186,945,820.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 KraneShares CSI China Internet ETF |
0.6700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
3,979,856 |
$ |
123,335,737 |
$ |
(10,925,898 |
) |
||||||||||||||||||
Total return of KraneShares CSI China Internet ETF |
0.9300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
3,027,892 |
101,322,291 |
(15,902,840 |
) |
||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF |
1.0200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
5,665,757 |
184,698,560 |
(24,849,327 |
) |
||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF |
0.8300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
2/23/2023 |
2,591,333 |
66,452,369 |
6,765,003 |
|||||||||||||||||||||
Total return of KraneShares CSI China Internet ETF |
0.8300% representing 1 month SOFR rate + spread |
Goldman Sachs |
4/25/2023 |
2,980,318 |
85,996,046 |
(1,779,629 |
) |
||||||||||||||||||||
$ |
561,805,003 |
$ |
(46,692,691 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily S&P 500® Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 99.8% |
|||||||||||
121,514 |
iShares Core S&P 500 ETF (a) |
$ |
50,253,330 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $43,993,195) |
$ |
50,253,330 |
|||||||||
SHORT TERM INVESTMENTS - 9.2% |
|||||||||||
Money Market Funds - 9.2% |
|||||||||||
2,984,535 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
2,984,535 |
||||||||
1,657,733 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
1,657,733 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,642,268) |
$ |
4,642,268 |
|||||||||
TOTAL INVESTMENTS (Cost $48,635,463) - 109.0% (c) |
$ |
54,895,598 |
|||||||||
Liabilities in Excess of Other Assets - (9.0)% |
(4,551,946 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
50,343,652 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $21,646,023.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P 500® Index |
0.7800% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
4,588 |
$ |
21,166,781 |
$ |
(2,154,719 |
) |
||||||||||||||||||
Total return of S&P 500® Index |
0.5300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
200 |
942,404 |
(112,749 |
) |
||||||||||||||||||||
Total return of S&P 500® Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
7,418 |
32,485,171 |
(1,865,724 |
) |
||||||||||||||||||||
$ |
54,594,356 |
$ |
(4,133,192 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily S&P 500 Equal Weight Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 70.8% |
|||||||||||
20,900 |
Invesco S&P 500® Equal Weight ETF (a) |
$ |
3,081,705 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $3,289,012) |
$ |
3,081,705 |
|||||||||
SHORT TERM INVESTMENTS - 36.8% |
|||||||||||
Money Market Funds - 36.8% |
|||||||||||
1,604,273 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
1,604,273 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,604,273) |
$ |
1,604,273 |
|||||||||
TOTAL INVESTMENTS (Cost $4,893,285) - 107.6% (c) |
$ |
4,685,978 |
|||||||||
Liabilities in Excess of Other Assets - (7.6)% |
(331,821 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
4,354,157 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,250,997.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P 500® Equal Weight Index |
0.8300% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
861 |
$ |
5,444,002 |
$ |
(280,680 |
) |
||||||||||||||||||
Total return of S&P 500® Equal Weight Index |
0.8300% representing 1 month SOFR rate + spread |
Barclays |
4/3/2023 |
79 |
507,422 |
(34,693 |
) |
||||||||||||||||||||
$ |
5,951,424 |
$ |
(315,373 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily MSCI Brazil Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 22.5% |
|||||||||||
906,297 |
iShares MSCI Brazil Capped ETF (a) |
$ |
29,699,353 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $33,471,890) |
$ |
29,699,353 |
|||||||||
SHORT TERM INVESTMENTS - 86.7% |
|||||||||||
Money Market Funds - 86.7% |
|||||||||||
101,017,637 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
101,017,637 |
||||||||
6,911,423 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
6,911,423 |
|||||||||
6,501,615 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
6,501,615 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $114,430,675) |
$ |
114,430,675 |
|||||||||
TOTAL INVESTMENTS (Cost $147,902,565) - 109.2% (c) |
$ |
144,130,028 |
|||||||||
Liabilities in Excess of Other Assets - (9.2)% |
(12,092,792 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
132,037,236 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Shareholders may obtain the financial statements of these investment companies at www.sec.gov.
(b) Represents annualized seven-day yield at April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $62,493,717.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid/(Received) at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF |
1.0300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
1,945,606 |
$ |
62,356,672 |
$ |
1,270,614 |
|||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF |
0.8700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
2,173,926 |
61,218,837 |
10,180,498 |
|||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF |
0.4200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
2,397,533 |
79,221,916 |
(700,675 |
) |
||||||||||||||||||||
Total return of iShares MSCI Brazil Capped ETF |
(0.2200)% representing 1 month SOFR rate + spread |
J.P. Morgan |
5/4/2023 |
635,115 |
23,548,325 |
(2,733,309 |
) |
||||||||||||||||||||
$ |
226,345,750 |
$ |
8,017,128 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily MSCI India Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 35.0% |
|||||||||||
550,782 |
iShares MSCI India ETF (a) |
$ |
24,036,126 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $27,324,885) |
$ |
24,036,126 |
|||||||||
SHORT TERM INVESTMENTS - 69.0% |
|||||||||||
Money Market Funds - 69.0% |
|||||||||||
33,874,460 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
33,874,460 |
||||||||
1,350,077 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
1,350,077 |
|||||||||
12,192,643 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
12,192,643 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $47,417,180) |
$ |
47,417,180 |
|||||||||
TOTAL INVESTMENTS (Cost $74,742,065) - 104.0% (c) |
$ |
71,453,306 |
|||||||||
Liabilities in Excess of Other Assets - (4.0)% |
(2,707,990 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
68,745,316 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $24,579,576.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 |
0.7800% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
1,208,653 |
$ |
53,700,453 |
$ |
(1,005,240 |
) |
||||||||||||||||||
Total return of iShares MSCI India ETF |
1.0800 representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
148,459 |
6,982,772 |
(268,497 |
) |
||||||||||||||||||||
Total return of iShares MSCI India ETF |
0.8200% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
750,000 |
33,322,500 |
(625,406 |
) |
||||||||||||||||||||
Total return of iShares MSCI India ETF |
0.9300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
140,056 |
6,795,517 |
(296,140 |
) |
||||||||||||||||||||
Total return of iShares MSCI India ETF |
1.0700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
352,636 |
15,229,362 |
136,866 |
|||||||||||||||||||||
$ |
116,030,604 |
$ |
(2,058,417 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily 5G Communications Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 80.9% |
|||||||||||
Broadcasting (except Internet) - 2.1% |
|||||||||||
1,258 |
Altice USA, Inc. (a) |
$ |
11,674 |
||||||||
112 |
Charter Communications, Inc. (a) |
47,991 |
|||||||||
431 |
Rogers Communications, Inc. ADR (Canada) |
23,472 |
|||||||||
83,137 |
|||||||||||
Computer and Electronic Product Manufacturing - 36.6% |
|||||||||||
954 |
ADTRAN, Inc. |
16,590 |
|||||||||
2,347 |
Advanced Micro Devices, Inc. (a) |
200,715 |
|||||||||
1,327 |
Airgain, Inc. (a) |
11,240 |
|||||||||
1,071 |
Analog Devices, Inc. |
165,341 |
|||||||||
229 |
Apple, Inc. |
36,102 |
|||||||||
318 |
Arista Networks, Inc. (a) |
36,751 |
|||||||||
68 |
Broadcom, Inc. |
37,699 |
|||||||||
364 |
Calix, Inc. (a) |
14,527 |
|||||||||
3,868 |
Casa Systems, Inc. (a) |
18,953 |
|||||||||
7,128 |
Ceragon Networks Ltd. ADR (Israel) (a) |
13,614 |
|||||||||
700 |
Cisco Systems, Inc. |
34,286 |
|||||||||
301 |
Clearfield, Inc. (a) |
17,527 |
|||||||||
790 |
Comtech Telecommunications Corp. |
10,744 |
|||||||||
552 |
CTS Corp. |
19,524 |
|||||||||
678 |
Dell Technologies, Inc. |
31,873 |
|||||||||
1,421 |
DZS, Inc. (a) |
17,180 |
|||||||||
2,892 |
EMCORE Corp. (a) |
9,977 |
|||||||||
2,368 |
INFINERA Corp. (a) |
18,210 |
|||||||||
771 |
Intel Corp. |
33,608 |
|||||||||
321 |
InterDigital, Inc. |
18,249 |
|||||||||
592 |
Keysight Technologies, Inc. (a) |
83,040 |
|||||||||
405 |
Lattice Semiconductor Corp. (a) |
19,456 |
|||||||||
214 |
Lumentum Holdings, Inc. (a) |
17,379 |
|||||||||
256 |
MACOM Technology Solutions Holdings, Inc. (a) |
13,043 |
|||||||||
1,569 |
Marvell Technology, Inc. |
91,128 |
|||||||||
269 |
MaxLinear, Inc. (a) |
12,877 |
|||||||||
1,298 |
NeoPhotonics Corp. (a) |
19,652 |
|||||||||
125 |
NVIDIA Corp. |
23,184 |
|||||||||
607 |
NXP Semiconductors N.V. ADR (Netherlands) |
103,736 |
|||||||||
248 |
Qorvo, Inc. (a) |
28,217 |
|||||||||
1,094 |
Qualcomm, Inc. |
152,821 |
|||||||||
647 |
Radware Ltd. ADR (Israel) (a) |
18,705 |
|||||||||
1,227 |
Sierra Wireless, Inc. ADR (Canada) (a) |
19,276 |
|||||||||
415 |
Silicom Ltd. ADR (Israel) (a) |
14,600 |
|||||||||
373 |
Skyworks Solutions, Inc. |
42,261 |
|||||||||
1,238 |
Viavi Solutions, Inc. (a) |
17,753 |
|||||||||
1,439,838 |
|||||||||||
Data Processing, Hosting and Related Services - 0.6% |
|||||||||||
364 |
CSG Systems International, Inc. |
22,375 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% |
|||||||||||
116 |
IPG Photonics Corp. (a) |
10,960 |
|||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.4% |
|||||||||||
459 |
CEVA, Inc. (a) |
16,680 |
|||||||||
Machinery Manufacturing - 0.5% |
|||||||||||
298 |
II-VI, Inc. (a) |
18,241 |
Shares |
Fair Value |
||||||||||
Management of Companies and Enterprises - 0.8% |
|||||||||||
6,764 |
Telefonica S A ADR (Spain) (b) |
$ |
32,332 |
||||||||
Miscellaneous Store Retailers - 2.8% |
|||||||||||
2,371 |
Verizon Communications, Inc. |
109,777 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 0.6% |
|||||||||||
697 |
Corning, Inc. |
24,528 |
|||||||||
Nonstore Retailers - 0.7% |
|||||||||||
11 |
Amazon.com, Inc. (a) |
27,342 |
|||||||||
Professional, Scientific, and Technical Services - 8.2% |
|||||||||||
1,320 |
A10 Networks, Inc. |
18,849 |
|||||||||
1,646 |
Allot Ltd. ADR (Israel) (a) |
9,366 |
|||||||||
700 |
Amdocs Ltd. ADR (Guernsey) |
55,783 |
|||||||||
845 |
Ciena Corp. (a) |
46,619 |
|||||||||
1,448 |
Extreme Networks, Inc. (a) |
13,901 |
|||||||||
298 |
F5 Networks, Inc. (a) |
49,888 |
|||||||||
3,141 |
Inseego Corp. (a) |
8,952 |
|||||||||
953 |
Juniper Networks, Inc. |
30,038 |
|||||||||
635 |
NetScout Systems, Inc. (a) |
19,558 |
|||||||||
3,514 |
Ribbon Communications, Inc. (a) |
12,123 |
|||||||||
71 |
Ubiquiti, Inc. |
20,040 |
|||||||||
348 |
VMware, Inc. |
37,598 |
|||||||||
322,715 |
|||||||||||
Publishing Industries (except Internet) - 5.2% |
|||||||||||
970 |
Akamai Technologies, Inc. (a) |
108,912 |
|||||||||
2,819 |
Akoustis Technologies, Inc. (a) |
12,516 |
|||||||||
2,562 |
Hewlett Packard Enterprise Co. |
39,480 |
|||||||||
6,789 |
Limelight Networks, Inc. (a) |
24,237 |
|||||||||
591 |
National Instruments Corp. |
21,359 |
|||||||||
206,504 |
|||||||||||
Real Estate - 5.5% |
|||||||||||
434 |
American Tower Corp. |
104,603 |
|||||||||
352 |
Crown Castle International Corp. |
65,194 |
|||||||||
197 |
Digital Realty Trust, Inc. |
28,785 |
|||||||||
1,484 |
Uniti Group, Inc. |
18,387 |
|||||||||
216,969 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.6% |
|||||||||||
1,800 |
CommScope Holding Co., Inc. (a) |
10,854 |
|||||||||
368 |
GDS Holdings Ltd. ADR (China) (a) |
11,563 |
|||||||||
22,417 |
|||||||||||
Telecommunications - 16.0% |
|||||||||||
5,168 |
AT&T, Inc. |
97,468 |
|||||||||
1,002 |
BCE, Inc. ADR (Canada) |
53,276 |
|||||||||
763 |
Cambium Networks Corp. ADR (a) |
11,651 |
|||||||||
80 |
Equinix, Inc. |
57,526 |
|||||||||
8,656 |
Ericsson ADR (Sweden) |
68,902 |
|||||||||
1,489 |
IHS Holding Ltd. ADR (a)(b) |
15,635 |
|||||||||
1,525 |
KT Corp. ADR (South Korea) (a) |
21,243 |
|||||||||
1,651 |
Lumen Technologies, Inc. |
16,609 |
|||||||||
15,030 |
Nokia Corp. ADR (Finland) |
75,751 |
|||||||||
2,266 |
Orange ADR (France) |
26,626 |
|||||||||
99 |
SBA Communications Corp. |
34,364 |
|||||||||
448 |
SK Telecom Co., Ltd. ADR (South Korea) |
11,209 |
|||||||||
794 |
T-Mobile US, Inc. (a) |
97,773 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily 5G Communications Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Telecommunications (continued) |
|||||||||||
2,915 |
Vodafone Group PLC ADR (United Kingdom) |
$ |
44,279 |
||||||||
632,312 |
|||||||||||
TOTAL COMMON STOCKS (Cost $3,626,303) |
$ |
3,186,127 |
|||||||||
SHORT TERM INVESTMENTS - 33.4% |
|||||||||||
Money Market Funds - 33.4% |
|||||||||||
987,567 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
987,567 |
||||||||
327,136 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
327,136 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,314,703) |
$ |
1,314,703 |
|||||||||
TOTAL INVESTMENTS (Cost $4,941,006) - 114.3% (e) |
$ |
4,500,830 |
|||||||||
Liabilities in Excess of Other Assets - (14.3)% |
(562,437 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,938,393 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,317,602.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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® 5G Communications Index |
0.8300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
23,248 |
$ |
4,546,295 |
$ |
(393,266 |
) |
||||||||||||||||||
Total return of BlueStar® 5G Communications Index |
0.8700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
3,027 |
587,629 |
(43,912 |
) |
||||||||||||||||||||
$ |
5,133,924 |
$ |
(437,178 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily Cloud Computing Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 97.3% |
|||||||||||
Administrative and Support Services - 1.0% |
|||||||||||
794 |
Alarm.com, Inc. (a) |
$ |
48,498 |
||||||||
998 |
nCino, Inc. (a) |
37,415 |
|||||||||
85,913 |
|||||||||||
Computer and Electronic Product Manufacturing - 0.2% |
|||||||||||
672 |
Radware Ltd. ADR (Israel) (a) |
19,427 |
|||||||||
Data Processing, Hosting and Related Services - 2.7% |
|||||||||||
1,131 |
Five9, Inc. (a) |
124,523 |
|||||||||
1,375 |
RingCentral, Inc. (a) |
116,669 |
|||||||||
241,192 |
|||||||||||
Heavy and Civil Engineering Construction - 0.7% |
|||||||||||
898 |
BlackLine, Inc. (a) |
60,211 |
|||||||||
Professional, Scientific, and Technical Services - 28.3% |
|||||||||||
1,226 |
2U, Inc. (a) |
12,235 |
|||||||||
2,218 |
Anaplan, Inc. (a) |
144,148 |
|||||||||
744 |
DigitalOcean Holdings, Inc. (a) |
29,336 |
|||||||||
1,122 |
Freshworks, Inc. (a) |
20,387 |
|||||||||
1,118 |
LivePerson, Inc. (a) |
25,289 |
|||||||||
1,035 |
Mimecast Ltd. ADR (United Kingdom) (a) |
82,469 |
|||||||||
540 |
Model N, Inc. (a) |
13,954 |
|||||||||
3,623 |
Nutanix, Inc. (a) |
90,684 |
|||||||||
663 |
Paylocity Holding Corp. (a) |
125,725 |
|||||||||
670 |
PROS Holdings, Inc. (a) |
18,713 |
|||||||||
4,509 |
SAP SE ADR (Germany) |
454,507 |
|||||||||
863 |
ServiceNow, Inc. (a) |
412,600 |
|||||||||
2,203 |
Snowflake, Inc. (a) |
377,682 |
|||||||||
1,081 |
Unisys Corp. (a) |
15,361 |
|||||||||
2,410 |
VIMEO, Inc. (a) |
24,558 |
|||||||||
3,435 |
VMware, Inc. |
371,117 |
|||||||||
1,361 |
Zscaler, Inc. (a) |
275,929 |
|||||||||
2,494,694 |
|||||||||||
Publishing Industries (except Internet) - 60.0% |
|||||||||||
1,887 |
ACI Worldwide, Inc. (a) |
52,119 |
|||||||||
1,160 |
Adobe Systems, Inc. (a) |
459,302 |
|||||||||
2,621 |
Akamai Technologies, Inc. (a) |
294,286 |
|||||||||
298 |
AppFolio, Inc. (a) |
30,950 |
|||||||||
2,353 |
Autodesk, Inc. (a) |
445,376 |
|||||||||
1,591 |
Bill.com Holdings, Inc. (a) |
271,600 |
|||||||||
719 |
Blackbaud, Inc. (a) |
41,709 |
|||||||||
2,303 |
Box, Inc. (a) |
70,518 |
|||||||||
1,301 |
C3.ai, Inc. (a) |
22,104 |
|||||||||
603 |
Clearwater Analytics Holdings, Inc. Class A (a) |
10,577 |
|||||||||
1,239 |
Coupa Software, Inc. (a) |
106,926 |
|||||||||
2,245 |
CrowdStrike Holdings, Inc. (a) |
446,216 |
|||||||||
3,229 |
DocuSign, Inc. (a) |
261,549 |
|||||||||
4,539 |
Dropbox, Inc. (a) |
98,723 |
|||||||||
559 |
Enfusion, Inc. (a) |
7,139 |
|||||||||
646 |
Everbridge, Inc. (a) |
27,843 |
|||||||||
1,790 |
Informatica, Inc. (a)(b) |
34,833 |
|||||||||
155 |
MicroStrategy, Inc. Class A (a)(b) |
54,896 |
|||||||||
6,098 |
Oracle Corp. |
447,593 |
|||||||||
846 |
Paycom Software, Inc. (a) |
238,124 |
|||||||||
783 |
Paycor HCM, Inc. (a) |
19,285 |
|||||||||
580 |
Qualys, Inc. (a) |
79,042 |
Shares |
Fair Value |
||||||||||
Publishing Industries (except Internet) (continued) |
|||||||||||
2,344 |
Salesforce.com, Inc. (a) |
$ |
412,403 |
||||||||
594 |
SPS Commerce, Inc. (a) |
71,060 |
|||||||||
5,550 |
Tuya, Inc. (a) |
13,764 |
|||||||||
2,810 |
Twilio, Inc. (a) |
314,214 |
|||||||||
441 |
Upland Software, Inc. (a) |
6,580 |
|||||||||
2,298 |
Veeva Systems, Inc. (a) |
418,121 |
|||||||||
881 |
VTEX (a) |
4,661 |
|||||||||
2,079 |
Workday, Inc. (a) |
429,729 |
|||||||||
721 |
Workiva, Inc. (a) |
69,584 |
|||||||||
1,959 |
Zuora, Inc. (a) |
23,841 |
|||||||||
5,284,667 |
|||||||||||
Telecommunications - 4.4% |
|||||||||||
1,908 |
8x8 Inc. (a) |
17,496 |
|||||||||
376 |
Bandwidth Inc. (a) |
8,317 |
|||||||||
3,668 |
Zoom Video Communications, Inc. (a) |
365,223 |
|||||||||
391,036 |
|||||||||||
TOTAL COMMON STOCKS (Cost $11,496,170) |
$ |
8,577,140 |
|||||||||
SHORT TERM INVESTMENTS - 30.9% |
|||||||||||
Money Market Funds - 30.9% |
|||||||||||
595,102 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
595,102 |
||||||||
1 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
1 |
|||||||||
2,127,303 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
2,127,303 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,722,406) |
$ |
2,722,406 |
|||||||||
TOTAL INVESTMENTS (Cost $14,218,576) - 128.2% (e) |
$ |
11,299,546 |
|||||||||
Liabilities in Excess of Other Assets - (28.2)% |
(2,486,408 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
8,813,138 |
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 April 30, 2022.
(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 $10,081,703.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily Cloud Computing Bull 2X Shares
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2022
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 Indxx USA Cloud Computing Index |
0.6800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
3,743 |
$ |
4,395,255 |
$ |
(1,322,552 |
) |
||||||||||||||||||
Total return of Indxx USA Cloud Computing Index |
0.4300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
7,255 |
6,933,022 |
(964,446 |
) |
||||||||||||||||||||
$ |
11,328,277 |
$ |
(2,286,998 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily Cloud Computing Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 107.8% |
|||||||||||
Money Market Funds - 107.8% |
|||||||||||
10,538,925 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
10,538,925 |
||||||||
13 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
13 |
|||||||||
10,018,248 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
10,018,248 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $20,557,186) (b) |
$ |
20,557,186 |
|||||||||
TOTAL INVESTMENTS (Cost $20,557,186) - 107.8% |
$ |
20,557,186 |
|||||||||
Liabilities in Excess of Other Assets - (7.8)% |
(1,490,727 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
19,066,459 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,018,261.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.4800% representing 1 month SOFR rate + spread |
Total return of Indxx USA Cloud Computing Index |
Citibank N.A. |
12/13/2022 |
10,781 |
$ |
12,659,697 |
$ |
3,799,585 |
|||||||||||||||||||
0.1300% representing 1 month SOFR rate + spread |
Total return of Indxx USA Cloud Computing Index |
Bank of America Merrill Lynch |
12/13/2022 |
35,565 |
29,338,609 |
75,367 |
|||||||||||||||||||||
$ |
41,998,306 |
$ |
3,874,952 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily Energy Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 90.0% |
|||||||||||
Gasoline Stations - 18.9% |
|||||||||||
756,920 |
Chevron Corp. |
$ |
118,586,656 |
||||||||
Machinery Manufacturing - 2.0% |
|||||||||||
393,128 |
Baker Hughes Co. |
12,194,831 |
|||||||||
Oil and Gas Extraction - 17.0% |
|||||||||||
157,692 |
APA Corp. |
6,454,333 |
|||||||||
353,162 |
Coterra Energy, Inc. |
10,167,534 |
|||||||||
273,300 |
Devon Energy Corp. |
15,897,861 |
|||||||||
229,742 |
EOG Resources, Inc. |
26,824,676 |
|||||||||
337,947 |
Marathon Oil Corp. |
8,421,639 |
|||||||||
385,143 |
Occidental Petroleum Corp. |
21,217,528 |
|||||||||
203,085 |
Phillips 66 |
17,619,655 |
|||||||||
106,603,226 |
|||||||||||
Petroleum and Coal Products Manufacturing - 31.7% |
|||||||||||
261,112 |
ConocoPhillips |
24,941,418 |
|||||||||
1,546,588 |
Exxon Mobil Corp. |
131,846,627 |
|||||||||
251,332 |
Marathon Petroleum Corp. |
21,931,231 |
|||||||||
177,465 |
Valero Energy Corp. |
19,783,798 |
|||||||||
198,503,074 |
|||||||||||
Pipeline Transportation - 2.9% |
|||||||||||
527,408 |
Williams Companies, Inc. |
18,084,820 |
|||||||||
Support Activities for Mining - 13.1% |
|||||||||||
73,929 |
Diamondback Energy, Inc. |
9,332,058 |
|||||||||
390,051 |
Halliburton Co. |
13,893,617 |
|||||||||
119,658 |
Hess Corp. |
12,333,150 |
|||||||||
98,556 |
Pioneer Natural Resources Co. |
22,911,313 |
|||||||||
609,186 |
Schlumberger Ltd. ADR (Curaco) (a) |
23,764,346 |
|||||||||
82,234,484 |
|||||||||||
Utilities - 4.4% |
|||||||||||
846,479 |
Kinder Morgan, Inc. |
15,363,594 |
|||||||||
193,567 |
ONEOK, Inc. |
12,258,598 |
|||||||||
27,622,192 |
|||||||||||
TOTAL COMMON STOCKS (Cost $473,323,766) |
$ |
563,829,283 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 16.5% |
|||||||||||
Money Market Funds - 16.5% |
|||||||||||
89,856,696 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
89,856,696 |
||||||||
13,264,340 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
13,264,340 |
|||||||||
323,922 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
323,922 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $103,444,958) |
$ |
103,444,958 |
|||||||||
TOTAL INVESTMENTS (Cost $576,768,724) - 106.5% (c) |
$ |
667,274,241 |
|||||||||
Liabilities in Excess of Other Assets - (6.5)% |
(40,851,601 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
626,422,640 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $264,109,913.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
151,523 |
$ |
113,368,913 |
$ |
6,629,642 |
|||||||||||||||||||
Total return of Energy Select Sector Index |
0.7800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
180,000 |
142,088,400 |
2,828 |
|||||||||||||||||||||
Total return of Energy Select Sector Index |
0.9200% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
123,867 |
71,958,056 |
26,708,832 |
|||||||||||||||||||||
Total return of Energy Select Sector Index |
0.7700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
234,731 |
134,850,724 |
51,989,993 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily Energy Bull 2X Shares
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2022
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 |
0.9600% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
182,748 |
$ |
144,257,616 |
$ |
2,892 |
|||||||||||||||||||
$ |
606,523,709 |
$ |
85,334,187 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily Energy Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 103.9% |
|||||||||||
Money Market Funds - 103.9% |
|||||||||||
37,687,087 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
37,687,087 |
||||||||
2,140,434 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
2,140,434 |
|||||||||
5,978,874 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
5,978,874 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $45,806,395) (b) |
$ |
45,806,395 |
|||||||||
TOTAL INVESTMENTS (Cost $45,806,395) - 103.9% |
$ |
45,806,395 |
|||||||||
Liabilities in Excess of Other Assets - (3.9)% |
(1,723,730 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
44,082,665 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $19,868,860.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
0.2800% representing 1 month SOFR rate + spread |
Total return of Energy Select Sector Index |
J.P. Morgan |
8/12/2022 |
27,795 |
$ |
22,338,797 |
$ |
388,725 |
|||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of Energy Select Sector Index |
Credit Suisse International |
12/7/2022 |
9,650 |
5,605,974 |
(2,088,459 |
) |
||||||||||||||||||||
0.4800% representing 1 month SOFR rate + spread |
Total return of Energy Select Sector Index |
Barclays |
12/7/2022 |
6,891 |
4,348,733 |
(1,140,081 |
) |
||||||||||||||||||||
0.3200% representing 1 month SOFR rate + spread |
Total return of Energy Select Sector Index |
BNP Paribas |
12/7/2022 |
19,659 |
16,581,580 |
1,052,759 |
|||||||||||||||||||||
0.6000% representing 1 month SOFR rate + spread |
Total return of Energy Select Sector Index |
UBS Securities LLC |
12/14/2022 |
47,700 |
36,380,312 |
(1,377,794 |
) |
||||||||||||||||||||
$ |
85,255,396 |
$ |
(3,164,850 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion Daily Fintech Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 84.7% |
|||||||||||
Administrative and Support Services - 11.6% |
|||||||||||
481 |
Envestnet, Inc. (a) |
$ |
38,307 |
||||||||
985 |
Evertec, Inc. |
38,809 |
|||||||||
187 |
FleetCor Technologies, Inc. (a) |
46,660 |
|||||||||
1,040 |
nCino, Inc. (a) |
38,990 |
|||||||||
525 |
Upstart Holdings, Inc. (a) |
39,385 |
|||||||||
1,460 |
Visa, Inc. Class A |
311,170 |
|||||||||
513,321 |
|||||||||||
Amusement, Gambling, and Recreation Industries - 2.2% |
|||||||||||
718 |
Global Payments, Inc. |
98,352 |
|||||||||
Credit Intermediation and Related Activities - 24.3% |
|||||||||||
1,201 |
Affirm Holdings, Inc. (a) |
34,469 |
|||||||||
1,702 |
American Express Co. |
297,356 |
|||||||||
724 |
Discover Financial Services |
81,421 |
|||||||||
282 |
Euronet Worldwide, Inc. (a) |
34,305 |
|||||||||
1,559 |
Fidelity National Information Services, Inc. |
154,575 |
|||||||||
2,931 |
LendingClub Corp. (a) |
44,698 |
|||||||||
867 |
MasterCard, Inc. Class A |
315,050 |
|||||||||
822 |
Meta Financial Group, Inc. |
35,880 |
|||||||||
1,296 |
Synchrony Financial |
47,706 |
|||||||||
1,993 |
Western Union Co. |
33,403 |
|||||||||
1,078,863 |
|||||||||||
Data Processing, Hosting and Related Services - 5.2% |
|||||||||||
1,547 |
Fiserv, Inc. (a) |
151,482 |
|||||||||
2,615 |
Pagseguro Digital Ltd. ADR (Brazil) (a) |
38,467 |
|||||||||
233 |
WEX, Inc. (a) |
38,734 |
|||||||||
228,683 |
|||||||||||
Diversified Financials - 1.8% |
|||||||||||
380 |
Coinbase Global, Inc. (a) |
42,830 |
|||||||||
3,784 |
Robinhood Markets, Inc (a) |
37,102 |
|||||||||
79,932 |
|||||||||||
Heavy and Civil Engineering Construction - 0.9% |
|||||||||||
596 |
BlackLine, Inc. (a) |
39,962 |
|||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.7% |
|||||||||||
2,045 |
Marathon Digital Holdings, Inc. (a) |
31,902 |
|||||||||
Management of Companies and Enterprises - 4.7% |
|||||||||||
1,031 |
Capital One Financial Corp. |
128,483 |
|||||||||
7,412 |
Lufax Holding Ltd. ADR (China) |
41,137 |
|||||||||
4,133 |
StoneCo Ltd. ADR (a) |
38,933 |
|||||||||
208,553 |
|||||||||||
Professional, Scientific, and Technical Services - 3.3% |
|||||||||||
678 |
Alliance Data Systems Corp. |
37,154 |
|||||||||
194 |
Jack Henry & Associates, Inc. |
36,779 |
|||||||||
3,087 |
Riot Blockchain, Inc. (a) |
31,302 |
|||||||||
743 |
Shift4 Payments, Inc. (a) |
38,978 |
|||||||||
144,213 |
|||||||||||
Publishing Industries (except Internet) - 16.3% |
|||||||||||
1,384 |
ACI Worldwide, Inc. (a) |
38,226 |
|||||||||
466 |
Avalara, Inc. (a) |
35,449 |
|||||||||
246 |
Bill.com Holdings, Inc. (a) |
41,995 |
|||||||||
587 |
Black Knight, Inc. (a) |
38,619 |
Shares |
Fair Value |
||||||||||
Publishing Industries (except Internet) (continued) |
|||||||||||
1,319 |
Block, Inc. (a) |
$ |
131,293 |
||||||||
696 |
Bottomline Technology, Inc. (a) |
39,407 |
|||||||||
679 |
Intuit, Inc. |
284,331 |
|||||||||
745 |
Q2 Holdings, Inc. (a) |
38,539 |
|||||||||
574 |
SS&C Technologies Holdings, Inc. |
37,115 |
|||||||||
2,715 |
Vertex, Inc. (a) |
38,634 |
|||||||||
723,608 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.6% |
|||||||||||
13,258 |
Paysafe Ltd. ADR (Douglas, Isle of Man) (a) |
36,857 |
|||||||||
1,900 |
Assetmark Financial Holdings, Inc. (a) |
36,537 |
|||||||||
73,394 |
|||||||||||
Software & Services - 5.1% |
|||||||||||
1,556 |
Dlocal Ltd. ADR (Uruguay) (a) |
35,274 |
|||||||||
1,299 |
Flywire Corp. (a) |
39,632 |
|||||||||
638 |
Nuvei Corp. ADR (Canada) (a) |
35,671 |
|||||||||
2,185 |
Paymentus Holdings, Inc. (a) |
36,184 |
|||||||||
3,892 |
Remitly Global, Inc. (a) |
43,201 |
|||||||||
2,055 |
Toast, Inc. (a) |
38,285 |
|||||||||
228,247 |
|||||||||||
Telecommunications - 7.0% |
|||||||||||
3,535 |
PayPal Holdings, Inc. (a) |
310,832 |
|||||||||
TOTAL COMMON STOCKS (Cost $4,300,953) |
$ |
3,759,862 |
|||||||||
SHORT TERM INVESTMENTS - 32.2% |
|||||||||||
Money Market Funds - 32.2% |
|||||||||||
1,427,707 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
1,427,707 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,427,707) |
$ |
1,427,707 |
|||||||||
TOTAL INVESTMENTS (Cost $5,728,660) - 116.9% (c) |
$ |
5,187,569 |
|||||||||
Liabilities in Excess of Other Assets - (16.9)% |
(749,513 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
4,438,056 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,410,580.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion Daily Fintech Bull 2X Shares
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2022
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 Indxx US Fintech and Decentralized Finance Index |
0.9300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
54 |
$ |
123,515 |
$ |
(13,543 |
) |
||||||||||||||||||
Total return of Indxx US Fintech and Decentralized Finance Index |
0.9800% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
2,461 |
5,674,068 |
(663,163 |
) |
||||||||||||||||||||
$ |
5,797,583 |
$ |
(676,706 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion Daily Global Clean Energy Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 86.4% |
|||||||||||
254,097 |
iShares Global Clean Energy ETF (a) |
$ |
4,787,187 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $5,963,444) |
$ |
4,787,187 |
|||||||||
SHORT TERM INVESTMENTS - 19.9% |
|||||||||||
Money Market Funds - 19.9% |
|||||||||||
224,837 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
224,837 |
||||||||
875,174 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
875,174 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,100,011) |
$ |
1,100,011 |
|||||||||
TOTAL INVESTMENTS (Cost $7,063,455) - 106.3% (c) |
$ |
5,887,198 |
|||||||||
Liabilities in Excess of Other Assets - (6.3)% |
(349,364 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
5,537,834 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $3,061,613.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 The S&P Global Clean Energy Index |
0.7300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
9/27/2022 |
165,132 |
$ |
3,391,193 |
$ |
(278,745 |
) |
||||||||||||||||||
Total return of The S&P Global Clean Energy Index |
0.9300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
168,656 |
3,206,707 |
(34,789 |
) |
||||||||||||||||||||
$ |
6,597,900 |
$ |
(313,534 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion Daily Gold Miners Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 55.1% |
|||||||||||
9,107,910 |
VanEck VectorsTM Gold Miners ETF (a) |
$ |
318,685,771 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $318,759,818) |
$ |
318,685,771 |
|||||||||
SHORT TERM INVESTMENTS - 47.4% |
|||||||||||
Money Market Funds - 47.4% |
|||||||||||
214,618,829 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
214,618,829 |
||||||||
59,511,416 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
59,511,416 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $274,130,245) |
$ |
274,130,245 |
|||||||||
TOTAL INVESTMENTS (Cost $592,890,063) - 102.5% (c) |
$ |
592,816,016 |
|||||||||
Liabilities in Excess of Other Assets - (2.5)% |
(14,053,074 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
578,762,942 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $295,182,330.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 VanEck Vectors® Gold Miners ETF |
1.4100% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
2,985,801 |
$ |
94,681,798 |
$ |
9,815,196 |
|||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
7,597,739 |
249,129,862 |
16,060,683 |
|||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF |
1.0300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
1,684,474 |
58,564,847 |
268,211 |
|||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF |
1.1300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
6,071,180 |
186,263,802 |
28,943,430 |
|||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF |
1.4700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
3,454,438 |
105,626,634 |
16,161,213 |
|||||||||||||||||||||
Total return of VanEck Vectors® Gold Miners ETF |
1.1300% representing 1 month SOFR rate + spread |
J.P. Morgan |
2/10/2023 |
2,180,084 |
66,871,211 |
9,221,797 |
|||||||||||||||||||||
$ |
761,138,154 |
$ |
80,470,530 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Daily Gold Miners Index Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 119.5% |
|||||||||||
Money Market Funds - 119.5% |
|||||||||||
59,069,762 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
59,069,762 |
||||||||
42,213,791 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
42,213,791 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $101,283,553) (b) |
$ |
101,283,553 |
|||||||||
TOTAL INVESTMENTS (Cost $101,283,553) - 119.5% |
$ |
101,283,553 |
|||||||||
Liabilities in Excess of Other Assets - (19.5)% |
(16,526,860 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
84,756,693 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $50,789,801.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
0.2300% representing 1 month SOFR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
J.P. Morgan |
5/16/2022 |
875,112 |
$ |
27,557,277 |
$ |
(3,523,627 |
) |
||||||||||||||||||
0.9100% representing 1 month SOFR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
Credit Suisse International |
12/7/2022 |
852,384 |
33,676,171 |
1,963,359 |
|||||||||||||||||||||
0.6600% representing 1 month SOFR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
BNP Paribas |
12/7/2022 |
271,984 |
8,117,335 |
(1,537,843 |
) |
||||||||||||||||||||
0.5100% representing 1 month SOFR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
Citibank N.A. |
12/13/2022 |
1,621,009 |
60,934,112 |
4,229,609 |
|||||||||||||||||||||
0.9300% representing 1 month SOFR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
Bank of America Merrill Lynch |
12/13/2022 |
727,243 |
22,269,577 |
(3,247,596 |
) |
||||||||||||||||||||
0.8700% representing 1 month SOFR rate + spread |
Total return of VanEck Vectors® Gold Miners ETF |
UBS Securities LLC |
12/14/2022 |
496,836 |
15,343,810 |
(2,081,142 |
) |
||||||||||||||||||||
$ |
167,898,282 |
$ |
(4,197,240 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Daily Junior Gold Miners Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 43.5% |
|||||||||||
3,719,098 |
VanEck VectorsTM Junior Gold Miners ETF (a) |
$ |
159,735,259 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $169,193,593) |
$ |
159,735,259 |
|||||||||
SHORT TERM INVESTMENTS - 79.3% |
|||||||||||
Money Market Funds - 79.3% |
|||||||||||
191,613,339 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
191,613,339 |
||||||||
100,018,946 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
100,018,946 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $291,632,285) |
$ |
291,632,285 |
|||||||||
TOTAL INVESTMENTS (Cost $460,825,878) - 122.8% (c) |
$ |
451,367,544 |
|||||||||
Liabilities in Excess of Other Assets - (22.8)% |
(83,820,144 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
367,547,400 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $235,470,870.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
6/14/2022 |
3,445,394 |
$ |
182,950,421 |
$ |
(33,329,359 |
) |
||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
11/15/2022 |
89,100 |
4,265,217 |
(390,131 |
) |
||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.0800% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
1,052,157 |
50,777,097 |
(5,638,944 |
) |
||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.4300% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
1,383,283 |
55,801,498 |
3,321,939 |
|||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.0500% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
4,970,883 |
253,392,236 |
(39,988,791 |
) |
||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.2700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
1,506,953 |
62,415,359 |
2,965,828 |
|||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
1/18/2023 |
381,149 |
15,860,321 |
460,723 |
|||||||||||||||||||||
Total return of VanEck VectorsTM Junior Gold Miners ETF |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
3/15/2023 |
567,138 |
24,618,712 |
(305,337 |
) |
||||||||||||||||||||
$ |
650,080,861 |
$ |
(72,904,072 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Daily Junior Gold Miners Index Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 99.6% |
|||||||||||
Money Market Funds - 99.6% |
|||||||||||
52,935,524 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
52,935,524 |
||||||||
25,610,433 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
25,610,433 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $78,545,957) (b) |
$ |
78,545,957 |
|||||||||
TOTAL INVESTMENTS (Cost $78,545,957) - 99.6% |
$ |
78,545,957 |
|||||||||
Other Assets in Excess of Liabilities - 0.4% |
337,355 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
78,883,312 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $34,529,044.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
0.6600% representing 1 month SOFR rate + spread |
Total return of VanEck VectorsTM Junior Gold Miners ETF |
BNP Paribas |
6/14/2022 |
573,422 |
$ |
30,448,708 |
$ |
5,166,529 |
|||||||||||||||||||
0.9100% representing 1 month SOFR rate + spread |
Total return of VanEck VectorsTM Junior Gold Miners ETF |
Credit Suisse International |
12/7/2022 |
341,583 |
14,256,306 |
(411,709 |
) |
||||||||||||||||||||
0.5600% representing 1 month SOFR rate + spread |
Total return of VanEck VectorsTM Junior Gold Miners ETF |
Citibank N.A. |
12/13/2022 |
2,300,379 |
108,739,747 |
9,974,483 |
|||||||||||||||||||||
0.8500% representing 1 month SOFR rate + spread |
Total return of VanEck VectorsTM Junior Gold Miners ETF |
UBS Securities LLC |
12/13/2022 |
327,370 |
14,762,258 |
597,264 |
|||||||||||||||||||||
0.6600% representing 1 month SOFR rate + spread |
Total return of VanEck VectorsTM Junior Gold Miners ETF |
BNP Paribas |
4/19/2023 |
130,550 |
6,218,158 |
616,371 |
|||||||||||||||||||||
$ |
174,425,177 |
$ |
15,942,938 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Daily Metal Miners Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 85.2% |
|||||||||||
Fabricated Metal Product Manufacturing - 5.3% |
|||||||||||
2,197 |
Materion Corp. |
$ |
187,074 |
||||||||
6,979 |
Nucor Corp. |
1,080,210 |
|||||||||
1,267,284 |
|||||||||||
Merchant Wholesalers, Durable Goods - 1.8% |
|||||||||||
3,811 |
Ryerson Holding, Corp. |
140,283 |
|||||||||
6,411 |
Schnitzer Steel Industries, Inc. |
292,534 |
|||||||||
432,817 |
|||||||||||
Mining (except Oil and Gas) - 28.8% |
|||||||||||
4,401 |
Alpha Metallurgical Resources, Inc. (a) |
681,011 |
|||||||||
6,171 |
Arch Resources, Inc. |
1,026,731 |
|||||||||
146,860 |
Coeur Mining, Inc. (a) |
533,102 |
|||||||||
8,250 |
CONSOL Energy Inc. (a) |
392,288 |
|||||||||
20,116 |
Freeport-McMoRan Copper & Gold, Inc. |
815,704 |
|||||||||
12,278 |
Newmont Mining Corp. |
894,452 |
|||||||||
41,009 |
Peabody Energy Corp. (a) |
928,444 |
|||||||||
6,882 |
Royal Gold, Inc. |
897,963 |
|||||||||
167,997 |
Uranium Energy Corp. (a) |
713,987 |
|||||||||
6,883,682 |
|||||||||||
Primary Metal Manufacturing - 34.9% |
|||||||||||
11,944 |
Alcoa Corp. |
809,803 |
|||||||||
35,624 |
Allegheny Technologies, Inc. (a) |
968,260 |
|||||||||
28,533 |
Arconic Corp. (a) |
717,890 |
|||||||||
10,034 |
Carpenter Technology Corp. |
383,098 |
|||||||||
25,079 |
Century Aluminum Co. (a) |
423,083 |
|||||||||
23,351 |
Commercial Metals Co. |
957,391 |
|||||||||
1,331 |
Haynes International Inc. |
52,015 |
|||||||||
3,533 |
Kaiser Aluminum Corp. |
340,935 |
|||||||||
5,014 |
Reliance Steel & Aluminum Co. |
994,026 |
|||||||||
13,088 |
Steel Dynamics, Inc. |
1,122,296 |
|||||||||
16,057 |
SunCoke Energy Inc. |
133,594 |
|||||||||
14,688 |
TimkenSteel Corp. (a) |
303,601 |
|||||||||
28,316 |
United States Steel Corp. |
863,355 |
|||||||||
6,139 |
Worthington Industries, Inc. |
292,032 |
|||||||||
8,361,379 |
|||||||||||
Real Estate - 3.4% |
|||||||||||
21,590 |
MP Materials Corp. (a) |
821,284 |
Shares |
Fair Value |
||||||||||
Support Activities for Mining - 11.0% |
|||||||||||
36,507 |
Cleveland-Cliffs Inc. (a) |
$ |
930,563 |
||||||||
8,950 |
Compass Minerals International, Inc. |
529,214 |
|||||||||
137,615 |
Hecla Mining Co. |
716,974 |
|||||||||
6,922 |
Piedmont Lithium, Inc. (a) |
452,768 |
|||||||||
2,629,519 |
|||||||||||
TOTAL COMMON STOCKS (Cost $20,817,677) |
$ |
20,395,965 |
|||||||||
SHORT TERM INVESTMENTS - 29.7% |
|||||||||||
Money Market Funds - 29.7% |
|||||||||||
4,196,099 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
4,196,099 |
||||||||
2,910,000 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
2,910,000 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,106,099) |
$ |
7,106,099 |
|||||||||
TOTAL INVESTMENTS (Cost $27,923,776) - 114.9% (c) |
$ |
27,502,064 |
|||||||||
Liabilities in Excess of Other Assets - (14.9)% |
(3,569,743 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
23,932,321 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $10,887,915.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P Metals & Mining Select Industry Index |
0.9700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
6,289 |
$ |
20,075,219 |
$ |
(2,016,228 |
) |
||||||||||||||||||
Total return of S&P Metals & Mining Select Industry Index |
0.6800% representing 1 month SOFR rate + spread |
J.P. Morgan |
5/5/2023 |
3,278 |
10,715,069 |
(1,303,981 |
) |
||||||||||||||||||||
$ |
30,790,288 |
$ |
(3,320,209 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion Daily Oil Services Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 81.1% |
|||||||||||
Machinery Manufacturing - 18.4% |
|||||||||||
33,619 |
Baker Hughes Co. |
$ |
1,042,862 |
||||||||
11,225 |
Cactus, Inc. |
560,464 |
|||||||||
6,387 |
Dril-Quip, Inc. (a) |
184,457 |
|||||||||
33,916 |
NOV, Inc. |
614,897 |
|||||||||
11,267 |
Oil States International, Inc (a) |
76,165 |
|||||||||
86,497 |
TechnipFMC PLC ADR (United Kingdom) (a) |
598,559 |
|||||||||
3,077,404 |
|||||||||||
Management of Companies and Enterprises - 1.8% |
|||||||||||
19,363 |
Expro Group Holdings N.V. ADR (Netherlands) (a) |
295,867 |
|||||||||
Merchant Wholesalers, Durable Goods - 5.5% |
|||||||||||
26,200 |
ChampionX Corp. |
552,820 |
|||||||||
36,215 |
RPC, Inc. (a) |
374,463 |
|||||||||
927,283 |
|||||||||||
Mining (except Oil and Gas) - 1.8% |
|||||||||||
15,990 |
U.S. Silica Holdings, Inc. (a) |
297,094 |
|||||||||
Primary Metal Manufacturing - 4.9% |
|||||||||||
2,475 |
DMC Global, Inc. (a) |
49,475 |
|||||||||
25,871 |
Tenaris S.A. ADR (Luxembourg) |
780,787 |
|||||||||
830,262 |
|||||||||||
Support Activities for Mining - 48.7% |
|||||||||||
7,888 |
Core Laboratories N.V. ADR (Netherlands) |
205,088 |
|||||||||
49,691 |
Halliburton Co. |
1,769,994 |
|||||||||
27,838 |
Helix Energy Solutions Group, Inc. (a) |
114,414 |
|||||||||
15,546 |
Helmerich & Payne, Inc. |
715,582 |
|||||||||
24,081 |
Liberty Oilfield Services, Inc. (a) |
388,667 |
|||||||||
1,685 |
Nabors Industries Ltd. ADR (a) |
260,535 |
|||||||||
30,143 |
NexTier Oilfield Solutions, Inc. (a) |
332,477 |
|||||||||
18,949 |
Oceaneering International, Inc. (a) |
214,692 |
|||||||||
41,206 |
Patterson-UTI Energy, Inc. |
677,427 |
|||||||||
15,638 |
ProPetro Holding Corp. (a) |
221,121 |
|||||||||
67,384 |
Schlumberger Ltd. ADR (b) |
2,628,650 |
|||||||||
18,900 |
Select Energy Services, Inc. (a) |
146,664 |
Shares |
Fair Value |
||||||||||
Support Activities for Mining (continued) |
|||||||||||
131,154 |
Transocean Ltd. ADR (Switzerland) (a) |
$ |
493,139 |
||||||||
8,168,450 |
|||||||||||
TOTAL COMMON STOCKS (Cost $13,322,115) |
$ |
13,596,360 |
|||||||||
SHORT TERM INVESTMENTS - 22.0% |
|||||||||||
Money Market Funds - 22.0% |
|||||||||||
2,829,092 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
2,829,092 |
||||||||
850,506 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
850,506 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,679,598) |
$ |
3,679,598 |
|||||||||
TOTAL INVESTMENTS (Cost $17,001,713) - 103.1% (c) |
$ |
17,275,958 |
|||||||||
Liabilities in Excess of Other Assets - (3.1)% |
(512,666 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
16,763,292 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $9,711,959.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 MVIS US Listed Oil Services 25 Index |
0.8300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
21,918 |
$ |
13,698,301 |
$ |
(253,408 |
) |
||||||||||||||||||
Total return of MVIS US Listed Oil Services 25 Index |
0.9800% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
10,562 |
6,414,831 |
59,046 |
|||||||||||||||||||||
$ |
20,113,132 |
$ |
(194,362 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 62.6% |
|||||||||||
441,733 |
Global X Robotics & Artificial Intelligence ETF (a) |
$ |
10,535,332 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $11,822,163) |
$ |
10,535,332 |
|||||||||
SHORT TERM INVESTMENTS - 76.4% |
|||||||||||
Money Market Funds - 76.4% |
|||||||||||
4,014,392 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
4,014,392 |
||||||||
1,629,350 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
1,629,350 |
|||||||||
7,208,670 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
7,208,670 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,852,412) |
$ |
12,852,412 |
|||||||||
TOTAL INVESTMENTS (Cost $24,674,575) - 139.0% (c) |
$ |
23,387,744 |
|||||||||
Liabilities in Excess of Other Assets - (39.0)% |
(6,568,627 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
16,819,117 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $14,003,181.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Indxx Global Robotics and Artificial Intelligence Thematic Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
6/13/2022 |
294,096 |
$ |
8,391,131 |
$ |
(1,384,162 |
) |
||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index |
1.2800% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
225,516 |
8,055,431 |
(2,713,067 |
) |
||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index |
1.0300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
178,090 |
4,956,072 |
(752,533 |
) |
||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index |
0.9300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
88,348 |
2,807,622 |
(706,316 |
) |
||||||||||||||||||||
Total return of Indxx Global Robotics and Artificial Intelligence Thematic Index |
1.0700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
182,638 |
5,155,859 |
(806,937 |
) |
||||||||||||||||||||
$ |
29,366,115 |
$ |
(6,363,015 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 51.2% |
|||||||||||
Chemical Manufacturing - 1.0% |
|||||||||||
124,789 |
Aemetis, Inc. (a)(b) |
$ |
1,139,324 |
||||||||
283,011 |
Alto Ingredients, Inc. (a) |
1,632,973 |
|||||||||
1,657,318 |
Gevo, Inc. (a)(b) |
6,148,650 |
|||||||||
8,920,947 |
|||||||||||
Gasoline Stations - 1.5% |
|||||||||||
58,253 |
Chevron Corp. |
9,126,497 |
|||||||||
167,229 |
Delek US Holdings, Inc. (a) |
4,046,942 |
|||||||||
13,173,439 |
|||||||||||
Machinery Manufacturing - 1.2% |
|||||||||||
361,610 |
Range Resources Corp. (a) |
10,826,604 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.1% |
|||||||||||
5,413 |
REX American Resources Corp. (a) |
458,102 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 0.2% |
|||||||||||
80,953 |
World Fuel Services Corp. |
1,960,682 |
|||||||||
Mining (except Oil and Gas) - 1.3% |
|||||||||||
543,695 |
CNX Resources Corp. (a) |
11,172,932 |
|||||||||
Oil and Gas Extraction - 28.7% |
|||||||||||
373,269 |
Antero Resources Corp. (a) |
13,139,069 |
|||||||||
254,929 |
APA Corp. |
10,434,244 |
|||||||||
60,415 |
Berry Petroleum Corp. |
662,753 |
|||||||||
52,218 |
Brigham Minerals Inc. |
1,293,962 |
|||||||||
1,242,829 |
Centennial Resource Development, Inc. (a) |
9,619,496 |
|||||||||
615,760 |
Clean Energy Fuels Corp. (a) |
3,608,354 |
|||||||||
580,253 |
Comstock Resources Inc. (a) |
9,881,709 |
|||||||||
170,840 |
Continental Resources, Inc. |
9,493,579 |
|||||||||
388,412 |
Coterra Energy, Inc. |
11,182,381 |
|||||||||
45,889 |
Crescent Energy Co. (b) |
720,916 |
|||||||||
169,768 |
Devon Energy Corp. |
9,875,405 |
|||||||||
86,058 |
EOG Resources, Inc. |
10,048,132 |
|||||||||
368,707 |
EQT Corp. |
14,656,103 |
|||||||||
199,764 |
Green Plains, Inc. (a) |
5,607,375 |
|||||||||
1,360,418 |
Kosmos Energy Ltd. (a) |
9,196,426 |
|||||||||
309,720 |
Magnolia Oil & Gas Corp. |
7,197,893 |
|||||||||
429,653 |
Marathon Oil Corp. |
10,706,953 |
|||||||||
186,881 |
Matador Resources Co. |
9,123,530 |
|||||||||
270,297 |
Murphy Oil Corp. |
10,292,910 |
|||||||||
47,901 |
Oasis Petroleum, Inc. |
6,354,547 |
|||||||||
171,790 |
Occidental Petroleum Corp. |
9,463,911 |
|||||||||
216,744 |
Ovintiv, Inc. |
11,095,125 |
|||||||||
102,702 |
Par Pacific Holdings, Inc. (a) |
1,506,638 |
|||||||||
148,916 |
PDC Energy, Inc. |
10,385,402 |
|||||||||
123,249 |
Phillips 66 |
10,693,083 |
|||||||||
53,913 |
Ranger Oil Corp. (a) |
1,717,129 |
|||||||||
100,781 |
Renewable Energy Group, Inc. (a) |
6,153,688 |
|||||||||
261,835 |
SM Energy Co. |
9,302,998 |
|||||||||
1,796,946 |
Southwestern Energy Co. (a) |
13,477,095 |
|||||||||
174,377 |
Talos Energy, Inc. (a) |
3,168,430 |
|||||||||
1,761,328 |
Tellurian, Inc. (a) |
8,771,413 |
|||||||||
410,522 |
W&T Offshore, Inc. (a) |
1,954,085 |
|||||||||
79,348 |
Whiting Petroleum Corp. |
5,796,371 |
|||||||||
256,581,105 |
Shares |
Fair Value |
||||||||||
Petroleum and Coal Products Manufacturing - 8.6% |
|||||||||||
101,161 |
ConocoPhillips |
$ |
9,662,899 |
||||||||
93,596 |
CVR Energy, Inc. |
2,346,452 |
|||||||||
117,230 |
Exxon Mobil Corp. |
9,993,857 |
|||||||||
279,011 |
HF Sinclair Corp. (a) |
10,607,998 |
|||||||||
136,349 |
Laredo Petroleum, Inc. (a) |
9,709,412 |
|||||||||
126,799 |
Marathon Petroleum Corp. |
11,064,481 |
|||||||||
393,789 |
PBF Energy, Inc. (a) |
11,443,508 |
|||||||||
108,597 |
Valero Energy Corp. |
12,106,394 |
|||||||||
76,935,001 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.7% |
|||||||||||
4,833 |
Texas Pacific Land Corp. |
6,604,778 |
|||||||||
Support Activities for Mining - 7.6% |
|||||||||||
152,003 |
California Resources Corp. |
6,112,041 |
|||||||||
169,594 |
Callon Petroleum Co. (a)(b) |
8,695,084 |
|||||||||
167,339 |
Civitas Resources, Inc. |
9,809,412 |
|||||||||
113,423 |
Denbury, Inc. (a) |
7,256,804 |
|||||||||
76,770 |
Diamondback Energy, Inc. |
9,690,677 |
|||||||||
12,069 |
Gulfport Energy Corp. (a) |
1,134,245 |
|||||||||
105,221 |
Hess Corp. |
10,845,128 |
|||||||||
182,838 |
Northern Oil and Gas, Inc. |
4,567,293 |
|||||||||
42,823 |
Pioneer Natural Resources Co. |
9,955,063 |
|||||||||
68,065,747 |
|||||||||||
Utilities - 0.3% |
|||||||||||
102,668 |
Archaea Energy, Inc. (a) |
2,258,696 |
|||||||||
TOTAL COMMON STOCKS (Cost $405,766,301) |
$ |
456,958,033 |
|||||||||
SHORT TERM INVESTMENTS - 56.3% |
|||||||||||
Money Market Funds - 56.3% |
|||||||||||
366,049,500 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
366,049,500 |
||||||||
137,139,583 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
137,139,583 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $503,189,083) |
$ |
503,189,083 |
|||||||||
TOTAL INVESTMENTS (Cost $908,955,384) - 107.5% (e) |
$ |
960,147,116 |
|||||||||
Liabilities in Excess of Other Assets - (7.5)% |
(66,775,353 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
893,371,763 |
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.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
(c) Represents annualized seven-day yield at April 30, 2022.
(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 $454,369,009.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
0.5300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
50,448 |
$ |
275,010,652 |
$ |
(19,747,081 |
) |
||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
0.9300% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
51,855 |
194,438,620 |
68,838,975 |
|||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
0.8200% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
61,000 |
221,919,830 |
87,717,778 |
|||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
0.5600% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
36,541 |
141,155,634 |
44,497,931 |
|||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
0.6800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
30,069 |
164,705,353 |
(12,585,118 |
) |
||||||||||||||||||||
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
1.0500% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
32,873 |
126,105,759 |
40,658,113 |
|||||||||||||||||||||
$ |
1,123,335,848 |
$ |
209,380,598 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 120.3% |
|||||||||||
Money Market Funds - 120.3% |
|||||||||||
58,409,157 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
58,409,157 |
||||||||
61,377,132 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
61,377,132 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $119,786,289) (b) |
$ |
119,786,289 |
|||||||||
TOTAL INVESTMENTS (Cost $119,786,289) - 120.3% |
$ |
119,786,289 |
|||||||||
Liabilities in Excess of Other Assets - (20.3)% |
(20,189,327 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
99,596,962 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $71,144,428.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received/ (Paid) at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
(0.1200)% representing 1 month SOFR rate + spread |
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
J.P. Morgan |
12/6/2022 |
4,893 |
$ |
24,282,863 |
$ |
(487,102 |
) |
||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
Credit Suisse International |
12/7/2022 |
1,357 |
5,088,289 |
(1,808,628 |
) |
||||||||||||||||||||
0.2300% representing 1 month SOFR rate + spread |
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
Citibank N.A. |
12/13/2022 |
17,976 |
93,425,766 |
2,443,442 |
|||||||||||||||||||||
0.4800% representing 1 month SOFR rate + spread |
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
Bank of America Merrill Lynch |
12/13/2022 |
6,245 |
32,191,955 |
579,099 |
|||||||||||||||||||||
0.6000% representing 1 month SOFR rate + spread |
Total return of S&P Oil & Gas Exploration & Production Select Industry Index |
UBS Securities LLC |
12/14/2022 |
8,893 |
42,967,123 |
(2,170,680 |
) |
||||||||||||||||||||
$ |
197,955,996 |
$ |
(1,443,869 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Daily Select Large Caps & FANGs Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 85.9% |
|||||||||||
Administrative and Support Services - 12.3% |
|||||||||||
1,438 |
Atlassian Corp. PLC ADR (United Kingdom) (a) |
$ |
323,306 |
||||||||
3,704 |
Cloudflare, Inc. (a) |
319,063 |
|||||||||
10,267 |
Roblox Corp. (a) |
314,683 |
|||||||||
957,052 |
|||||||||||
Computer and Electronic Product Manufacturing - 13.1% |
|||||||||||
4,001 |
Advanced Micro Devices, Inc. (a) |
342,165 |
|||||||||
2,180 |
Apple, Inc. |
343,677 |
|||||||||
1,807 |
NVIDIA Corp. |
335,144 |
|||||||||
1,020,986 |
|||||||||||
Motion Picture and Sound Recording Industries - 4.0% |
|||||||||||
1,636 |
Netflix, Inc. (a) |
311,429 |
|||||||||
Nonstore Retailers - 3.9% |
|||||||||||
122 |
Amazon.com, Inc. (a) |
303,247 |
|||||||||
Other Information Services - 4.3% |
|||||||||||
147 |
Alphabet, Inc. Class A (a) |
335,482 |
|||||||||
Professional, Scientific, and Technical Services - 18.1% |
|||||||||||
1,915 |
Meta Platforms, Inc. (a) |
383,900 |
|||||||||
11,850 |
Snap, Inc. (a) |
337,251 |
|||||||||
2,029 |
Snowflake, Inc. (a) |
347,852 |
|||||||||
1,708 |
Zscaler, Inc. (a) |
346,280 |
|||||||||
1,415,283 |
|||||||||||
Publishing Industries (except Internet) - 22.0% |
|||||||||||
1,715 |
CrowdStrike Holdings, Inc. (a) |
340,873 |
|||||||||
2,979 |
Datadog, Inc. (a) |
359,804 |
|||||||||
796 |
Intuit, Inc. (a) |
333,325 |
|||||||||
1,287 |
Microsoft Corp. |
357,168 |
|||||||||
767 |
Shopify, Inc. ADR (Canada) (a) |
327,371 |
|||||||||
1,718,541 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.3% |
|||||||||||
18,454 |
Lucid Group, Inc. (a) |
333,648 |
Shares |
Fair Value |
||||||||||
Transportation Equipment Manufacturing - 3.9% |
|||||||||||
351 |
Tesla Motors, Inc. (a) |
$ |
305,637 |
||||||||
TOTAL COMMON STOCKS (Cost $7,887,058) |
$ |
6,701,305 |
|||||||||
SHORT TERM INVESTMENTS - 23.0% |
|||||||||||
Money Market Funds - 23.0% |
|||||||||||
1,378,910 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
1,378,910 |
||||||||
260,000 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
260,000 |
|||||||||
160,014 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
160,014 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,798,924) |
$ |
1,798,924 |
|||||||||
TOTAL INVESTMENTS (Cost $9,685,982) - 108.9% (c) |
$ |
8,500,229 |
|||||||||
Liabilities in Excess of Other Assets - (8.9)% |
(693,456 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
7,806,773 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,704,069.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 ICE FANG 20 Index |
0.8700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
29,172 |
$ |
7,837,349 |
$ |
(2,880 |
) |
||||||||||||||||||
Total return of ICE FANG 20 Index |
0.9300% representing 1 month SOFR rate + spread |
Barclays |
4/3/2023 |
4,016 |
1,350,030 |
(272,141 |
) |
||||||||||||||||||||
$ |
9,187,379 |
$ |
(275,021 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Daily Software Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 86.5% |
|||||||||||
Administrative and Support Services - 0.7% |
|||||||||||
69 |
Alarm.com, Inc. (a) |
$ |
4,215 |
||||||||
82 |
Envestnet, Inc. (a) |
6,530 |
|||||||||
85 |
nCino, Inc. (a) |
3,187 |
|||||||||
197 |
SentinelOne, Inc. (a) |
6,554 |
|||||||||
65 |
Sprout Social, Inc. (a) |
3,983 |
|||||||||
24,469 |
|||||||||||
Computer and Electronic Product Manufacturing - 2.7% |
|||||||||||
126 |
Avaya Holdings Corp. (a) |
1,165 |
|||||||||
758 |
BlackBerry, Ltd. ADR (Canada) (a) |
4,336 |
|||||||||
97 |
Dolby Laboratories, Inc. |
7,515 |
|||||||||
197 |
Fortinet, Inc. (a) |
56,935 |
|||||||||
44 |
InterDigital, Inc. |
2,501 |
|||||||||
354 |
Mandiant, Inc. (a) |
7,781 |
|||||||||
160 |
Teradata Corp. (a) |
6,616 |
|||||||||
152 |
Xperi Holdings, Corp. |
2,371 |
|||||||||
89,220 |
|||||||||||
Data Processing, Hosting and Related Services - 1.1% |
|||||||||||
170 |
CDK Global, Inc. |
9,250 |
|||||||||
100 |
Five9, Inc. (a) |
11,010 |
|||||||||
58 |
Pegasystems, Inc. |
4,442 |
|||||||||
120 |
RingCentral, Inc. (a) |
10,182 |
|||||||||
170 |
Yext, Inc. (a) |
984 |
|||||||||
35,868 |
|||||||||||
Electronics and Appliance Stores - 0.5% |
|||||||||||
184 |
Smartsheet, Inc. (a) |
8,893 |
|||||||||
391 |
UiPath, Inc. (a) |
6,971 |
|||||||||
15,864 |
|||||||||||
Food Services and Drinking Places - 0.4% |
|||||||||||
93 |
Manhattan Associates, Inc. (a) |
12,141 |
|||||||||
Heavy and Civil Engineering Construction - 0.2% |
|||||||||||
79 |
BlackLine, Inc. (a) |
5,297 |
|||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.1% |
|||||||||||
152 |
Marathon Digital Holdings, Inc. (a) |
2,371 |
|||||||||
Machinery Manufacturing - 0.2% |
|||||||||||
197 |
NCR Corp. (a) |
6,901 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.2% |
|||||||||||
89 |
New Relic, Inc. (a) |
5,631 |
|||||||||
Motion Picture and Sound Recording Industries - 0.6% |
|||||||||||
170 |
Take-Two Interactive Software, Inc. (a) |
20,317 |
|||||||||
Performing Arts, Spectator Sports, and Related Industries - 4.1% |
|||||||||||
1,142 |
Activision Blizzard, Inc. |
86,335 |
|||||||||
413 |
Electronic Arts, Inc. |
48,755 |
|||||||||
135,090 |
|||||||||||
Printing and Related Support Activities - 0.0% (†) |
|||||||||||
113 |
BTRS Holdings, Inc. (a) |
760 |
|||||||||
Professional, Scientific, and Technical Services - 15.6% |
|||||||||||
89 |
Alteryx, Inc. (a) |
5,714 |
|||||||||
216 |
Anaplan, Inc. (a) |
14,038 |
|||||||||
122 |
Asana, Inc. (a) |
3,270 |
Shares |
Fair Value |
||||||||||
Professional, Scientific, and Technical Services (continued) |
|||||||||||
97 |
Aspen Technology, Inc. (a) |
$ |
15,378 |
||||||||
17 |
CS Disco, Inc. (a) |
522 |
|||||||||
130 |
Digital Turbine, Inc. (a) |
4,114 |
|||||||||
18 |
Docebo, Inc. ADR (Canada) (a) |
772 |
|||||||||
104 |
Elastic NV ADR (Netherlands) (a) |
7,919 |
|||||||||
82 |
Jamf Holding Corp. (a) |
2,526 |
|||||||||
97 |
LivePerson, Inc. (a) |
2,194 |
|||||||||
90 |
Mimecast Ltd. ADR (United Kingdom) (a) |
7,171 |
|||||||||
190 |
Momentive Global, Inc. (a) |
3,006 |
|||||||||
314 |
Nutanix, Inc. (a) |
7,859 |
|||||||||
398 |
Open Text Corp. ADR (Canada) |
15,940 |
|||||||||
2,347 |
Palantir Technologies, Inc. (a) |
24,409 |
|||||||||
144 |
Palto Alto Networks, Inc. (a) |
80,824 |
|||||||||
57 |
Paylocity Holding Corp. (a) |
10,809 |
|||||||||
58 |
PROS Holdings, Inc. (a) |
1,620 |
|||||||||
141 |
Qualtrics International, Inc. (a) |
2,614 |
|||||||||
149 |
Riot Blockchain, Inc. (a) |
1,511 |
|||||||||
293 |
ServiceNow, Inc. (a) |
140,083 |
|||||||||
1,586 |
Snap, Inc. (a) |
45,138 |
|||||||||
131 |
Sumo Logic, Inc. (a) |
1,229 |
|||||||||
79 |
Telos, Corp. (a) |
615 |
|||||||||
640 |
The Trade Desk, Inc. (a) |
37,709 |
|||||||||
240 |
Unity Software, Inc. (a) |
15,938 |
|||||||||
97 |
Verint Systems, Inc. (a) |
5,292 |
|||||||||
296 |
VMware, Inc. |
31,980 |
|||||||||
119 |
Zscaler, Inc. (a) |
24,126 |
|||||||||
514,320 |
|||||||||||
Publishing Industries (except Internet) - 58.7% |
|||||||||||
172 |
ACI Worldwide, Inc. (a) |
4,751 |
|||||||||
589 |
Adobe Systems, Inc. (a) |
233,214 |
|||||||||
78 |
Altair Engineering, Inc. (a) |
4,237 |
|||||||||
127 |
ANSYS, Inc. (a) |
35,013 |
|||||||||
29 |
AppFolio, Inc. (a) |
3,012 |
|||||||||
57 |
Appian, Corp. (a) |
2,725 |
|||||||||
321 |
Autodesk, Inc. (a) |
60,759 |
|||||||||
127 |
Avalara, Inc. (a) |
9,661 |
|||||||||
272 |
Bentley Systems, Inc. |
11,530 |
|||||||||
134 |
Bill.com Holdings, Inc. (a) |
22,875 |
|||||||||
227 |
Black Knight, Inc. (a) |
14,934 |
|||||||||
64 |
Blackbaud, Inc. (a) |
3,713 |
|||||||||
58 |
Bottomline Technology, Inc. (a) |
3,284 |
|||||||||
215 |
Box, Inc. (a) |
6,583 |
|||||||||
104 |
C3.ai, Inc. (a) |
1,767 |
|||||||||
408 |
Cadence Design Systems, Inc. (a) |
61,547 |
|||||||||
198 |
Ceridian HCM Holding, Inc. (a) |
11,114 |
|||||||||
183 |
Citrix Systems, Inc. |
18,318 |
|||||||||
64 |
CommVault Systems, Inc. (a) |
3,904 |
|||||||||
90 |
Confluent, Inc. (a) |
2,812 |
|||||||||
23 |
Consensus Cloud Solutions, Inc. (a) |
1,212 |
|||||||||
108 |
Coupa Software, Inc. (a) |
9,320 |
|||||||||
306 |
CrowdStrike Holdings, Inc. (a) |
60,821 |
|||||||||
377 |
Datadog, Inc. (a) |
45,534 |
|||||||||
124 |
Descartes Systems Group, Inc. ADR (Canada) (a) |
7,707 |
|||||||||
290 |
DocuSign, Inc. (a) |
23,490 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Direxion Daily Software Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Publishing Industries (except Internet) (continued) |
|||||||||||
41 |
Domo, Inc. (a) |
$ |
1,698 |
||||||||
413 |
Dropbox, Inc. (a) |
8,983 |
|||||||||
108 |
Duck Creek Technologies, Inc. (a) |
1,720 |
|||||||||
290 |
Dynatrace, Inc. (a) |
11,124 |
|||||||||
57 |
Everbridge, Inc. (a) |
2,457 |
|||||||||
37 |
Fair Isaac Corp. (a) |
13,820 |
|||||||||
123 |
Guidewire Software, Inc. (a) |
10,694 |
|||||||||
64 |
HubSpot, Inc. (a) |
24,283 |
|||||||||
416 |
Intuit, Inc. |
174,200 |
|||||||||
194 |
Lightspeed Commerce, Inc. ADR (Canada) (a) |
4,336 |
|||||||||
907 |
Microsoft Corp. |
251,711 |
|||||||||
13 |
MicroStrategy, Inc. Class A (a) |
4,604 |
|||||||||
100 |
N-able, Inc. (a) |
1,000 |
|||||||||
853 |
NortonLifeLock, Inc. |
21,359 |
|||||||||
2,313 |
Oracle Corp. |
169,774 |
|||||||||
113 |
PagerDuty, Inc. (a) |
3,228 |
|||||||||
72 |
Paycom Software, Inc. (a) |
20,266 |
|||||||||
89 |
Ping Identity Holding Corp. (a) |
2,326 |
|||||||||
65 |
Progress Software Corp. |
3,119 |
|||||||||
156 |
PTC, Inc. (a) |
17,817 |
|||||||||
82 |
Q2 Holdings, Inc. (a) |
4,242 |
|||||||||
51 |
Qualys, Inc. (a) |
6,950 |
|||||||||
85 |
Rapid7, Inc. (a) |
8,119 |
|||||||||
137 |
SailPoint Technologies Holdings, Inc. (a) |
8,745 |
|||||||||
1,293 |
Salesforce.com, Inc. (a) |
227,490 |
|||||||||
233 |
Splunk, Inc. (a) |
28,431 |
|||||||||
55 |
SPS Commerce, Inc. (a) |
6,580 |
|||||||||
323 |
SS&C Technologies Holdings, Inc. |
20,885 |
|||||||||
226 |
Synopsys, Inc. (a) |
64,814 |
|||||||||
136 |
Tenable Holdings, Inc. (a) |
7,511 |
|||||||||
62 |
Tyler Technologies, Inc. (a) |
24,472 |
|||||||||
159 |
Varonis Systems, Inc. (a) |
6,869 |
|||||||||
283 |
Workday, Inc. (a) |
58,496 |
|||||||||
65 |
Workiva, Inc. (a) |
6,273 |
|||||||||
177 |
Zendesk, Inc. (a) |
21,601 |
|||||||||
172 |
Zuora, Inc. (a) |
2,093 |
|||||||||
1,558 |
Zynga, Inc. (a) |
12,885 |
|||||||||
1,928,812 |
|||||||||||
Rental and Leasing Services - 0.1% |
|||||||||||
58 |
Cerence, Inc. (a) |
1,711 |
|||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.1% |
|||||||||||
260 |
E2open, Inc. (a) |
2,013 |
|||||||||
272 |
Matterport, Inc. (a) |
1,561 |
|||||||||
3,574 |
|||||||||||
Telecommunications - 1.2% |
|||||||||||
173 |
8x8 Inc. (a) |
1,587 |
|||||||||
370 |
Vonage Holdings Corp. (a) |
7,385 |
|||||||||
320 |
Zoom Video Communications, Inc. (a) |
31,862 |
|||||||||
40,834 |
|||||||||||
TOTAL COMMON STOCKS (Cost $3,662,196) |
$ |
2,843,180 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 29.3% |
|||||||||||
Money Market Funds - 29.3% |
|||||||||||
962,739 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
962,739 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $962,739) |
$ |
962,739 |
|||||||||
TOTAL INVESTMENTS (Cost $4,624,935) - 115.8% (c) |
$ |
3,805,919 |
|||||||||
Liabilities in Excess of Other Assets - (15.8)% |
(519,350 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
3,286,569 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(†) Less than 0.005%.
(a) Non-income producing security.
(b) Represents annualized seven-day yield at April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,984,464.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Direxion Daily Software Bull 2X Shares
Long Total Return Swap Contracts, continued (Unaudited)
April 30, 2022
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 S&P North American Expanded Technology Software Index |
0.8800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
738 |
$ |
495,472 |
$ |
(65,442 |
) |
||||||||||||||||||
Total return of S&P North American Expanded Technology Software Index |
0.9700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
5,662 |
3,713,170 |
(413,671 |
) |
||||||||||||||||||||
$ |
4,208,642 |
$ |
(479,113 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Direxion Daily TIPS Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 67.2% |
|||||||||||
41,243 |
iShares TIPS Bond ETF (a) |
$ |
4,993,290 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $5,009,684) |
$ |
4,993,290 |
|||||||||
SHORT TERM INVESTMENTS - 33.1% |
|||||||||||
Money Market Funds - 33.1% |
|||||||||||
2,457,941 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
2,457,941 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,457,941) |
$ |
2,457,941 |
|||||||||
TOTAL INVESTMENTS (Cost $7,467,625) - 100.3% |
$ |
7,451,231 |
|||||||||
Liabilities in Excess of Other Assets - (0.3)% |
(23,668 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
7,427,563 |
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 April 30, 2022.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Solactive TIPS ETF Index |
0.6300% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
81,456 |
$ |
9,877,602 |
$ |
(19,074 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Direxion Daily TIPS Bear 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 99.6% |
|||||||||||
Money Market Funds - 99.6% |
|||||||||||
6,268,308 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
6,268,308 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $6,268,308) |
$ |
6,268,308 |
|||||||||
TOTAL INVESTMENTS (Cost $6,268,308) - 99.6% |
$ |
6,268,308 |
|||||||||
Other Assets in Excess of Liabilities - 0.4% |
27,499 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
6,295,807 |
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 April 30, 2022.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.3300% representing 1 month SOFR rate + spread |
Total return of iShares TIPS Bond ETF |
UBS Securities LLC |
12/14/2022 |
104,004 |
$ |
12,623,954 |
$ |
34,104 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Direxion Daily Travel & Vacation Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 78.6% |
|||||||||||
Accommodation - 27.6% |
|||||||||||
7,465 |
Boyd Gaming Co. |
$ |
452,230 |
||||||||
9,130 |
Caesars Entertainment Inc. (a) |
605,136 |
|||||||||
3,396 |
Choice Hotels International, Inc. |
477,002 |
|||||||||
8,970 |
Hilton Grand Vacations, Inc. (a) |
420,065 |
|||||||||
11,089 |
Hilton Worldwide Holdings, Inc. (a) |
1,722,011 |
|||||||||
37,021 |
Host Hotels & Resorts, Inc. |
753,377 |
|||||||||
14,240 |
Huazhu Group Ltd. ADR |
430,618 |
|||||||||
11,783 |
InterContinental Hotels Group PLC ADR (United Kingdom) |
763,656 |
|||||||||
25,724 |
Las Vegas Sands Corp. (a) |
911,401 |
|||||||||
12,078 |
Marriott International, Inc. Class A (a) |
2,144,087 |
|||||||||
35,344 |
Melco Crown Entertainment Ltd. ADR (a) |
202,168 |
|||||||||
23,983 |
MGM Resorts International |
984,262 |
|||||||||
23,435 |
Park Hotels & Resorts, Inc. |
461,904 |
|||||||||
9,985 |
Penn National Gaming, Inc. (a) |
365,151 |
|||||||||
31,780 |
Sunstone Hotel Investors, Inc. (a) |
389,305 |
|||||||||
8,624 |
Travel + Leisure Co. |
478,460 |
|||||||||
1,932 |
Vail Resorts, Inc. |
491,037 |
|||||||||
6,638 |
Wyndham Hotels & Resorts, Inc. |
583,879 |
|||||||||
12,635,749 |
|||||||||||
Administrative and Support Services - 7.4% |
|||||||||||
851 |
Booking Holdings, Inc. (a) |
1,880,974 |
|||||||||
7,426 |
Live Nation Entertainment, Inc. (a) |
778,839 |
|||||||||
9,243 |
Six Flags Entertainment Corp. (a) |
353,729 |
|||||||||
13,872 |
TripAdvisor, Inc. (a) |
356,094 |
|||||||||
3,369,636 |
|||||||||||
Air Transportation - 15.6% |
|||||||||||
10,346 |
Alaska Air Group, Inc. (a) |
562,719 |
|||||||||
2,082 |
Allegiant Travel Co. (a) |
323,105 |
|||||||||
41,874 |
American Airlines Group, Inc. (a) |
785,975 |
|||||||||
33,729 |
Delta Air Lines, Inc. (a) |
1,451,359 |
|||||||||
30,582 |
JetBlue Airways Corp. (a) |
336,708 |
|||||||||
9,518 |
Ryanair Holdings PLC ADR (Ireland) (a) |
831,112 |
|||||||||
8,464 |
SKYWEST, Inc. (a) |
246,725 |
|||||||||
26,276 |
Southwest Airlines Co. (a) |
1,227,615 |
|||||||||
17,092 |
Spirit Airlines, Inc. (a) |
403,542 |
|||||||||
19,532 |
United Continental Holdings, Inc. (a) |
986,366 |
|||||||||
7,155,226 |
|||||||||||
Amusement, Gambling, and Recreation Industries - 4.0% |
|||||||||||
12,302 |
The Walt Disney Co. (a) |
1,373,272 |
|||||||||
6,661 |
Wynn Resorts Ltd. (a) |
469,468 |
|||||||||
1,842,740 |
|||||||||||
Data Processing, Hosting and Related Services - 3.5% |
|||||||||||
10,334 |
Airbnb, Inc. (a) |
1,583,272 |
|||||||||
Management of Companies and Enterprises - 5.0% |
|||||||||||
50,277 |
Carnival Corp. ADR (a) |
869,792 |
|||||||||
31,205 |
Norwegian Cruise Line Holdings Ltd. ADR (a) |
625,036 |
|||||||||
32,867 |
Trip.com Group Ltd. ADR (China) (a) |
777,305 |
|||||||||
2,272,133 |
Shares |
Fair Value |
||||||||||
Other Information Services - 1.1% |
|||||||||||
46,853 |
Sabre Corp. (a) |
$ |
490,551 |
||||||||
Performing Arts, Spectator Sports, and Related Industries - 1.1% |
|||||||||||
2,415 |
Churchill Downs, Inc. |
490,100 |
|||||||||
Real Estate - 8.3% |
|||||||||||
27,085 |
Apple Hospitality REIT, Inc. |
479,134 |
|||||||||
13,305 |
Gaming & Leisure Properties, Inc. |
590,476 |
|||||||||
3,379 |
Marriott Vacations Worldwide Corp. |
504,586 |
|||||||||
16,711 |
Pebblebrook Hotel Trust |
408,083 |
|||||||||
5,451 |
Ryman Hospitality Properties, Inc. (a) |
509,559 |
|||||||||
43,217 |
VICI Properties, Inc. |
1,288,313 |
|||||||||
3,780,151 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.4% |
|||||||||||
25,874 |
Virgin Galactic Holdings, Inc. (a)(b) |
193,796 |
|||||||||
Support Activities for Transportation - 2.5% |
|||||||||||
6,567 |
Expedia, Inc. (a) |
1,147,583 |
|||||||||
Water Transportation - 2.1% |
|||||||||||
12,200 |
Royal Caribbean Cruises Ltd. ADR (Liberia) (a) |
948,306 |
|||||||||
TOTAL COMMON STOCKS (Cost $38,787,070) |
$ |
35,909,243 |
|||||||||
SHORT TERM INVESTMENTS - 27.2% |
|||||||||||
Money Market Funds - 27.2% |
|||||||||||
8,177,107 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
8,177,107 |
||||||||
2 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
2 |
|||||||||
4,256,983 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
4,256,983 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $12,434,092) |
$ |
12,434,092 |
|||||||||
TOTAL INVESTMENTS (Cost $51,221,162) - 105.8% (e) |
$ |
48,343,335 |
|||||||||
Liabilities in Excess of Other Assets - (5.8)% |
(2,646,223 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
45,697,112 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Direxion Daily Travel & Vacation Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
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 April 30, 2022.
(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 $27,147,592.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
263,262 |
$ |
38,780,271 |
$ |
(418,030 |
) |
||||||||||||||||||
Total return of BlueStar® Travel and Vacation Index |
0.7800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
117,500 |
17,608,837 |
(492,844 |
) |
||||||||||||||||||||
$ |
56,389,108 |
$ |
(910,874 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Direxion Daily US Infrastructure Bull 2X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 65.6% |
|||||||||||
Administrative and Support Services - 0.7% |
|||||||||||
575 |
Mastec, Inc. (a) |
$ |
41,406 |
||||||||
Air Transportation - 0.7% |
|||||||||||
652 |
Atlas Air Worldwide Holdings, Inc. (a) |
44,949 |
|||||||||
Computer and Electronic Product Manufacturing - 0.7% |
|||||||||||
873 |
Itron, Inc. (a) |
41,712 |
|||||||||
Construction of Buildings - 1.5% |
|||||||||||
630 |
Dycom Industries, Inc. (a) |
53,493 |
|||||||||
4,459 |
Tutor Perini Corp. (a) |
41,335 |
|||||||||
94,828 |
|||||||||||
Couriers and Messengers - 1.0% |
|||||||||||
1,964 |
Air Transport Services Group, Inc. (a) |
61,473 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.1% |
|||||||||||
6,398 |
American Superconductor Corp. (a) |
34,102 |
|||||||||
1,984 |
Powell Industries, Inc. |
38,291 |
|||||||||
72,393 |
|||||||||||
Fabricated Metal Product Manufacturing - 0.9% |
|||||||||||
228 |
Valmont Industries, Inc. |
56,729 |
|||||||||
Heavy and Civil Engineering Construction - 4.6% |
|||||||||||
2,224 |
Construction Partners, Inc. (a) |
57,401 |
|||||||||
1,419 |
Granite Construction, Inc. |
42,073 |
|||||||||
3,779 |
Great Lakes Dredge & Dock Corp. (a) |
52,188 |
|||||||||
572 |
MYR Group, Inc. (a) |
45,240 |
|||||||||
2,028 |
Primoris Services Corp. |
47,009 |
|||||||||
1,938 |
Sterling Construction Co., Inc. (a) |
44,361 |
|||||||||
288,272 |
|||||||||||
Machinery Manufacturing - 1.8% |
|||||||||||
1,067 |
Arcosa, Inc. |
57,116 |
|||||||||
7,879 |
TechnipFMC PLC ADR (United Kingdom) (a) |
54,523 |
|||||||||
111,639 |
|||||||||||
Management of Companies and Enterprises - 0.8% |
|||||||||||
845 |
Brookfield Infrastructure Partners L.P. |
52,753 |
|||||||||
Professional, Scientific, and Technical Services - 6.0% |
|||||||||||
737 |
AECOM |
52,003 |
|||||||||
2,463 |
Fluor Corp. (a) |
60,959 |
|||||||||
5,875 |
Infrastructure and Energy Alternatives, Inc. (a) |
54,931 |
|||||||||
399 |
Jacobs Engineering Group, Inc. |
55,281 |
|||||||||
475 |
NV5 Global, Inc. (a) |
56,905 |
|||||||||
981 |
Stantec, Inc. ADR (Canada) |
45,018 |
|||||||||
366 |
Tetra Tech, Inc. |
50,977 |
|||||||||
376,074 |
|||||||||||
Rail Transportation - 3.9% |
|||||||||||
416 |
Canadian National Railway Co. ADR (Canada) |
48,930 |
|||||||||
684 |
Canadian Pacific Railway Ltd. ADR (Canada) |
50,082 |
Shares |
Fair Value |
||||||||||
Rail Transportation (continued) |
|||||||||||
1,497 |
CSX Corp. |
$ |
51,407 |
||||||||
185 |
Norfolk Southern Corp. |
47,708 |
|||||||||
207 |
Union Pacific Corp. |
48,498 |
|||||||||
246,625 |
|||||||||||
Real Estate - 3.2% |
|||||||||||
209 |
American Tower Corp. |
50,373 |
|||||||||
280 |
Crown Castle International Corp. |
51,859 |
|||||||||
329 |
Digital Realty Trust, Inc. |
48,073 |
|||||||||
4,212 |
Uniti Group, Inc. |
52,187 |
|||||||||
202,492 |
|||||||||||
Rental and Leasing Services - 1.5% |
|||||||||||
2,224 |
Global Ship Lease, Inc. ADR (United Kingdom) |
49,462 |
|||||||||
681 |
Ryder System, Inc. |
47,602 |
|||||||||
97,064 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.7% |
|||||||||||
10,356 |
DHT Holdings, Inc. ADR (Bermuda) |
58,201 |
|||||||||
3,433 |
Verra Mobility Corp. (a) |
48,165 |
|||||||||
106,366 |
|||||||||||
Specialty Trade Contractors - 1.0% |
|||||||||||
520 |
Quanta Services, Inc. |
60,310 |
|||||||||
Support Activities for Transportation - 3.6% |
|||||||||||
5,574 |
Daseke, Inc. (a) |
46,822 |
|||||||||
470 |
Forward Air Corp. |
45,576 |
|||||||||
658 |
Hub Group, Inc. (a) |
44,191 |
|||||||||
257 |
J.B. Hunt Transport Services, Inc. |
43,908 |
|||||||||
561 |
Matson, Inc. |
48,257 |
|||||||||
228,754 |
|||||||||||
Telecommunications - 2.5% |
|||||||||||
1,365 |
Argan, Inc. |
50,205 |
|||||||||
71 |
Equinix, Inc. |
51,054 |
|||||||||
163 |
SBA Communications Corp. |
56,579 |
|||||||||
157,838 |
|||||||||||
Transportation Equipment Manufacturing - 2.3% |
|||||||||||
3,408 |
Embraer SA ADR (Brazil) (a) |
38,749 |
|||||||||
1,353 |
The Greenbrier Companies, Inc. |
57,787 |
|||||||||
565 |
Wabtec Corp. |
50,799 |
|||||||||
147,335 |
|||||||||||
Truck Transportation - 8.0% |
|||||||||||
601 |
ArcBest Corp. |
43,368 |
|||||||||
3,248 |
Heartland Express, Inc. |
44,822 |
|||||||||
918 |
Knight-Swift Transportation Holdings, Inc. Class A |
43,963 |
|||||||||
3,175 |
Marten Transport Ltd. |
55,181 |
|||||||||
172 |
Old Dominion Freight Line, Inc. |
48,181 |
|||||||||
187 |
Saia, Inc. (a) |
38,515 |
|||||||||
1,979 |
Schneider National, Inc. |
46,764 |
|||||||||
528 |
TFI International, Inc. ADR (Canada) |
42,493 |
|||||||||
2,984 |
Universal Logistics Holdings, Inc. |
60,516 |
|||||||||
10,614 |
US Xpress Enterprises, Inc. (a) |
35,132 |
|||||||||
1,138 |
Werner Enterprises, Inc. |
45,099 |
|||||||||
504,034 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Direxion Daily US Infrastructure Bull 2X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Utilities - 6.7% |
|||||||||||
3,642 |
Algonquin Power & Utilities Corp. ADR (Canada) |
$ |
52,627 |
||||||||
567 |
American Electric Power Co., Inc. |
56,195 |
|||||||||
763 |
Black Hills Corp. |
55,882 |
|||||||||
1,761 |
MDU Resources Group, Inc. |
45,363 |
|||||||||
1,854 |
NiSource, Inc. |
53,989 |
|||||||||
1,303 |
NRG Energy, Inc. |
46,778 |
|||||||||
696 |
Ormat Technologies Inc. (b) |
54,079 |
|||||||||
748 |
Xcel Energy, Inc. |
54,799 |
|||||||||
419,712 |
|||||||||||
Water Transportation - 11.4% |
|||||||||||
3,689 |
Atlas Corp. ADR (United Kingdom) |
45,596 |
|||||||||
4,216 |
Costamare, Inc. ADR (Marshall Islands) |
56,537 |
|||||||||
654 |
Danaos Corp. ADR (Greece) |
53,458 |
|||||||||
1,263 |
Eagle Bulk Shipping, Inc. ADR (Marshall Islands) |
78,609 |
|||||||||
6,092 |
Euronav NV ADR (Belgium) |
72,068 |
|||||||||
7,854 |
Frontline Ltd. ADR (Bermuda) (a)(b) |
65,424 |
|||||||||
818 |
Kirby Corp. (a) |
53,334 |
|||||||||
4,330 |
Scorpio Tankers, Inc. ADR (Monaco) |
107,081 |
|||||||||
6,358 |
SFL Corp. Ltd. ADR (Bermuda) |
63,071 |
|||||||||
2,540 |
Star Bulk Carriers Corp. ADR (Greece) |
71,374 |
|||||||||
878 |
ZIM Integrated Shipping Services Ltd. ADR (United Kingdom) |
48,843 |
|||||||||
715,395 |
|||||||||||
TOTAL COMMON STOCKS (Cost $4,126,178) |
$ |
4,128,153 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 38.0% |
|||||||||||
Money Market Funds - 38.0% |
|||||||||||
1,403,036 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
1,403,036 |
||||||||
990,000 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
990,000 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,393,036) |
$ |
2,393,036 |
|||||||||
TOTAL INVESTMENTS (Cost $6,519,214) - 103.6% (e) |
$ |
6,521,189 |
|||||||||
Liabilities in Excess of Other Assets - (3.6)% |
(225,738 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
6,295,451 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,629,737.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Indxx US Infrastructure Index |
0.7800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
1,895 |
$ |
4,452,694 |
$ |
(111,479 |
) |
||||||||||||||||||
Total return of Indxx US Infrastructure Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
1,825 |
4,320,479 |
(130,713 |
) |
||||||||||||||||||||
$ |
8,773,173 |
$ |
(242,192 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
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) |
$ |
163,388,381 |
$ |
329,652,170 |
$ |
76,570,880 |
$ |
400,390,442 |
|||||||||||
Receivable for Fund shares sold |
1,022,587 |
18,224,831 |
— |
3,566 |
|||||||||||||||
Dividend and interest receivable |
29,163 |
58,847 |
24,782 |
45,184 |
|||||||||||||||
Due from broker for swap contracts |
808 |
19,524,598 |
— |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
6,737,610 |
8,355,335 |
— |
6,765,003 |
|||||||||||||||
Prepaid expenses and other assets |
46,812 |
23,565 |
53,509 |
22,478 |
|||||||||||||||
Total Assets |
171,225,361 |
375,839,346 |
76,649,171 |
407,226,673 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
— |
3,829,233 |
— |
292,234 |
|||||||||||||||
Payable for investments purchased |
— |
— |
— |
8,483,700 |
|||||||||||||||
Unrealized depreciation on swap contracts |
1,039,275 |
— |
16,778,678 |
53,457,694 |
|||||||||||||||
Due to Adviser, net (Note 6) |
77,302 |
83,933 |
42,555 |
201,156 |
|||||||||||||||
Due to broker for swap contracts |
9,479,461 |
15,547,121 |
4,391 |
5,674,651 |
|||||||||||||||
Accrued expenses and other liabilities |
84,179 |
65,568 |
81,409 |
109,324 |
|||||||||||||||
Total Liabilities |
10,680,217 |
19,525,855 |
16,907,033 |
68,218,759 |
|||||||||||||||
Net Assets |
$ |
160,545,144 |
$ |
356,313,491 |
$ |
59,742,138 |
$ |
339,007,914 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
166,313,476 |
$ |
443,826,583 |
$ |
96,254,557 |
$ |
854,140,782 |
|||||||||||
Total distributable loss |
(5,768,332 |
) |
(87,513,092 |
) |
(36,512,419 |
) |
(515,132,868 |
) |
|||||||||||
Net Assets |
$ |
160,545,144 |
$ |
356,313,491 |
$ |
59,742,138 |
$ |
339,007,914 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
160,545,144 |
$ |
356,313,491 |
$ |
59,742,138 |
$ |
339,007,914 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
7,850,000 |
22,449,983 |
2,600,000 |
5,800,000 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
20.45 |
$ |
15.87 |
$ |
22.98 |
$ |
58.45 |
|||||||||||
Cost of Investments |
$ |
163,388,381 |
$ |
329,652,170 |
$ |
76,549,170 |
$ |
403,076,298 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily S&P 500® Bull 2X Shares |
Direxion Daily S&P 500 Equal Weight Bull 2X Shares |
Direxion Daily MSCI Brazil Bull 2X Shares |
Direxion Daily MSCI India Bull 2X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (Note 2) |
$ |
54,895,598 |
$ |
4,685,978 |
$ |
144,130,028 |
$ |
71,453,306 |
|||||||||||
Dividend and interest receivable |
458 |
830 |
31,794 |
9,668 |
|||||||||||||||
Due from broker for swap contracts |
3,961 |
787 |
— |
1,996,680 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
11,451,112 |
136,866 |
|||||||||||||||
Prepaid expenses and other assets |
2,677 |
10,849 |
13,868 |
18,144 |
|||||||||||||||
Total Assets |
54,902,694 |
4,698,444 |
155,626,802 |
73,614,664 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for investments purchased |
— |
— |
4,682,860 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
4,133,192 |
315,373 |
3,433,984 |
2,195,283 |
|||||||||||||||
Due to Adviser, net (Note 6) |
20,815 |
1,281 |
115,087 |
47,464 |
|||||||||||||||
Due to broker for swap contracts |
368,498 |
19,434 |
15,244,297 |
2,553,839 |
|||||||||||||||
Accrued expenses and other liabilities |
36,537 |
8,199 |
113,338 |
72,762 |
|||||||||||||||
Total Liabilities |
4,559,042 |
344,287 |
23,589,566 |
4,869,348 |
|||||||||||||||
Net Assets |
$ |
50,343,652 |
$ |
4,354,157 |
$ |
132,037,236 |
$ |
68,745,316 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
48,609,896 |
$ |
5,000,025 |
$ |
602,354,838 |
$ |
61,279,131 |
|||||||||||
Total distributable earnings (loss) |
1,733,756 |
(645,868 |
) |
(470,317,602 |
) |
7,466,185 |
|||||||||||||
Net Assets |
$ |
50,343,652 |
$ |
4,354,157 |
$ |
132,037,236 |
$ |
68,745,316 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
50,343,652 |
$ |
4,354,157 |
$ |
132,037,236 |
$ |
68,745,316 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
583,236 |
200,001 |
1,508,631 |
1,299,686 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
86.32 |
$ |
21.77 |
$ |
87.52 |
$ |
52.89 |
|||||||||||
Cost of Investments |
$ |
48,635,463 |
$ |
4,893,285 |
$ |
147,902,565 |
$ |
74,742,065 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
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 |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
4,500,830 |
$ |
11,299,546 |
$ |
20,557,186 |
$ |
667,274,241 |
|||||||||||
Cash |
92 |
— |
— |
— |
|||||||||||||||
Receivable for Fund shares sold |
— |
— |
— |
2,663 |
|||||||||||||||
Dividend and interest receivable |
5,066 |
700 |
3,762 |
454,777 |
|||||||||||||||
Due from broker for swap contracts |
227 |
— |
— |
75,822,542 |
|||||||||||||||
Foreign tax reclaims |
84 |
1,733 |
— |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
3,874,952 |
85,334,187 |
|||||||||||||||
Prepaid expenses and other assets |
4,110 |
30,870 |
22,399 |
17,869 |
|||||||||||||||
Total Assets |
4,510,409 |
11,332,849 |
24,458,299 |
828,906,279 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
37,532 |
32,313 |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
— |
— |
22,143,822 |
|||||||||||||||
Unrealized depreciation on swap contracts |
437,178 |
2,286,998 |
— |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
1,065 |
4,185 |
7,967 |
444,929 |
|||||||||||||||
Due to broker for swap contracts |
74,434 |
152,858 |
5,336,045 |
179,575,000 |
|||||||||||||||
Accrued expenses and other liabilities |
21,807 |
43,357 |
47,828 |
319,888 |
|||||||||||||||
Total Liabilities |
572,016 |
2,519,711 |
5,391,840 |
202,483,639 |
|||||||||||||||
Net Assets |
$ |
3,938,393 |
$ |
8,813,138 |
$ |
19,066,459 |
$ |
626,422,640 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
5,014,323 |
$ |
23,018,095 |
$ |
14,689,381 |
$ |
491,669,100 |
|||||||||||
Total distributable earnings (loss) |
(1,075,930 |
) |
(14,204,957 |
) |
4,377,078 |
134,753,540 |
|||||||||||||
Net Assets |
$ |
3,938,393 |
$ |
8,813,138 |
$ |
19,066,459 |
$ |
626,422,640 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
3,938,393 |
$ |
8,813,138 |
$ |
19,066,459 |
$ |
626,422,640 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
200,001 |
875,001 |
575,001 |
11,763,531 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
19.69 |
$ |
10.07 |
$ |
33.16 |
$ |
53.25 |
|||||||||||
Cost of Investments |
$ |
4,941,006 |
$ |
14,218,576 |
$ |
20,557,186 |
$ |
576,768,724 |
* Securities loaned with values of $34,156, $28,334, $ – and $ – , respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Energy Bear 2X Shares |
Direxion Daily Fintech Bull 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) |
$ |
45,806,395 |
$ |
5,187,569 |
$ |
5,887,198 |
$ |
592,816,016 |
|||||||||||
Receivable for Fund shares sold |
2,148,623 |
— |
— |
— |
|||||||||||||||
Receivable for investments sold |
— |
609,739 |
— |
— |
|||||||||||||||
Due from broker for futures contracts |
— |
— |
— |
1,352 |
|||||||||||||||
Due from Adviser, net (Note 6) |
— |
67 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
9,371 |
2,270 |
357 |
71,689 |
|||||||||||||||
Due from broker for swap contracts |
378 |
20 |
540 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
1,441,484 |
— |
— |
80,470,530 |
|||||||||||||||
Prepaid expenses and other assets |
14,994 |
— |
6,556 |
29,661 |
|||||||||||||||
Total Assets |
49,421,245 |
5,799,665 |
5,894,651 |
673,389,248 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
— |
— |
3,345 |
2,978,873 |
|||||||||||||||
Payable for investments purchased |
— |
607,515 |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
4,606,334 |
676,706 |
313,534 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
23,810 |
— |
1,691 |
456,254 |
|||||||||||||||
Due to broker for swap contracts |
670,038 |
59,718 |
21,921 |
90,900,680 |
|||||||||||||||
Accrued expenses and other liabilities |
38,398 |
17,670 |
16,326 |
290,499 |
|||||||||||||||
Total Liabilities |
5,338,580 |
1,361,609 |
356,817 |
94,626,306 |
|||||||||||||||
Net Assets |
$ |
44,082,665 |
$ |
4,438,056 |
$ |
5,537,834 |
$ |
578,762,942 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
221,654,929 |
$ |
6,128,864 |
$ |
9,762,204 |
$ |
2,381,462,586 |
|||||||||||
Total distributable loss |
(177,572,264 |
) |
(1,690,808 |
) |
(4,224,370 |
) |
(1,802,699,644 |
) |
|||||||||||
Net Assets |
$ |
44,082,665 |
$ |
4,438,056 |
$ |
5,537,834 |
$ |
578,762,942 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
44,082,665 |
$ |
4,438,056 |
$ |
5,537,834 |
$ |
578,762,942 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
820,706 |
250,001 |
350,001 |
9,951,908 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
53.71 |
$ |
17.75 |
$ |
15.82 |
$ |
58.16 |
|||||||||||
Cost of Investments |
$ |
45,806,395 |
$ |
5,728,660 |
$ |
7,063,455 |
$ |
592,890,063 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
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 Metal Miners Bull 2X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (Note 2) |
$ |
101,283,553 |
$ |
451,367,544 |
$ |
78,545,957 |
$ |
27,502,064 |
|||||||||||
Receivable for Fund shares sold |
1,049 |
372,576 |
133 |
— |
|||||||||||||||
Dividend and interest receivable |
23,242 |
59,033 |
17,489 |
10,598 |
|||||||||||||||
Due from broker for swap contracts |
43,486 |
— |
— |
737 |
|||||||||||||||
Unrealized appreciation on swap contracts |
6,192,968 |
6,748,490 |
16,354,647 |
— |
|||||||||||||||
Prepaid expenses and other assets |
33,655 |
16,338 |
13,264 |
9,454 |
|||||||||||||||
Total Assets |
107,577,953 |
458,563,981 |
94,931,490 |
27,522,853 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for Fund shares redeemed |
6,911,805 |
3,277,804 |
869,398 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
10,390,208 |
79,652,562 |
411,709 |
3,320,209 |
|||||||||||||||
Due to Adviser, net (Note 6) |
60,462 |
286,488 |
50,731 |
14,376 |
|||||||||||||||
Due to broker for swap contracts |
5,414,772 |
7,646,018 |
14,685,280 |
243,206 |
|||||||||||||||
Accrued expenses and other liabilities |
44,013 |
153,709 |
31,060 |
12,741 |
|||||||||||||||
Total Liabilities |
22,821,260 |
91,016,581 |
16,048,178 |
3,590,532 |
|||||||||||||||
Net Assets |
$ |
84,756,693 |
$ |
367,547,400 |
$ |
78,883,312 |
$ |
23,932,321 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
754,370,663 |
$ |
1,904,491,106 |
$ |
334,731,707 |
$ |
21,482,343 |
|||||||||||
Total distributable earnings (loss) |
(669,613,970 |
) |
(1,536,943,706 |
) |
(255,848,395 |
) |
2,449,978 |
||||||||||||
Net Assets |
$ |
84,756,693 |
$ |
367,547,400 |
$ |
78,883,312 |
$ |
23,932,321 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
84,756,693 |
$ |
367,547,400 |
$ |
78,883,312 |
$ |
23,932,321 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
6,060,171 |
5,793,351 |
8,932,449 |
550,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
13.99 |
$ |
63.44 |
$ |
8.83 |
$ |
43.51 |
|||||||||||
Cost of Investments |
$ |
101,283,553 |
$ |
460,825,878 |
$ |
78,545,957 |
$ |
27,923,776 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Oil Services Bull 2X Shares |
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
17,275,958 |
$ |
23,387,744 |
$ |
960,147,116 |
$ |
119,786,289 |
|||||||||||
Receivable for Fund shares sold |
— |
— |
— |
6,910,495 |
|||||||||||||||
Dividend and interest receivable |
633 |
3,069 |
132,142 |
27,779 |
|||||||||||||||
Due from broker for swap contracts |
80,000 |
— |
936,671 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
59,046 |
— |
241,712,797 |
3,022,541 |
|||||||||||||||
Prepaid expenses and other assets |
— |
19,429 |
13,751 |
16,560 |
|||||||||||||||
Total Assets |
17,415,637 |
23,410,242 |
1,202,942,477 |
129,763,664 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
— |
5,258,135 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
— |
— |
2,424,559 |
|||||||||||||||
Unrealized depreciation on swap contracts |
253,408 |
6,363,015 |
32,332,199 |
4,466,410 |
|||||||||||||||
Due to Adviser, net (Note 6) |
7,847 |
12,401 |
623,799 |
63,141 |
|||||||||||||||
Due to broker for swap contracts |
380,619 |
180,432 |
270,931,242 |
23,162,748 |
|||||||||||||||
Accrued expenses and other liabilities |
10,471 |
35,277 |
425,339 |
49,844 |
|||||||||||||||
Total Liabilities |
652,345 |
6,591,125 |
309,570,714 |
30,166,702 |
|||||||||||||||
Net Assets |
$ |
16,763,292 |
$ |
16,819,117 |
$ |
893,371,763 |
$ |
99,596,962 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
16,176,504 |
$ |
35,300,139 |
$ |
388,934,941 |
$ |
297,870,445 |
|||||||||||
Total distributable earnings (loss) |
586,788 |
(18,481,022 |
) |
504,436,822 |
(198,273,483 |
) |
|||||||||||||
Net Assets |
$ |
16,763,292 |
$ |
16,819,117 |
$ |
893,371,763 |
$ |
99,596,962 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
16,763,292 |
$ |
16,819,117 |
$ |
893,371,763 |
$ |
99,596,962 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
500,001 |
923,646 |
5,628,422 |
4,107,895 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
33.53 |
$ |
18.21 |
$ |
158.73 |
$ |
24.25 |
|||||||||||
Cost of Investments |
$ |
17,001,713 |
$ |
24,674,575 |
$ |
908,955,384 |
$ |
119,786,289 |
* Securities loaned with values of $ – , $ – , $9,896,556 and $ – , respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
Direxion Daily Software Bull 2X Shares |
Direxion Daily TIPS Bull 2X Shares |
Direxion Daily TIPS Bear 2X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (Note 2) |
$ |
8,500,229 |
$ |
3,805,919 |
$ |
7,451,231 |
$ |
6,268,308 |
|||||||||||
Receivable for investments sold |
1,801,933 |
— |
— |
— |
|||||||||||||||
Dividend and interest receivable |
795 |
1,050 |
240 |
730 |
|||||||||||||||
Due from broker for swap contracts |
2,270 |
484 |
— |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
— |
34,104 |
|||||||||||||||
Prepaid expenses and other assets |
149 |
15,725 |
— |
— |
|||||||||||||||
Total Assets |
10,305,376 |
3,823,178 |
7,451,471 |
6,303,142 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for investments purchased |
1,794,473 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
275,021 |
479,113 |
19,074 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
5,121 |
1,933 |
708 |
386 |
|||||||||||||||
Due to broker for swap contracts |
403,617 |
44,747 |
1,035 |
3,882 |
|||||||||||||||
Accrued expenses and other liabilities |
20,371 |
10,816 |
3,091 |
3,067 |
|||||||||||||||
Total Liabilities |
2,498,603 |
536,609 |
23,908 |
7,335 |
|||||||||||||||
Net Assets |
$ |
7,806,773 |
$ |
3,286,569 |
$ |
7,427,563 |
$ |
6,295,807 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
19,097,427 |
$ |
5,848,819 |
$ |
7,467,991 |
$ |
6,271,309 |
|||||||||||
Total distributable earnings (loss) |
(11,290,654 |
) |
(2,562,250 |
) |
(40,428 |
) |
24,498 |
||||||||||||
Net Assets |
$ |
7,806,773 |
$ |
3,286,569 |
$ |
7,427,563 |
$ |
6,295,807 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
7,806,773 |
$ |
3,286,569 |
$ |
7,427,563 |
$ |
6,295,807 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
1,050,001 |
250,001 |
300,001 |
250,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
7.44 |
$ |
13.15 |
$ |
24.76 |
$ |
25.18 |
|||||||||||
Cost of Investments |
$ |
9,685,982 |
$ |
4,624,935 |
$ |
7,467,625 |
$ |
6,268,308 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Travel & Vacation Bull 2X Shares |
Direxion Daily US Infrastructure Bull 2X Shares |
||||||||||
Assets: |
|||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
48,343,335 |
$ |
6,521,189 |
|||||||
Receivable for Fund shares sold |
722 |
— |
|||||||||
Dividend and interest receivable |
12,976 |
5,010 |
|||||||||
Due from broker for swap contracts |
238 |
173,746 |
|||||||||
Prepaid expenses and other assets |
2,036 |
925 |
|||||||||
Total Assets |
48,359,307 |
6,700,870 |
|||||||||
Liabilities: |
|||||||||||
Collateral for securities loaned (Note 2) |
8,506 |
123,776 |
|||||||||
Payable for Fund shares redeemed |
724,505 |
— |
|||||||||
Unrealized depreciation on swap contracts |
910,874 |
242,192 |
|||||||||
Due to Adviser, net (Note 6) |
32,355 |
1,222 |
|||||||||
Due to broker for swap contracts |
955,827 |
15,446 |
|||||||||
Accrued expenses and other liabilities |
30,128 |
22,783 |
|||||||||
Total Liabilities |
2,662,195 |
405,419 |
|||||||||
Net Assets |
$ |
45,697,112 |
$ |
6,295,451 |
|||||||
Net Assets Consist of: |
|||||||||||
Capital stock |
$ |
57,762,537 |
$ |
6,494,455 |
|||||||
Total distributable loss |
(12,065,425 |
) |
(199,004 |
) |
|||||||
Net Assets |
$ |
45,697,112 |
$ |
6,295,451 |
|||||||
Calculation of Net Asset Value Per Share: |
|||||||||||
Net assets |
$ |
45,697,112 |
$ |
6,295,451 |
|||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
2,850,001 |
250,001 |
|||||||||
Net assets value, redemption price and offering price per share |
$ |
16.03 |
$ |
25.18 |
|||||||
Cost of Investments |
$ |
51,221,162 |
$ |
6,519,214 |
* Securities loaned with values of $7,722 and $117,099, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
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 |
$ |
— |
$ |
— |
$ |
398,036 |
$ |
— |
|||||||||||
Interest income |
54,315 |
98,407 |
21,588 |
73,272 |
|||||||||||||||
Securities lending income |
— |
— |
84,845 |
— |
|||||||||||||||
Total investment income |
54,315 |
98,407 |
504,469 |
73,272 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
406,932 |
356,629 |
341,183 |
1,193,632 |
|||||||||||||||
Fund servicing fees |
23,973 |
35,978 |
16,169 |
55,365 |
|||||||||||||||
Licensing fees |
20,345 |
50,946 |
13,646 |
47,746 |
|||||||||||||||
Management service fees (Note 6) |
16,772 |
25,205 |
11,247 |
39,348 |
|||||||||||||||
Reports to shareholders |
9,809 |
15,198 |
6,415 |
22,679 |
|||||||||||||||
Professional fees |
9,161 |
11,337 |
7,755 |
14,749 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,975 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Trustees' fees and expenses |
1,906 |
2,975 |
1,238 |
4,393 |
|||||||||||||||
Insurance fees |
1,276 |
1,937 |
849 |
2,974 |
|||||||||||||||
Interest expense |
1,239 |
1,314 |
139 |
414 |
|||||||||||||||
Other |
1,507 |
2,025 |
1,066 |
3,569 |
|||||||||||||||
Total Expenses |
498,593 |
509,217 |
405,379 |
1,390,542 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
— |
— |
450 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
— |
(49,380 |
) |
— |
— |
||||||||||||||
Net Expenses |
498,593 |
459,837 |
405,379 |
1,390,992 |
|||||||||||||||
Net investment income (loss) |
(444,278 |
) |
(361,430 |
) |
99,090 |
(1,317,720 |
) |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
— |
— |
(12,303,638 |
) |
(122,630,606 |
) |
|||||||||||||
In-kind redemptions |
— |
— |
(10,591 |
) |
9,494,466 |
||||||||||||||
Swap contracts |
18,589,457 |
3,399,947 |
(5,839,643 |
) |
(230,542,075 |
) |
|||||||||||||
Net realized gain (loss) |
18,589,457 |
3,399,947 |
(18,153,872 |
) |
(343,678,215 |
) |
|||||||||||||
Capital gain distributions from regulated investment companies |
— |
— |
— |
12,059,110 |
|||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
— |
— |
2,628,117 |
(147,128 |
) |
||||||||||||||
Swap contracts |
10,905,865 |
17,745,605 |
(23,949,217 |
) |
(12,406,776 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
10,905,865 |
17,745,605 |
(21,321,100 |
) |
(12,553,904 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
29,495,322 |
21,145,552 |
(39,474,972 |
) |
(344,173,009 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
29,051,044 |
$ |
20,784,122 |
$ |
(39,375,882 |
) |
$ |
(345,490,729 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily S&P 500® Bull 2X Shares |
Direxion Daily S&P 500 Equal Weight Bull 2X Shares1 |
Direxion Daily MSCI Brazil Bull 2X Shares |
Direxion Daily MSCI India Bull 2X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
371,311 |
$ |
15,636 |
$ |
10,788,538 |
$ |
2,337,114 |
|||||||||||
Interest income |
1,089 |
382 |
48,540 |
17,706 |
|||||||||||||||
Securities lending income |
— |
— |
98,232 |
— |
|||||||||||||||
Total investment income |
372,400 |
16,018 |
10,935,310 |
2,354,820 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
145,051 |
10,007 |
737,369 |
311,853 |
|||||||||||||||
Licensing fees |
17,406 |
4,151 |
— |
— |
|||||||||||||||
Fund servicing fees |
10,510 |
746 |
34,455 |
14,833 |
|||||||||||||||
Management service fees (Note 6) |
7,173 |
330 |
24,310 |
10,280 |
|||||||||||||||
Professional fees |
6,748 |
2,853 |
11,028 |
7,518 |
|||||||||||||||
Reports to shareholders |
4,148 |
210 |
14,119 |
5,913 |
|||||||||||||||
Pricing fees |
2,976 |
1,660 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
1,452 |
2,697 |
2,697 |
|||||||||||||||
Trustees' fees and expenses |
804 |
42 |
2,740 |
1,145 |
|||||||||||||||
Insurance fees |
543 |
26 |
1,843 |
777 |
|||||||||||||||
Interest expense |
246 |
— |
7,468 |
2,760 |
|||||||||||||||
Offering fees |
— |
1,384 |
— |
— |
|||||||||||||||
Excise tax |
— |
— |
17,616 |
— |
|||||||||||||||
Other |
673 |
24 |
60,686 |
17,612 |
|||||||||||||||
Total Expenses |
198,975 |
22,885 |
917,307 |
378,364 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(24,668 |
) |
(10,210 |
) |
— |
— |
|||||||||||||
Net Expenses |
174,307 |
12,675 |
917,307 |
378,364 |
|||||||||||||||
Net investment income |
198,093 |
3,343 |
10,018,003 |
1,976,456 |
|||||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
(673,086 |
) |
(4,068 |
) |
(15,969,114 |
) |
— |
||||||||||||
In-kind redemptions |
— |
— |
4,322,570 |
481,040 |
|||||||||||||||
Swap contracts |
973,138 |
(122,463 |
) |
19,150,495 |
15,020,428 |
||||||||||||||
Net realized gain (loss) |
300,052 |
(126,531 |
) |
7,503,951 |
15,501,468 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(5,810,108 |
) |
(207,307 |
) |
25,673,788 |
(4,989,665 |
) |
||||||||||||
Swap contracts |
(7,462,552 |
) |
(315,373 |
) |
38,007,211 |
(23,091,737 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(13,272,660 |
) |
(522,680 |
) |
63,680,999 |
(28,081,402 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(12,972,608 |
) |
(649,211 |
) |
71,184,950 |
(12,579,934 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(12,774,515 |
) |
$ |
(645,868 |
) |
$ |
81,202,953 |
$ |
(10,603,478 |
) |
1 Represents the period from January 20, 2022 (commencement of operations) to April 30, 2022.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
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 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $1,432, $—, $— and $—, respectively) |
$ |
46,844 |
$ |
18,519 |
$ |
— |
$ |
10,488,665 |
|||||||||||
Interest income |
515 |
1,215 |
6,302 |
48,967 |
|||||||||||||||
Securities lending income |
118 |
51 |
— |
1 |
|||||||||||||||
Total investment income |
47,477 |
19,785 |
6,302 |
10,537,633 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
19,674 |
59,835 |
58,494 |
2,363,369 |
|||||||||||||||
Professional fees |
5,121 |
5,447 |
5,443 |
24,540 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,975 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
3,595 |
|||||||||||||||
Licensing fees |
2,480 |
11,901 |
11,901 |
252,093 |
|||||||||||||||
Fund servicing fees |
1,400 |
3,236 |
3,197 |
109,759 |
|||||||||||||||
Management service fees (Note 6) |
648 |
1,972 |
1,929 |
77,931 |
|||||||||||||||
Reports to shareholders |
372 |
1,106 |
1,130 |
46,036 |
|||||||||||||||
Trustees' fees and expenses |
72 |
213 |
220 |
8,968 |
|||||||||||||||
Insurance fees |
49 |
148 |
147 |
5,947 |
|||||||||||||||
Interest expense |
48 |
253 |
1,251 |
55,995 |
|||||||||||||||
Other |
65 |
197 |
179 |
6,600 |
|||||||||||||||
Total Expenses |
35,602 |
89,981 |
89,563 |
2,957,809 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
— |
— |
1,215 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(10,632 |
) |
(13,936 |
) |
(14,220 |
) |
— |
||||||||||||
Net Expenses |
24,970 |
76,045 |
75,343 |
2,959,024 |
|||||||||||||||
Net investment income (loss) |
22,507 |
(56,260 |
) |
(69,041 |
) |
7,578,609 |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
89,321 |
(1,810,254 |
) |
— |
(3,271,677 |
) |
|||||||||||||
In-kind redemptions |
— |
225,018 |
— |
114,019,195 |
|||||||||||||||
Swap contracts |
(257,524 |
) |
(6,933,426 |
) |
6,451,079 |
246,933,446 |
|||||||||||||
Net realized gain (loss) |
(168,203 |
) |
(8,518,662 |
) |
6,451,079 |
357,680,964 |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(512,454 |
) |
(4,954,453 |
) |
— |
18,216,904 |
|||||||||||||
Swap contracts |
(502,171 |
) |
(4,924,216 |
) |
5,627,348 |
(42,977,701 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(1,014,625 |
) |
(9,878,669 |
) |
5,627,348 |
(24,760,797 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(1,182,828 |
) |
(18,397,331 |
) |
12,078,427 |
332,920,167 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(1,160,321 |
) |
$ |
(18,453,591 |
) |
$ |
12,009,386 |
$ |
340,498,776 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Energy Bear 2X Shares |
Direxion Daily Fintech Bull 2X Shares1 |
Direxion Daily Global Clean Energy Bull 2X Shares ETF |
Direxion Daily Gold Miners Index Bull 2X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $10, $— and $—, respectively) |
$ |
— |
$ |
9,662 |
$ |
38,112 |
$ |
6,014,029 |
|||||||||||
Interest income |
15,889 |
442 |
571 |
133,934 |
|||||||||||||||
Securities lending income |
— |
62 |
129 |
44 |
|||||||||||||||
Total investment income |
15,889 |
10,166 |
38,812 |
6,148,007 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
113,742 |
11,085 |
28,331 |
2,728,725 |
|||||||||||||||
Licensing fees |
12,133 |
6,641 |
12,397 |
67,807 |
|||||||||||||||
Professional fees |
5,900 |
2,861 |
5,192 |
27,423 |
|||||||||||||||
Fund servicing fees |
5,750 |
797 |
1,798 |
126,193 |
|||||||||||||||
Management service fees (Note 6) |
3,750 |
366 |
934 |
89,962 |
|||||||||||||||
Pricing fees |
2,976 |
1,660 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
1,452 |
2,697 |
3,471 |
|||||||||||||||
Reports to shareholders |
2,191 |
232 |
533 |
52,124 |
|||||||||||||||
Trustees' fees and expenses |
425 |
46 |
103 |
10,104 |
|||||||||||||||
Insurance fees |
286 |
29 |
71 |
6,823 |
|||||||||||||||
Interest expense |
29 |
— |
106 |
35,068 |
|||||||||||||||
Offering fees |
— |
4,151 |
— |
— |
|||||||||||||||
Excise tax |
— |
— |
145 |
— |
|||||||||||||||
Other |
330 |
26 |
85 |
24,395 |
|||||||||||||||
Total Expenses |
150,209 |
29,346 |
55,368 |
3,175,071 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
— |
— |
7,397 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(6,106 |
) |
(15,305 |
) |
(19,230 |
) |
— |
||||||||||||
Net Expenses |
144,103 |
14,041 |
36,138 |
3,182,468 |
|||||||||||||||
Net investment income (loss) |
(128,214 |
) |
(3,875 |
) |
2,674 |
2,965,539 |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
— |
(198,647 |
) |
(526,256 |
) |
(30,704,240 |
) |
||||||||||||
In-kind redemptions |
— |
— |
(55,819 |
) |
21,765,334 |
||||||||||||||
Swap contracts |
(22,980,190 |
) |
(270,489 |
) |
(2,048,381 |
) |
(66,645,880 |
) |
|||||||||||
Net realized loss |
(22,980,190 |
) |
(469,136 |
) |
(2,630,456 |
) |
(75,584,786 |
) |
|||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
— |
(541,091 |
) |
(1,780,340 |
) |
42,187,279 |
|||||||||||||
Swap contracts |
5,529,229 |
(676,706 |
) |
(1,266,036 |
) |
178,438,896 |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
5,529,229 |
(1,217,797 |
) |
(3,046,376 |
) |
220,626,175 |
|||||||||||||
Net realized and unrealized gain (loss) |
(17,450,961 |
) |
(1,686,933 |
) |
(5,676,832 |
) |
145,041,389 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(17,579,175 |
) |
$ |
(1,690,808 |
) |
$ |
(5,674,158 |
) |
$ |
148,006,928 |
1 Represents the period from January 20, 2022 (commencement of operations) to April 30, 2022.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
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 Metal Miners Bull 2X Shares1 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
— |
$ |
3,264,450 |
$ |
— |
$ |
33,562 |
|||||||||||
Interest income |
36,400 |
112,659 |
30,706 |
2,234 |
|||||||||||||||
Securities lending income |
— |
4,094 |
— |
130 |
|||||||||||||||
Total investment income |
36,400 |
3,381,203 |
30,706 |
35,926 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
267,491 |
1,717,876 |
275,144 |
38,123 |
|||||||||||||||
Fund servicing fees |
12,859 |
79,581 |
13,188 |
2,154 |
|||||||||||||||
Management service fees (Note 6) |
8,820 |
56,634 |
9,072 |
1,258 |
|||||||||||||||
Professional fees |
7,174 |
19,085 |
7,230 |
4,048 |
|||||||||||||||
Exchange listing fees |
5,207 |
2,697 |
2,697 |
1,956 |
|||||||||||||||
Reports to shareholders |
5,188 |
32,708 |
5,275 |
787 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,236 |
|||||||||||||||
Licensing fees |
2,175 |
1,240 |
1,240 |
5,656 |
|||||||||||||||
Interest expense |
1,761 |
10,223 |
3,073 |
— |
|||||||||||||||
Trustees' fees and expenses |
1,009 |
6,335 |
1,022 |
155 |
|||||||||||||||
Insurance fees |
673 |
4,291 |
690 |
98 |
|||||||||||||||
Offering fees |
— |
— |
— |
1,863 |
|||||||||||||||
Other |
16,696 |
21,273 |
16,721 |
105 |
|||||||||||||||
Total Expenses |
332,029 |
1,954,919 |
338,328 |
58,439 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
20,350 |
— |
9,992 |
— |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(11,797 |
) |
— |
(9,992 |
) |
(10,145 |
) |
||||||||||||
Net Expenses |
340,582 |
1,954,919 |
338,328 |
48,294 |
|||||||||||||||
Net investment income (loss) |
(304,182 |
) |
1,426,284 |
(307,622 |
) |
(12,368 |
) |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
— |
(11,117,377 |
) |
— |
44,075 |
||||||||||||||
In-kind redemptions |
— |
15,813,351 |
— |
1,142,808 |
|||||||||||||||
Swap contracts |
(6,784,118 |
) |
11,782,889 |
(21,998,348 |
) |
5,017,384 |
|||||||||||||
Net realized gain (loss) |
(6,784,118 |
) |
16,478,863 |
(21,998,348 |
) |
6,204,267 |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
— |
(2,908,322 |
) |
— |
(421,712 |
) |
|||||||||||||
Swap contracts |
(12,785,160 |
) |
(10,788,442 |
) |
17,459,721 |
(3,320,209 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(12,785,160 |
) |
(13,696,764 |
) |
17,459,721 |
(3,741,921 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(19,569,278 |
) |
2,782,099 |
(4,538,627 |
) |
2,462,346 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(19,873,460 |
) |
$ |
4,208,383 |
$ |
(4,846,249 |
) |
$ |
2,449,978 |
1 Represents the period from December 16, 2021 (commencement of operations) to April 30, 2022.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Oil Services Bull 2X Shares1 |
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 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $9, $—, $— and $—, respectively) |
$ |
13,102 |
$ |
— |
$ |
4,523,126 |
$ |
— |
|||||||||||
Interest income |
791 |
6,676 |
176,517 |
45,760 |
|||||||||||||||
Securities lending income |
— |
— |
12,158 |
— |
|||||||||||||||
Total investment income |
13,893 |
6,676 |
4,711,801 |
45,760 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
20,765 |
119,751 |
3,258,666 |
338,602 |
|||||||||||||||
Professional fees |
2,944 |
5,935 |
31,854 |
7,755 |
|||||||||||||||
Pricing fees |
1,661 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Licensing fees |
1,492 |
9,607 |
347,591 |
36,118 |
|||||||||||||||
Exchange listing fees |
1,452 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Offering fees |
1,384 |
— |
— |
— |
|||||||||||||||
Fund servicing fees |
1,252 |
5,980 |
150,829 |
16,119 |
|||||||||||||||
Management service fees (Note 6) |
685 |
3,947 |
107,441 |
11,164 |
|||||||||||||||
Reports to shareholders |
437 |
2,217 |
62,838 |
6,504 |
|||||||||||||||
Trustees' fees and expenses |
87 |
426 |
12,214 |
1,261 |
|||||||||||||||
Insurance fees |
54 |
296 |
8,169 |
849 |
|||||||||||||||
Interest expense |
— |
694 |
123,692 |
— |
|||||||||||||||
Other |
45 |
394 |
9,361 |
999 |
|||||||||||||||
Total Expenses |
32,258 |
154,920 |
4,118,328 |
425,044 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
528 |
2,261 |
3,895 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(5,955 |
) |
(3,069 |
) |
— |
(43 |
) |
||||||||||||
Net Expenses |
26,303 |
152,379 |
4,120,589 |
428,896 |
|||||||||||||||
Net investment income (loss) |
(12,410 |
) |
(145,703 |
) |
591,212 |
(383,136 |
) |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
(239,960 |
) |
— |
(13,114,491 |
) |
— |
|||||||||||||
In-kind redemptions |
293,116 |
— |
94,340,541 |
— |
|||||||||||||||
Swap contracts |
467,587 |
(6,904,749 |
) |
510,428,589 |
(83,291,930 |
) |
|||||||||||||
Net realized gain (loss) |
520,743 |
(6,904,749 |
) |
591,654,639 |
(83,291,930 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
274,245 |
(6,109,168 |
) |
30,933,222 |
— |
||||||||||||||
Swap contracts |
(194,362 |
) |
(15,118,647 |
) |
(272,933,182 |
) |
37,255,201 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
79,883 |
(21,227,815 |
) |
(241,999,960 |
) |
37,255,201 |
|||||||||||||
Net realized and unrealized gain (loss) |
600,626 |
(28,132,564 |
) |
349,654,679 |
(46,036,729 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
588,216 |
$ |
(28,278,267 |
) |
$ |
350,245,891 |
$ |
(46,419,865 |
) |
1 Represents the period from January 20, 2022 (commencement of operations) to April 30, 2022.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
Direxion Daily Software Bull 2X Shares1 |
Direxion Daily TIPS Bull 2X Shares2 |
Direxion Daily TIPS Bear 2X Shares2 |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income (net of foreign withholding tax of $—, $13, $— and $—, respectively) |
$ |
2,833 |
$ |
4,564 |
$ |
— |
$ |
— |
|||||||||||
Interest income |
1,278 |
287 |
240 |
730 |
|||||||||||||||
Securities lending income |
3 |
9 |
— |
— |
|||||||||||||||
Total investment income |
4,114 |
4,860 |
240 |
730 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
33,668 |
11,527 |
2,999 |
2,726 |
|||||||||||||||
Professional fees |
5,236 |
3,821 |
684 |
681 |
|||||||||||||||
Licensing fees |
4,959 |
9,315 |
710 |
710 |
|||||||||||||||
Pricing fees |
2,976 |
2,236 |
395 |
395 |
|||||||||||||||
Exchange listing fees |
2,697 |
1,956 |
345 |
345 |
|||||||||||||||
Fund servicing fees |
2,045 |
904 |
208 |
195 |
|||||||||||||||
Management service fees (Note 6) |
1,110 |
380 |
99 |
90 |
|||||||||||||||
Reports to shareholders |
644 |
227 |
64 |
58 |
|||||||||||||||
Trustees' fees and expenses |
125 |
45 |
13 |
12 |
|||||||||||||||
Insurance fees |
84 |
29 |
8 |
7 |
|||||||||||||||
Offering fees |
— |
1,863 |
658 |
658 |
|||||||||||||||
Other |
99 |
42 |
6 |
6 |
|||||||||||||||
Total Expenses |
53,643 |
32,345 |
6,189 |
5,883 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(10,997 |
) |
(17,743 |
) |
(2,390 |
) |
(2,430 |
) |
|||||||||||
Net Expenses |
42,646 |
14,602 |
3,799 |
3,453 |
|||||||||||||||
Net investment loss |
(38,532 |
) |
(9,742 |
) |
(3,559 |
) |
(2,723 |
) |
|||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: Investment securities |
(3,475,670 |
) |
(324,274 |
) |
— |
— |
|||||||||||||
In-kind redemptions |
50,932 |
95,515 |
— |
— |
|||||||||||||||
Swap contracts |
(6,361,841 |
) |
(1,025,620 |
) |
(1,401 |
) |
(6,883 |
) |
|||||||||||
Net realized loss |
(9,786,579 |
) |
(1,254,379 |
) |
(1,401 |
) |
(6,883 |
) |
|||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(1,624,246 |
) |
(819,016 |
) |
(16,394 |
) |
— |
||||||||||||
Swap contracts |
(484,921 |
) |
(479,113 |
) |
(19,074 |
) |
34,104 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(2,109,167 |
) |
(1,298,129 |
) |
(35,468 |
) |
34,104 |
||||||||||||
Net realized and unrealized gain (loss) |
(11,895,746 |
) |
(2,552,508 |
) |
(36,869 |
) |
27,221 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(11,934,278 |
) |
$ |
(2,562,250 |
) |
$ |
(40,428 |
) |
$ |
24,498 |
1 Represents the period from December 16, 2021 (commencement of operations) to April 30, 2022.
2 Represents the period from April 7, 2022 (commencement of operations) to April 30, 2022.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Travel & Vacation Bull 2X Shares |
Direxion Daily US Infrastructure Bull 2X Shares |
||||||||||
Investment Income: |
|||||||||||
Dividend income (net of foreign withholding tax of $— and $4,387, respectively) |
$ |
78,889 |
$ |
49,206 |
|||||||
Interest income |
3,756 |
930 |
|||||||||
Securities lending income |
284 |
64 |
|||||||||
Total investment income |
82,929 |
50,200 |
|||||||||
Expenses: |
|||||||||||
Investment advisory fees (Note 6) |
123,530 |
25,569 |
|||||||||
Licensing fees |
9,883 |
11,901 |
|||||||||
Fund servicing fees |
6,219 |
1,673 |
|||||||||
Professional fees |
5,986 |
5,170 |
|||||||||
Management service fees (Note 6) |
4,074 |
843 |
|||||||||
Pricing fees |
2,976 |
2,975 |
|||||||||
Exchange listing fees |
2,697 |
2,697 |
|||||||||
Reports to shareholders |
2,445 |
490 |
|||||||||
Trustees' fees and expenses |
479 |
95 |
|||||||||
Insurance fees |
312 |
64 |
|||||||||
Interest expense |
207 |
44 |
|||||||||
Other |
350 |
80 |
|||||||||
Total Expenses |
159,158 |
51,601 |
|||||||||
Recoupment of expenses to Adviser (Note 6) |
401 |
— |
|||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(2,880 |
) |
(19,170 |
) |
|||||||
Net Expenses |
156,679 |
32,431 |
|||||||||
Net investment income (loss) |
(73,750 |
) |
17,769 |
||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||
Net realized gain (loss) on: Investment securities |
(3,335,064 |
) |
47,205 |
||||||||
In-kind redemptions |
1,528,112 |
— |
|||||||||
Swap contracts |
(5,485,593 |
) |
(17,386 |
) |
|||||||
Net realized gain (loss) |
(7,292,545 |
) |
29,819 |
||||||||
Change in net unrealized depreciation on: Investment securities |
(2,403,133 |
) |
(226,801 |
) |
|||||||
Swap contracts |
(894,703 |
) |
(538,270 |
) |
|||||||
Change in net unrealized depreciation |
(3,297,836 |
) |
(765,071 |
) |
|||||||
Net realized and unrealized loss |
(10,590,381 |
) |
(735,252 |
) |
|||||||
Net decrease in net assets resulting from operations |
$ |
(10,664,131 |
) |
$ |
(717,483 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Statements of Changes in Net Assets
Direxion Daily CSI 300 China A Share Bear 1X Shares |
Direxion Daily S&P 500® Bear 1X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(444,278 |
) |
$ |
(1,257,195 |
) |
$ |
(361,430 |
) |
$ |
(536,836 |
) |
|||||||
Net realized gain (loss) |
18,589,457 |
(6,236,161 |
) |
3,399,947 |
(43,191,685 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
10,905,865 |
(3,411,971 |
) |
17,745,605 |
(6,973,039 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
29,051,044 |
(10,905,327 |
) |
20,784,122 |
(50,701,560 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
— |
— |
|||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
2,849,544 |
264,056,763 |
275,699,556 |
59,430,595 |
|||||||||||||||
Cost of shares redeemed |
(2,750,490 |
) |
(216,017,390 |
) |
(63,839,609 |
) |
(60,630,303 |
) |
|||||||||||
Transaction fees (Note 4) |
550 |
59,679 |
143 |
— |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
99,604 |
48,099,052 |
211,860,090 |
(1,199,708 |
) |
||||||||||||||
Total increase (decrease) in net assets |
29,150,648 |
37,193,725 |
232,644,212 |
(51,901,268 |
) |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
131,394,496 |
94,200,771 |
123,669,279 |
175,570,547 |
|||||||||||||||
End of year/period |
$ |
160,545,144 |
$ |
131,394,496 |
$ |
356,313,491 |
$ |
123,669,279 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
7,850,000 |
4,650,000 |
8,449,983 |
8,249,983 |
|||||||||||||||
Shares sold |
150,000 |
15,600,000 |
18,250,000 |
3,650,000 |
|||||||||||||||
Shares repurchased |
(150,000 |
) |
(12,400,000 |
) |
(4,250,000 |
) |
(3,450,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
7,850,000 |
7,850,000 |
22,449,983 |
8,449,983 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Statements of Changes in Net Assets
Direxion Daily CSI 300 China A Share Bull 2X Shares |
Direxion Daily CSI China Internet Index Bull 2X Shares1 |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
99,090 |
$ |
(573,405 |
) |
$ |
(1,317,720 |
) |
$ |
(942,350 |
) |
||||||||
Net realized gain (loss) |
(18,153,872 |
) |
46,095,087 |
(343,678,215 |
) |
(83,670,156 |
) |
||||||||||||
Capital gain distributions from regulated investment companies |
— |
— |
12,059,110 |
— |
|||||||||||||||
Change in net unrealized depreciation |
(21,321,100 |
) |
(23,372,749 |
) |
(12,553,904 |
) |
(60,639,550 |
) |
|||||||||||
Net increase (decrease) in net assets resulting from operations |
(39,375,882 |
) |
22,148,933 |
(345,490,729 |
) |
(145,252,056 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(1,970,706 |
) |
— |
— |
— |
||||||||||||||
Total distributions |
(1,970,706 |
) |
— |
— |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
2,840,878 |
87,079,703 |
464,062,689 |
442,985,463 |
|||||||||||||||
Cost of shares redeemed |
(19,672,962 |
) |
(87,706,292 |
) |
(94,007,326 |
) |
(39,912,521 |
) |
|||||||||||
Transaction fees (Note 4) |
1,967 |
8,771 |
9,944 |
4,773 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(16,830,117 |
) |
(617,818 |
) |
370,065,307 |
403,077,715 |
|||||||||||||
Total increase (decrease) in net assets |
(58,176,705 |
) |
21,531,115 |
24,574,578 |
257,825,659 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
117,918,843 |
96,387,728 |
314,433,336 |
56,607,677 |
|||||||||||||||
End of year/period |
$ |
59,742,138 |
$ |
117,918,843 |
$ |
339,007,914 |
$ |
314,433,336 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
3,000,000 |
2,950,000 |
1,620,000 |
105,000 |
|||||||||||||||
Shares sold |
100,000 |
2,000,000 |
5,210,000 |
1,605,000 |
|||||||||||||||
Shares repurchased |
(500,000 |
) |
(1,950,000 |
) |
(1,030,000 |
) |
(90,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
2,600,000 |
3,000,000 |
5,800,000 |
1,620,000 |
1 Effective May 31, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bull 2X Shares |
Direxion Daily S&P 500 Equal Weight Bull 2X Shares |
||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
For the Period January 20, 20221 through April 30, 2022 (Unaudited) |
|||||||||||||
Operations: |
|||||||||||||||
Net investment income |
$ |
198,093 |
$ |
256,560 |
$ |
3,343 |
|||||||||
Net realized gain (loss) |
300,052 |
8,161,261 |
(126,531 |
) |
|||||||||||
Change in net unrealized appreciation (depreciation) |
(13,272,660 |
) |
10,896,079 |
(522,680 |
) |
||||||||||
Net increase (decrease) in net assets resulting from operations |
(12,774,515 |
) |
19,313,900 |
(645,868 |
) |
||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
(1,711,768 |
) |
(1,712,190 |
) |
— |
||||||||||
Total distributions |
(1,711,768 |
) |
(1,712,190 |
) |
— |
||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
5,182,220 |
92,337,294 |
5,000,025 |
||||||||||||
Cost of shares redeemed |
— |
(67,628,708 |
) |
— |
|||||||||||
Transaction fees (Note 4) |
— |
13,526 |
— |
||||||||||||
Net increase in net assets resulting from capital transactions |
5,182,220 |
24,722,112 |
5,000,025 |
||||||||||||
Total increase (decrease) in net assets |
(9,304,063 |
) |
42,323,822 |
4,354,157 |
|||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
59,647,715 |
17,323,893 |
— |
||||||||||||
End of year/period |
$ |
50,343,652 |
$ |
59,647,715 |
$ |
4,354,157 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
533,236 |
283,236 |
— |
||||||||||||
Shares sold |
50,000 |
900,000 |
200,001 |
||||||||||||
Shares repurchased |
— |
(650,000 |
) |
— |
|||||||||||
Shares outstanding, end of year/period |
583,236 |
533,236 |
200,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Statements of Changes in Net Assets
Direxion Daily MSCI Brazil Bull 2X Shares |
Direxion Daily MSCI India Bull 2X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
10,018,003 |
$ |
1,145,805 |
$ |
1,976,456 |
$ |
(876,295 |
) |
||||||||||
Net realized gain |
7,503,951 |
102,643,248 |
15,501,468 |
81,179,032 |
|||||||||||||||
Change in net unrealized appreciation (depreciation) |
63,680,999 |
(60,436,720 |
) |
(28,081,402 |
) |
(9,966,185 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
81,202,953 |
43,352,333 |
(10,603,478 |
) |
70,336,552 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(10,193,380 |
) |
(1,145,805 |
) |
(2,174,613 |
) |
— |
||||||||||||
Return of capital |
— |
(490,797 |
) |
— |
— |
||||||||||||||
Total distributions |
(10,193,380 |
) |
(1,636,602 |
) |
(2,174,613 |
) |
— |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
55,615,888 |
218,999,576 |
8,635,613 |
157,703,223 |
|||||||||||||||
Cost of shares redeemed |
(180,116,171 |
) |
(236,123,149 |
) |
(19,961,818 |
) |
(219,599,179 |
) |
|||||||||||
Transaction fees (Note 4) |
36,024 |
47,224 |
3,993 |
58,878 |
|||||||||||||||
Net decrease in net assets resulting from capital transactions |
(124,464,259 |
) |
(17,076,349 |
) |
(11,322,212 |
) |
(61,837,078 |
) |
|||||||||||
Total increase (decrease) in net assets |
(53,454,686 |
) |
24,639,382 |
(24,100,303 |
) |
8,499,474 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
185,491,922 |
160,852,540 |
92,845,619 |
84,346,145 |
|||||||||||||||
End of year/period |
$ |
132,037,236 |
$ |
185,491,922 |
$ |
68,745,316 |
$ |
92,845,619 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
2,758,631 |
2,608,631 |
1,499,686 |
2,749,686 |
|||||||||||||||
Shares sold |
750,000 |
2,400,000 |
150,000 |
2,600,000 |
|||||||||||||||
Shares repurchased |
(2,000,000 |
) |
(2,250,000 |
) |
(350,000 |
) |
(3,850,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,508,631 |
2,758,631 |
1,299,686 |
1,499,686 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Statements of Changes in Net Assets
Direxion Daily 5G Communications Bull 2X Shares |
Direxion Daily Cloud Computing Bull 2X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period June 10, 20211 through October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
For the Period January 8, 20211 through October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
22,507 |
$ |
4,994 |
$ |
(56,260 |
) |
$ |
(174,933 |
) |
|||||||||
Net realized gain (loss) |
(168,203 |
) |
(28,155 |
) |
(8,518,662 |
) |
2,518,027 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(1,014,625 |
) |
137,271 |
(9,878,669 |
) |
4,672,641 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(1,160,321 |
) |
114,110 |
(18,453,591 |
) |
7,015,735 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(25,984 |
) |
(4,840 |
) |
(916,786 |
) |
— |
||||||||||||
Total distributions |
(25,984 |
) |
(4,840 |
) |
(916,786 |
) |
— |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
1,565,845 |
5,000,025 |
6,755,008 |
30,376,308 |
|||||||||||||||
Cost of shares redeemed |
(1,566,103 |
) |
— |
(5,874,167 |
) |
(10,092,861 |
) |
||||||||||||
Transaction fees (Note 4) |
15,661 |
— |
1,535 |
1,957 |
|||||||||||||||
Net increase in net assets resulting from capital transactions |
15,403 |
5,000,025 |
882,376 |
20,285,404 |
|||||||||||||||
Total increase (decrease) in net assets |
(1,170,902 |
) |
5,109,295 |
(18,488,001 |
) |
27,301,139 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
5,109,295 |
— |
27,301,139 |
— |
|||||||||||||||
End of year/period |
$ |
3,938,393 |
$ |
5,109,295 |
$ |
8,813,138 |
$ |
27,301,139 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
200,001 |
— |
850,001 |
— |
|||||||||||||||
Shares sold |
50,000 |
200,001 |
350,000 |
1,200,001 |
|||||||||||||||
Shares repurchased |
(50,000 |
) |
— |
(325,000 |
) |
(350,000 |
) |
||||||||||||
Shares outstanding, end of year/period |
200,001 |
200,001 |
875,001 |
850,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Statements of Changes in Net Assets
Direxion Daily Cloud Computing Bear 2X Shares |
Direxion Daily Energy Bull 2X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period January 8, 20211 through October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(69,041 |
) |
$ |
(127,207 |
) |
$ |
7,578,609 |
$ |
12,969,518 |
|||||||||
Net realized gain (loss) |
6,451,079 |
(5,879,912 |
) |
357,680,964 |
308,653,486 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
5,627,348 |
(1,752,396 |
) |
(24,760,797 |
) |
298,039,398 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
12,009,386 |
(7,759,515 |
) |
340,498,776 |
619,662,402 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
(7,822,552 |
) |
(13,092,316 |
) |
|||||||||||||
Total distributions |
— |
— |
(7,822,552 |
) |
(13,092,316 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
1,147,843 |
23,273,757 |
505,743,928 |
345,538,387 |
|||||||||||||||
Cost of shares redeemed |
(6,407,965 |
) |
(3,199,803 |
) |
(811,962,872 |
) |
(609,987,702 |
) |
|||||||||||
Transaction fees (Note 4) |
1,922 |
834 |
210,299 |
136,002 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(5,258,200 |
) |
20,074,788 |
(306,008,645 |
) |
(264,313,313 |
) |
||||||||||||
Total increase in net assets |
6,751,186 |
12,315,273 |
26,667,579 |
342,256,773 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
12,315,273 |
— |
599,755,061 |
257,498,288 |
|||||||||||||||
End of year/period |
$ |
19,066,459 |
$ |
12,315,273 |
$ |
626,422,640 |
$ |
599,755,061 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
800,001 |
— |
18,963,531 |
30,463,531 |
|||||||||||||||
Shares sold |
50,000 |
925,001 |
11,200,000 |
18,350,000 |
|||||||||||||||
Shares repurchased |
(275,000 |
) |
(125,000 |
) |
(18,400,000 |
) |
(29,850,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
575,001 |
800,001 |
11,763,531 |
18,963,531 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Statements of Changes in Net Assets
Direxion Daily Energy Bear 2X Shares2 |
Direxion Daily Fintech Bull 2X Shares |
||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
For the Period January 20, 20221 through April 30, 2022 (Unaudited) |
|||||||||||||
Operations: |
|||||||||||||||
Net investment loss |
$ |
(128,214 |
) |
$ |
(280,063 |
) |
$ |
(3,875 |
) |
||||||
Net realized (loss) |
(22,980,190 |
) |
(38,073,006 |
) |
(469,136 |
) |
|||||||||
Change in net unrealized appreciation (depreciation) |
5,529,229 |
(16,329,694 |
) |
(1,217,797 |
) |
||||||||||
Net (decrease) in net assets resulting from operations |
(17,579,175 |
) |
(54,682,763 |
) |
(1,690,808 |
) |
|||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
— |
— |
— |
||||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
55,646,983 |
156,689,364 |
6,128,864 |
||||||||||||
Cost of shares redeemed |
(33,100,346 |
) |
(96,555,883 |
) |
— |
||||||||||
Transaction fees (Note 4) |
9,930 |
28,967 |
— |
||||||||||||
Net increase in net assets resulting from capital transactions |
22,556,567 |
60,162,448 |
6,128,864 |
||||||||||||
Total increase in net assets |
4,977,392 |
5,479,685 |
4,438,056 |
||||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
39,105,273 |
33,625,588 |
— |
||||||||||||
End of year/period |
$ |
44,082,665 |
$ |
39,105,273 |
$ |
4,438,056 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
355,706 |
45,706 |
— |
||||||||||||
Shares sold |
890,000 |
770,000 |
250,001 |
||||||||||||
Shares repurchased |
(425,000 |
) |
460,000 |
— |
|||||||||||
Shares outstanding, end of year/period |
820,706 |
355,706 |
250,001 |
1 Commencement of Operations.
2 Effective May 31, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
78
Statements of Changes in Net Assets
Direxion Daily Global Clean Energy Bull 2X Shares ETF |
Direxion Daily Gold Miners Index Bull 2X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period July 29, 20211 through October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
2,674 |
$ |
(13,091 |
) |
$ |
2,965,539 |
$ |
(4,700,270 |
) |
|||||||||
Net realized gain (loss) |
(2,630,456 |
) |
(81,426 |
) |
(75,584,786 |
) |
8,619,940 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(3,046,376 |
) |
1,556,585 |
220,626,175 |
(307,663,100 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(5,674,158 |
) |
1,462,068 |
148,006,928 |
(303,743,430 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(16,184 |
) |
— |
— |
— |
||||||||||||||
Total distributions |
(16,184 |
) |
— |
— |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
6,974,965 |
6,067,048 |
148,812,697 |
1,270,883,667 |
|||||||||||||||
Cost of shares redeemed |
(3,276,694 |
) |
— |
(469,031,319 |
) |
(1,248,537,836 |
) |
||||||||||||
Transaction fees (Note 4) |
789 |
— |
110,557 |
255,404 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
3,699,060 |
6,067,048 |
(320,108,065 |
) |
22,601,235 |
||||||||||||||
Total increase (decrease) in net assets |
(1,991,282 |
) |
7,529,116 |
(172,101,137 |
) |
(281,142,195 |
) |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
7,529,116 |
— |
750,864,079 |
1,032,006,274 |
|||||||||||||||
End of year/period |
$ |
5,537,834 |
$ |
7,529,116 |
$ |
578,762,942 |
$ |
750,864,079 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
250,001 |
— |
15,301,908 |
13,451,908 |
|||||||||||||||
Shares sold |
250,000 |
250,001 |
3,000,000 |
20,750,000 |
|||||||||||||||
Shares repurchased |
(150,000 |
) |
— |
(8,350,000 |
) |
(18,900,000 |
) |
||||||||||||
Shares outstanding, end of year/period |
350,001 |
250,001 |
9,951,908 |
15,301,908 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
79
Statements of Changes in Net Assets
Direxion Daily Gold Miners Index Bear 2X Shares |
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(304,182 |
) |
$ |
(786,586 |
) |
$ |
1,426,284 |
$ |
(545,141 |
) |
||||||||
Net realized gain (loss) |
(6,784,118 |
) |
8,499,717 |
16,478,863 |
(49,436,562 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(12,785,160 |
) |
17,699,304 |
(13,696,764 |
) |
(221,582,062 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(19,873,460 |
) |
25,412,435 |
4,208,383 |
(271,563,765 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
— |
— |
|||||||||||||||
Return of capital |
— |
— |
— |
(2,449,837 |
) |
||||||||||||||
Total distributions |
— |
— |
— |
(2,449,837 |
) |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
179,969,431 |
411,796,690 |
140,094,200 |
783,062,248 |
|||||||||||||||
Cost of shares redeemed |
(139,457,162 |
) |
(474,856,919 |
) |
(292,628,699 |
) |
(666,253,215 |
) |
|||||||||||
Transaction fees (Note 4) |
41,837 |
128,613 |
63,639 |
134,753 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
40,554,106 |
(62,931,616 |
) |
(152,470,860 |
) |
116,943,786 |
|||||||||||||
Total increase (decrease) in net assets |
20,680,646 |
(37,519,181 |
) |
(148,262,477 |
) |
(157,069,816 |
) |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
64,076,047 |
101,595,228 |
515,809,877 |
672,879,693 |
|||||||||||||||
End of year/period |
$ |
84,756,693 |
$ |
64,076,047 |
$ |
367,547,400 |
$ |
515,809,877 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
3,110,171 |
5,060,171 |
7,693,351 |
5,743,351 |
|||||||||||||||
Shares sold |
11,350,000 |
21,600,000 |
2,300,000 |
8,850,000 |
|||||||||||||||
Shares repurchased |
(8,400,000 |
) |
(23,550,000 |
) |
(4,200,000 |
) |
(6,900,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
6,060,171 |
3,110,171 |
5,793,351 |
7,693,351 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
80
Statements of Changes in Net Assets
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
Direxion Daily Metal Miners Bull 2X Shares |
||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
For the Period December 16, 20211 through April 30, 2022 (Unaudited) |
|||||||||||||
Operations: |
|||||||||||||||
Net investment loss |
$ |
(307,622 |
) |
$ |
(660,911 |
) |
$ |
(12,368 |
) |
||||||
Net realized gain (loss) |
(21,998,348 |
) |
7,764,779 |
6,204,267 |
|||||||||||
Change in net unrealized appreciation (depreciation) |
17,459,721 |
16,618,639 |
(3,741,921 |
) |
|||||||||||
Net increase (decrease) in net assets resulting from operations |
(4,846,249 |
) |
23,722,507 |
2,449,978 |
|||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
— |
— |
— |
||||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
120,214,269 |
303,061,049 |
25,828,622 |
||||||||||||
Cost of shares redeemed |
(112,193,166 |
) |
(334,778,915 |
) |
(4,347,148 |
) |
|||||||||
Transaction fees (Note 4) |
33,658 |
100,434 |
869 |
||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
8,054,761 |
(31,617,432 |
) |
21,482,343 |
|||||||||||
Total increase (decrease) in net assets |
3,208,512 |
(7,894,925 |
) |
23,932,321 |
|||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
75,674,800 |
83,569,725 |
— |
||||||||||||
End of year/period |
$ |
78,883,312 |
$ |
75,674,800 |
$ |
23,932,321 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
6,882,449 |
7,132,449 |
— |
||||||||||||
Shares sold |
13,050,000 |
30,400,000 |
650,001 |
||||||||||||
Shares repurchased |
(11,000,000 |
) |
(30,650,000 |
) |
(100,000 |
) |
|||||||||
Shares outstanding, end of year/period |
8,932,449 |
6,882,449 |
550,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
81
Statements of Changes in Net Assets
Direxion Daily Oil Services Bull 2X Shares |
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
||||||||||||||
For the Period January 20, 20221 through April 30, 2022 (Unaudited) |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
|||||||||||||
Operations: |
|||||||||||||||
Net investment loss |
$ |
(12,410 |
) |
$ |
(145,703 |
) |
$ |
(439,632 |
) |
||||||
Net realized gain (loss) |
520,743 |
(6,904,749 |
) |
30,972,584 |
|||||||||||
Change in net unrealized appreciation (depreciation) |
79,883 |
(21,227,815 |
) |
(3,542,745 |
) |
||||||||||
Net increase (decrease) in net assets resulting from operations |
588,216 |
(28,278,267 |
) |
26,990,207 |
|||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
(1,428 |
) |
(905,597 |
) |
(8,502,373 |
) |
|||||||||
Total distributions |
(1,428 |
) |
(905,597 |
) |
(8,502,373 |
) |
|||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
17,890,608 |
— |
61,949,312 |
||||||||||||
Cost of shares redeemed |
(1,714,447 |
) |
— |
(78,700,624 |
) |
||||||||||
Transaction fees (Note 4) |
343 |
— |
21,880 |
||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
16,176,504 |
— |
(16,729,432 |
) |
|||||||||||
Total increase (decrease) in net assets |
16,763,292 |
(29,183,864 |
) |
1,758,402 |
|||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
— |
46,002,981 |
44,244,579 |
||||||||||||
End of year/period |
$ |
16,763,292 |
$ |
16,819,117 |
$ |
46,002,981 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
— |
923,646 |
1,323,645 |
||||||||||||
Shares sold |
550,001 |
— |
1,300,001 |
||||||||||||
Shares repurchased |
(50,000 |
) |
— |
(1,700,000 |
) |
||||||||||
Shares outstanding, end of year/period |
500,001 |
923,646 |
923,646 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
82
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 Shares1 |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
591,212 |
$ |
(1,837,763 |
) |
$ |
(383,136 |
) |
$ |
(581,954 |
) |
||||||||
Net realized gain (loss) |
591,654,639 |
401,179,799 |
(83,291,930 |
) |
(86,858,681 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(241,999,960 |
) |
681,671,431 |
37,255,201 |
(55,088,450 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
350,245,891 |
1,081,013,467 |
(46,419,865 |
) |
(142,529,085 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(875,162 |
) |
— |
— |
||||||||||||||
Return of capital |
— |
(116 |
) |
— |
(7,191 |
) |
|||||||||||||
Total distributions |
— |
(875,278 |
) |
— |
(7,191 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
437,604,964 |
694,180,923 |
246,134,342 |
417,762,619 |
|||||||||||||||
Cost of shares redeemed |
(785,961,458 |
) |
(1,225,559,152 |
) |
(193,665,344 |
) |
(220,848,691 |
) |
|||||||||||
Transaction fees (Note 4) |
192,304 |
280,356 |
58,088 |
66,255 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(348,164,190 |
) |
(531,097,873 |
) |
52,527,086 |
196,980,183 |
|||||||||||||
Total increase in net assets |
2,081,701 |
549,040,316 |
6,107,221 |
54,443,907 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
891,290,062 |
342,249,746 |
93,489,741 |
39,045,834 |
|||||||||||||||
End of year/period |
$ |
893,371,763 |
$ |
891,290,062 |
$ |
99,596,962 |
$ |
93,489,741 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
8,078,422 |
17,528,422 |
1,924,620 |
54,620 |
|||||||||||||||
Shares sold |
3,850,000 |
10,250,000 |
7,530,000 |
3,780,000 |
|||||||||||||||
Shares repurchased |
(6,300,000 |
) |
(19,700,000 |
) |
(5,346,725 |
) |
1,910,000 |
||||||||||||
Shares outstanding, end of year/period |
5,628,422 |
8,078,422 |
4,107,895 |
1,924,620 |
1 Effective March 28, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
83
Statements of Changes in Net Assets
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
Direxion Daily Software Bull 2X Shares |
||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period September 30, 20211 through October 31, 2021 |
For the Period December 16, 20211 through April 30, 2022 (Unaudited) |
|||||||||||||
Operations: |
|||||||||||||||
Net investment loss |
$ |
(38,532 |
) |
$ |
(5,174 |
) |
$ |
(9,742 |
) |
||||||
Net realized gain (loss) |
(9,786,579 |
) |
412,332 |
(1,254,379 |
) |
||||||||||
Change in net unrealized appreciation (depreciation) |
(2,109,167 |
) |
648,393 |
(1,298,129 |
) |
||||||||||
Net increase (decrease) in net assets resulting from operations |
(11,934,278 |
) |
1,055,551 |
(2,562,250 |
) |
||||||||||
Distributions to shareholders: |
|||||||||||||||
Net distributions to shareholders |
(413,253 |
) |
— |
— |
|||||||||||
Total distributions |
(413,253 |
) |
— |
— |
|||||||||||
Capital share transactions: |
|||||||||||||||
Proceeds from shares sold |
14,700,198 |
6,357,007 |
13,163,420 |
||||||||||||
Cost of shares redeemed |
(1,958,961 |
) |
— |
(7,327,983 |
) |
||||||||||
Transaction fees (Note 4) |
509 |
— |
13,382 |
||||||||||||
Net increase in net assets resulting from capital transactions |
12,741,746 |
6,357,007 |
5,848,819 |
||||||||||||
Total increase in net assets |
394,215 |
7,412,558 |
3,286,569 |
||||||||||||
Net assets: |
|||||||||||||||
Beginning of year/period |
7,412,558 |
— |
— |
||||||||||||
End of year/period |
$ |
7,806,773 |
$ |
7,412,558 |
$ |
3,286,569 |
|||||||||
Changes in shares outstanding |
|||||||||||||||
Shares outstanding, beginning of year/period |
250,001 |
— |
— |
||||||||||||
Shares sold |
900,000 |
250,001 |
650,001 |
||||||||||||
Shares repurchased |
(100,000 |
) |
— |
(400,000 |
) |
||||||||||
Shares outstanding, end of year/period |
1,050,001 |
250,001 |
250,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
84
Statements of Changes in Net Assets
Direxion Daily TIPS Bull 2X Shares |
Direxion Daily TIPS Bear 2X Shares |
||||||||||
For the Period April 7, 20221 through April 30, 2022 (Unaudited) |
For the Period April 7, 20221 through April 30, 2022 (Unaudited) |
||||||||||
Operations: |
|||||||||||
Net investment loss |
$ |
(3,559 |
) |
$ |
(2,723 |
) |
|||||
Net realized (loss) |
(1,401 |
) |
(6,883 |
) |
|||||||
Change in net unrealized appreciation (depreciation) |
(35,468 |
) |
34,104 |
||||||||
Net increase (decrease) in net assets resulting from operations |
(40,428 |
) |
24,498 |
||||||||
Distributions to shareholders: |
|||||||||||
Net distributions to shareholders |
— |
— |
|||||||||
Capital share transactions: |
|||||||||||
Proceeds from shares sold |
7,467,991 |
6,271,309 |
|||||||||
Cost of shares redeemed |
— |
— |
|||||||||
Net increase in net assets resulting from capital transactions |
7,467,991 |
6,271,309 |
|||||||||
Total increase in net assets |
7,427,563 |
6,295,807 |
|||||||||
Net assets: |
|||||||||||
Beginning of year/period |
— |
— |
|||||||||
End of year/period |
$ |
7,427,563 |
$ |
6,295,807 |
|||||||
Changes in shares outstanding |
|||||||||||
Shares outstanding, beginning of year/period |
— |
— |
|||||||||
Shares sold |
300,001 |
250,001 |
|||||||||
Shares repurchased |
— |
— |
|||||||||
Shares outstanding, end of year/period |
300,001 |
250,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
85
Statements of Changes in Net Assets
Direxion Daily Travel & Vacation Bull 2X Shares |
Direxion Daily US Infrastructure Bull 2X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
For the Period June 10, 20211 through October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
For the Period September 23, 20211 through October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(73,750 |
) |
$ |
(14,261 |
) |
$ |
17,769 |
$ |
(1,016 |
) |
||||||||
Net realized gain (loss) |
(7,292,545 |
) |
(808,277 |
) |
29,819 |
14,285 |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(3,297,836 |
) |
(490,865 |
) |
(765,071 |
) |
524,854 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(10,664,131 |
) |
(1,313,403 |
) |
(717,483 |
) |
538,123 |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
(19,776 |
) |
— |
||||||||||||||
Total distributions |
— |
— |
(19,776 |
) |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
65,557,162 |
14,865,822 |
1,494,562 |
5,000,025 |
|||||||||||||||
Cost of shares redeemed |
(21,647,298 |
) |
(1,105,845 |
) |
— |
— |
|||||||||||||
Transaction fees (Note 4) |
4,584 |
221 |
— |
— |
|||||||||||||||
Net increase in net assets resulting from capital transactions |
43,914,448 |
13,760,198 |
1,494,562 |
5,000,025 |
|||||||||||||||
Total increase in net assets |
33,250,317 |
12,446,795 |
757,303 |
5,538,148 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
12,446,795 |
— |
5,538,148 |
— |
|||||||||||||||
End of year/period |
$ |
45,697,112 |
$ |
12,446,795 |
$ |
6,295,451 |
$ |
5,538,148 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
600,001 |
— |
200,001 |
— |
|||||||||||||||
Shares sold |
3,550,000 |
650,001 |
50,000 |
200,001 |
|||||||||||||||
Shares repurchased |
(1,300,000 |
) |
(50,000 |
) |
— |
— |
|||||||||||||
Shares outstanding, end of year/period |
2,850,001 |
600,001 |
250,001 |
200,001 |
1 Commencement of Operations.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
86
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses6 |
Total Expenses |
Net Investment Income (Loss) after Expense Reimbursement |
Net 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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
16.74 |
$ |
(0.06 |
) |
$ |
(0.06 |
) |
$ |
3.77 |
$ |
3.71 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
20.45 |
22.16 |
% |
$ |
160,545 |
0.73 |
% |
0.73 |
% |
(0.65 |
)% |
0.73 |
% |
0.73 |
% |
(0.65 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
14.64 |
(0.03 |
) |
(0.03 |
) |
1.26 |
1.23 |
— |
— |
— |
— |
$ |
15.87 |
8.40 |
% |
$ |
356,313 |
0.45 |
% |
0.50 |
% |
(0.35 |
)% |
0.45 |
% |
0.50 |
% |
(0.35 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
39.31 |
0.04 |
0.04 |
(15.63 |
) |
(15.59 |
) |
(0.05 |
) |
(0.69 |
) |
— |
(0.74 |
) |
$ |
22.98 |
-40.47 |
% |
$ |
59,742 |
0.89 |
% |
0.89 |
% |
0.22 |
% |
0.89 |
% |
0.89 |
% |
0.22 |
% |
24 |
% |
||||||||||||||||||||||||||||||||||||||||||||
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 Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
194.10 |
(0.41 |
) |
(0.41 |
) |
(135.24 |
) |
(135.65 |
) |
— |
— |
— |
— |
$ |
58.45 |
-69.86 |
% |
$ |
339,008 |
0.87 |
% |
0.87 |
% |
(0.83 |
)% |
0.87 |
% |
0.87 |
% |
(0.83 |
)% |
45 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
539.10 |
(2.20 |
) |
(2.20 |
) |
(342.80 |
) |
(345.00 |
) |
— |
— |
— |
— |
$ |
194.10 |
-64.00 |
% |
$ |
314,433 |
0.89 |
% |
0.88 |
% |
(0.70 |
)% |
0.89 |
% |
0.88 |
% |
(0.70 |
)% |
23 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
241.90 |
(0.30 |
) |
(0.10 |
) |
298.50 |
298.20 |
(0.60 |
) |
— |
(0.40 |
) |
(1.00 |
) |
$ |
539.10 |
123.61 |
% |
$ |
56,608 |
1.00 |
% |
1.01 |
% |
(0.09 |
)% |
0.95 |
% |
0.96 |
% |
(0.04 |
)% |
40 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
227.00 |
1.80 |
2.00 |
15.00 |
16.80 |
(1.90 |
) |
— |
— |
(1.90 |
) |
$ |
241.90 |
7.53 |
% |
$ |
53,219 |
1.03 |
% |
1.03 |
% |
0.74 |
% |
0.94 |
% |
0.94 |
% |
0.83 |
% |
13 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
490.70 |
2.20 |
2.80 |
(248.70 |
) |
(246.50 |
) |
(2.00 |
) |
(15.20 |
) |
— |
(17.20 |
) |
$ |
227.00 |
-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 |
$ |
250.00 |
(2.10 |
) |
(2.10 |
) |
242.80 |
240.70 |
— |
— |
— |
— |
$ |
490.70 |
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
111.86 |
0.36 |
0.36 |
(22.69 |
) |
(22.33 |
) |
(0.94 |
) |
(2.27 |
) |
— |
(3.21 |
) |
$ |
86.32 |
-20.61 |
% |
$ |
50,344 |
0.60 |
% |
0.69 |
% |
0.68 |
% |
0.60 |
% |
0.69 |
% |
0.68 |
% |
33 |
% |
||||||||||||||||||||||||||||||||||||||||||||
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 S&P 500 Equal Weight Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 20, 20228 through April 30, 2022 |
$ |
25.00 |
0.02 |
0.02 |
(3.25 |
) |
(3.23 |
) |
— |
— |
— |
— |
$ |
21.77 |
-12.92 |
% |
$ |
4,354 |
0.95 |
% |
1.72 |
% |
0.25 |
% |
0.95 |
% |
1.72 |
% |
0.25 |
% |
28 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
87
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses6 |
Total Expenses |
Net Investment Income (Loss) after Expense Reimbursement |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Portfolio Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
67.24 |
$ |
4.12 |
$ |
4.13 |
$ |
19.90 |
$ |
24.02 |
$ |
(3.74 |
) |
$ |
— |
$ |
— |
$ |
(3.74 |
) |
$ |
87.52 |
37.73 |
% |
$ |
132,037 |
0.93 |
% |
0.93 |
% |
10.20 |
% |
0.91 |
% |
0.91 |
% |
10.22 |
% |
30 |
% |
|||||||||||||||||||||||||||||||||||||||
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 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
61.91 |
1.38 |
1.38 |
(9.00 |
) |
(7.62 |
) |
(1.40 |
) |
— |
— |
(1.40 |
) |
$ |
52.89 |
-12.41 |
% |
$ |
68,745 |
0.91 |
% |
0.91 |
% |
4.75 |
% |
0.90 |
% |
0.90 |
% |
4.76 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
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 5G Communications Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
25.55 |
0.11 |
0.11 |
(5.84 |
) |
(5.73 |
) |
(0.10 |
) |
(0.03 |
) |
— |
(0.13 |
) |
$ |
19.69 |
-22.60 |
% |
$ |
3,938 |
0.95 |
% |
1.36 |
% |
0.86 |
% |
0.95 |
% |
1.36 |
% |
0.86 |
% |
12 |
% |
||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
32.12 |
(0.06 |
) |
(0.06 |
) |
(20.97 |
) |
(21.03 |
) |
— |
(1.02 |
) |
— |
(1.02 |
) |
$ |
10.07 |
-67.18 |
% |
$ |
8,813 |
0.95 |
% |
1.12 |
% |
(0.70 |
)% |
0.95 |
% |
1.12 |
% |
(0.70 |
)% |
12 |
% |
|||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
15.39 |
(0.10 |
) |
(0.10 |
) |
17.87 |
17.77 |
— |
— |
— |
— |
$ |
33.16 |
115.46 |
% |
$ |
19,066 |
0.97 |
% |
1.15 |
% |
(0.89 |
)% |
0.95 |
% |
1.13 |
% |
(0.87 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
31.63 |
0.49 |
0.49 |
21.67 |
22.16 |
(0.54 |
) |
— |
— |
(0.54 |
) |
$ |
53.25 |
70.56 |
% |
$ |
626,423 |
0.94 |
% |
0.94 |
% |
2.40 |
% |
0.92 |
% |
0.92 |
% |
2.42 |
% |
1 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
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 Shares12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
109.90 |
(0.30 |
) |
(0.30 |
) |
(55.89 |
) |
(56.19 |
) |
— |
— |
— |
— |
$ |
53.71 |
-51.14 |
% |
$ |
44,083 |
0.95 |
% |
0.99 |
% |
(0.85 |
)% |
0.95 |
% |
0.99 |
% |
(0.85 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
735.70 |
(1.70 |
) |
(1.70 |
) |
(624.10 |
) |
(625.80 |
) |
— |
— |
— |
— |
$ |
109.90 |
-85.06 |
% |
$ |
39,105 |
0.95 |
% |
0.99 |
% |
(0.93 |
)% |
0.95 |
% |
0.99 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
506.10 |
(1.90 |
) |
(1.60 |
) |
233.80 |
231.90 |
(1.50 |
) |
— |
(0.80 |
) |
(2.30 |
) |
$ |
735.70 |
45.80 |
% |
$ |
33,626 |
1.00 |
% |
1.09 |
% |
(0.32 |
)% |
0.95 |
% |
1.04 |
% |
(0.27 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
448.70 |
5.70 |
6.60 |
58.90 |
64.60 |
(7.20 |
) |
— |
— |
(7.20 |
) |
$ |
506.10 |
14.51 |
% |
$ |
25,663 |
1.14 |
% |
1.22 |
% |
1.22 |
% |
0.95 |
% |
1.03 |
% |
1.41 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
558.50 |
2.60 |
2.80 |
(110.80 |
) |
(108.20 |
) |
(1.60 |
) |
— |
— |
(1.60 |
) |
$ |
448.70 |
-19.34 |
% |
$ |
51,915 |
1.00 |
% |
1.04 |
% |
0.65 |
% |
0.95 |
% |
0.99 |
% |
0.70 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
670.00 |
(2.00 |
) |
(1.50 |
) |
(109.50 |
) |
(111.50 |
) |
— |
— |
— |
— |
$ |
558.50 |
-16.64 |
% |
$ |
53,454 |
0.96 |
% |
1.04 |
% |
(0.31 |
)% |
0.95 |
% |
1.03 |
% |
(0.30 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
88
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses6 |
Total Expenses |
Net Investment Income (Loss) after Expense Reimbursement |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Portfolio Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Fintech Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 20, 20228 through April 30, 2022 |
$ |
25.00 |
$ |
(0.02 |
) |
$ |
(0.02 |
) |
$ |
(7.23 |
) |
$ |
(7.25 |
) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
17.75 |
-29.00 |
% |
$ |
4,438 |
0.95 |
% |
1.99 |
% |
(0.26 |
)% |
0.95 |
% |
1.99 |
% |
(0.26 |
)% |
42 |
% |
|||||||||||||||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares ETF |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
30.12 |
0.01 |
0.01 |
(14.26 |
) |
(14.25 |
) |
(0.05 |
) |
— |
— |
(0.05 |
) |
$ |
15.82 |
-47.36 |
% |
$ |
5,538 |
0.96 |
% |
1.47 |
% |
0.07 |
% |
0.95 |
% |
1.46 |
% |
0.08 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
49.07 |
0.22 |
0.23 |
8.87 |
9.09 |
— |
— |
— |
— |
$ |
58.16 |
18.52 |
% |
$ |
578,763 |
0.88 |
% |
0.87 |
% |
0.81 |
% |
0.87 |
% |
0.86 |
% |
0.82 |
% |
61 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
20.60 |
(0.07 |
) |
(0.06 |
) |
(6.54 |
) |
(6.61 |
) |
— |
— |
— |
— |
$ |
13.99 |
-32.09 |
% |
$ |
84,757 |
0.95 |
% |
0.93 |
% |
(0.85 |
)% |
0.95 |
% |
0.93 |
% |
(0.85 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
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 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
67.05 |
0.21 |
0.21 |
(3.82 |
) |
(3.61 |
) |
— |
— |
— |
— |
$ |
63.44 |
-5.38 |
% |
$ |
367,547 |
0.85 |
% |
0.85 |
% |
0.63 |
% |
0.85 |
% |
0.85 |
% |
0.63 |
% |
44 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
11.00 |
(0.04 |
) |
(0.04 |
) |
(2.13 |
) |
(2.17 |
) |
— |
— |
— |
— |
$ |
8.83 |
-19.73 |
% |
$ |
78,883 |
0.92 |
% |
0.92 |
% |
(0.84 |
)% |
0.91 |
% |
0.91 |
% |
(0.83 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
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 Metal Miners Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period December 16, 20218 through April 30, 2022 |
$ |
25.00 |
(0.04 |
) |
(0.04 |
) |
18.55 |
18.51 |
— |
— |
— |
— |
$ |
43.51 |
74.04 |
% |
$ |
23,932 |
0.95 |
% |
1.15 |
% |
(0.24 |
)% |
0.95 |
% |
1.15 |
% |
(0.24 |
)% |
32 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period January 20, 20228 through April 30, 2022 |
$ |
25.00 |
(0.04 |
) |
(0.04 |
) |
8.57 |
8.53 |
0.00 |
— |
— |
— |
$ |
33.53 |
34.13 |
% |
$ |
16,763 |
0.95 |
% |
1.17 |
% |
(0.45 |
)% |
0.95 |
% |
1.17 |
% |
(0.45 |
)% |
36 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
89
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses6 |
Total Expenses |
Net Investment Income (Loss) after Expense Reimbursement |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Portfolio Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
49.81 |
$ |
(0.16 |
) |
$ |
(0.16 |
) |
$ |
(30.46 |
) |
$ |
(30.62 |
) |
$ |
— |
$ |
(0.98 |
) |
$ |
— |
$ |
(0.98 |
) |
$ |
18.21 |
-62.64 |
% |
$ |
16,819 |
0.95 |
% |
0.97 |
% |
(0.91 |
)% |
0.95 |
% |
0.97 |
% |
(0.91 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||
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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
110.33 |
0.08 |
0.10 |
48.32 |
48.40 |
— |
— |
— |
— |
$ |
158.73 |
43.86 |
% |
$ |
893,372 |
0.95 |
% |
0.95 |
% |
0.13 |
% |
0.92 |
% |
0.92 |
% |
0.16 |
% |
24 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
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 Shares11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
48.60 |
(0.15 |
) |
(0.15 |
) |
(24.20 |
) |
(24.35 |
) |
— |
— |
— |
— |
$ |
24.25 |
-50.10 |
% |
$ |
99,597 |
0.95 |
% |
0.94 |
% |
(0.85 |
)% |
0.95 |
% |
0.94 |
% |
(0.85 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
714.90 |
(0.90 |
) |
(0.90 |
) |
(655.40 |
) |
(666.30 |
) |
0.0010 |
— |
— |
0.0010 |
$ |
48.60 |
-93.20 |
% |
$ |
93,490 |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
739.40 |
(3.00 |
) |
(1.40 |
) |
(21.20 |
) |
(24.20 |
) |
(0.30 |
) |
— |
— |
(0.30 |
) |
$ |
714.90 |
-3.26 |
% |
$ |
39,046 |
1.18 |
% |
1.24 |
% |
(0.44 |
)% |
0.95 |
% |
1.01 |
% |
(0.21 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
362.50 |
4.40 |
6.70 |
379.20 |
383.60 |
(6.70 |
) |
— |
— |
(6.70 |
) |
$ |
739.40 |
106.33 |
% |
$ |
36,006 |
1.40 |
% |
1.46 |
% |
0.88 |
% |
0.95 |
% |
1.01 |
% |
1.33 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
685.80 |
2.50 |
2.50 |
(324.20 |
) |
(321.70 |
) |
(1.60 |
) |
— |
— |
(1.60 |
) |
$ |
362.50 |
-46.86 |
% |
$ |
42,465 |
0.99 |
% |
1.02 |
% |
0.77 |
% |
0.95 |
% |
0.98 |
% |
0.81 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
1040.00 |
(2.90 |
) |
(2.10 |
) |
(351.30 |
) |
(354.20 |
) |
— |
— |
— |
— |
$ |
685.80 |
-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 Six Months Ended April 30, 2022 (Unaudited) |
$ |
29.65 |
(0.07 |
) |
(0.07 |
) |
(20.96 |
) |
(21.03 |
) |
— |
(1.18 |
) |
— |
(1.18 |
) |
$ |
7.44 |
-73.75 |
% |
$ |
7,807 |
0.95 |
% |
1.19 |
% |
(0.86 |
)% |
0.95 |
% |
1.19 |
% |
(0.86 |
)% |
50 |
% |
|||||||||||||||||||||||||||||||||||||||||||
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 Software Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period December 16, 20218 through April 30, 2022 |
$ |
25.00 |
(0.04 |
) |
(0.04 |
) |
(11.81 |
) |
(11.85 |
) |
— |
— |
— |
— |
$ |
13.15 |
-47.40 |
% |
$ |
3,287 |
0.95 |
% |
2.10 |
% |
(0.63 |
)% |
0.95 |
% |
2.10 |
% |
(0.63 |
)% |
74 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily TIPS Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period April 7, 20228 through April 30, 2022 |
$ |
25.00 |
(0.01 |
) |
(0.01 |
) |
(0.23 |
) |
(0.24 |
) |
— |
— |
— |
— |
$ |
24.76 |
-0.96 |
% |
$ |
7,428 |
0.95 |
% |
1.55 |
% |
(0.89 |
)% |
0.95 |
% |
1.55 |
% |
(0.89 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily TIPS Bear 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period April 7, 20228 through April 30, 2022 |
$ |
25.00 |
(0.01 |
) |
(0.01 |
) |
0.19 |
0.18 |
— |
— |
— |
— |
$ |
25.18 |
0.72 |
% |
$ |
6,296 |
0.95 |
% |
1.62 |
% |
(0.75 |
)% |
0.95 |
% |
1.62 |
% |
(0.75 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
20.74 |
(0.04 |
) |
(0.04 |
) |
(4.67 |
) |
(4.71 |
) |
— |
— |
— |
— |
$ |
16.03 |
-22.71 |
% |
$ |
45,697 |
0.95 |
% |
0.97 |
% |
(0.45 |
)% |
0.95 |
% |
0.97 |
% |
(0.45 |
)% |
4 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
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 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
90
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1 |
Net Investment Income (Loss)1,2 |
Net Realized and Unrealized Gain (Loss) on Investments3 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return4 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses6 |
Total Expenses |
Net Investment Income (Loss) after Expense Reimbursement |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Portfolio Turnover Rate7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
27.69 |
$ |
0.07 |
$ |
0.07 |
$ |
(2.50 |
) |
$ |
(2.43 |
) |
$ |
(0.03 |
) |
$ |
(0.05 |
) |
$ |
— |
$ |
(0.08 |
) |
$ |
25.18 |
-8.81 |
% |
$ |
6,295 |
0.95 |
% |
1.51 |
% |
0.52 |
% |
0.95 |
% |
1.51 |
% |
0.52 |
% |
20 |
% |
||||||||||||||||||||||||||||||||||||
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.
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 March 28, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
12 Effective May 31, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
91
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2022
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008, and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 82 separate series (each, a "Fund" and together the "Funds"). 30 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 S&P 500® Equal Weight Bull 2X Shares |
|||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
|||||||
Direxion Daily MSCI India 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 FinTech Bull 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 Metal Miners Bull 2X Shares |
|||||||
Direxion Daily Oil Services Bull 2X Shares |
|||||||
Direxion Daily Robotics, Artificial Intelligence & Automation |
|||||||
Index Bull 2X Shares |
|||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
|||||||
Direxion Daily Software Bull 2X Shares |
|||||||
Direxion Daily TIPS Bull 2X Shares |
Direxion Daily TIPS Bear 2X Shares |
||||||
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.
DIREXION SEMI-ANNUAL REPORT
92
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 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 S&P 500® Equal Weight Bull 2X Shares |
S&P 500® Equal Weight 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 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 Daily FinTech Bull 2X Shares |
Indxx US Fintech and Decentralized Finance 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 Metal Miners Bull 2X Shares |
S&P Metals & Mining Select Industry Index |
200 |
% |
||||||||
Direxion Daily Oil Services Bull 2X Shares |
MVIS US Listed Oil Services 25 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 |
-200 |
% |
||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
ICE FANG 20 Index |
200 |
% |
||||||||
Direxion Daily Software Bull 2X Shares |
S&P North American Expanded Technology |
200 |
% |
||||||||
Direxion Daily TIPS Bull 2X Shares |
200 |
% |
|||||||||
Direxion Daily TIPS Bear 2X Shares |
Solactive TIPS ETF 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,
DIREXION SEMI-ANNUAL REPORT
93
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.
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 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
DIREXION SEMI-ANNUAL REPORT
94
Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. 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 April 30, 2022, 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 April 30, 2022 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: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
$ |
6,765,003 |
$ |
— |
$ |
2,770,000 |
$ |
3,995,003 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
— |
— |
— |
— |
964,446 |
— |
964,4461 |
— |
|||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
75,367 |
— |
75,3671 |
— |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
95
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
278,745 |
$ |
— |
$ |
278,7451 |
$ |
— |
|||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
28,943,430 |
— |
28,943,4301 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
3,247,596 |
— |
3,247,5961 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
— |
— |
— |
— |
12,585,118 |
— |
12,585,1181 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
579,099 |
— |
30,000 |
549,099 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
— |
— |
— |
— |
492,844 |
— |
492,8441 |
— |
|||||||||||||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
— |
— |
— |
— |
111,479 |
— |
111,4791 |
— |
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: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
10,925,898 |
$ |
— |
$ |
10,925,8981 |
$ |
— |
|||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
10,180,498 |
— |
10,180,4981 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
— |
— |
— |
— |
625,406 |
— |
625,4061 |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
51,989,993 |
— |
51,989,9931 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
1,052,759 |
— |
670,000 |
382,759 |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
96
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
$ |
16,060,683 |
$ |
— |
$ |
16,060,6831 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
1,537,843 |
— |
1,537,8431 |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
460,723 |
460,723 |
— |
— |
34,024,827 |
460,723 |
33,564,1041 |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
5,782,900 |
— |
5,291,000 |
491,900 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
87,717,778 |
— |
87,717,7781 |
— |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Barclays
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
34,693 |
$ |
— |
$ |
— |
$ |
34,693 |
|||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
1,270,614 |
— |
1,270,6141 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
— |
— |
— |
— |
268,497 |
— |
268,4971 |
— |
|||||||||||||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
— |
— |
— |
— |
393,266 |
— |
393,2661 |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
2,828 |
— |
2,8281 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
— |
1,140,081 |
— |
1,140,0811 |
— |
DIREXION SEMI-ANNUAL REPORT
97
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
13,543 |
$ |
— |
$ |
— |
$ |
13,543 |
|||||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
— |
— |
— |
— |
253,408 |
— |
253,4081 |
— |
|||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
752,533 |
— |
752,5331 |
— |
|||||||||||||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
— |
— |
— |
— |
272,141 |
— |
272,1411 |
— |
|||||||||||||||||||||||||||
Direxion Daily Software Bull 2X Shares |
— |
— |
— |
— |
65,442 |
— |
— |
65,442 |
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: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
1,039,275 |
$ |
— |
$ |
1,039,2751 |
$ |
— |
|||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
— |
— |
— |
— |
9,063,896 |
— |
9,063,8961 |
— |
|||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
— |
— |
— |
— |
15,902,840 |
— |
15,902,8401 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
— |
— |
— |
112,749 |
— |
112,7491 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
— |
— |
— |
— |
296,140 |
— |
296,1401 |
— |
|||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
— |
— |
— |
— |
1,322,552 |
— |
1,322,5521 |
— |
DIREXION SEMI-ANNUAL REPORT
98
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
$ |
3,799,585 |
$ |
— |
$ |
3,669,000 |
$ |
130,585 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
— |
— |
— |
— |
34,789 |
— |
34,7891 |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
268,211 |
— |
268,2111 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
4,229,609 |
— |
3,557,001 |
672,608 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
39,988,791 |
— |
39,988,7911 |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
9,974,483 |
— |
8,364,000 |
1,610,483 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
706,316 |
— |
706,3161 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
44,497,931 |
— |
43,604,000 |
893,931 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
2,443,442 |
— |
— |
2,443,442 |
— |
— |
— |
— |
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 SEMI-ANNUAL REPORT
99
Description: Swap Contract
Counterparty: Credit Suisse International
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
$ |
8,043,212 |
$ |
— |
$ |
5,230,000 |
$ |
2,813,212 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
— |
— |
— |
2,154,719 |
— |
2,154,7191 |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
26,708,832 |
— |
26,708,8321 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
— |
2,088,459 |
— |
2,088,4591 |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
9,815,196 |
— |
9,449,984 |
365,212 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
1,963,359 |
— |
— |
1,963,359 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
3,321,939 |
— |
3,190,000 |
131,939 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
411,709 |
— |
411,7091 |
— |
|||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
2,713,067 |
— |
2,713,0671 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
68,838,975 |
— |
67,620,000 |
1,218,975 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
1,808,628 |
— |
1,808,6281 |
— |
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 SEMI-ANNUAL REPORT
100
Description: Swap Contract
Counterparty: Goldman Sachs
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
1,779,629 |
$ |
— |
$ |
1,779,6291 |
$ |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: J.P. Morgan
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
457,593 |
$ |
— |
$ |
457,5931 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
— |
— |
— |
— |
1,032,072 |
— |
1,032,0721 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
— |
— |
— |
— |
2,733,309 |
— |
2,733,3091 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
— |
— |
— |
— |
1,005,240 |
— |
1,005,2401 |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
6,629,642 |
— |
6,629,6421 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
388,725 |
— |
38 |
388,687 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
9,221,797 |
— |
9,221,7971 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
3,523,627 |
— |
3,523,6271 |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
5,638,944 |
— |
5,638,9441 |
— |
DIREXION SEMI-ANNUAL REPORT
101
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
1,303,981 |
$ |
— |
$ |
1,303,9811 |
$ |
— |
|||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
1,384,162 |
— |
1,384,1621 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
— |
— |
— |
— |
19,747,081 |
— |
19,747,0811 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
487,102 |
— |
487,1021 |
— |
|||||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
— |
— |
— |
— |
418,030 |
— |
418,0301 |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: UBS Securities LLC
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
6,280,017 |
$ |
— |
$ |
6,280,0171 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
312,123 |
— |
312,1231 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
— |
— |
— |
— |
6,682,710 |
— |
6,682,7101 |
— |
|||||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
— |
— |
— |
— |
24,849,327 |
— |
24,849,3271 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
— |
— |
— |
1,865,724 |
— |
1,865,7241 |
— |
DIREXION SEMI-ANNUAL REPORT
102
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
280,680 |
$ |
— |
$ |
280,6801 |
$ |
— |
|||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
— |
— |
— |
— |
700,675 |
— |
700,6751 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
136,866 |
— |
136,8661 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
— |
— |
— |
— |
43,912 |
— |
43,9121 |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
2,892 |
— |
2,8921 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
— |
1,377,794 |
— |
1,377,7941 |
— |
|||||||||||||||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
— |
— |
— |
— |
663,163 |
— |
663,1631 |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
16,161,213 |
— |
16,161,2131 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
2,081,142 |
— |
2,081,1421 |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
2,965,828 |
— |
2,965,8281 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
597,264 |
— |
597,2641 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
— |
— |
— |
— |
2,016,228 |
— |
2,016,2281 |
— |
|||||||||||||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
59,046 |
— |
59,0461 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
806,937 |
— |
806,9371 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
40,658,113 |
— |
40,658,1131 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
2,170,680 |
— |
2,170,6801 |
— |
DIREXION SEMI-ANNUAL REPORT
103
|
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
|
|
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
|||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
2,880 |
$ |
— |
$ |
2,8801 |
$ |
— |
|||||||||||||||||||
Direxion Daily Software Bull 2X Shares |
— |
— |
— |
— |
413,671 |
— |
413,6711 |
— |
|||||||||||||||||||||||||||
Direxion Daily TIPS Bull 2X Shares |
— |
— |
— |
— |
19,074 |
— |
— |
19,074 |
|||||||||||||||||||||||||||
Direxion Daily TIPS Bear 2X Shares |
34,104 |
— |
— |
34,104 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
— |
— |
— |
— |
130,713 |
— |
130,7131 |
— |
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 April 30, 2022.
e) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
DIREXION SEMI-ANNUAL REPORT
104
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 April 30, 2022, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished, if required.
As of April 30, 2022, the market value of the securities loaned and the related cash and non-cash collateral received for securities lending were as follows:
Funds |
Market Value of Securities Loaned |
Cash Collateral Received |
Non-Cash Collateral Received |
Total Collateral Received |
|||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
$ |
34,156 |
$ |
37,532 |
$ |
— |
$ |
37,532 |
|||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
28,334 |
32,313 |
— |
32,313 |
|||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
9,896,556 |
5,258,135 |
5,428,493 |
10,686,628 |
|||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
7,722 |
8,506 |
— |
8,506 |
|||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
117,099 |
123,776 |
— |
123,776 |
h) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. Certain Funds paid this excise tax during the period ended April 30, 2022.
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.
DIREXION SEMI-ANNUAL REPORT
105
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 April 30, 2022 and October 31, 2021 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.
Period Ended April 30, 2022 (Unaudited) |
Year/Period Ended October 31, 2021 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion 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 |
1,970,706 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
1,711,768 |
— |
— |
1,712,190 |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares7 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
10,193,380 |
— |
— |
1,145,805 |
— |
490,797 |
|||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
2,174,613 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares2 |
25,984 |
— |
— |
4,840 |
— |
— |
|||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares1 |
916,786 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares1 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
7,822,552 |
— |
— |
13,092,316 |
— |
— |
|||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily FinTech Bull 2X Shares7 |
— |
— |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
106
Period Ended April 30, 2022 (Unaudited) |
Year/Period Ended October 31, 2021 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares3 |
$ |
16,184 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||
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 |
— |
— |
— |
— |
— |
2,449,837 |
|||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares6 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares7 |
1,428 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
905,597 |
— |
— |
8,502,373 |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
— |
— |
— |
875,162 |
— |
116 |
|||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
— |
7,191 |
|||||||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares5 |
413,253 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Software Bull 2X Shares6 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily TIPS Bull 2X Shares8 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily TIPS Bear 2X Shares8 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares2 |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares4 |
19,776 |
— |
— |
— |
— |
— |
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.
6 Commenced operations on December 16, 2021.
7 Commenced operations on January 20, 2022.
8 Commenced operations on April 7, 2022.
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 SEMI-ANNUAL REPORT
107
Funds |
Net Unrealized Appreciation (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
$ |
14,635,656 |
$ |
1,584,383 |
$ |
— |
$ |
— |
$ |
16,220,039 |
|||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
(117,269,531 |
) |
— |
— |
(424,057,644 |
) |
(541,327,175 |
) |
|||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
20,244,276 |
— |
— |
— |
20,244,276 |
||||||||||||||||||
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 April 30, 2022, the aggregate gross unrealized appreciation and depreciation of investments for U.S. Federal income tax purposes were as follows:
Funds |
Tax Cost of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
163,388,381 |
$ |
— |
$ |
— |
$ |
— |
|||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
329,652,170 |
— |
— |
— |
|||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
76,549,170 |
21,710 |
— |
21,710 |
|||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
403,076,298 |
— |
(2,685,856 |
) |
(2,685,856 |
) |
|||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
48,635,463 |
6,260,135 |
— |
6,260,135 |
|||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
4,893,285 |
— |
(207,307 |
) |
(207,307 |
) |
|||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
147,902,565 |
— |
(3,772,537 |
) |
(3,772,537 |
) |
DIREXION SEMI-ANNUAL REPORT
108
Funds |
Tax Cost of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
$ |
74,742,065 |
$ |
— |
$ |
(3,288,759 |
) |
$ |
(3,288,759 |
) |
|||||||||
Direxion Daily 5G Communications Bull 2X Shares |
4,941,006 |
101,468 |
(541,644 |
) |
(440,176 |
) |
|||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
14,218,576 |
184,126 |
(3,103,156 |
) |
(2,919,030 |
) |
|||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
20,557,186 |
— |
— |
— |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
576,768,724 |
90,505,517 |
— |
90,505,517 |
|||||||||||||||
Direxion Daily Energy Bear 2X Shares |
45,806,395 |
— |
— |
— |
|||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
5,728,660 |
47,215 |
(588,306 |
) |
(541,091 |
) |
|||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
7,063,455 |
— |
(1,176,257 |
) |
(1,176,257 |
) |
|||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
592,890,063 |
— |
(74,047 |
) |
(74,047 |
) |
|||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
101,283,553 |
— |
— |
— |
|||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
460,825,878 |
— |
(9,458,334 |
) |
(9,458,334 |
) |
|||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
78,545,957 |
— |
— |
— |
|||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
27,923,776 |
872,096 |
(1,293,808 |
) |
(421,712 |
) |
|||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
17,001,713 |
617,856 |
(343,611 |
) |
274,245 |
||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
24,674,575 |
— |
(1,286,831 |
) |
(1,286,831 |
) |
|||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
908,955,384 |
64,806,099 |
(13,614,367 |
) |
51,191,732 |
||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
119,786,289 |
— |
— |
— |
|||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
9,685,982 |
81,575 |
(1,267,328 |
) |
(1,185,753 |
) |
|||||||||||||
Direxion Daily Software Bull 2X Shares |
4,624,935 |
3,579 |
(822,595 |
) |
(819,016 |
) |
|||||||||||||
Direxion Daily TIPS Bull 2X Shares |
7,467,625 |
— |
(16,394 |
) |
(16,394 |
) |
|||||||||||||
Direxion Daily TIPS Bear 2X Shares |
6,268,308 |
— |
— |
— |
|||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
51,221,162 |
466,228 |
(3,344,055 |
) |
(2,877,827 |
) |
|||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
6,519,214 |
327,401 |
(325,426 |
) |
1,975 |
In order to meet certain U.S. excise tax distribution requirements, each Fund is required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, these Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late year ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 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 MSCI Brazil Bull 2X Shares |
— |
||||||
Direxion Daily MSCI India 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 |
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 SEMI-ANNUAL REPORT
109
Funds |
Ordinary Late Year Loss Deferral |
||||||
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. Previous law limited the carryforward of capital losses to the eight tax years following the year the capital loss was realized. If a Fund has capital losses that are subject to current law and also has capital losses subject to prior law, the losses realized under current law will be utilized to offset capital gains before any of the losses governed by prior law can be used. As a result of these ordering rules, capital losses realized under previous law may be more likely to expire unused. Capital losses realized under current law will carry forward retaining their classification as long-term or short-term losses; as compared to under prior law in which all capital losses were carried forward as short-term capital losses.
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 MSCI Brazil Bull 2X Shares |
— |
424,057,644 |
— |
||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
9,714,156 |
— |
— |
||||||||||||
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 |
— |
636,030,923 |
— |
||||||||||||
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 April 30, 2022, open U.S. Federal and state income tax years include the tax years ended October 31, 2019 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.
DIREXION SEMI-ANNUAL REPORT
110
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 April 30, 2022. Purchases represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swaps and futures contracts. Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion 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 |
8,816,124 |
32,830,211 |
2,885,905 |
19,592,982 |
|||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
84,931,360 |
395,137,051 |
445,168,866 |
87,907,797 |
|||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
18,705,254 |
19,921,627 |
— |
— |
|||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares2 |
4,091,594 |
798,514 |
— |
— |
|||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
28,946,381 |
37,878,415 |
51,724,018 |
179,727,280 |
|||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
22,683,550 |
— |
8,601,122 |
19,960,758 |
|||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
466,330 |
1,073,446 |
— |
— |
|||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
1,514,018 |
7,294,922 |
6,753,043 |
2,286,958 |
|||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Energy Bull 2X Shares |
6,121,735 |
131,549,947 |
500,820,452 |
332,764,314 |
|||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily FinTech Bull 2X Shares2 |
6,012,237 |
1,512,637 |
— |
— |
|||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
— |
3,190,272 |
6,925,921 |
1,976,744 |
|||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
248,276,850 |
212,775,965 |
150,465,128 |
299,443,776 |
|||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
158,282,950 |
71,540,885 |
138,136,350 |
240,372,372 |
|||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares1 |
6,092,740 |
2,774,515 |
20,607,761 |
4,295,192 |
|||||||||||||||
Direxion Daily Oil Services Bull 2X Shares2 |
4,536,683 |
2,433,578 |
12,866,947 |
1,701,093 |
|||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
155,474,593 |
104,696,306 |
400,176,148 |
428,277,598 |
|||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
3,643,471 |
11,762,185 |
13,974,051 |
774,881 |
|||||||||||||||
Direxion Daily Software Bull 2X Shares1 |
4,555,429 |
2,802,917 |
8,192,117 |
6,028,795 |
|||||||||||||||
Direxion Daily TIPS Bull 2X Shares3 |
3,768,949 |
— |
1,240,735 |
— |
DIREXION SEMI-ANNUAL REPORT
111
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion Daily TIPS Bear 2X Shares3 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
1,123,157 |
11,885,629 |
58,816,088 |
19,211,792 |
|||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
888,811 |
977,188 |
— |
— |
1 Represents the period from December 16, 2021 (commencement of operations) to April 30, 2022.
2 Represents the period from January 20, 2022 (commencement of operations) to April 30, 2022.
3 Represents the period from April 7, 2022 (commencement of operations) to April 30, 2022.
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2022.
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 S&P 500® Equal Weight 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 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 FinTech Bull 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 Daily Junior Gold Miners Index Bear 2X Shares |
0.75 |
% |
|||||
Direxion Daily Metal Miners Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily Oil Services Bull 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 Software Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily TIPS Bull 2X Shares |
0.75 |
% |
|||||
Direxion Daily TIPS Bear 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.
DIREXION SEMI-ANNUAL REPORT
112
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 S&P 500® Equal Weight 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 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 FinTech Bull 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 Metal Miners Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily Oil Services Bull 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 Software Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily TIPS Bull 2X Shares |
0.95 |
% |
|||||
Direxion Daily TIPS Bear 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 |
April 30, 2025 |
Recoupment Amount |
|||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
49,380 |
22,763 |
130,155 |
69,822 |
49,380 |
272,120 |
||||||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
450 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
— |
24,668 |
28,429 |
41,789 |
35,971 |
24,668 |
130,857 |
||||||||||||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
— |
10,210 |
— |
— |
— |
10,210 |
10,210 |
||||||||||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
— |
— |
— |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
113
Potential Recoupment Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31, 2022 |
October 31, 2023 |
October 31, 2024 |
April 30, 2025 |
Recoupment Amount |
|||||||||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
— |
10,632 |
— |
— |
16,237 |
10,632 |
26,869 |
||||||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
— |
13,936 |
— |
— |
17,799 |
13,936 |
31,735 |
||||||||||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
— |
14,220 |
— |
— |
31,061 |
14,220 |
45,281 |
||||||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
1,215 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
6,106 |
10,916 |
28,222 |
11,909 |
6,106 |
57,153 |
||||||||||||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
— |
15,305 |
— |
— |
— |
15,305 |
15,305 |
||||||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
— |
19,230 |
— |
— |
19,710 |
19,230 |
38,940 |
||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
7,397 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
20,350 |
11,797 |
— |
— |
— |
490 |
490 |
||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
9,992 |
9,992 |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
— |
10,145 |
— |
— |
— |
10,145 |
10,145 |
||||||||||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
— |
5,955 |
— |
— |
— |
5,955 |
5,955 |
||||||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
528 |
3,069 |
11,645 |
24,009 |
248 |
3,069 |
38,971 |
||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
2,261 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
3,895 |
43 |
10,381 |
33,028 |
2,524 |
43 |
45,976 |
||||||||||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
— |
10,997 |
— |
— |
15,215 |
10,997 |
26,212 |
||||||||||||||||||||||||
Direxion Daily Software Bull 2X Shares |
— |
17,743 |
— |
— |
— |
17,743 |
17,743 |
||||||||||||||||||||||||
Direxion Daily TIPS Bull 2X Shares |
— |
2,390 |
— |
— |
— |
2,390 |
2,390 |
||||||||||||||||||||||||
Direxion Daily TIPS Bear 2X Shares |
— |
2,430 |
— |
— |
— |
2,430 |
2,430 |
DIREXION SEMI-ANNUAL REPORT
114
Potential Recoupment Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31, 2022 |
October 31, 2023 |
October 31, 2024 |
April 30, 2025 |
Recoupment Amount |
|||||||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
$ |
401 |
$ |
2,880 |
$ |
— |
$ |
— |
$ |
13,990 |
$ |
2,880 |
$ |
16,870 |
|||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
— |
19,170 |
— |
— |
14,240 |
19,170 |
33,410 |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2022 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
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 April 30, 2022:
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 |
$ |
— |
$ |
— |
$ |
163,388,381 |
$ |
— |
$ |
6,737,610 |
$ |
(1,039,275 |
) |
||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
— |
329,652,170 |
— |
8,355,335 |
— |
|||||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
1,137,051 |
— |
75,433,829 |
— |
— |
(16,778,678 |
) |
||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
162,239,184 |
— |
238,151,258 |
— |
6,765,003 |
(53,457,694 |
) |
||||||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
50,253,330 |
— |
4,642,268 |
— |
— |
(4,133,192 |
) |
||||||||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
3,081,705 |
— |
1,604,273 |
— |
— |
(315,373 |
) |
DIREXION SEMI-ANNUAL REPORT
115
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 MSCI Brazil Bull 2X Shares |
$ |
29,699,353 |
$ |
— |
$ |
114,430,675 |
$ |
— |
$ |
11,451,112 |
$ |
(3,433,984 |
) |
||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
24,036,126 |
— |
47,417,180 |
— |
136,866 |
(2,195,283 |
) |
||||||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
— |
3,186,127 |
1,314,703 |
— |
— |
(437,178 |
) |
||||||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
— |
8,577,140 |
2,722,406 |
— |
— |
(2,286,998 |
) |
||||||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
— |
— |
20,557,186 |
— |
3,874,952 |
— |
|||||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
— |
563,829,283 |
103,444,958 |
— |
85,334,187 |
— |
|||||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
— |
— |
45,806,395 |
— |
1,441,484 |
(4,606,334 |
) |
||||||||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
— |
3,759,862 |
1,427,707 |
— |
— |
(676,706 |
) |
||||||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
4,787,187 |
— |
1,100,011 |
— |
— |
(313,534 |
) |
||||||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
318,685,771 |
— |
274,130,245 |
— |
80,470,530 |
— |
|||||||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
— |
101,283,553 |
— |
6,192,968 |
(10,390,208 |
) |
||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
159,735,259 |
— |
291,632,285 |
— |
6,748,490 |
(79,652,562 |
) |
||||||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
— |
78,545,957 |
— |
16,354,647 |
(411,709 |
) |
||||||||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
— |
20,395,965 |
7,106,099 |
— |
— |
(3,320,209 |
) |
||||||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
— |
13,596,360 |
3,679,598 |
— |
59,046 |
(253,408 |
) |
||||||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
10,535,332 |
— |
12,852,412 |
— |
— |
(6,363,015 |
) |
||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
— |
456,958,033 |
503,189,083 |
— |
241,712,797 |
(32,332,199 |
) |
||||||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
— |
119,786,289 |
— |
3,022,541 |
(4,466,410 |
) |
||||||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
— |
6,701,305 |
1,798,924 |
— |
— |
(275,021 |
) |
||||||||||||||||||||
Direxion Daily Software Bull 2X Shares |
— |
2,843,180 |
962,739 |
— |
— |
(479,113 |
) |
||||||||||||||||||||
Direxion Daily TIPS Bull 2X Shares |
4,993,290 |
— |
2,457,941 |
— |
— |
(19,074 |
) |
||||||||||||||||||||
Direxion Daily TIPS Bear 2X Shares |
— |
— |
6,268,308 |
— |
34,104 |
— |
|||||||||||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
— |
35,909,243 |
12,434,092 |
— |
— |
(910,874 |
) |
||||||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
— |
4,128,153 |
2,393,036 |
— |
— |
(242,192 |
) |
DIREXION SEMI-ANNUAL REPORT
116
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 April 30, 2022.
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 April 30, 2022, the Funds were invested in swap contracts. At April 30, 2022, the fair values of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 |
|||||||||||||||
Swap Contracts Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
6,737,610 |
$ |
— |
$ |
6,737,610 |
|||||||||
Direxion Daily S&P 500® Bear 1X Shares |
8,355,335 |
— |
8,355,335 |
||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
6,765,003 |
— |
6,765,003 |
||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
11,451,112 |
— |
11,451,112 |
||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
136,866 |
— |
136,866 |
||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
3,874,952 |
— |
3,874,952 |
||||||||||||
Direxion Daily Energy Bull 2X Shares |
85,334,187 |
— |
85,334,187 |
||||||||||||
Direxion Daily Energy Bear 2X Shares |
1,441,484 |
— |
1,441,484 |
||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
80,470,530 |
— |
80,470,530 |
||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
6,192,968 |
— |
6,192,968 |
||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
6,748,490 |
— |
6,748,490 |
||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
16,354,647 |
— |
16,354,647 |
||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
59,046 |
— |
59,046 |
||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
241,712,797 |
— |
241,712,797 |
||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
3,022,541 |
— |
3,022,541 |
||||||||||||
Direxion Daily TIPS Bear 2X Shares |
— |
34,104 |
34,104 |
||||||||||||
Liability Derivatives2 |
|||||||||||||||
Swap Contracts Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
$ |
1,039,275 |
$ |
— |
$ |
1,039,275 |
|||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
16,778,678 |
— |
16,778,678 |
||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
53,457,694 |
— |
53,457,694 |
||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
4,133,192 |
— |
4,133,192 |
||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
315,373 |
— |
315,373 |
||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
3,433,984 |
— |
3,433,984 |
||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
2,195,283 |
— |
2,195,283 |
||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
437,178 |
— |
437,178 |
||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
2,286,998 |
— |
2,286,998 |
||||||||||||
Direxion Daily Energy Bear 2X Shares |
4,606,334 |
— |
4,606,334 |
||||||||||||
Direxion Daily FinTech Bull 2X Shares |
676,706 |
— |
676,706 |
||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
313,534 |
— |
313,534 |
||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
10,390,208 |
— |
10,390,208 |
||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
79,652,562 |
— |
79,652,562 |
||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
411,709 |
— |
411,709 |
DIREXION SEMI-ANNUAL REPORT
117
Liability Derivatives2 |
|||||||||||||||
Swap Contracts Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
$ |
3,320,209 |
$ |
— |
$ |
3,320,209 |
|||||||||
Direxion Daily Oil Services Bull 2X Shares |
253,408 |
— |
253,408 |
||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
6,363,015 |
— |
6,363,015 |
||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
32,332,199 |
— |
32,332,199 |
||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
4,466,410 |
— |
4,466,410 |
||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
275,021 |
— |
275,021 |
||||||||||||
Direxion Daily Software Bull 2X Shares |
479,113 |
— |
479,113 |
||||||||||||
Direxion Daily TIPS Bull 2X Shares |
— |
19,074 |
19,074 |
||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
910,874 |
— |
910,874 |
||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
242,192 |
— |
242,192 |
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 April 30, 2022, by primary risk, were as follows:
Net Realized Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily CSI 300 China A Share Bear 1X Shares |
Swap Contracts |
$ |
18,589,457 |
$ |
— |
$ |
10,905,865 |
$ |
— |
||||||||||||||
Direxion Daily S&P 500® Bear 1X Shares |
Swap Contracts |
3,399,947 |
— |
17,745,605 |
— |
||||||||||||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
Swap Contracts |
(5,839,643 |
) |
— |
(23,949,217 |
) |
— |
||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
Swap Contracts |
(230,542,075 |
) |
— |
(12,406,776 |
) |
— |
||||||||||||||||
Direxion Daily S&P 500® Bull 2X Shares |
Swap Contracts |
973,138 |
— |
(7,462,552 |
) |
— |
|||||||||||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
Swap Contracts |
(122,463 |
) |
— |
(315,373 |
) |
— |
||||||||||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
Swap Contracts |
19,150,495 |
— |
38,007,211 |
— |
||||||||||||||||||
Direxion Daily MSCI India Bull 2X Shares |
Swap Contracts |
15,020,428 |
— |
(23,091,737 |
) |
— |
|||||||||||||||||
Direxion Daily 5G Communications Bull 2X Shares |
Swap Contracts |
(257,524 |
) |
— |
(502,171 |
) |
— |
||||||||||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
Swap Contracts |
(6,933,426 |
) |
— |
(4,924,216 |
) |
— |
||||||||||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
Swap Contracts |
6,451,079 |
— |
5,627,348 |
— |
||||||||||||||||||
Direxion Daily Energy Bull 2X Shares |
Swap Contracts |
246,933,446 |
— |
(42,977,701 |
) |
— |
|||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
Swap Contracts |
(22,980,190 |
) |
— |
5,529,229 |
— |
|||||||||||||||||
Direxion Daily FinTech Bull 2X Shares |
Swap Contracts |
(270,489 |
) |
— |
(676,706 |
) |
— |
||||||||||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
Swap Contracts |
(2,048,381 |
) |
— |
(1,266,036 |
) |
— |
||||||||||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
Swap Contracts |
(66,645,880 |
) |
— |
178,438,896 |
— |
|||||||||||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
Swap Contracts |
(6,784,118 |
) |
— |
(12,785,160 |
) |
— |
||||||||||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
Swap Contracts |
11,782,889 |
— |
(10,788,442 |
) |
— |
|||||||||||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
Swap Contracts |
(21,998,348 |
) |
— |
17,459,721 |
— |
|||||||||||||||||
Direxion Daily Metal Miners Bull 2X Shares |
Swap Contracts |
5,017,384 |
— |
(3,320,209 |
) |
— |
|||||||||||||||||
Direxion Daily Oil Services Bull 2X Shares |
Swap Contracts |
467,587 |
— |
(194,362 |
) |
— |
|||||||||||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
Swap Contracts |
(6,904,749 |
) |
— |
(15,118,647 |
) |
— |
||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
Swap Contracts |
510,428,589 |
— |
(272,933,182 |
) |
— |
|||||||||||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
Swap Contracts |
(83,291,930 |
) |
— |
37,255,201 |
— |
|||||||||||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
Swap Contracts |
(6,361,841 |
) |
— |
(484,921 |
) |
— |
||||||||||||||||
Direxion Daily Software Bull 2X Shares |
Swap Contracts |
(1,025,620 |
) |
— |
(479,113 |
) |
— |
||||||||||||||||
Direxion Daily TIPS Bull 2X Shares |
Swap Contracts |
— |
(1,401 |
) |
— |
(19,074 |
) |
DIREXION SEMI-ANNUAL REPORT
118
Net Realized Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily TIPS Bear 2X Shares |
Swap Contracts |
$ |
— |
$ |
(6,883 |
) |
$ |
— |
$ |
34,104 |
|||||||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
Swap Contracts |
(5,485,593 |
) |
— |
(894,703 |
) |
— |
||||||||||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
Swap Contracts |
(17,386 |
) |
— |
(538,270 |
) |
— |
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 April 30, 2022, 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 |
$ |
— |
$ |
143,549,380 |
|||||||
Direxion Daily S&P 500® Bear 1X Shares |
— |
229,849,590 |
|||||||||
Direxion Daily CSI 300 China A Share Bull 2X Shares |
154,775,387 |
— |
|||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
514,594,295 |
— |
|||||||||
Direxion Daily S&P 500® Bull 2X Shares |
57,837,835 |
— |
|||||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
4,016,566 |
— |
|||||||||
Direxion Daily MSCI Brazil Bull 2X Shares |
257,733,379 |
— |
|||||||||
Direxion Daily MSCI India Bull 2X Shares |
132,538,977 |
— |
|||||||||
Direxion Daily 5G Communications Bull 2X Shares |
5,939,936 |
— |
|||||||||
Direxion Daily Cloud Computing Bull 2X Shares |
21,931,494 |
— |
|||||||||
Direxion Daily Cloud Computing Bear 2X Shares |
— |
31,730,165 |
|||||||||
Direxion Daily Energy Bull 2X Shares |
653,538,840 |
— |
|||||||||
Direxion Daily Energy Bear 2X Shares |
— |
66,927,134 |
|||||||||
Direxion Daily FinTech Bull 2X Shares |
4,441,153 |
— |
|||||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
7,675,288 |
— |
|||||||||
Direxion Daily Gold Miners Index Bull 2X Shares |
999,810,773 |
— |
|||||||||
Direxion Daily Gold Miners Index Bear 2X Shares |
— |
147,824,256 |
|||||||||
Direxion Daily Junior Gold Miners Index Bull 2X Shares |
760,382,860 |
— |
|||||||||
Direxion Daily Junior Gold Miners Index Bear 2X Shares |
— |
154,859,313 |
|||||||||
Direxion Daily Metal Miners Bull 2X Shares |
13,000,898 |
— |
|||||||||
Direxion Daily Oil Services Bull 2X Shares |
8,676,324 |
— |
|||||||||
Direxion Daily Robotics, Artificial Intelligence & Automation Index Bull 2X Shares |
48,295,273 |
— |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
1,077,359,517 |
— |
|||||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
— |
162,654,158 |
|||||||||
Direxion Daily Select Large Caps & FANGs Bull 2X Shares |
8,584,977 |
— |
|||||||||
Direxion Daily Software Bull 2X Shares |
3,010,612 |
— |
|||||||||
Direxion Daily TIPS Bull 2X Shares |
4,938,801 |
— |
|||||||||
Direxion Daily TIPS Bear 2X Shares |
— |
6,311,977 |
|||||||||
Direxion Daily Travel & Vacation Bull 2X Shares |
34,138,515 |
— |
|||||||||
Direxion Daily US Infrastructure Bull 2X Shares |
8,002,068 |
— |
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 SEMI-ANNUAL REPORT
119
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 and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or
DIREXION SEMI-ANNUAL REPORT
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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 March 28, 2022, shares of the following Fund were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split has no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse 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 S&P Oil & Gas Exp. & Prod. Bear 2X Shares |
3/28/22 |
1 |
:10 |
$ |
2.26 |
$ |
22.60 |
45,096,196 |
4,509,620 |
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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 May 31, 2022, shares of the following Funds were adjusted to reflect a reverse stock split. The effect of the reverse stock splits was to decrease the number of shares outstanding and increase the net asset value. The reverse stock splits have no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse stock splits is as follows:
Funds |
Effective Date |
Rate |
Net Asset Value Before Split |
Net Asset Value After Split |
Shares Outstanding Before Split |
Shares Outstanding After Split |
|||||||||||||||||||||
Direxion Daily CSI China Internet Index Bull 2X Shares |
5/31/22 |
1 |
:10 |
$ |
5.46 |
$ |
54.60 |
61,750,001 |
6,175,000 |
||||||||||||||||||
Direxion Daily Energy Bear 2X Shares |
5/31/22 |
1 |
:10 |
3.71 |
37.10 |
11,157,061 |
1,115,706 |
On June 21, 2022, certain Funds declared income distributions with an ex-date of June 22, 2022 and payable date of June 29, 2022. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per Share Income Distribution |
||||||
Direxion Daily S&P 500® Equal Weight Bull 2X Shares |
$ |
0.00734 |
|||||
Direxion Daily MSCI Brazil Bull 2X Shares |
0.84296 |
||||||
Direxion Daily 5G Communications Bull 2X Shares |
0.04659 |
||||||
Direxion Daily Energy Bull 2X Shares |
0.38241 |
||||||
Direxion Daily FinTech Bull 2X Shares |
0.00703 |
||||||
Direxion Daily Global Clean Energy Bull 2X Shares |
0.03239 |
||||||
Direxion Daily Metal Miners Bull 2X Shares |
0.05857 |
||||||
Direxion Daily Oil Services Bull 2X Shares |
0.00853 |
||||||
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 2X Shares |
0.10802 |
||||||
Direxion Daily TIPS Bull 2X Shares |
0.28542 |
||||||
Direxion Daily US Infrastructure Bull 2X Shares |
0.09886 |
DIREXION SEMI-ANNUAL REPORT
122
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
At a meeting held on May 18, 2021, August 18, 2021, November 19, 2022 and February 9, 2022, the Board of Trustees (the "Board") of the Direxion Shares ETF Trust (the "ETF Trust") considered the approval of the Investment Advisory Agreement (the "Agreement") between Rafferty Asset Management, LLC (the "Adviser") and the ETF Trust, on behalf of the Direxion Daily Metal Miners Bull 2X Shares, Direxion Daily Oil Services Bull 2X Shares, Direxion Daily S&P 500® Equal Weight Bull 2X Shares, Direxion Daily Software Bull 2X Shares, Direxion Daily TIPS Bull 2X Shares, Direxion Daily TIPS Bear 2X Shares and Direxion Daily FinTech Bull 2X Shares, each a series of the ETF Trust. Each such series is referred to herein as a "Fund" and collectively as the "Funds."
Following such consideration, 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 relevant 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 ETF 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 representation that it has the financial resources and appropriate staffing to manage the relevant 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 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 pursuant to contractual fee waivers and expense reimbursement arrangements. The Board considered that the proposed advisory fee rate and net expense ratio for each Fund was similar to those of comparable exchange-traded funds and the same as 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 the Funds. 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.
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Direxion Shares ETF Trust
Board Review of Investment Advisory Agreement (Unaudited)
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 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.
Other Benefits. The Board considered the Adviser's representations that its relationship with the Funds may enable it to attract assets to 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 SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and Age |
Position(s) Held with Fund |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(3) |
Other Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D. O'Neill(1) Age: 54 |
Chairman of the Board of Trustees |
Lifetime of Trust until removal or resignation; Since 2008 |
Chief Executive Officer 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. |
139 |
None. |
||||||||||||||||||
Angela Brickl(2) Age: 46 |
Trustee Chief Compliance Officer Secretary |
Lifetime of Trust until removal or resignation; Since 2022 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. |
139 |
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. |
139 |
None. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.
(3) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Trustees and Officers
Name, Address and Age |
Position(s) Held with Fund |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(2) |
Other Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Jacob C. Gaffey Age: 74 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. |
139 |
None. |
||||||||||||||||||
Henry W. Mulholland Age: 59 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2017 |
Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. |
139 |
None. |
||||||||||||||||||
Kathleen M. Berkery Age: 54 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2019 |
Chief Financial Officer, Student Sponsor Partners, since November 2021; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, since 2018; Financial Advisor, Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017. |
139 |
None. |
||||||||||||||||||
Carlyle Peake Age: 50 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2022 |
Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011. |
139 |
None. |
||||||||||||||||||
Mary Jo Collins Age: 65 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2022 |
Managing Director, Imperial Capital LLC, since 2020; Director, Royal Bank of Canada, 2014 – 2020. |
139 |
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 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Trustees and Officers
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: 54 |
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. |
93 |
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: 46 |
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 |
||||||||||||||||||
Corey Noltner Age: 33 |
Principal Financial Officer |
One Year; Since 2021 |
Senior Business Analyst, Rafferty Asset Management, LLC, since October 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 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 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
128
SEMI-ANNUAL REPORT APRIL 30, 2022
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 Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
DIREXION SHARES ETF TRUST
SEMI-ANNUAL REPORT APRIL 30, 2022
1301 Avenue of the Americas (6th Ave.), 35th Floor New York, New York 10019 www.direxioninvestments.com
3X BULL FUNDS |
3X BEAR FUNDS |
||||||
Direxion Daily Mid Cap Bull 3X Shares | |||||||
Direxion Daily S&P 500® Bull 3X Shares |
Direxion Daily S&P 500® Bear 3X Shares |
||||||
Direxion Daily Small Cap Bull 3X Shares |
Direxion Daily Small Cap Bear 3X Shares |
||||||
Direxion Daily FTSE China Bull 3X Shares |
Direxion Daily FTSE China Bear 3X Shares |
||||||
Direxion Daily FTSE Europe Bull 3X Shares | |||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares | |||||||
Direxion Daily MSCI South Korea Bull 3X Shares | |||||||
Direxion Daily Aerospace & Defense Bull 3X Shares | |||||||
Direxion Daily Consumer Discretionary Bull 3X Shares | |||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
||||||
Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
||||||
Direxion Daily Healthcare Bull 3X Shares | |||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares | |||||||
Direxion Daily Industrials Bull 3X Shares | |||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares | |||||||
Direxion Daily Real Estate Bull 3X Shares |
Direxion Daily Real Estate Bear 3X Shares |
||||||
Direxion Daily Regional Banks Bull 3X Shares | |||||||
Direxion Daily Retail Bull 3X Shares | |||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bear 3X Shares |
||||||
Direxion Daily S&P Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares |
||||||
Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
||||||
Direxion Daily Transportation Bull 3X Shares | |||||||
Direxion Daily Utilities Bull 3X Shares | |||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
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 info@direxionfunds.com.
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 |
4 |
||||||
Expense Example |
13 |
||||||
Allocation of Portfolio Holdings |
16 |
||||||
Schedules of Investments |
17 |
||||||
Statements of Assets and Liabilities |
77 |
||||||
Statements of Operations |
87 |
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Statements of Changes in Net Assets |
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Trustees and Officers |
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Letter to Shareholders
Dear Shareholders,
This Semi-Annual Report for the Direxion Shares exchange traded funds (the "ETFs") covers the period from November 1, 2021 to April 30, 2022 (the "Semi-Annual Period").
Market Review:
Although global equities ended 2021 on a high note, the Omicron variant of Covid-19 was beginning to spread, and the CPI index started to creep upward. The equity rally did not last into 2022, as the S&P 500 recorded its worst January since 2008, with value names outperforming growth names. Equity markets continued to decline through February 2022, further magnified by the Russian invasion of Ukraine. The S&P 500 posted its first monthly gain of the year in March 2022, but not all global markets followed suit. At the same time, Chinese markets were crashing, primarily due to renewed countrywide Covid-19 shut-downs. April 2022 was extremely volatile, with equity markets struggling both domestically and internationally.
In November 2021, the treasury yield curve flattened and appetite for bonds was weak. There was a slight shift in December 2021, as investors looked towards the debt markets as a safe haven against mounting inflationary pressures, but risk-off sentiment returned in 2022 as the Federal Reserve took a hawkish stance against the economic environment. The Russian invasion of Ukraine weakened the fixed income segment of the market further, especially in emerging market debt. The end of this period saw the treasury yield curve shift higher, hurting fixed income returns. The general economic sentiment was weak as CPI and inflation rose, geopolitical tensions continued, and the Federal Reserve raised rates.
Direxion Shares Operational Review:
The discussion below relates to the performance of the ETFs for the Semi-Annual Period. The ETFs are leveraged and seek daily investment results, before fees and expenses, of 300% or -300% of the performance of a particular benchmark. All ETF returns are NAV (net asset value) returns.
The ETFs, as stated above, seek daily investment results. They do not seek to track a multiple of their respective benchmarks for periods of longer than one day and the performance of the ETFs over longer periods may not correlate to their benchmarks' performance. The ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who understand the risks associated with the use of leverage, the consequences of seeking daily leveraged investment results and intend to actively monitor and manage their investments.
The ETFs with the word "Bull" in their name (the "Bull ETFs") attempt to provide investment results that correlate to 300% of the return of a benchmark index, meaning the Bull Funds attempt to move in the same direction as their respective target benchmark index.
The Funds with the word "Bear" in their name (the "Bear ETFs") attempt to provide investment results that correlate to -300% of the return of a benchmark index, meaning that the Bear Funds attempt to move in the opposite, or inverse, direction of their respective target benchmark index.
In seeking to achieve each ETF's daily investment results, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") relies upon a pre-determined investment model to generate orders resulting in repositioning each ETF's investments in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with an ETF's objective. As a consequence, if an ETF is performing as designed, the return of the benchmark index will dictate the return for that ETF. Each ETF pursues its investment objective regardless of market conditions and does not take defensive positions.
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Each ETF has a clearly articulated goal which requires the ETF to seek economic exposure significantly in excess of its net assets. To meet its objectives, each ETF invests in some combination of financial instruments, including derivatives. Each ETF invests significantly in derivatives, including swap agreements. Rafferty uses these types of investments to produce economically "leveraged" investment results. Leveraging allows Rafferty to generate a greater positive or negative return than what would be generated on the invested capital without leverage, thus changing small market movements into larger changes in the value of the investments of an ETF.
The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate dramatically over time. Additionally, use of such instruments may increase the volatility of the ETFs. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives, such as counterparty risk. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.
Because each ETF seeks daily investment results of its relevant benchmark, a comparison of the return of the ETF to the relevant benchmark tells you little about whether an ETF has met its investment objective. To determine if an ETF has met its daily investment goals, Rafferty maintains models which indicate the expected performance of each ETF as compared to the underlying relevant index. The models do not take into account the ETF's expense ratio or any transaction or trading fees associated with creating or maintaining an ETF's portfolio.
Factors Affecting Direxion Shares Performance:
Benchmark Performance – The daily performance of each ETF's benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.
Leverage – Each ETF seeks daily investment results (before fees and expenses) of either 300% (for the Bull ETFs) or -300% (for the Bear ETFs) of the performance of its respective underlying index. The use of leverage magnifies an ETF's gains or losses and increases the investment's risk and volatility. The Bear ETFs seek to achieve inverse magnified correlation to their respective underlying indexes.
Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily return of an underlying index. Over periods longer than a single day, an ETF should not be expected to provide its respective multiple of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF's daily stated goal. Periods of high volatility that lack a clear trend hurt an ETF's performance while trending, low volatility markets enhance an ETF's performance.
Cost of Financing – In order to attain leveraged exposure, a Bull ETF incurs a cost of SOFR plus or minus a spread and a Bear ETF receives SOFR plus or minus a spread as applied to the borrowed portion of the ETF's exposure. The spread varies by both Fund and counterparty and is a function of market demand, hedging costs, access to balance sheet, borrow volatility, current counterparty exposure and administrative costs associated with the swap counterparty. Generally for most of the Bull ETFs, the financing costs will have a negative effect on tracking, but for Bear ETFs, the financing cost will have a positive effect on tracking. An increase in interest rates which effects the cost of financing will further impact an ETF's performance and ability to track its index.
Optimized Baskets – Each Bull ETF holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, certain Bull ETFs hold only a representative sample, or optimized basket, that tracks closely over time, but deviates from its underlying index in the short-term.
Equity Dividends and Bond Interest – Equity Bull ETFs are positively impacted by equity and index dividends as the ETFs receive those payments. Equity Bear ETFs are negatively impacted as they are obligated to pay the dividends. Treasury Bull ETFs receive interest, accrued on a daily basis, to account for the Treasury's semi-annual coupon payments while the Treasury Bear ETFs pay interest, accrued on a daily basis.
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Fees, Expenses, and Transaction Costs – Fees and expenses are listed in each ETF's prospectus and may be higher than many traditional index ETFs' fees, which cause a greater negative impact on ETF performance. Transactions costs are not included in the expense ratio of the ETFs. Transaction costs can be higher due to the ETF's use of leverage, frequent creation and redemption activity, or trading securities that are comparatively less liquid.
Direxion Shares Performance Review:
The Direxion Daily Mid Cap Bull 3X Shares seeks to provide 300% of the daily return of the S&P Mid Cap 400® Index. The S&P Mid Cap 400® Index is a float-adjusted market capitalization weighted index that attempts to measure the performance of 400 mid-sized companies in the United States. For the Semi-Annual Period, the S&P Mid Cap 400® Index returned -9.88%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Mid Cap Bull 3X Shares returned -32.96%, while the model indicated an expected return of -32.10%.
The Direxion Daily S&P 500® Bull 3X Shares and the Direxion Daily S&P 500® 3X Bear Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® Index. Standard & Poor's® selects the stocks comprising the S&P 500® Index on the basis of market capitalization, financial viability of the company and the public float, liquidity and price of a company's shares outstanding. The Index is a float-adjusted, market capitalization-weighted index. For the Semi-Annual Period, the S&P 500® Index returned -9.65%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® Bull 3X Shares returned -31.45%, while the model indicated an expected return of -30.58%. The Direxion Daily S&P 500® Bear 3X Shares returned 20.07%, while the model indicated an expected return of 20.32%.
The Direxion Daily Small Cap Bull 3X Shares and the Direxion Daily Small Cap Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 2000® Index. The Russell 2000® Index measures the performance of approximately 2,000 small-capitalization companies in the Russell 3000® Index, based on a combination of their market capitalization and current index membership. For the Semi-Annual Period, the Russell 2000® Index returned -18.38%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Small Cap Bull 3X Shares returned -51.38%, while the model indicated an expected return of -50.74%. The Direxion Daily Small Cap Bear 3X Shares returned 50.73%, while the model indicated an expected return of 51.25%.
The Direxion Daily FTSE China Bull 3X Shares and the Direxion Daily FTSE China Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the FTSE China 50 Index. The FTSE China 50 Index consists of the 50 largest and most liquid public Chinese companies currently trading on the Hong Kong Stock Exchange. Securities in the index are weighted based on the total market value of their shares, so that securities with higher total market values will generally have a higher representation in the index. Index constituents are screened for liquidity and weightings and are capped to prevent the index from being overly concentrated in any one stock. For the Semi-Annual Period, the FTSE China 50 Index returned -22.40%. 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 FTSE China Bull 3X Shares returned -63.90%, while the model indicated an expected return of -63.65%. The Direxion Daily FTSE China Bear 3X Shares returned 0.42%, while the model indicated an expected return of -0.03%.
The Direxion Daily FTSE Europe Bull 3X Shares seeks to provide 300% of the daily return of the FTSE Developed Europe All Cap Index. The FTSE Developed Europe All Cap Index is a market capitalization weighted index that is designed to measure the equity market performance of large-, mid- and small-cap companies in developed markets in Europe. For the Semi-Annual Period, the FTSE Developed Europe All Cap Index returned -14.20%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily FTSE Europe Bull 3X Shares returned -42.12%, while the model indicated an expected return of -41.28%.
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The Direxion Daily MSCI Emerging Markets Bull 3X Shares and the Direxion Daily MSCI Emerging Markets Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the MSCI Emerging Markets IndexSM. The MSCI Emerging Market IndexSM is a free float-adjusted market capitalization index that is designed to represent the performance of large-and mid-capitalizations securities across 24 emerging markets countries. For the Semi-Annual Period, the MSCI Emerging Market IndexSM returned -15.52%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Emerging Markets MSCI Bull 3X Shares returned -44.88%, while the model indicated an expected return of -44.01%. The Direxion Daily MSCI Emerging Markets Bear 3X Shares returned 40.75%, while the model indicated an expected return of 41.51%.
The Direxion Daily MSCI Mexico Bull 3X Shares seeks to provide 300% of the daily return of the MSCI Mexico IMI 25/50 Index. The MSCI Mexico IMI 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the Mexican equity market, covering approximately 99% of the free float-adjusted market capitalization in Mexico. The index consists of stocks traded primarily on the Mexican Stock Market. For the Semi-Annual Period, the MSCI Mexico IMI 25/50 Index returned 3.68%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily MSCI Mexico Bull 3X Shares returned 4.18%, while the model indicated an expected return of 4.27%.
The Direxion Daily MSCI South Korea Bull 3X Shares seeks to provide 300% of the MSCI Korea 25/50 Index. The MSCI Korea 25/50 Index is designed to measure the performance of the large- and mid-cap segments of the South Korean equity market, covering approximately 85% of the free float-adjusted market capitalization of South Korean issuers. For the Semi-Annual Period, the MSCI Korea 25/50 Index returned -14.36%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI South Korea Bull 3X Shares returned -43.22%, while the model indicated an expected return of -42.41%.
The Direxion Daily Aerospace & Defense Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Aerospace & Defense Index. The Dow Jones U.S. Select Aerospace & Defense Index is provided by Dow Jones U.S. Index. The index attempts to measure the performance of the aerospace and defense industry of the U.S. equity market. The index provider selects the stocks comprising the index from the aerospace and defense sector on the basis of the float-adjusted, market capitalization-weight of each constituent. Aerospace companies include manufacturers, assemblers and distributors of aircraft and aircraft parts. Defense companies include producers of components and equipment for the defense industry, such as military aircraft, radar equipment and weapons. For the Semi-Annual Period, the Dow Jones U.S. Select Aerospace & Defense Index returned -1.03%. 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 Aerospace & Defense Bull 3X Shares returned -11.26% for the same period, while the model indicated an expected return of -10.03%.
The Direxion Daily Consumer Discretionary Bull 3X Shares seeks to provide 300% of the daily return of the Consumer Discretionary Select Sector Index. The Consumer Discretionary Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the consumer discretionary sector which includes the following industries: retail (specialty, multiline, internet & direct marketing); hotels, restaurants & leisure; textiles, apparel & luxury goods; household durables; automobiles; automobile components; distributors; leisure equipment & products; and diversified consumer services. For the Semi-Annual Period, the Consumer Discretionary Select Sector Index returned -18.70%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Consumer Discretionary Bull 3X Shares returned -53.82% for the same period, while the model indicated an expected return of -53.14%.
The Direxion Daily Dow Jones Internet Bull 3X Shares and the Direxion Daily Dow Jones Internet Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Dow Jones Internet Composite Index. The Dow Jones Internet Composite Index includes companies that generate at least 50% of their annual sales/revenue from the internet as determined by the Index Provider. Additionally, each stock must have a minimum of three months' trading history and a
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three month average market capitalization of at least $100 million. The Index consists of 40 stocks that are included in two different sectors, internet commerce and internet services. For the Semi-Annual Period, the Dow Jones Internet Composite Index returned -36.48%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Dow Jones Internet Bull 3X Shares returned -79.68%, while the model indicated an expected return of -79.36%. The Direxion Daily Dow Jones Internet Bear 3X Shares returned 155.66%, while the model indicated an expected return of 156.58%.
The Direxion Daily Financial Bull 3X Shares and the Direxion Daily Financial Bear 3X Shares sought to provide 300% and -300%, respectively, of the daily return of the Russell 1000® Index – Financials. The Russell 1000® Index – Financials is a subset of the Russell 1000® Index that measures the performance of the securities classified in the financial services sector of the large-capitalization U.S. equity market. This includes companies that are classified as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, financial investments, and real estate, including real estate investment trusts (REITS). From November 1, 2021 through February 27, 2022, the Russell 1000® Index – Financials returned -3.06%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Financial Bull 3X Shares returned -13.07%, while the model indicated an expected return of -12.33%. The Direxion Daily Financial Bear 3X Shares returned 1.69%, while the model indicated an expected return of 1.70%.
The Direxion Daily Financial Bull 3X Shares and the Direxion Daily Financial Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index. The Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index is a subset of the Russell 1000® Index and measures the performance of US large capitalization companies that are assigned to the Financials Industry by the ICB sector classification framework. The Index is reviewed quarterly and at each review, all companies that have a weight greater than 4.5% in aggregate are no more than 22.5% of the index, and no individual company in the index has a weight greater than 15% of the index. From February 28, 2022 through April 30, 2022, the Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index returned -11.44%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Financial Bull 3X Shares returned -33.49%, while the model indicated an expected return of -33.12%. The Direxion Daily Financial Bear 3X Shares returned 33.88%, while the model indicated an expected return of 33.81%.
The Direxion Daily Healthcare Bull 3X Shares seeks to provide 300% of the daily return of the Health Care Select Sector Index. The Health Care Select Sector Index is provided by Standard & Poor's and includes domestic companies from the healthcare sector, which includes the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care technology. For the Semi-Annual Period, the Health Care Select Sector Index returned -1.86%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Healthcare Bull 3X Shares returned -10.57%, while the model indicated an expected return of -9.30%.
The Direxion Daily Homebuilders & Supplies 3X Bull Shares seeks to provide 300% of the daily return of the Dow Jones U.S. Select Home Construction Index. The Dow Jones U.S. Select Home Construction Index measures U.S companies in the home construction sector that provide a wide range of products and services related to homebuilding, including home construction and producers, sellers and suppliers of building materials, furnishings and fixtures and also home improvement retailers. The index may include large-, mid- or small-capitalization companies. For the Semi-Annual Period, the Dow Jones U.S. Select Home Construction Index returned -19.26%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Homebuilders & Supplies 3X Bull Shares -56.33%, while the model indicated an expected return of -55.69%.
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The Direxion Daily Industrials Bull 3X Shares seeks to provide 300% of the daily return of the Industrials Select Sector Index. The Industrials Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the industrials sector which includes the following industries: aerospace and defense: industry conglomerates; machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction and engineering; trading companies and distributors; airlines; and building products. For the Semi-Annual Period, the Industrials Select Sector Index returned -8.22%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Industrials Bull 3X Shares returned -27.23%, while the model indicated an expected return of -26.29%.
The Direxion Daily Pharmaceutical & Medical Bull 3X Shares seeks to provide 300% of the daily return of the S&P Pharmaceuticals Select Industry Index. The S&P Pharmaceuticals Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard (GICS) pharmaceuticals subindustry. For the Semi-Annual Period, the S&P Pharmaceuticals Select Industry Index returned -13.27%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Pharmaceutical & Medical Bull 3X Shares returned -40.50%, while the model indicated an expected return of -39.63%.
The Direxion Daily MSCI Real Estate Bull 3X Shares and the Direxion Daily MSCI Real Estate Bear 3X Shares sought to provide 300% and -300%, respectively, of the daily return of the MSCI US IMI Real Estate 25/50 Index. The MSCI US IMI Real Estate 25/50 Index is designed to measure the performance of the large-, mid- and small-capitalization segments of the U.S. equity universe that are classified in the real estate sector as per the Global Industry Classification Standard (GICS). From November 1, 2021 through February 27, 2022, the MSCI US IMI Real Estate 25/50 Index returned -3.51%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily MSCI Real Estate Bull 3X Shares returned -13.91%, while the model indicated an expected return of -13.19%. The Direxion Daily MSCI Real Estate Bear 3X Shares returned 3.77%, while the model indicated an expected return of 3.95%.
The Direxion Daily Real Estate Bull 3X Shares and the Direxion Daily Real Estate Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Real Estate Select Sector Index. The Real Estate Select Sector Index is provided by S&P Dow Jones Indices (the "Index Provider") and includes securities of companies from the following industries: real estate management and development and real estate investment trusts ("REITs"), excluding mortgage REITs. From February 28, 2022 through April 30, 2022, the Real Estate Select Sector Index returned 2.15%. 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 Real Estate Bull 3X Shares returned 3.28%, while the model indicated an expected return of 3.81%. The Direxion Daily Real Estate Bear 3X Shares returned -10.93%, while the model indicated an expected return of -10.89%.
The Direxion Daily Regional Banks Bull 3X Shares seeks to provide 300% of the daily return of the S&P Regional Banks Select Industry Index. The S&P Regional Banks Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard regional banks sub-industry. For the Semi-Annual Period, the S&P Regional Banks Select Industry Index returned -11.72%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Regional Banks Bull 3X Shares returned -40.79%, while the model indicated an expected return of -39.97%.
The Direxion Daily Retail Bull 3X Shares seeks to provide 300% of the daily return of the S&P Retail Select Industry Index. The S&P Retail Select Industry Index is a modified equal-weighted index that is designed to measure performance of the stocks comprising the S&P Total Market Index that are classified in the Global Industry Classification Standard retail sub-industry. For the Semi-Annual Period, the S&P Retail Select Industry Index returned -24.53%. 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
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not generate expectations of annual performance of the ETFs. The Direxion Daily Retail Bull 3X Shares returned -64.50%, while the model indicated an expected return of -64.00%
The Direxion Daily S&P 500® High Beta Bull 3X Shares and the Direxion Daily S&P 500® High Beta Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P 500® High Beta Index. The S&P 500® High Beta Index selects 100 securities to include in the Index from the S&P 500® Index that have the highest sensitivity to market movements, or "beta" over the past 12 months as determined by the Index Provider. Securities with the highest beta are generally the most volatile securities of the S&P 500® Index. The Index is reviewed and rebalanced quarterly. For the Semi-Annual Period, the S&P 500® High Beta Index returned -13.90%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P 500® High Beta Bull 3X Shares returned -45.43%, while the model indicated an expected return of -44.62%. The Direxion Daily S&P 500® High Beta Bear 3X Shares returned 17.88%, while the model indicated an expected return of 18.27%.
The Direxion Daily S&P Biotech Bull 3X Shares and the Direxion Daily S&P Biotech Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the S&P Biotechnology Select Industry Index. The S&P Biotechnology Select Industry Index is provided by Standard & Poor's and includes domestic companies from the biotechnology industry. The index is designed to measure the performance of the biotechnology sub-industry based on the Global Industry Classification Standards. For the Semi-Annual Period, the S&P Biotechnology Select Industry Index returned -40.78%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily S&P Biotech Bull 3X Shares returned -84.75%, while the model indicated an expected return of -84.53%. The Direxion Daily S&P Biotech Bear 3X Shares returned 169.20%, while the model indicated an expected return of 170.52%.
The Direxion Daily Semiconductor Bull 3X Shares and the Direxion Daily Semiconductor Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE Semiconductor Index. The ICE Semiconductor Index is a rules-based, modified float-adjusted market capitalization-weighted index that tracks the performance of the thirty largest U.S. listed semiconductor companies. For the Semi-Annual Period, the ICE Semiconductor Index returned -15.18%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily Semiconductor Bull 3X Shares returned -53.47%, while the model indicated an expected return of -52.77%. The Direxion Daily Semiconductor Bear 3X Shares returned -1.97%, while the model indicated an expected return of -1.65%.
The Direxion Daily Technology Bull 3X Shares and the Direxion Daily Technology Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the Technology Select Sector Index. The Technology Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the technology sector which includes domestic companies from the technology sector which includes the following industries: computers and peripherals; software; diversified telecommunications services; communications equipment; semiconductors and semi-conductor equipment; internet software and services; IT services; electronic equipment, instruments and components; wireless telecommunication services; and office electronics. For the Semi-Annual Period, the Technology Select Sector Index returned -12.08%. 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 Technology Bull 3X Shares returned -41.05%, while the model indicated an expected return of -40.17%. The Direxion Daily Technology Bear 3X Shares returned 13.56%, while the model indicated an expected return of 14.03%.
The Direxion Daily Transportation Bull 3X Shares seeks to provide 300% of the daily return of the Dow Jones Transportation Average. The Dow Jones Transportation Average is provided by Dow Jones U.S. Index and measures the performance of large, well-known companies within the transportation industry (e.g. shipping, railroad companies, airlines, etc.). For the Semi-Annual Period, the Dow Jones Transportation Average returned -5.97%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Transportation Bull 3X Shares returned -26.60%, while the model indicated an expected return of -25.44%.
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The Direxion Daily Utilities Bull 3X Shares seeks to provide 300% of the daily return of the Utilities Select Sector Index. The Utilities Select Sector Index is provided by S&P Dow Jones Indices and includes domestic companies from the utilities sector which includes the following industries: electric utilities; multi-utilities; water utilities; independent power producers and energy trades; and gas utilities. For the Semi-Annual Period, the Utilities Select Sector Index returned 8.17%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the Fund. The Direxion Daily Utilities Bull 3X Shares returned 20.14%, while the model indicated an expected return of 21.70%.
The Direxion Daily 7-10 Year Treasury Bull 3X Shares and the Direxion Daily 7-10 Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 7-10 Year Bond Index. The ICE U.S. Treasury 7-10 Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than seven years and less than or equal to ten years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 7-10 Year Bond Index returned -9.79%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 7-10 Year Treasury Bull 3X Shares returned -27.90%, while the model indicated an expected return of -27.42%. The Direxion Daily 7-10 Year Treasury Bear 3X Shares returned 31.92%, while the model indicated and an expected return of 33.67%.
The Direxion Daily 20+ Year Treasury Bull 3X Shares and the Direxion Daily 20+ Year Treasury Bear 3X Shares seek to provide 300% and -300%, respectively, of the daily return of the ICE U.S. Treasury 20+ Year Bond Index. The ICE U.S. Treasury 20+ Year Bond Index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. Eligible securities must be fixed rate, denominated in U.S. dollars, and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. Securities excluded from the index are zero-coupon STRIPS, inflation linked securities, floating rate notes, cash management and Treasury bills, and any government agency debt issued with or without a government guarantee. For the Semi-Annual Period, the ICE U.S. Treasury 20+ Year Bond Index returned -18.41%. Given the daily investment objectives of the ETFs and the path dependency of returns for longer periods, the annual return of the index alone should not generate expectations of annual performance of the ETFs. The Direxion Daily 20+ Year Treasury Bull 3X Shares returned -48.89%, while the model indicated an expected return of -48.23%. The Direxion Daily 20+ Year Treasury Bear 3X Shares returned 66.34%, while the model indicated an expected return of 68.19%.
As always, we thank you for using the Direxion Shares ETFs and we look forward to our mutual success.
Best Regards,
|
|
||||||
Patrick Rudnick |
Corey Noltner |
||||||
Principal Executive Officer |
Principal Financial Officer |
An investor should carefully consider a Fund's investment objective, risks, charges, and expenses before investing. A Fund's prospectus and summary prospectus contain this and other information about the Direxion Shares. To obtain a Fund's prospectus and summary prospectus call 866-476-7523 or visit our website at direxion.com. A Fund's prospectus and summary prospectus should be read carefully before investing.
DIREXION SEMI-ANNUAL REPORT
11
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.
SOFR (Secured Overnight Financing Rate) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.
Direxion Shares Risks – An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration risk that results from the ETFs' investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts, forward contracts, options and swaps are subject to market risks that may cause their price to fluctuate over time. The ETF does not attempt to, and should not be expected to; provide returns which are a multiple of the return of the Index for periods other than a single day. For other risks including correlation, leverage, compounding, market volatility and specific risks regarding each sector, please read the prospectus.
The views of this letter were those of the Adviser as of April 30, 2022 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 SEMI-ANNUAL REPORT
12
Expense Example (Unaudited)
April 30, 2022
As a shareholder of the Direxion Shares ETF Trust, you incur two types of costs: (1) transaction costs, for purchasing and selling shares and exchange fees; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (November 1, 2021 to April 30, 2022).
Actual Expenses
The first line under each Fund in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period November 1, 2021 to April 30, 2022" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the following table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
$ |
1,000.00 |
$ |
670.40 |
$ |
3.98 |
|||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.86 |
% |
1,000.00 |
685.50 |
3.59 |
||||||||||||||
Based on hypothetical 5% return |
0.86 |
% |
1,000.00 |
1,020.53 |
4.31 |
||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,200.70 |
5.18 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.89 |
% |
1,000.00 |
486.20 |
3.28 |
||||||||||||||
Based on hypothetical 5% return |
0.89 |
% |
1,000.00 |
1,020.38 |
4.46 |
||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.92 |
% |
1,000.00 |
1,507.30 |
5.91 |
||||||||||||||
Based on hypothetical 5% return |
0.92 |
% |
1,000.00 |
1,020.23 |
4.76 |
DIREXION SEMI-ANNUAL REPORT
13
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
$ |
1,000.00 |
$ |
361.00 |
$ |
3.21 |
|||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,004.20 |
4.72 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.98 |
% |
1,000.00 |
578.80 |
3.84 |
||||||||||||||
Based on hypothetical 5% return |
0.98 |
% |
1,000.00 |
1,019.94 |
4.91 |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
551.20 |
3.65 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,407.50 |
5.73 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,041.80 |
4.86 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
567.80 |
3.69 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.94 |
% |
1,000.00 |
887.40 |
4.40 |
||||||||||||||
Based on hypothetical 5% return |
0.94 |
% |
1,000.00 |
1,020.13 |
4.71 |
||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
461.80 |
3.48 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
203.20 |
2.83 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
2,556.60 |
8.38 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Financial Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.84 |
% |
1,000.00 |
578.20 |
3.29 |
||||||||||||||
Based on hypothetical 5% return |
0.84 |
% |
1,000.00 |
1,020.63 |
4.21 |
||||||||||||||
Direxion Daily Financial Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,361.70 |
5.56 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
894.30 |
4.51 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.94 |
% |
1,000.00 |
436.70 |
3.35 |
||||||||||||||
Based on hypothetical 5% return |
0.94 |
% |
1,000.00 |
1,020.13 |
4.71 |
||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
727.70 |
4.11 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
595.00 |
3.76 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
889.20 |
4.50 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
DIREXION SEMI-ANNUAL REPORT
14
Expense Example (Unaudited)
April 30, 2022
Annualized Expense Ratio |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
$ |
1,000.00 |
$ |
924.30 |
$ |
4.53 |
|||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.89 |
% |
1,000.00 |
592.10 |
3.51 |
||||||||||||||
Based on hypothetical 5% return |
0.89 |
% |
1,000.00 |
1,020.38 |
4.46 |
||||||||||||||
Direxion Daily Retail Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
355.00 |
3.19 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
545.70 |
3.68 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,178.80 |
5.13 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.92 |
% |
1,000.00 |
152.50 |
2.63 |
||||||||||||||
Based on hypothetical 5% return |
0.92 |
% |
1,000.00 |
1,020.23 |
4.61 |
||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.97 |
% |
1,000.00 |
2,692.00 |
8.88 |
||||||||||||||
Based on hypothetical 5% return |
0.97 |
% |
1,000.00 |
1,019.98 |
4.86 |
||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.73 |
% |
1,000.00 |
465.30 |
2.65 |
||||||||||||||
Based on hypothetical 5% return |
0.73 |
% |
1,000.00 |
1,021.18 |
3.66 |
||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.90 |
% |
1,000.00 |
980.30 |
4.42 |
||||||||||||||
Based on hypothetical 5% return |
0.90 |
% |
1,000.00 |
1,020.33 |
4.51 |
||||||||||||||
Direxion Daily Technology Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.87 |
% |
1,000.00 |
589.50 |
3.43 |
||||||||||||||
Based on hypothetical 5% return |
0.87 |
% |
1,000.00 |
1,020.48 |
4.36 |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
1,135.60 |
5.03 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
734.00 |
4.13 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,201.40 |
5.24 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.95 |
% |
1,000.00 |
721.00 |
4.05 |
||||||||||||||
Based on hypothetical 5% return |
0.95 |
% |
1,000.00 |
1,020.08 |
4.76 |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.96 |
% |
1,000.00 |
1,319.20 |
5.52 |
||||||||||||||
Based on hypothetical 5% return |
0.96 |
% |
1,000.00 |
1,020.03 |
4.81 |
||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.89 |
% |
1,000.00 |
511.10 |
3.33 |
||||||||||||||
Based on hypothetical 5% return |
0.89 |
% |
1,000.00 |
1,020.38 |
4.46 |
||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
|||||||||||||||||||
Based on actual fund return |
0.89 |
% |
1,000.00 |
1,663.40 |
5.88 |
||||||||||||||
Based on hypothetical 5% return |
0.89 |
% |
1,000.00 |
1,020.38 |
4.46 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days (the number of days in the period of November 1, 2021 to April 30, 2022), then divided by 365.
DIREXION SEMI-ANNUAL REPORT
15
Allocation of Portfolio Holdings (Unaudited)
April 30, 2022
Cash* |
Common Stocks |
Investment Companies |
Swaps |
Total |
|||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
40 |
% |
— |
76 |
% |
(16 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
31 |
% |
— |
83 |
% |
(14 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
79 |
% |
— |
— |
21 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
57 |
% |
— |
66 |
% |
(23 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
69 |
% |
— |
— |
31 |
% |
100 |
% |
|||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
58 |
% |
— |
42 |
% |
0 |
%** |
100 |
% |
||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
119 |
% |
— |
— |
(19 |
)% |
100 |
% |
|||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
70 |
% |
— |
51 |
% |
(21 |
)% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
125 |
% |
— |
1 |
% |
(26 |
)% |
100 |
% |
||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
91 |
% |
— |
— |
9 |
% |
100 |
% |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
58 |
% |
— |
46 |
% |
(4 |
)% |
100 |
% |
||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
71 |
% |
— |
57 |
% |
(28 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
27 |
% |
72 |
% |
— |
1 |
% |
100 |
% |
||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
32 |
% |
84 |
% |
— |
(16 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
57 |
% |
83 |
% |
— |
(40 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
99 |
% |
— |
— |
1 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
45 |
% |
79 |
% |
— |
(24 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Financial Bear 3X Shares |
81 |
% |
— |
— |
19 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
32 |
% |
72 |
% |
— |
(4 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
45 |
% |
73 |
% |
— |
(18 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
57 |
% |
58 |
% |
— |
(15 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
57 |
% |
56 |
% |
— |
(13 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
59 |
% |
51 |
% |
— |
(10 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
95 |
% |
— |
— |
5 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
45 |
% |
79 |
% |
— |
(24 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Retail Bull 3X Shares |
39 |
% |
83 |
% |
— |
(22 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
41 |
% |
83 |
% |
— |
(24 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
81 |
% |
— |
— |
19 |
% |
100 |
% |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
59 |
% |
83 |
% |
— |
(42 |
)% |
100 |
% |
||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
42 |
% |
— |
— |
58 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
45 |
% |
80 |
% |
— |
(25 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
80 |
% |
— |
— |
20 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
49 |
% |
71 |
% |
— |
(20 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
88 |
% |
— |
— |
12 |
% |
100 |
% |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
77 |
% |
45 |
% |
— |
(22 |
)% |
100 |
% |
||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
5 |
% |
87 |
% |
— |
8 |
% |
100 |
% |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
31 |
% |
— |
86 |
% |
(17 |
)% |
100 |
% |
||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
88 |
% |
— |
— |
12 |
% |
100 |
% |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
63 |
% |
— |
64 |
% |
(27 |
)% |
100 |
% |
||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
80 |
% |
— |
— |
20 |
% |
100 |
% |
Allocation of Portfolio Holdings reflects percentages of net assets.
* Cash, cash equivalents and other assets less liabilities.
** Less than 0.5%.
DIREXION SEMI-ANNUAL REPORT
16
Direxion Daily Mid Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 76.0% |
|||||||||||
178,279 |
iShares Core S&P Mid-Cap ETF (a) |
$ |
44,439,606 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $43,806,890) |
$ |
44,439,606 |
|||||||||
SHORT TERM INVESTMENTS - 40.8% |
|||||||||||
Money Market Funds - 40.8% |
|||||||||||
12,222,667 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
12,222,667 |
||||||||
11,635,923 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
11,635,923 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $23,858,590) |
$ |
23,858,590 |
|||||||||
TOTAL INVESTMENTS (Cost $67,665,480) - 116.8% (c) |
$ |
68,298,196 |
|||||||||
Liabilities in Excess of Other Assets - (16.8)% |
(9,819,675 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
58,478,521 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $61,116,756.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P MidCap 400® Index |
0.5800% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
10,614 |
$ |
27,283,070 |
$ |
(723,437 |
) |
||||||||||||||||||
Total return of S&P MidCap 400® Index |
0.5800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
8,600 |
23,727,351 |
(2,152,240 |
) |
||||||||||||||||||||
Total return of S&P MidCap 400® Index |
0.7300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
15,577 |
41,746,112 |
(2,781,442 |
) |
||||||||||||||||||||
Total return of S&P MidCap 400® Index |
0.7800% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
17,604 |
47,983,624 |
(3,855,015 |
) |
||||||||||||||||||||
$ |
140,740,157 |
$ |
(9,512,134 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
17
Direxion Daily S&P 500® Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 83.4% |
|||||||||||
5,144,210 |
iShares Core S&P 500 ETF (a) |
$ |
2,127,439,488 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $2,162,814,141) |
$ |
2,127,439,488 |
|||||||||
SHORT TERM INVESTMENTS - 28.6% |
|||||||||||
Money Market Funds - 28.6% |
|||||||||||
459,419,032 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
459,419,032 |
||||||||
154,989,627 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (b) |
154,989,627 |
|||||||||
16,660,000 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
16,660,000 |
|||||||||
99,746,979 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
99,746,979 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $730,815,638) |
$ |
730,815,638 |
|||||||||
TOTAL INVESTMENTS (Cost $2,893,629,779) - 112.0% (c) |
$ |
2,858,255,126 |
|||||||||
Liabilities in Excess of Other Assets - (12.0)% |
(305,983,357 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
2,552,271,769 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,322,306,250.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P 500® Index |
0.7800% representing 1 month SOFR rate + spread |
Goldman Sachs |
10/26/2022 |
211,602 |
$ |
923,506,363 |
$ |
(46,621,205 |
) |
||||||||||||||||||
Total return of S&P 500® Index |
0.7500% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
211,276 |
916,176,808 |
(42,871,710 |
) |
||||||||||||||||||||
Total return of S&P 500® Index |
0.9300% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
225,000 |
988,088,286 |
(58,307,213 |
) |
||||||||||||||||||||
Total return of S&P 500® Index |
0.5300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
197,016 |
864,887,966 |
(50,387,205 |
) |
||||||||||||||||||||
Total return of S&P 500® Index |
0.7300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
119,488 |
548,210,825 |
(53,428,402 |
) |
||||||||||||||||||||
Total return of S&P 500® Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
179,969 |
773,032,630 |
(28,861,626 |
) |
||||||||||||||||||||
Total return of S&P 500® Index |
0.6300% representing 1 month SOFR rate + spread |
J.P. Morgan |
2/10/2023 |
193,909 |
867,405,576 |
(65,084,171 |
) |
||||||||||||||||||||
$ |
5,881,308,454 |
$ |
(345,561,532 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
18
Direxion Daily S&P 500® Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 91.7% |
|||||||||||
Money Market Funds - 91.7% |
|||||||||||
228,363,717 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
228,363,717 |
||||||||
96,223,885 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (a) |
96,223,885 |
|||||||||
26,244,053 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
26,244,053 |
|||||||||
88,939,044 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
88,939,044 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $439,770,699) (b) |
$ |
439,770,699 |
|||||||||
TOTAL INVESTMENTS (Cost $439,770,699) - 91.7% |
$ |
439,770,699 |
|||||||||
Other Assets in Excess of Liabilities - 8.3% |
39,974,999 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
479,745,698 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $259,973,390.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.3200% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
BNP Paribas |
6/14/2022 |
354 |
$ |
1,495,739 |
$ |
15,746 |
|||||||||||||||||||
0.3200% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
BNP Paribas |
9/20/2022 |
15,257 |
68,012,950 |
4,362,135 |
|||||||||||||||||||||
0.6100% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
Barclays |
12/7/2022 |
78,988 |
342,003,906 |
15,448,837 |
|||||||||||||||||||||
0.3300% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
Citibank N.A. |
12/13/2022 |
16,396 |
77,258,280 |
9,183,524 |
|||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
Bank of America Merrill Lynch |
12/13/2022 |
26,225 |
120,553,945 |
11,837,644 |
|||||||||||||||||||||
0.6500% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
UBS Securities LLC |
12/14/2022 |
45,937 |
205,997,124 |
15,882,166 |
|||||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
Goldman Sachs |
1/4/2023 |
110,264 |
481,126,260 |
24,896,919 |
|||||||||||||||||||||
0.3800% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
J.P. Morgan |
2/10/2023 |
49,922 |
223,663,790 |
16,910,789 |
|||||||||||||||||||||
0.3200% representing 1 month SOFR rate + spread |
Total return of S&P 500® Index |
BNP Paribas |
4/19/2023 |
5,000 |
22,276,744 |
1,600,548 |
|||||||||||||||||||||
$ |
1,542,388,738 |
$ |
100,138,308 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
19
Direxion Daily Small Cap Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 66.3% |
|||||||||||
4,527,564 |
iShares Russell 2000 ETF (a)(b) |
$ |
837,372,962 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $962,001,000) |
$ |
837,372,962 |
|||||||||
SHORT TERM INVESTMENTS - 82.1% |
|||||||||||
Money Market Funds - 82.1% |
|||||||||||
579,860,799 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
579,860,799 |
||||||||
41,720,004 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
41,720,004 |
|||||||||
414,714,092 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
414,714,092 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,036,294,895) |
$ |
1,036,294,895 |
|||||||||
TOTAL INVESTMENTS (Cost $1,998,295,895) - 148.4% (e) |
$ |
1,873,667,857 |
|||||||||
Liabilities in Excess of Other Assets - (48.4)% |
(610,883,846 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
1,262,784,011 |
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 April 30, 2022.
(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 $1,182,421,179.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Russell 2000® Index |
0.5800% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
106,269 |
$ |
207,671,199 |
$ |
(9,576,063 |
) |
||||||||||||||||||
Total return of Russell 2000® Index |
0.6300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
285,000 |
588,530,415 |
(57,080,671 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.7800% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/8/2022 |
245,000 |
505,929,655 |
(49,160,064 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.5200% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
298,503 |
637,355,852 |
(79,826,258 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.6800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
132,190 |
256,456,485 |
(5,616,995 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.8600% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
277,413 |
566,277,627 |
(48,641,477 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.6200% representing 1 month SOFR rate + spread |
BNP Paribas |
2/15/2023 |
71,630 |
146,518,031 |
(12,720,006 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.6200% representing 1 month SOFR rate + spread |
BNP Paribas |
3/15/2023 |
125,000 |
256,410,587 |
(23,114,654 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.6200% representing 1 month SOFR rate + spread |
BNP Paribas |
4/19/2023 |
2,110 |
4,413,125 |
(480,273 |
) |
||||||||||||||||||||
Total return of Russell 2000® Index |
0.6200% representing 1 month SOFR rate + spread |
BNP Paribas |
5/17/2023 |
40,000 |
81,246,846 |
(6,688,332 |
) |
||||||||||||||||||||
$ |
3,250,809,822 |
$ |
(292,904,793 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
20
Direxion Daily Small Cap Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 99.4% |
|||||||||||
Money Market Funds - 99.4% |
|||||||||||
164,033,901 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
164,033,901 |
||||||||
171,380,498 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
171,380,498 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $335,414,399) (b) |
$ |
335,414,399 |
|||||||||
TOTAL INVESTMENTS (Cost $335,414,399) - 99.4% |
$ |
335,414,399 |
|||||||||
Other Assets in Excess of Liabilities - 0.6% |
1,868,565 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
337,282,964 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $193,854,788.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
0.2800% representing 1 month SOFR rate + spread |
Total return of Russell 2000® Index |
J.P. Morgan |
7/1/2022 |
106,106 |
$ |
232,924,846 |
$ |
34,347,091 |
|||||||||||||||||||
0.4200% representing 1 month SOFR rate + spread |
Total return of Russell 2000® Index |
BNP Paribas |
12/7/2022 |
58,607 |
122,853,459 |
13,313,638 |
|||||||||||||||||||||
0.2300% representing 1 month SOFR rate + spread |
Total return of Russell 2000® Index |
Citibank N.A. |
12/13/2022 |
140,652 |
303,557,804 |
40,685,423 |
|||||||||||||||||||||
0.4800% representing 1 month SOFR rate + spread |
Total return of Russell 2000® Index |
Bank of America Merrill Lynch |
12/13/2022 |
156,610 |
291,937,171 |
(1,732 |
) |
||||||||||||||||||||
0.5500% representing 1 month SOFR rate + spread |
Total return of Russell 2000® Index |
UBS Securities LLC |
12/14/2022 |
80,830 |
166,734,750 |
15,723,227 |
|||||||||||||||||||||
$ |
1,118,008,030 |
$ |
104,067,647 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
21
Direxion Daily FTSE China Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 42.4% |
|||||||||||
6,193,863 |
iShares China Large-Cap ETF (a) |
$ |
191,638,121 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $193,415,500) |
$ |
191,638,121 |
|||||||||
SHORT TERM INVESTMENTS - 57.4% |
|||||||||||
Money Market Funds - 57.4% |
|||||||||||
174,109,848 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
174,109,848 |
||||||||
38,540,000 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
38,540,000 |
|||||||||
46,370,110 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
46,370,110 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $259,019,958) |
$ |
259,019,958 |
|||||||||
TOTAL INVESTMENTS (Cost $452,435,458) - 99.8% (c) |
$ |
450,658,079 |
|||||||||
Other Assets in Excess of Liabilities - 0.2% |
848,241 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
451,506,320 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $345,098,151.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of iShares China Large-Cap ETF |
1.0300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
8,714,209 |
$ |
274,515,835 |
$ |
(5,181,920 |
) |
||||||||||||||||||
Total return of iShares China Large-Cap ETF |
0.6700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
7,404,682 |
229,841,329 |
(787,075 |
) |
||||||||||||||||||||
Total return of iShares China Large-Cap ETF |
0.7800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
11,029,259 |
343,163,775 |
(2,156,835 |
) |
||||||||||||||||||||
Total return of iShares China Large-Cap ETF |
0.9000% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
10,438,550 |
315,022,985 |
7,725,504 |
|||||||||||||||||||||
$ |
1,162,543,924 |
$ |
(400,326 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
22
Direxion Daily FTSE China Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 117.8% |
|||||||||||
Money Market Funds - 117.8% |
|||||||||||
58,505,156 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
58,505,156 |
||||||||
64,748,445 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
64,748,445 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $123,253,601) (b) |
$ |
123,253,601 |
|||||||||
TOTAL INVESTMENTS (Cost $123,253,601) - 117.8% |
$ |
123,253,601 |
|||||||||
Liabilities in Excess of Other Assets - (17.8)% |
(18,665,883 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
104,587,718 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $82,564,722.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of iShares China Large-Cap ETF |
Bank of America Merrill Lynch |
12/13/2022 |
6,859,428 |
$ |
200,569,675 |
$ |
(11,633,036 |
) |
||||||||||||||||||
0.5000% representing 1 month SOFR rate + spread |
Total return of iShares China Large-Cap ETF |
UBS Securities LLC |
12/14/2022 |
3,282,416 |
93,745,801 |
(7,805,871 |
) |
||||||||||||||||||||
$ |
294,315,476 |
$ |
(19,438,907 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
23
Direxion Daily FTSE Europe Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 51.4% |
|||||||||||
224,093 |
Vanguard FTSE Europe ETF (a)(b) |
$ |
13,084,790 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $15,169,463) |
$ |
13,084,790 |
|||||||||
SHORT TERM INVESTMENTS - 74.5% |
|||||||||||
Money Market Funds - 74.5% |
|||||||||||
11,223,686 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
11,223,686 |
||||||||
7,733,360 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
7,733,360 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $18,957,046) |
$ |
18,957,046 |
|||||||||
TOTAL INVESTMENTS (Cost $34,126,509) - 125.9% (e) |
$ |
32,041,836 |
|||||||||
Liabilities in Excess of Other Assets - (25.9)% |
(6,598,896 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
25,442,940 |
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 April 30, 2022.
(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 $25,984,616.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Vanguard FTSE Europe ETF |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
155,259 |
$ |
9,280,133 |
$ |
(202,182 |
) |
||||||||||||||||||
Total return of Vanguard FTSE Europe ETF |
0.9800% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
183,065 |
12,113,412 |
(1,314,485 |
) |
||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF |
0.5700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
286,710 |
19,298,450 |
(2,539,181 |
) |
||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF |
0.7800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
268,332 |
16,530,959 |
(843,670 |
) |
||||||||||||||||||||
Total return of Vanguard FTSE Europe ETF |
1.0200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
189,786 |
11,633,842 |
(542,484 |
) |
||||||||||||||||||||
$ |
68,856,796 |
$ |
(5,442,002 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
24
Direxion Daily MSCI Emerging Markets Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 1.2% |
|||||||||||
26,995 |
iShares MSCI Emerging Markets ETF (a) |
$ |
1,144,048 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $1,227,463) |
$ |
1,144,048 |
|||||||||
SHORT TERM INVESTMENTS - 124.4% |
|||||||||||
Money Market Funds - 124.4% |
|||||||||||
61,588,956 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
61,588,956 |
||||||||
60,019,743 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
60,019,743 |
|||||||||
129 |
JPMorgan 100% U.S. Treasury Securities Money Market Fund Institutional Shares, 0.28% (b) |
129 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $121,608,828) |
$ |
121,608,828 |
|||||||||
TOTAL INVESTMENTS (Cost $122,836,291) - 125.6% (c) |
$ |
122,752,876 |
|||||||||
Liabilities in Excess of Other Assets - (25.6)% |
(25,019,734 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
97,733,142 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $82,501,703.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF |
0.6300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
2,403,144 |
$ |
106,888,476 |
$ |
(5,116,678 |
) |
||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF |
0.5900% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
2,000,000 |
99,754,933 |
(14,403,800 |
) |
||||||||||||||||||||
Total return of iShares MSCI Emerging Markets ETF |
0.9800% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
2,488,238 |
110,812,054 |
(5,484,748 |
) |
||||||||||||||||||||
$ |
317,455,463 |
$ |
(25,005,226 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
25
Direxion Daily MSCI Emerging Markets Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 105.7% |
|||||||||||
Money Market Funds - 105.7% |
|||||||||||
24,512,795 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
24,512,795 |
||||||||
21,761,278 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
21,761,278 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $46,274,073) (b) |
$ |
46,274,073 |
|||||||||
TOTAL INVESTMENTS (Cost $46,274,073) - 105.7% |
$ |
46,274,073 |
|||||||||
Liabilities in Excess of Other Assets - (5.7)% |
(2,476,692 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
43,797,381 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $28,196,881.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received/(Paid) at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
(0.0200)% representing 1 month SOFR rate + spread |
Total return of iShares MSCI Emerging Markets ETF |
J.P. Morgan |
12/6/2022 |
1,650,204 |
$ |
67,905,895 |
$ |
(2,029,946 |
) |
||||||||||||||||||
0.2800% representing 1 month SOFR rate + spread |
Total return of iShares MSCI Emerging Markets ETF |
Citibank N.A. |
12/13/2022 |
500,000 |
25,039,999 |
3,495,018 |
|||||||||||||||||||||
0.5500% representing 1 month SOFR rate + spread |
Total return of iShares MSCI Emerging Markets ETF |
UBS Securities LLC |
12/14/2022 |
950,160 |
42,871,031 |
2,620,721 |
|||||||||||||||||||||
$ |
135,816,925 |
$ |
4,085,793 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
26
Direxion Daily MSCI Mexico Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 45.9% |
|||||||||||
106,492 |
iShares MSCI Mexico ETF (a)(b) |
$ |
5,263,899 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $5,322,916) |
$ |
5,263,899 |
|||||||||
SHORT TERM INVESTMENTS - 95.7% |
|||||||||||
Money Market Funds - 95.7% |
|||||||||||
7,473,182 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
7,473,182 |
||||||||
3,502,513 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
3,502,513 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,975,695) |
$ |
10,975,695 |
|||||||||
TOTAL INVESTMENTS (Cost $16,298,611) - 141.6% (e) |
$ |
16,239,594 |
|||||||||
Liabilities in Excess of Other Assets - (41.6)% |
(4,769,272 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
11,470,322 |
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 April 30, 2022.
(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 $6,835,129.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid/(Received) at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of iShares MSCI Mexico ETF |
0.2700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
22,989 |
$ |
1,071,287 |
$ |
79,752 |
|||||||||||||||||||
Total return of iShares MSCI Mexico ETF |
0.2700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
71,752 |
3,689,665 |
(144,097 |
) |
||||||||||||||||||||
Total return of iShares MSCI Mexico ETF |
0.7200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
144,942 |
7,175,700 |
(14,898 |
) |
||||||||||||||||||||
Total return of iShares MSCI Mexico ETF |
(0.7200)% representing 1 month SOFR rate + spread |
J.P. Morgan |
2/10/2023 |
350,000 |
17,765,239 |
(417,391 |
) |
||||||||||||||||||||
$ |
29,701,891 |
$ |
(496,634 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
27
Direxion Daily MSCI South Korea Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 56.8% |
|||||||||||
213,432 |
iShares MSCI South Korea ETF (a) |
$ |
14,223,108 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $17,340,895) |
$ |
14,223,108 |
|||||||||
SHORT TERM INVESTMENTS - 71.7% |
|||||||||||
Money Market Funds - 71.7% |
|||||||||||
2,349,589 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
2,349,589 |
||||||||
15,594,051 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
15,594,051 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $17,943,640) |
$ |
17,943,640 |
|||||||||
TOTAL INVESTMENTS (Cost $35,284,535) - 128.5% (c) |
$ |
32,166,748 |
|||||||||
Liabilities in Excess of Other Assets - (28.5)% |
(7,145,766 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
25,020,982 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $29,817,159.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Depreciation |
|||||||||||||||||||||
Total return of iShares MSCI South Korea ETF |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
254,762 |
$ |
17,044,232 |
$ |
(68,388 |
) |
||||||||||||||||||
Total return of iShares MSCI South Korea ETF |
0.7300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
239,851 |
19,365,570 |
(3,021,797 |
) |
||||||||||||||||||||
Total return of iShares MSCI South Korea ETF |
0.7800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
418,356 |
32,159,456 |
(4,014,224 |
) |
||||||||||||||||||||
$ |
68,569,258 |
$ |
(7,104,409 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
28
Direxion Daily Aerospace & Defense Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 71.6% |
|||||||||||
Computer and Electronic Product Manufacturing - 24.2% |
|||||||||||
36,487 |
Aerojet Rocketdyne Holdings, Inc. (a) |
$ |
1,458,750 |
||||||||
27,524 |
L3 Harris Technologies, Inc. |
6,392,724 |
|||||||||
27,666 |
Mercury Computer Systems, Inc. (a) |
1,543,486 |
|||||||||
14,160 |
Moog, Inc. Class A |
1,130,959 |
|||||||||
15,630 |
Northrop Grumman Corp. |
6,867,822 |
|||||||||
343,872 |
Raytheon Technologies Corp. |
32,636,892 |
|||||||||
50,030,633 |
|||||||||||
Credit Intermediation and Related Activities - 0.1% |
|||||||||||
23,538 |
Smith & Wesson Brands, Inc. |
323,177 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.8% |
|||||||||||
33,372 |
Axon Enterprise, Inc. (a) |
3,744,339 |
|||||||||
Fabricated Metal Product Manufacturing - 3.9% |
|||||||||||
44,941 |
BWX Technologies, Inc. |
2,333,337 |
|||||||||
19,123 |
Curtiss-Wright Corp. |
2,732,868 |
|||||||||
14,074 |
RBC Bearings, Inc. (a) |
2,369,358 |
|||||||||
8,578 |
Sturm, Ruger & Co, Inc. |
584,590 |
|||||||||
8,020,153 |
|||||||||||
Merchant Wholesalers, Durable Goods - 3.3% |
|||||||||||
40,890 |
Hexcel Corp. |
2,222,780 |
|||||||||
19,528 |
Huntington Ingalls Industries, Inc. |
4,154,387 |
|||||||||
13,579 |
Kaman Corp. |
529,717 |
|||||||||
6,906,884 |
|||||||||||
Miscellaneous Manufacturing - 3.3% |
|||||||||||
100,437 |
Textron, Inc. |
6,955,262 |
|||||||||
Primary Metal Manufacturing - 3.0% |
|||||||||||
184,977 |
Howmet Aerospace, Inc. |
6,311,415 |
|||||||||
Professional, Scientific, and Technical Services - 0.8% |
|||||||||||
35,416 |
Maxar Technologies, Inc. |
1,140,749 |
|||||||||
12,959 |
Parsons Corp. (a) |
478,576 |
|||||||||
1,619,325 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.6% |
|||||||||||
70,063 |
Rocket Lab USA, Inc. (a)(b) |
517,065 |
|||||||||
86,768 |
Virgin Galactic Holdings, Inc. (a)(b) |
649,892 |
|||||||||
1,166,957 |
|||||||||||
Textile Mills - 0.1% |
|||||||||||
2,469 |
National Presto Industries, Inc. |
175,620 |
|||||||||
Transportation Equipment Manufacturing - 30.5% |
|||||||||||
16,248 |
AAR Corp. (a) |
763,331 |
|||||||||
11,251 |
AeroVironment, Inc. (a) |
903,680 |
|||||||||
61,059 |
Astra Space, Inc. (a)(b) |
195,389 |
|||||||||
63,826 |
Boeing Co. (a) |
9,499,862 |
|||||||||
29,695 |
General Dynamics Corp. |
7,023,758 |
|||||||||
34,394 |
HEICO Corp. |
4,011,716 |
|||||||||
19,520 |
HEICO Corp. Class A |
2,756,810 |
|||||||||
60,432 |
Kratos Defense & Security Solutions, Inc. (a) |
916,753 |
|||||||||
55,849 |
Lockheed Martin Corp. |
24,133,470 |
Shares |
Fair Value |
||||||||||
Transportation Equipment Manufacturing (continued) |
|||||||||||
51,443 |
Spirit AeroSystems Holdings, Inc. |
$ |
2,162,664 |
||||||||
11,097 |
TransDigm Group, Inc. (a) |
6,600,607 |
|||||||||
31,488 |
Triumph Group, Inc. (a) |
709,740 |
|||||||||
30,742 |
Woodward, Inc. |
3,396,376 |
|||||||||
63,074,156 |
|||||||||||
TOTAL COMMON STOCKS (Cost $151,528,038) |
$ |
148,327,921 |
|||||||||
SHORT TERM INVESTMENTS - 35.8% |
|||||||||||
Money Market Funds - 35.8% |
|||||||||||
51,935,878 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
51,935,878 |
||||||||
1 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
1 |
|||||||||
22,235,674 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
22,235,674 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $74,171,553) |
$ |
74,171,553 |
|||||||||
TOTAL INVESTMENTS (Cost $225,699,591) - 107.4% (e) |
$ |
222,499,474 |
|||||||||
Liabilities in Excess of Other Assets - (7.4)% |
(15,432,302 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
207,067,172 |
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 April 30, 2022.
(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 $167,174,458.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
29
Direxion Daily Aerospace & Defense Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
10/24/2022 |
9,343 |
$ |
240,808,499 |
$ |
1,925,640 |
|||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index |
0.9300% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
3,829 |
97,409,032 |
2,015,538 |
|||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
3,280 |
87,687,750 |
(2,472,713 |
) |
||||||||||||||||||||
Total return of Dow Jones U.S. Select Aerospace & Defense Index |
0.7300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
1,763 |
44,850,099 |
966,257 |
|||||||||||||||||||||
$ |
470,755,380 |
$ |
2,434,722 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
30
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 83.9% |
|||||||||||
Accommodation - 3.4% |
|||||||||||
1,791 |
Caesars Entertainment Inc. (a) |
$ |
118,708 |
||||||||
2,335 |
Hilton Worldwide Holdings, Inc. (a) |
362,602 |
|||||||||
2,882 |
Las Vegas Sands Corp. (a) |
102,109 |
|||||||||
2,293 |
Marriott International, Inc. Class A (a) |
407,054 |
|||||||||
3,157 |
MGM Resorts International |
129,563 |
|||||||||
1,393 |
Penn National Gaming, Inc. (a) |
50,942 |
|||||||||
1,170,978 |
|||||||||||
Administrative and Support Services - 2.2% |
|||||||||||
345 |
Booking Holdings, Inc. (a) |
762,557 |
|||||||||
Amusement, Gambling, and Recreation Industries - 0.2% |
|||||||||||
882 |
Wynn Resorts Ltd. (a) |
62,163 |
|||||||||
Apparel Manufacturing - 0.8% |
|||||||||||
587 |
PVH Corp. |
42,722 |
|||||||||
388 |
Ralph Lauren Corp. |
40,484 |
|||||||||
1,581 |
Under Armour, Inc. Class A (a) |
24,284 |
|||||||||
1,802 |
Under Armour, Inc. Class C (a) |
25,570 |
|||||||||
2,704 |
V F Corp. |
140,608 |
|||||||||
273,668 |
|||||||||||
Building Material and Garden Equipment and Supplies Dealers - 7.5% |
|||||||||||
5,645 |
Lowe's Companies, Inc. |
1,116,186 |
|||||||||
4,819 |
The Home Depot, Inc. |
1,447,627 |
|||||||||
2,563,813 |
|||||||||||
Clothing and Clothing Accessories Stores - 3.0% |
|||||||||||
2,159 |
Bath & Body Works, Inc. |
114,190 |
|||||||||
2,960 |
Ross Stores, Inc. |
295,319 |
|||||||||
9,997 |
TJX Companies, Inc. |
612,616 |
|||||||||
1,022,125 |
|||||||||||
Construction of Buildings - 1.7% |
|||||||||||
2,702 |
D.R. Horton, Inc. |
188,032 |
|||||||||
2,191 |
Lennar Corp. Class A |
167,590 |
|||||||||
28 |
NVR, Inc. (a) |
122,534 |
|||||||||
2,084 |
PulteGroup, Inc. |
87,028 |
|||||||||
565,184 |
|||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% |
|||||||||||
494 |
Whirlpool Corp. |
89,671 |
|||||||||
Electronics and Appliance Stores - 0.5% |
|||||||||||
1,815 |
Best Buy Co., Inc. |
163,223 |
|||||||||
Food Services and Drinking Places - 9.3% |
|||||||||||
236 |
Chipotle Mexican Grill, Inc. (a) |
343,524 |
|||||||||
1,070 |
Darden Restaurants, Inc. |
140,951 |
|||||||||
305 |
Domino's Pizza, Inc. |
103,090 |
|||||||||
6,261 |
McDonald's Corp. |
1,559,991 |
|||||||||
9,640 |
Starbucks Corp. |
719,530 |
|||||||||
2,422 |
Yum! Brands, Inc. |
283,398 |
|||||||||
3,150,484 |
|||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.4% |
|||||||||||
1,274 |
Garmin Ltd. ADR (Switzerland) |
139,809 |
Shares |
Fair Value |
||||||||||
General Merchandise Stores - 5.0% |
|||||||||||
1,942 |
Dollar General Corp. |
$ |
461,283 |
||||||||
1,884 |
Dollar Tree, Inc. (a) |
306,056 |
|||||||||
4,016 |
Target Corp. |
918,259 |
|||||||||
1,685,598 |
|||||||||||
Health and Personal Care Stores - 0.5% |
|||||||||||
453 |
Ulta Salon, Cosmetics & Fragrance, Inc. (a) |
179,750 |
|||||||||
Leather and Allied Product Manufacturing - 4.1% |
|||||||||||
10,696 |
NIKE, Inc. Class B |
1,333,791 |
|||||||||
2,212 |
Tapestry, Inc. |
72,819 |
|||||||||
1,406,610 |
|||||||||||
Management of Companies and Enterprises - 0.6% |
|||||||||||
6,777 |
Carnival Corp. ADR (a) |
117,242 |
|||||||||
3,494 |
Norwegian Cruise Line Holdings Ltd. ADR (a) |
69,985 |
|||||||||
187,227 |
|||||||||||
Merchant Wholesalers, Durable Goods - 0.9% |
|||||||||||
2,248 |
LKQ Corp. |
111,568 |
|||||||||
459 |
Mohawk Industries, Inc. (a) |
64,747 |
|||||||||
336 |
Pool Corp. |
136,154 |
|||||||||
312,469 |
|||||||||||
Miscellaneous Manufacturing - 0.3% |
|||||||||||
1,087 |
Hasbro, Inc. |
95,721 |
|||||||||
Miscellaneous Store Retailers - 0.9% |
|||||||||||
1,063 |
Etsy, Inc. (a) |
99,061 |
|||||||||
954 |
Tractor Supply Co. |
192,183 |
|||||||||
291,244 |
|||||||||||
Motor Vehicle and Parts Dealers - 2.6% |
|||||||||||
522 |
Advance Auto Parts, Inc. |
104,207 |
|||||||||
173 |
AutoZone, Inc. (a) |
338,296 |
|||||||||
1,355 |
CarMax, Inc. (a) |
116,232 |
|||||||||
564 |
O'Reilly Automotive, Inc. (a) |
342,094 |
|||||||||
900,829 |
|||||||||||
Nonstore Retailers - 17.5% |
|||||||||||
2,284 |
Amazon.com, Inc. (a) |
5,677,179 |
|||||||||
5,245 |
eBay, Inc. |
272,320 |
|||||||||
5,949,499 |
|||||||||||
Plastics and Rubber Products Manufacturing - 0.2% |
|||||||||||
3,173 |
Newell Rubbermaid, Inc. |
73,455 |
|||||||||
Support Activities for Transportation - 0.6% |
|||||||||||
1,260 |
Expedia, Inc. (a) |
220,185 |
|||||||||
Transportation Equipment Manufacturing - 20.5% |
|||||||||||
2,268 |
Aptiv PLC ADR (Ireland) (a) |
241,315 |
|||||||||
2,008 |
BorgWarner, Inc. |
73,955 |
|||||||||
32,963 |
Ford Motor Co. |
466,756 |
|||||||||
12,177 |
General Motors Co. (a) |
461,630 |
|||||||||
6,578 |
Tesla Motors, Inc. (a) |
5,727,859 |
|||||||||
6,971,515 |
|||||||||||
Water Transportation - 0.4% |
|||||||||||
1,880 |
Royal Caribbean Cruises Ltd. ADR (Liberia) (a) |
146,132 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
31
Direxion Daily Consumer Discretionary Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Wholesale Electronic Markets and Agents and Brokers - 0.5% |
|||||||||||
1,194 |
Genuine Parts Co. |
$ |
155,280 |
||||||||
TOTAL COMMON STOCKS (Cost $31,219,246) |
$ |
28,539,189 |
|||||||||
SHORT TERM INVESTMENTS - 29.6% |
|||||||||||
Money Market Funds - 29.6% |
|||||||||||
4,034,628 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
4,034,628 |
||||||||
6,041,891 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
6,041,891 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,076,519) |
$ |
10,076,519 |
|||||||||
TOTAL INVESTMENTS (Cost $41,295,765) - 113.5% (c) |
$ |
38,615,708 |
|||||||||
Liabilities in Excess of Other Assets - (13.5)% |
(4,581,551 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
34,034,157 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $37,667,971.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Consumer Discretionary Select Sector Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
14,361 |
$ |
25,797,157 |
$ |
(2,171,155 |
) |
||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index |
0.8800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
19,953 |
34,845,313 |
(2,022,574 |
) |
||||||||||||||||||||
Total return of Consumer Discretionary Select Sector Index |
0.8800% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/13/2022 |
10,385 |
18,323,853 |
(1,232,387 |
) |
||||||||||||||||||||
$ |
78,966,323 |
$ |
(5,426,116 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
32
Direxion Daily Dow Jones Internet Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 83.2% |
|||||||||||
Administrative and Support Services - 2.4% |
|||||||||||
20,512 |
Cloudflare, Inc. (a) |
$ |
1,766,904 |
||||||||
20,108 |
Teladoc Health, Inc. (a) |
678,846 |
|||||||||
2,445,750 |
|||||||||||
Computer and Electronic Product Manufacturing - 6.0% |
|||||||||||
16,657 |
Arista Networks, Inc. (a) |
1,925,049 |
|||||||||
85,617 |
Cisco Systems, Inc. |
4,193,521 |
|||||||||
6,118,570 |
|||||||||||
Data Processing, Hosting and Related Services - 4.3% |
|||||||||||
17,925 |
Airbnb, Inc. (a) |
2,746,289 |
|||||||||
20,627 |
Match Group, Inc. (a) |
1,632,627 |
|||||||||
4,378,916 |
|||||||||||
Miscellaneous Store Retailers - 1.1% |
|||||||||||
11,716 |
Etsy, Inc. (a) |
1,091,814 |
|||||||||
Motion Picture and Sound Recording Industries - 2.1% |
|||||||||||
11,282 |
Netflix, Inc. (a) |
2,147,642 |
|||||||||
Nonstore Retailers - 9.6% |
|||||||||||
3,066 |
Amazon.com, Inc. (a) |
7,620,942 |
|||||||||
41,400 |
eBay, Inc. |
2,149,488 |
|||||||||
9,770,430 |
|||||||||||
Other Information Services - 12.1% |
|||||||||||
1,838 |
Alphabet, Inc. Class A (a) |
4,194,665 |
|||||||||
1,698 |
Alphabet, Inc. Class C (a) |
3,904,262 |
|||||||||
60,318 |
Pinterest, Inc. (a) |
1,237,725 |
|||||||||
58,875 |
Twitter, Inc. (a) |
2,886,053 |
|||||||||
12,222,705 |
|||||||||||
Professional, Scientific, and Technical Services - 16.4% |
|||||||||||
21,077 |
Ciena Corp. (a) |
1,162,818 |
|||||||||
18,458 |
GoDaddy, Inc. (a) |
1,491,591 |
|||||||||
40,130 |
Juniper Networks, Inc. |
1,264,897 |
|||||||||
30,909 |
Meta Platforms, Inc. (a) |
6,196,327 |
|||||||||
40,889 |
Nutanix, Inc. (a) |
1,023,452 |
|||||||||
11,444 |
Okta, Inc. (a) |
1,365,384 |
|||||||||
67,946 |
Snap, Inc. (a) |
1,933,743 |
|||||||||
12,522 |
Snowflake, Inc. (a) |
2,146,772 |
|||||||||
16,584,984 |
|||||||||||
Publishing Industries (except Internet) - 19.3% |
|||||||||||
15,302 |
Akamai Technologies, Inc. (a) |
1,718,109 |
|||||||||
32,766 |
Box, Inc. (a) |
1,003,295 |
|||||||||
14,151 |
Citrix Systems, Inc. |
1,416,515 |
|||||||||
10,476 |
Coupa Software, Inc. (a) |
904,079 |
|||||||||
16,083 |
Datadog, Inc. (a) |
1,942,505 |
|||||||||
17,734 |
DocuSign, Inc. (a) |
1,436,454 |
|||||||||
49,016 |
Dropbox, Inc. (a) |
1,066,098 |
|||||||||
39,950 |
Fastly, Inc. (a) |
635,205 |
|||||||||
21,948 |
Salesforce.com, Inc. (a) |
3,861,531 |
|||||||||
10,502 |
Veeva Systems, Inc. (a) |
1,910,839 |
|||||||||
10,732 |
Workday, Inc. (a) |
2,218,304 |
|||||||||
29,981 |
ZoomInfo Technologies, Inc. (a) |
1,421,099 |
|||||||||
19,534,033 |
Shares |
Fair Value |
||||||||||
Real Estate - 1.7% |
|||||||||||
103,551 |
Opendoor Technologies, Inc. (a) |
$ |
723,821 |
||||||||
4,703 |
Zillow Group, Inc. Class A (a) |
181,771 |
|||||||||
21,211 |
Zillow Group, Inc. Class C (a) |
844,622 |
|||||||||
1,750,214 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.5% |
|||||||||||
78,060 |
CommScope Holding Co., Inc. (a) |
470,702 |
|||||||||
Support Activities for Transportation - 2.0% |
|||||||||||
11,350 |
Expedia, Inc. (a) |
1,983,412 |
|||||||||
Telecommunications - 5.7% |
|||||||||||
35,508 |
PayPal Holdings, Inc. (a) |
3,122,219 |
|||||||||
48,675 |
Vonage Holdings Corp. (a) |
971,553 |
|||||||||
17,390 |
Zoom Video Communications, Inc. (a) |
1,731,522 |
|||||||||
5,825,294 |
|||||||||||
TOTAL COMMON STOCKS (Cost $99,411,010) |
$ |
84,324,466 |
|||||||||
SHORT TERM INVESTMENTS - 62.8% |
|||||||||||
Money Market Funds - 62.8% |
|||||||||||
12,388,854 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
12,388,854 |
||||||||
51,227,202 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
51,227,202 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $63,616,056) |
$ |
63,616,056 |
|||||||||
TOTAL INVESTMENTS (Cost $163,027,066) - 146.0% (c) |
$ |
147,940,522 |
|||||||||
Liabilities in Excess of Other Assets - (46.0)% |
(46,572,070 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
101,368,452 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $134,741,531.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
33
Direxion Daily Dow Jones Internet Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Dow Jones Internet Composite Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
99,537 |
$ |
81,261,011 |
$ |
(11,244,182 |
) |
||||||||||||||||||
Total return of Dow Jones Internet Composite Index |
0.6800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
41,099 |
42,488,969 |
(13,615,344 |
) |
||||||||||||||||||||
Total return of Dow Jones Internet Composite Index |
0.8300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
159,555 |
126,781,575 |
(14,516,529 |
) |
||||||||||||||||||||
Total return of Dow Jones Internet Composite Index |
0.9700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
12,086 |
9,866,890 |
(1,367,084 |
) |
||||||||||||||||||||
$ |
260,398,445 |
$ |
(40,743,139 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
34
Direxion Daily Dow Jones Internet Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 98.7% |
|||||||||||
Money Market Funds - 98.7% |
|||||||||||
6,557,701 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
6,557,701 |
||||||||
23,212,665 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
23,212,665 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,770,366) (b) |
$ |
29,770,366 |
|||||||||
TOTAL INVESTMENTS (Cost $29,770,366) - 98.7% |
$ |
29,770,366 |
|||||||||
Other Assets in Excess of Liabilities - 1.3% |
397,644 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
30,168,010 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $23,212,665.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.6300% representing 1 month SOFR rate + spread |
Total return of Dow Jones Internet Composite Index |
Bank of America Merrill Lynch |
12/13/2022 |
128,593 |
$ |
90,926,031 |
$ |
417,213 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
35
Direxion Daily Financial Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 78.6% |
|||||||||||
Administrative and Support Services - 1.8% |
|||||||||||
50,998 |
Broadridge Financial Solutions, Inc. |
$ |
7,350,342 |
||||||||
16,715 |
FactSet Research System, Inc. |
6,744,335 |
|||||||||
71,614 |
Moody's Corp. |
22,664,399 |
|||||||||
21,185 |
Upstart Holdings, Inc. (a)(b) |
1,589,298 |
|||||||||
38,348,374 |
|||||||||||
Credit Intermediation and Related Activities - 28.3% |
|||||||||||
148,926 |
Ally Financial, Inc. |
5,951,083 |
|||||||||
2,543,459 |
Bank of America Corp. |
90,750,617 |
|||||||||
17,543 |
Bank of Hawaii Corp. |
1,304,147 |
|||||||||
325,042 |
Bank of New York Mellon Corp. |
13,671,266 |
|||||||||
52,383 |
Bank OZK |
2,012,555 |
|||||||||
13,288 |
BOK Financial Corp. |
1,101,974 |
|||||||||
875,893 |
Citigroup, Inc. |
42,226,802 |
|||||||||
216,965 |
Citizens Financial Group, Inc. |
8,548,421 |
|||||||||
57,791 |
Comerica, Inc. |
4,733,083 |
|||||||||
48,674 |
Commerce Bancshares, Inc. |
3,327,841 |
|||||||||
3,465 |
Credit Acceptance Corp. (a)(b) |
1,775,812 |
|||||||||
126,943 |
Discover Financial Services |
14,276,010 |
|||||||||
62,222 |
East West Bancorp, Inc. |
4,436,429 |
|||||||||
150,762 |
F.N.B. Corp. |
1,736,778 |
|||||||||
300,595 |
Fifth Third Bancorp |
11,281,330 |
|||||||||
5,358 |
First Citizens BancShares, Inc. Class A |
3,425,798 |
|||||||||
56,118 |
First Hawaiian, Inc. |
1,324,946 |
|||||||||
233,275 |
First Horizon National Corp. |
5,220,694 |
|||||||||
78,544 |
First Republic Bank |
11,720,336 |
|||||||||
633,325 |
Huntington Bancshares, Inc. |
8,328,224 |
|||||||||
966,117 |
JPMorgan Chase & Co. |
115,315,725 |
|||||||||
409,262 |
KeyCorp |
7,902,849 |
|||||||||
78,693 |
M&T Bank Corp. |
13,113,401 |
|||||||||
199,007 |
New York Community Bancorp, Inc. |
1,838,825 |
|||||||||
90,540 |
Northern Trust Corp. |
9,330,147 |
|||||||||
48,205 |
OneMain Holdings, Inc. |
2,214,056 |
|||||||||
51,124 |
PacWest Bancorp |
1,681,468 |
|||||||||
32,762 |
Pinnacle Financial Partners, Inc. |
2,540,693 |
|||||||||
187,289 |
PNC Financial Services Group, Inc. |
31,108,703 |
|||||||||
34,907 |
Popular, Inc. ADR |
2,722,397 |
|||||||||
39,370 |
Prosperity Bancshares, Inc. |
2,574,011 |
|||||||||
423,999 |
Regions Financial Corp. |
8,785,259 |
|||||||||
59,462 |
Rocket Cos., Inc. (b) |
526,239 |
|||||||||
27,057 |
Signature Bank |
6,554,558 |
|||||||||
160,994 |
State Street Corp. |
10,781,768 |
|||||||||
24,970 |
SVB Financial Group (a) |
12,176,371 |
|||||||||
64,011 |
Synovus Financial Corp. |
2,659,017 |
|||||||||
21,708 |
TFS Financial Corp. |
325,403 |
|||||||||
585,366 |
Truist Financial Corp. |
28,302,446 |
|||||||||
592,502 |
U.S. Bancorp |
28,771,897 |
|||||||||
39,988 |
UWM Holdings Corp. (b) |
148,355 |
|||||||||
78,679 |
Webster Financial Corp. |
3,933,163 |
|||||||||
1,678,318 |
Wells Fargo & Co. |
73,225,014 |
|||||||||
45,789 |
Western Alliance Bancorp |
3,485,001 |
|||||||||
24,980 |
Wintrust Financial Corp. |
2,181,254 |
|||||||||
65,854 |
Zions Bancorp |
3,721,410 |
|||||||||
613,073,576 |
Shares |
Fair Value |
||||||||||
Funds, Trusts, and Other Financial Vehicles - 0.2% |
|||||||||||
231,124 |
AGNC Investment Corp. |
$ |
2,537,742 |
||||||||
71,560 |
Carlyle Group, Inc. |
2,596,912 |
|||||||||
5,134,654 |
|||||||||||
Insurance Carriers and Related Activities - 26.4% |
|||||||||||
284,227 |
Aflac, Inc. |
16,280,523 |
|||||||||
5,854 |
Alleghany Corp. (a) |
4,896,871 |
|||||||||
123,491 |
Allstate Corp. |
15,626,551 |
|||||||||
29,893 |
American Financial Group, Inc. |
4,139,583 |
|||||||||
366,543 |
American International Group, Inc. |
21,446,431 |
|||||||||
96,429 |
AON PLC ADR (United Kingdom) |
27,770,588 |
|||||||||
163,951 |
Arch Capital Group Ltd. ADR (a) |
7,487,642 |
|||||||||
90,345 |
Arthur J. Gallagher & Co. |
15,222,229 |
|||||||||
25,053 |
Assurant, Inc. |
4,556,640 |
|||||||||
29,688 |
Assured Guaranty Ltd. ADR |
1,637,293 |
|||||||||
34,139 |
Axis Capital Holdings Ltd. ADR |
1,957,189 |
|||||||||
550,795 |
Berkshire Hathaway, Inc. Class B (a) |
177,813,150 |
|||||||||
34,157 |
Brighthouse Financial, Inc. (a) |
1,754,304 |
|||||||||
103,376 |
Brown & Brown, Inc. |
6,407,244 |
|||||||||
189,265 |
Chubb Limited ADR (Switzerland) |
39,073,759 |
|||||||||
66,067 |
Cincinnati Financial Corp. |
8,103,778 |
|||||||||
12,181 |
CNA Financial Corp. |
577,867 |
|||||||||
154,482 |
Equitable Holdings, Inc. |
4,453,716 |
|||||||||
11,062 |
Erie Indemnity Co. Class A |
1,773,017 |
|||||||||
17,136 |
Everest Re Group Ltd. ADR |
4,707,431 |
|||||||||
46,945 |
First American Financial Corp. |
2,737,363 |
|||||||||
44,150 |
Globe Life, Inc. |
4,330,232 |
|||||||||
21,131 |
GoHealth, Inc. (a) |
15,789 |
|||||||||
15,738 |
Hanover Insurance Group, Inc. |
2,310,653 |
|||||||||
147,514 |
Hartford Financial Services Group, Inc. |
10,315,654 |
|||||||||
26,484 |
Kemper Corp. |
1,222,501 |
|||||||||
16,843 |
Lemonade, Inc. (a)(b) |
351,345 |
|||||||||
79,305 |
Lincoln National Corp. |
4,770,196 |
|||||||||
92,231 |
Loews Corp. |
5,795,796 |
|||||||||
5,958 |
Markel Corp. (a) |
8,062,842 |
|||||||||
224,242 |
Marsh & McLennan Companies, Inc. |
36,259,931 |
|||||||||
11,734 |
Mercury General Corp. |
591,746 |
|||||||||
308,342 |
MetLife, Inc. |
20,251,903 |
|||||||||
140,638 |
MGIC Investment Corp. |
1,836,732 |
|||||||||
123,414 |
Old Republic International Corp. |
2,716,342 |
|||||||||
17,275 |
Primerica, Inc. |
2,238,149 |
|||||||||
113,798 |
Principal Financial Group, Inc. |
7,754,196 |
|||||||||
257,828 |
Progressive Corp. |
27,680,414 |
|||||||||
166,904 |
Prudential Financial, Inc. |
18,110,753 |
|||||||||
29,557 |
Reinsurance Group of America, Inc. |
3,172,057 |
|||||||||
19,184 |
RenaissanceRe Holdings Ltd. ADR |
2,753,288 |
|||||||||
106,330 |
Travelers Companies, Inc. |
18,188,810 |
|||||||||
89,849 |
Unum Group |
2,742,191 |
|||||||||
48,625 |
Voya Financial, Inc. |
3,070,182 |
|||||||||
91,304 |
W.R. Berkley Corp. |
6,070,803 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
36
Direxion Daily Financial Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Insurance Carriers and Related Activities (continued) |
|||||||||||
1,294 |
White Mountains Insurance Group Ltd. ADR |
$ |
1,356,138 |
||||||||
54,729 |
Willis Towers Watson PLC ADR (Ireland) |
11,759,073 |
|||||||||
572,150,885 |
|||||||||||
Management of Companies and Enterprises - 0.2% |
|||||||||||
25,174 |
Cullen/Frost Bankers, Inc. |
3,330,269 |
|||||||||
95,195 |
Umpqua Holdings Corp. |
1,574,525 |
|||||||||
4,904,794 |
|||||||||||
Merchant Wholesalers, Durable Goods - 0.1% |
|||||||||||
94,463 |
Jefferies Financial Group, Inc. |
2,905,682 |
|||||||||
Real Estate - 0.4% |
|||||||||||
622,827 |
Annaly Capital Management, Inc. |
3,998,549 |
|||||||||
190,775 |
New Residential Investment Corp. |
1,984,060 |
|||||||||
127,670 |
Starwood Property Trust, Inc. |
2,921,090 |
|||||||||
8,903,699 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 21.2% |
|||||||||||
17,865 |
Affiliated Managers Group, Inc. |
2,243,308 |
|||||||||
49,338 |
Ameriprise Financial, Inc. |
13,098,746 |
|||||||||
162,646 |
Apollo Global Management, Inc. |
8,093,265 |
|||||||||
62,620 |
Ares Management Corp. |
4,146,696 |
|||||||||
63,103 |
BlackRock, Inc. |
39,419,182 |
|||||||||
46,892 |
CBOE Holdings, Inc. |
5,297,858 |
|||||||||
663,981 |
Charles Schwab Corp. |
44,041,860 |
|||||||||
158,237 |
CME Group, Inc. |
34,707,704 |
|||||||||
16,797 |
Evercore, Inc. |
1,776,283 |
|||||||||
120,269 |
FNF Group |
4,789,112 |
|||||||||
127,494 |
Franklin Resources, Inc. |
3,135,077 |
|||||||||
144,663 |
Goldman Sachs Group, Inc. |
44,193,100 |
|||||||||
35,394 |
Interactive Brokers Group, Inc. Class A |
2,108,067 |
|||||||||
245,435 |
IntercontinentalExchange, Inc. |
28,423,827 |
|||||||||
147,061 |
Invesco Ltd. ADR |
2,702,981 |
|||||||||
74,540 |
Janus Henderson Group PLC ADR (United Kingdom) |
2,271,979 |
|||||||||
245,361 |
KKR & Co., Inc. |
12,506,050 |
|||||||||
44,099 |
Lazard Ltd. Class A ADR |
1,445,124 |
|||||||||
35,100 |
LPL Investment Holdings, Inc. |
6,594,237 |
|||||||||
16,478 |
MarketAxess Holdings, Inc. |
4,343,766 |
|||||||||
583,729 |
Morgan Stanley |
47,042,720 |
|||||||||
10,310 |
Morningstar, Inc. |
2,610,801 |
|||||||||
34,875 |
MSCI, Inc. Class A |
14,691,094 |
|||||||||
51,315 |
NASDAQ OMX Group, Inc. |
8,075,442 |
|||||||||
81,427 |
Raymond James Financial, Inc. |
7,935,875 |
|||||||||
153,013 |
S&P Global, Inc. |
57,609,395 |
|||||||||
47,105 |
SEI Investments Co. |
2,624,691 |
|||||||||
122,689 |
SLM Corp. |
2,052,587 |
|||||||||
44,977 |
Stifel Financial Corp. |
2,781,827 |
|||||||||
100,402 |
T. Rowe Price Group, Inc. |
12,353,462 |
|||||||||
309,383 |
The Blackstone Group, Inc. |
31,424,031 |
Shares |
Fair Value |
||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities (continued) |
|||||||||||
46,274 |
Tradeweb Markets, Inc. |
$ |
3,294,246 |
||||||||
38,664 |
Virtu Financial, Inc. |
1,116,616 |
|||||||||
458,951,009 |
|||||||||||
TOTAL COMMON STOCKS (Cost $1,689,699,082) |
$ |
1,704,372,673 |
|||||||||
SHORT TERM INVESTMENTS - 47.7% |
|||||||||||
Money Market Funds - 47.7% |
|||||||||||
353,240,180 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
353,240,180 |
||||||||
392,617,034 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (c) |
392,617,034 |
|||||||||
75,434,663 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
75,434,663 |
|||||||||
212,733,943 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
212,733,943 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,034,025,820) |
$ |
1,034,025,820 |
|||||||||
TOTAL INVESTMENTS (Cost $2,723,724,902) - 126.3% (e) |
$ |
2,738,398,493 |
|||||||||
Liabilities in Excess of Other Assets - (26.3)% |
(569,090,395 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
2,169,308,098 |
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 April 30, 2022.
(d) All or a portion of this security represents an investment of securities lending collateral.
(e) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,472,770,680.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
37
Direxion Daily Financial Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
0.8300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
894,700 |
$ |
993,731,591 |
$ |
(94,607,748 |
) |
||||||||||||||||||
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
1.1700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
563,500 |
630,490,597 |
(64,383,545 |
) |
||||||||||||||||||||
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
0.8300% representing 1 month SOFR rate + spread |
Goldman Sachs |
12/9/2022 |
1,319,985 |
1,489,127,878 |
(163,634,498 |
) |
||||||||||||||||||||
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
0.9300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
613,257 |
688,005,088 |
(71,631,441 |
) |
||||||||||||||||||||
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
0.9800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
540,432 |
605,758,829 |
(63,272,738 |
) |
||||||||||||||||||||
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
0.9700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
524,470 |
570,530,839 |
(43,326,778 |
) |
||||||||||||||||||||
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
0.7800% representing 1 month SOFR rate + spread |
J.P. Morgan |
4/3/2023 |
333,663 |
351,826,733 |
(16,468,107 |
) |
||||||||||||||||||||
$ |
5,329,471,555 |
$ |
(517,324,855 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
38
Direxion Daily Financial Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 101.7% |
|||||||||||
Money Market Funds - 101.7% |
|||||||||||
73,948,634 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
73,948,634 |
||||||||
28,791,090 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (a) |
28,791,090 |
|||||||||
38,247,087 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
38,247,087 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $140,986,811) (b) |
$ |
140,986,811 |
|||||||||
TOTAL INVESTMENTS (Cost $140,986,811) - 101.7% |
$ |
140,986,811 |
|||||||||
Liabilities in Excess of Other Assets - (1.7)% |
(2,380,315 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
138,606,496 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $81,380,066.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
J.P. Morgan |
12/6/2022 |
110,191 |
$ |
115,895,663 |
$ |
5,259,488 |
|||||||||||||||||||
0.7800% representing 1 month SOFR rate + spread |
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
Bank of America Merrill Lynch |
12/13/2022 |
84,907 |
95,455,870 |
10,134,742 |
|||||||||||||||||||||
0.6700% representing 1 month SOFR rate + spread |
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
UBS Securities LLC |
12/14/2022 |
85,384 |
87,545,923 |
1,842,661 |
|||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index |
Goldman Sachs |
4/4/2023 |
134,163 |
143,969,223 |
9,153,417 |
|||||||||||||||||||||
$ |
442,866,679 |
$ |
26,390,308 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
39
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 72.3% |
|||||||||||
Ambulatory Health Care Services - 1.1% |
|||||||||||
1,891 |
DaVita, Inc. (a) |
$ |
204,928 |
||||||||
2,856 |
Laboratory Corp. of America Holdings (a) |
686,240 |
|||||||||
1,791 |
Molina Healthcare, Inc. (a) |
561,389 |
|||||||||
3,649 |
Quest Diagnostics, Inc. |
488,382 |
|||||||||
37,098 |
Viatris, Inc. |
383,222 |
|||||||||
2,324,161 |
|||||||||||
Chemical Manufacturing - 24.7% |
|||||||||||
54,230 |
AbbVie, Inc. |
7,965,303 |
|||||||||
17,278 |
Amgen, Inc. |
4,029,057 |
|||||||||
4,506 |
Biogen, Inc. (a) |
934,725 |
|||||||||
1,205 |
Bio-Techne Corp. |
457,527 |
|||||||||
66,863 |
Bristol-Myers Squibb Co. |
5,032,778 |
|||||||||
5,494 |
Catalent, Inc. (a) |
497,537 |
|||||||||
24,356 |
Eli Lilly and Company |
7,115,118 |
|||||||||
38,477 |
Gilead Sciences, Inc. |
2,283,225 |
|||||||||
5,770 |
Incyte Corp. (a) |
432,519 |
|||||||||
77,483 |
Merck & Co., Inc. |
6,871,967 |
|||||||||
7,778 |
Organon & Co. |
251,463 |
|||||||||
172,174 |
Pfizer, Inc. |
8,448,578 |
|||||||||
3,274 |
Regeneron Pharmaceuticals, Inc. (a) |
2,157,926 |
|||||||||
7,809 |
Vertex Pharmaceuticals, Inc. (a) |
2,133,575 |
|||||||||
2,272 |
West Pharmaceutical Services, Inc. |
715,816 |
|||||||||
14,513 |
Zoetis, Inc. |
2,572,429 |
|||||||||
51,899,543 |
|||||||||||
Computer and Electronic Product Manufacturing - 8.4% |
|||||||||||
1,397 |
Abiomed, Inc. (a) |
400,352 |
|||||||||
9,213 |
Agilent Technologies, Inc. |
1,098,835 |
|||||||||
663 |
Bio-Rad Laboratories, Inc. (a) |
339,496 |
|||||||||
19,520 |
Danaher Corp. |
4,902,058 |
|||||||||
7,668 |
Hologic, Inc. (a) |
552,019 |
|||||||||
2,601 |
IDEXX Laboratories, Inc. (a) |
1,119,678 |
|||||||||
4,795 |
Illumina, Inc. (a) |
1,422,437 |
|||||||||
3,870 |
PerkinElmer, Inc. |
567,381 |
|||||||||
12,087 |
Thermo Fisher Scientific, Inc. |
6,683,144 |
|||||||||
1,872 |
Waters Corp. (a) |
567,253 |
|||||||||
17,652,653 |
|||||||||||
Health and Personal Care Stores - 1.8% |
|||||||||||
40,261 |
CVS Health Corp. |
3,870,290 |
|||||||||
Hospitals - 0.9% |
|||||||||||
7,347 |
HCA Healthcare, Inc. |
1,576,299 |
|||||||||
2,243 |
Universal Health Services, Inc. Class B |
274,835 |
|||||||||
1,851,134 |
|||||||||||
Insurance Carriers and Related Activities - 11.4% |
|||||||||||
7,445 |
Anthem, Inc. |
3,736,869 |
|||||||||
17,899 |
Centene Corp. (a) |
1,441,764 |
|||||||||
9,907 |
Cigna Corp. |
2,444,849 |
|||||||||
3,943 |
Humana, Inc. |
1,752,900 |
|||||||||
28,892 |
UnitedHealth Group, Inc. |
14,693,027 |
|||||||||
24,069,409 |
Shares |
Fair Value |
||||||||||
Machinery Manufacturing - 0.4% |
|||||||||||
705 |
Mettler-Toledo International, Inc. (a) |
$ |
900,659 |
||||||||
Management of Companies and Enterprises - 2.9% |
|||||||||||
54,241 |
Abbott Laboratories |
6,156,353 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.2% |
|||||||||||
4,254 |
Henry Schein, Inc. (a) |
344,999 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 1.2% |
|||||||||||
4,619 |
AmerisourceBergen Corp. |
698,808 |
|||||||||
8,499 |
Cardinal Health, Inc. |
493,367 |
|||||||||
4,595 |
McKesson Corp. |
1,422,658 |
|||||||||
2,614,833 |
|||||||||||
Miscellaneous Manufacturing - 17.4% |
|||||||||||
2,249 |
Align Technology, Inc. (a) |
652,008 |
|||||||||
15,359 |
Baxter International, Inc. |
1,091,411 |
|||||||||
8,735 |
Becton, Dickinson & Co. |
2,159,205 |
|||||||||
43,712 |
Boston Scientific Corp. (a) |
1,840,712 |
|||||||||
6,706 |
Dentsply Sirona, Inc. |
268,173 |
|||||||||
2,973 |
DexCom, Inc. (a) |
1,214,708 |
|||||||||
19,151 |
Edwards Lifesciences Corp. (a) |
2,025,793 |
|||||||||
10,974 |
Intuitive Surgical, Inc. (a) |
2,626,078 |
|||||||||
80,754 |
Johnson & Johnson |
14,572,867 |
|||||||||
41,244 |
Medtronic PLC ADR (Ireland) |
4,304,224 |
|||||||||
4,485 |
ResMed, Inc. |
896,865 |
|||||||||
3,072 |
Steris PLC ADR (Ireland) |
688,282 |
|||||||||
10,298 |
Stryker Corp. |
2,484,495 |
|||||||||
1,437 |
Teleflex, Inc. |
410,436 |
|||||||||
1,511 |
The Cooper Companies, Inc. |
545,531 |
|||||||||
6,407 |
Zimmer Biomet Holdings, Inc. |
773,645 |
|||||||||
36,554,433 |
|||||||||||
Professional, Scientific, and Technical Services - 1.9% |
|||||||||||
9,025 |
Cerner Corp. |
845,101 |
|||||||||
1,547 |
Charles River Laboratories International, Inc. (a) |
373,616 |
|||||||||
5,860 |
IQVIA Holdings, Inc. (a) |
1,277,422 |
|||||||||
10,820 |
Moderna, Inc. (a) |
1,454,316 |
|||||||||
3,950,455 |
|||||||||||
TOTAL COMMON STOCKS (Cost $156,972,048) |
$ |
152,188,922 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
40
Direxion Daily Healthcare Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 35.3% |
|||||||||||
Money Market Funds - 35.3% |
|||||||||||
16,455,149 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
16,455,149 |
||||||||
20,229,661 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
20,229,661 |
|||||||||
37,539,291 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
37,539,291 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $74,224,101) |
$ |
74,224,101 |
|||||||||
TOTAL INVESTMENTS (Cost $231,196,149) - 107.6% (c) |
$ |
226,413,023 |
|||||||||
Liabilities in Excess of Other Assets - (7.6)% |
(15,900,113 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
210,512,910 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $173,860,846.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Health Care Select Sector Index |
0.8800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
146,720 |
$ |
196,468,351 |
$ |
(2,677,379 |
) |
||||||||||||||||||
Total return of Health Care Select Sector Index |
0.8800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
147,848 |
198,222,344 |
(3,188,923 |
) |
||||||||||||||||||||
Total return of Health Care Select Sector Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
49,517 |
65,447,499 |
(209,930 |
) |
||||||||||||||||||||
Total return of Health Care Select Sector Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
5/11/2023 |
20,000 |
28,872,573 |
(2,529,317 |
) |
||||||||||||||||||||
$ |
489,010,767 |
$ |
(8,605,549 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
41
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 73.0% |
|||||||||||
Building Material and Garden Equipment and Supplies Dealers - 6.7% |
|||||||||||
30,060 |
Lowe's Companies, Inc. |
$ |
5,943,764 |
||||||||
21,402 |
The Home Depot, Inc. |
6,429,161 |
|||||||||
12,372,925 |
|||||||||||
Construction of Buildings - 40.9% |
|||||||||||
23,285 |
Beazer Homes USA, Inc. (a) |
351,138 |
|||||||||
23,942 |
Century Communities, Inc. |
1,262,222 |
|||||||||
260,137 |
D.R. Horton, Inc. |
18,102,934 |
|||||||||
38,823 |
Green Brick Partners , Inc. (a) |
764,813 |
|||||||||
69,403 |
KB Home |
2,250,739 |
|||||||||
12,202 |
Lennar Corp. |
795,570 |
|||||||||
207,049 |
Lennar Corp. Class A |
15,837,178 |
|||||||||
17,351 |
LGI Homes, Inc. (a) |
1,625,962 |
|||||||||
45,783 |
M.D.C Holdings, Inc. |
1,689,851 |
|||||||||
23,426 |
M/I Homes, Inc. (a) |
1,037,303 |
|||||||||
29,829 |
Meritage Homes Corp. (a) |
2,462,384 |
|||||||||
2,669 |
NVR, Inc. (a) |
11,680,104 |
|||||||||
200,926 |
PulteGroup, Inc. |
8,390,670 |
|||||||||
100,125 |
Taylor Morrison Home Corp. (a) |
2,622,274 |
|||||||||
88,923 |
Toll Brothers, Inc. |
4,123,360 |
|||||||||
91,387 |
TRI Pointe Group, Inc. (a) |
1,888,969 |
|||||||||
74,885,471 |
|||||||||||
Fabricated Metal Product Manufacturing - 0.7% |
|||||||||||
15,209 |
PGT Innovations, Inc. (a) |
270,264 |
|||||||||
10,804 |
Simpson Manufacturing Company, Inc. |
1,120,051 |
|||||||||
1,390,315 |
|||||||||||
Furniture and Home Furnishings Stores - 1.2% |
|||||||||||
5,465 |
Ethan Allen Interiors, Inc. |
129,739 |
|||||||||
25,840 |
Floor & Decor Holdings, Inc. (a) |
2,059,965 |
|||||||||
2,189,704 |
|||||||||||
Furniture and Related Product Manufacturing - 0.1% |
|||||||||||
4,196 |
American Woodmark Corp. (a) |
196,583 |
|||||||||
Machinery Manufacturing - 0.1% |
|||||||||||
9,722 |
Hayward Holdings, Inc. (a) |
154,580 |
|||||||||
Management of Companies and Enterprises - 0.3% |
|||||||||||
26,403 |
AZEK Company, Inc. (a) |
560,800 |
|||||||||
Merchant Wholesalers, Durable Goods - 7.1% |
|||||||||||
13,527 |
Beacon Roofing Supply, Inc. (a) |
806,615 |
|||||||||
45,260 |
Builders FirstSource, Inc. (a) |
2,786,658 |
|||||||||
33,254 |
Fortune Brands Home & Security, Inc. |
2,369,347 |
|||||||||
33,184 |
Leggett & Platt, Inc. |
1,182,346 |
|||||||||
8,584 |
Lennox International, Inc. |
1,830,023 |
|||||||||
7,249 |
Lumber Liquidators Holdings, Inc. (a) |
100,109 |
|||||||||
12,750 |
Mohawk Industries, Inc. (a) |
1,798,515 |
|||||||||
8,424 |
Watsco, Inc. |
2,247,355 |
|||||||||
13,120,968 |
|||||||||||
Merchant Wholesalers, Nondurable Goods - 4.2% |
|||||||||||
28,089 |
The Sherwin Williams Co. |
7,723,351 |
|||||||||
Miscellaneous Store Retailers - 0.9% |
|||||||||||
6,735 |
Cavco Industries, Inc. (a) |
1,591,144 |
Shares |
Fair Value |
||||||||||
Nonmetallic Mineral Product Manufacturing - 1.9% |
|||||||||||
9,509 |
Eagle Materials, Inc. |
$ |
1,172,650 |
||||||||
23,515 |
Owens Corning |
2,138,219 |
|||||||||
8,494 |
Quanex Building Products Corp. |
163,254 |
|||||||||
3,474,123 |
|||||||||||
Specialty Trade Contractors - 3.3% |
|||||||||||
18,699 |
Installed Building Products, Inc. |
1,504,708 |
|||||||||
25,190 |
TopBuild Corp. (a) |
4,562,917 |
|||||||||
6,067,625 |
|||||||||||
Wood Product Manufacturing - 5.6% |
|||||||||||
21,396 |
JELD-WEN Holding, Inc. (a) |
444,823 |
|||||||||
22,324 |
Louisiana-Pacific Corp. |
1,440,344 |
|||||||||
59,174 |
Masco Corp. |
3,117,878 |
|||||||||
5,805 |
Masonite International Corp. ADR (Canada) (a) |
450,004 |
|||||||||
41,005 |
Skyline Champion Corp. (a) |
2,092,895 |
|||||||||
26,888 |
Trex Company, Inc. (a) |
1,564,613 |
|||||||||
15,451 |
UFP Industries, Inc. |
1,195,443 |
|||||||||
10,306,000 |
|||||||||||
TOTAL COMMON STOCKS (Cost $156,406,543) |
$ |
134,033,589 |
|||||||||
SHORT TERM INVESTMENTS - 48.8% |
|||||||||||
Money Market Funds - 48.8% |
|||||||||||
38,165,053 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
38,165,053 |
||||||||
26,874,313 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
26,874,313 |
|||||||||
24,540,986 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
24,540,986 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $89,580,352) |
$ |
89,580,352 |
|||||||||
TOTAL INVESTMENTS (Cost $245,986,895) - 121.8% (c) |
$ |
223,613,941 |
|||||||||
Liabilities in Excess of Other Assets - (21.8)% |
(39,935,442 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
183,678,499 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $190,230,564.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
42
Direxion Daily Homebuilders & Supplies Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Dow Jones U.S. Select Home Construction Index |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
9/20/2022 |
784 |
$ |
8,553,842 |
$ |
(420,033 |
) |
||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
10/18/2022 |
96 |
1,114,353 |
(121,330 |
) |
||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index |
0.7800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
17,907 |
193,717,358 |
(8,751,327 |
) |
||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index |
0.7300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
8,138 |
93,329,713 |
(9,246,862 |
) |
||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index |
0.8300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
12,179 |
137,963,023 |
(12,174,809 |
) |
||||||||||||||||||||
Total return of Dow Jones U.S. Select Home Construction Index |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/20/2022 |
1,280 |
15,396,765 |
(2,170,166 |
) |
||||||||||||||||||||
$ |
450,075,054 |
$ |
(32,884,527 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
43
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 58.0% |
|||||||||||
Administrative and Support Services - 2.5% |
|||||||||||
502 |
Allegion PLC ADR (Ireland) |
$ |
57,348 |
||||||||
683 |
Equifax, Inc. |
139,004 |
|||||||||
613 |
Robert Half International, Inc. |
60,264 |
|||||||||
1,268 |
Rollins, Inc. |
42,529 |
|||||||||
2,156 |
Waste Management, Inc. |
354,533 |
|||||||||
653,678 |
|||||||||||
Air Transportation - 1.9% |
|||||||||||
705 |
Alaska Air Group, Inc. (a) |
38,345 |
|||||||||
3,628 |
American Airlines Group, Inc. (a) |
68,098 |
|||||||||
3,585 |
Delta Air Lines, Inc. (a) |
154,262 |
|||||||||
3,318 |
Southwest Airlines Co. (a) |
155,017 |
|||||||||
1,814 |
United Continental Holdings, Inc. (a) |
91,607 |
|||||||||
507,329 |
|||||||||||
Computer and Electronic Product Manufacturing - 9.9% |
|||||||||||
1,296 |
AMETEK, Inc. |
163,633 |
|||||||||
2,008 |
Fortive Corp. |
115,460 |
|||||||||
3,841 |
Honeywell International, Inc. |
743,272 |
|||||||||
1,099 |
L3 Harris Technologies, Inc. |
255,254 |
|||||||||
822 |
Northrop Grumman Corp. |
361,187 |
|||||||||
2,380 |
Otis Worldwide Corp. |
173,359 |
|||||||||
8,359 |
Raytheon Technologies Corp. |
793,352 |
|||||||||
2,605,517 |
|||||||||||
Couriers and Messengers - 3.8% |
|||||||||||
1,365 |
FedEx Corp. |
271,280 |
|||||||||
4,084 |
United Parcel Service, Inc. Class B |
735,038 |
|||||||||
1,006,318 |
|||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 3.4% |
|||||||||||
736 |
A.O. Smith Corp. |
43,004 |
|||||||||
2,233 |
Eaton Corp PLC ADR (Ireland) |
323,830 |
|||||||||
3,327 |
Emerson Electric Co. |
300,029 |
|||||||||
353 |
Generac Holdings, Inc. (a) |
77,441 |
|||||||||
651 |
Rockwell Automation, Inc. |
164,488 |
|||||||||
908,792 |
|||||||||||
Fabricated Metal Product Manufacturing - 0.6% |
|||||||||||
927 |
Pentair PLC ADR (Ireland) |
47,045 |
|||||||||
913 |
Stanley Black & Decker, Inc. |
109,697 |
|||||||||
156,742 |
|||||||||||
Food Services and Drinking Places - 0.7% |
|||||||||||
494 |
Cintas Corp. |
196,247 |
|||||||||
Machinery Manufacturing - 10.6% |
|||||||||||
4,792 |
Carrier Global Corp. |
183,390 |
|||||||||
3,030 |
Caterpillar, Inc. |
637,936 |
|||||||||
798 |
Cummins, Inc. |
150,974 |
|||||||||
1,571 |
Deere & Co. |
593,131 |
|||||||||
6,158 |
GENERAL ELECTRIC Co. |
459,079 |
|||||||||
426 |
IDEX Corp. |
80,863 |
|||||||||
2,283 |
Ingersoll Rand, Inc. |
100,361 |
|||||||||
303 |
Nordson Corp. |
65,354 |
|||||||||
720 |
Parker Hannifin Corp. |
194,990 |
|||||||||
299 |
Snap-on, Inc. |
63,535 |
Shares |
Fair Value |
||||||||||
Machinery Manufacturing (continued) |
|||||||||||
1,308 |
Trane Technologies PLC ADR (Ireland) |
$ |
182,976 |
||||||||
1,010 |
Xylem, Inc. |
81,305 |
|||||||||
2,793,894 |
|||||||||||
Merchant Wholesalers, Durable Goods - 1.6% |
|||||||||||
1,196 |
Copart, Inc. (a) |
135,925 |
|||||||||
3,224 |
Fastenal Co. |
178,320 |
|||||||||
760 |
Fortune Brands Home & Security, Inc. |
54,150 |
|||||||||
224 |
Huntington Ingalls Industries, Inc. |
47,654 |
|||||||||
416,049 |
|||||||||||
Merchant Wholesalers, Nondurable Goods - 1.2% |
|||||||||||
1,600 |
Illinois Tool Works, Inc. |
315,376 |
|||||||||
Miscellaneous Manufacturing - 0.7% |
|||||||||||
807 |
Dover Corp. |
107,573 |
|||||||||
1,235 |
Textron, Inc. |
85,524 |
|||||||||
193,097 |
|||||||||||
National Security and International Affairs - 0.3% |
|||||||||||
786 |
Leidos Holdings, Inc. |
81,359 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 1.7% |
|||||||||||
3,199 |
3M Co. |
461,360 |
|||||||||
Nonstore Retailers - 0.5% |
|||||||||||
242 |
W.W. Grainger, Inc. |
121,007 |
|||||||||
Primary Metal Manufacturing - 0.3% |
|||||||||||
2,126 |
Howmet Aerospace, Inc. |
72,539 |
|||||||||
Professional, Scientific, and Technical Services - 1.3% |
|||||||||||
724 |
Jacobs Engineering Group, Inc. |
100,311 |
|||||||||
2,010 |
Nielsen Holdings PLC |
53,888 |
|||||||||
903 |
Verisk Analytics, Inc. Class A |
184,257 |
|||||||||
338,456 |
|||||||||||
Rail Transportation - 6.1% |
|||||||||||
12,424 |
CSX Corp. |
426,640 |
|||||||||
1,343 |
Norfolk Southern Corp. |
346,333 |
|||||||||
3,567 |
Union Pacific Corp. |
835,712 |
|||||||||
1,608,685 |
|||||||||||
Rental and Leasing Services - 0.5% |
|||||||||||
406 |
United Rentals, Inc. (a) |
128,507 |
|||||||||
Specialty Trade Contractors - 1.2% |
|||||||||||
3,936 |
Johnson Controls International PLC ADR (Ireland) |
235,648 |
|||||||||
798 |
Quanta Services, Inc. |
92,552 |
|||||||||
328,200 |
|||||||||||
Support Activities for Transportation - 1.0% |
|||||||||||
728 |
C.H. Robinson Worldwide, Inc. |
77,277 |
|||||||||
949 |
Expeditors International of Washington, Inc. |
94,018 |
|||||||||
471 |
J.B. Hunt Transport Services, Inc. |
80,470 |
|||||||||
251,765 |
|||||||||||
Transportation Equipment Manufacturing - 6.7% |
|||||||||||
3,070 |
Boeing Co. (a) |
456,939 |
|||||||||
1,291 |
General Dynamics Corp. |
305,360 |
|||||||||
1,358 |
Lockheed Martin Corp. |
586,819 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
44
Direxion Daily Industrials Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Transportation Equipment Manufacturing (continued) |
|||||||||||
1,945 |
Paccar, Inc. |
$ |
161,532 |
||||||||
295 |
TransDigm Group, Inc. (a) |
175,469 |
|||||||||
1,046 |
Wabtec Corp. |
94,046 |
|||||||||
1,780,165 |
|||||||||||
Truck Transportation - 0.6% |
|||||||||||
522 |
Old Dominion Freight Line, Inc. |
146,223 |
|||||||||
Waste Management and Remediation Services - 0.6% |
|||||||||||
1,170 |
Republic Services, Inc. |
157,096 |
|||||||||
Wood Product Manufacturing - 0.3% |
|||||||||||
1,344 |
Masco Corp. |
70,815 |
|||||||||
TOTAL COMMON STOCKS (Cost $17,793,278) |
$ |
15,299,216 |
|||||||||
SHORT TERM INVESTMENTS - 59.1% |
|||||||||||
Money Market Funds - 59.1% |
|||||||||||
4,394,710 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
4,394,710 |
||||||||
5,087,605 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
5,087,605 |
Shares |
Fair Value |
||||||||||
Money Market Funds (continued) |
|||||||||||
6,121,816 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
$ |
6,121,816 |
||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,604,131) |
$ |
15,604,131 |
|||||||||
TOTAL INVESTMENTS (Cost $33,397,409) - 117.1% (c) |
$ |
30,903,347 |
|||||||||
Liabilities in Excess of Other Assets - (17.1)% |
(4,506,029 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
26,397,318 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $25,588,711.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Industrials Select Sector Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
9/12/2022 |
19,243 |
$ |
19,240,596 |
$ |
(721,668 |
) |
||||||||||||||||||
Total return of Industrials Select Sector Index |
0.9300% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
14,073 |
14,696,433 |
(1,174,122 |
) |
||||||||||||||||||||
Total return of Industrials Select Sector Index |
0.6300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
30,280 |
31,114,523 |
(2,035,078 |
) |
||||||||||||||||||||
Total return of Industrials Select Sector Index |
0.8800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
3,047 |
3,078,009 |
(148,864 |
) |
||||||||||||||||||||
$ |
68,129,561 |
$ |
(4,079,732 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
45
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 55.8% |
|||||||||||
Administrative and Support Services - 3.0% |
|||||||||||
9,791 |
Royalty Pharma PLC ADR (United Kingdom) |
$ |
416,901 |
||||||||
Ambulatory Health Care Services - 4.0% |
|||||||||||
4,711 |
Axsome Therapeutics, Inc. (a) |
149,574 |
|||||||||
2,405 |
Fulcrum Therapeutics, Inc. (a) |
23,136 |
|||||||||
37,398 |
Viatris, Inc. |
386,321 |
|||||||||
559,031 |
|||||||||||
Chemical Manufacturing - 41.2% |
|||||||||||
3,000 |
Aclaris Therapeutics, Inc. (a) |
36,960 |
|||||||||
6,871 |
Aerie Pharmaceuticals, Inc. (a) |
48,853 |
|||||||||
1,444 |
Amphastar Pharmaceuticals, Inc. (a) |
51,219 |
|||||||||
1,099 |
ANI Pharmaceuticals, Inc. (a) |
32,431 |
|||||||||
5,015 |
Antares Pharma, Inc. (a) |
27,908 |
|||||||||
2,640 |
Athira Pharma, Inc. (a) |
27,166 |
|||||||||
5,441 |
Bristol-Myers Squibb Co. |
409,544 |
|||||||||
3,908 |
Cara Therapeutics, Inc. (a) |
34,078 |
|||||||||
10,435 |
Cassava Sciences, Inc. (a)(b) |
217,778 |
|||||||||
3,900 |
Catalent, Inc. (a) |
353,184 |
|||||||||
2,120 |
Collegium Pharmaceutical, Inc. (a) |
34,132 |
|||||||||
7,406 |
Corcept Therapeutics, Inc. (a) |
159,303 |
|||||||||
14,144 |
Elanco Animal Health, Inc. (a) |
357,985 |
|||||||||
1,407 |
Eli Lilly and Company |
411,027 |
|||||||||
2,201 |
Harmony Biosciences Holdings, Inc. (a) |
99,133 |
|||||||||
4,546 |
Innoviva, Inc. (a) |
77,555 |
|||||||||
6,390 |
Intra-Cellular Therapies, Inc. (a) |
323,398 |
|||||||||
2,424 |
Jazz Pharmaceuticals PLC ADR (Ireland) (a) |
388,373 |
|||||||||
4,788 |
Merck & Co., Inc. |
424,648 |
|||||||||
20,058 |
Nektar Therapeutics (a) |
82,839 |
|||||||||
2,470 |
NGM Biopharmaceuticals, Inc. (a) |
30,826 |
|||||||||
10,458 |
Organon & Co. |
338,107 |
|||||||||
3,643 |
Pacira Pharmaceuticals, Inc. (a) |
271,658 |
|||||||||
9,919 |
Perrigo Co. PLC ADR (Ireland) |
340,222 |
|||||||||
7,457 |
Pfizer, Inc. |
365,915 |
|||||||||
2,348 |
Prestige Consumer Healthcare, Inc. (a) |
128,342 |
|||||||||
4,876 |
Provention Bio, Inc. (a) |
21,893 |
|||||||||
1,270 |
Relmada Therapeutics, Inc. (a) |
31,890 |
|||||||||
5,097 |
Revance Therapeutics, Inc. (a)(b) |
83,489 |
|||||||||
3,507 |
Supernus Pharmaceuticals, Inc. (a) |
97,845 |
|||||||||
10,903 |
Theravance Biopharma, Inc. ADR (a) |
105,214 |
|||||||||
2,024 |
Zoetis, Inc. |
358,754 |
|||||||||
5,771,669 |
|||||||||||
Computer and Electronic Product Manufacturing - 0.2% |
|||||||||||
6,337 |
Ocular Therapeutix, Inc. (a) |
22,623 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 1.6% |
|||||||||||
5,731 |
Amneal Pharmaceuticals, Inc. (a) |
22,122 |
|||||||||
13,536 |
Atea Pharmaceuticals, Inc. (a) |
79,456 |
|||||||||
57,824 |
Endo International PLC ADR (Ireland) (a) |
115,648 |
|||||||||
769 |
Phibro Animal Health Corp. |
13,834 |
|||||||||
231,060 |
Shares |
Fair Value |
||||||||||
Miscellaneous Manufacturing - 2.8% |
|||||||||||
2,211 |
Johnson & Johnson |
$ |
398,997 |
||||||||
Professional, Scientific, and Technical Services - 2.6% |
|||||||||||
4,287 |
Arvinas, Inc. (a) |
235,656 |
|||||||||
6,429 |
Omeros Corp. (a)(b) |
22,309 |
|||||||||
4,258 |
Reata Pharmaceuticals, Inc. (a) |
108,068 |
|||||||||
366,033 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.4% |
|||||||||||
8,445 |
Nuvation Bio, Inc. (a)(b) |
39,354 |
|||||||||
4,367 |
Roivant Sciences Ltd. ADR (a) |
16,114 |
|||||||||
55,468 |
|||||||||||
TOTAL COMMON STOCKS (Cost $9,130,655) |
$ |
7,821,783 |
|||||||||
SHORT TERM INVESTMENTS - 58.2% |
|||||||||||
Money Market Funds - 58.2% |
|||||||||||
6,002,278 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
6,002,278 |
||||||||
1 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
1 |
|||||||||
2,143,256 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
2,143,256 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,145,535) |
$ |
8,145,535 |
|||||||||
TOTAL INVESTMENTS (Cost $17,276,190) - 114.0% (e) |
$ |
15,967,318 |
|||||||||
Liabilities in Excess of Other Assets - (14.0)% |
(1,961,574 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
14,005,744 |
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 April 30, 2022.
(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 $10,985,304.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
46
Direxion Daily Pharmaceutical & Medical Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P Pharmaceuticals Select Industry Index |
0.8800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
1,534 |
$ |
7,519,519 |
$ |
(220,177 |
) |
||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index |
0.6300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
1,870 |
9,518,472 |
(610,320 |
) |
||||||||||||||||||||
Total return of S&P Pharmaceuticals Select Industry Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
3,787 |
19,071,305 |
(1,044,930 |
) |
||||||||||||||||||||
$ |
36,109,296 |
$ |
(1,875,427 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
47
Direxion Daily Real Estate Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 51.2% |
|||||||||||
Accommodation - 0.7% |
|||||||||||
36,479 |
Host Hotels & Resorts, Inc. |
$ |
742,348 |
||||||||
Administrative and Support Services - 0.8% |
|||||||||||
14,792 |
Iron Mountain, Inc. |
794,774 |
|||||||||
Professional, Scientific, and Technical Services - 1.3% |
|||||||||||
6,840 |
Extra Space Storage, Inc. |
1,299,600 |
|||||||||
Real Estate - 43.3% |
|||||||||||
7,435 |
Alexandria Real Estate Equities, Inc. |
1,354,360 |
|||||||||
23,268 |
American Tower Corp. |
5,608,053 |
|||||||||
7,140 |
AvalonBay Communities, Inc. |
1,624,207 |
|||||||||
7,261 |
Boston Properties, Inc. |
853,894 |
|||||||||
5,220 |
Camden Property Trust |
818,966 |
|||||||||
17,099 |
CBRE Group, Inc. Class A (a) |
1,419,901 |
|||||||||
22,082 |
Crown Castle International Corp. |
4,089,807 |
|||||||||
14,498 |
Digital Realty Trust, Inc. |
2,118,448 |
|||||||||
19,458 |
Duke Realty Corp. |
1,065,325 |
|||||||||
17,458 |
Equity Residential |
1,422,827 |
|||||||||
3,333 |
Essex Property Trust, Inc. |
1,097,457 |
|||||||||
3,613 |
Federal Realty Investment Trust |
422,938 |
|||||||||
27,552 |
Healthpeak Properties, Inc. |
903,981 |
|||||||||
31,505 |
Kimco Realty Corp. |
798,022 |
|||||||||
5,893 |
Mid-America Apartment Communities, Inc. |
1,159,035 |
|||||||||
37,807 |
Prologis, Inc. |
6,060,084 |
|||||||||
7,796 |
Public Storage |
2,896,214 |
|||||||||
28,903 |
Realty Income Corp. |
2,004,712 |
|||||||||
7,872 |
Regency Centers Corp. |
541,830 |
|||||||||
16,789 |
Simon Property Group, Inc. |
1,981,102 |
|||||||||
15,280 |
UDR, Inc. |
813,049 |
|||||||||
20,395 |
Ventas, Inc. |
1,132,942 |
|||||||||
8,123 |
Vornado Realty Trust |
314,441 |
|||||||||
22,238 |
Welltower, Inc. |
2,019,433 |
|||||||||
38,179 |
Weyerhaeuser Co. |
1,573,738 |
|||||||||
44,094,766 |
Shares |
Fair Value |
||||||||||
Telecommunications - 5.1% |
|||||||||||
4,600 |
Equinix, Inc. |
$ |
3,307,768 |
||||||||
5,558 |
SBA Communications Corp. |
1,929,237 |
|||||||||
5,237,005 |
|||||||||||
TOTAL COMMON STOCKS (Cost $51,075,513) |
$ |
52,168,493 |
|||||||||
SHORT TERM INVESTMENTS - 64.0% |
|||||||||||
Money Market Funds - 64.0% |
|||||||||||
28,908,881 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
28,908,881 |
||||||||
36,304,885 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
36,304,885 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $65,213,766) |
$ |
65,213,766 |
|||||||||
TOTAL INVESTMENTS (Cost $116,289,279) - 115.2% (c) |
$ |
117,382,259 |
|||||||||
Liabilities in Excess of Other Assets - (15.2)% |
(15,499,664 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
101,882,595 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $80,103,742.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Real Estate Select Sector Index |
0.7800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
369,926 |
$ |
89,218,540 |
$ |
(4,848,767 |
) |
||||||||||||||||||
Total return of Real Estate Select Sector Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
483,183 |
116,501,439 |
(6,213,860 |
) |
||||||||||||||||||||
Total return of Real Estate Select Sector Index |
0.5300% representing 1 month SOFR rate + spread |
J.P. Morgan |
3/28/2023 |
258,746 |
58,106,589 |
1,207,345 |
|||||||||||||||||||||
$ |
263,826,568 |
$ |
(9,855,282 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
48
Direxion Daily Real Estate Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 89.2% |
|||||||||||
Money Market Funds - 89.2% |
|||||||||||
16,078,881 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
16,078,881 |
||||||||
13,848,311 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
13,848,311 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,927,192) (b) |
$ |
29,927,192 |
|||||||||
TOTAL INVESTMENTS (Cost $29,927,192) - 89.2% |
$ |
29,927,192 |
|||||||||
Other Assets in Excess of Liabilities - 10.8% |
3,629,343 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
33,556,535 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $18,773,218.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
0.0300% representing 1 month SOFR rate + spread |
Total return of Real Estate Select Sector Index |
J.P. Morgan |
3/28/2023 |
182,384 |
$ |
41,313,973 |
$ |
(380,320 |
) |
||||||||||||||||||
0.5800% representing 1 month SOFR rate + spread |
Total return of Real Estate Select Sector Index |
Bank of America Merrill Lynch |
12/13/2022 |
129,669 |
30,670,175 |
1,066,392 |
|||||||||||||||||||||
0.7200% representing 1 month SOFR rate + spread |
Total return of Real Estate Select Sector Index |
UBS Securities LLC |
12/13/2022 |
129,538 |
30,730,418 |
1,099,644 |
|||||||||||||||||||||
$ |
102,714,566 |
$ |
1,785,716 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
49
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 79.0% |
|||||||||||
Credit Intermediation and Related Activities - 71.7% |
|||||||||||
4,956 |
1st Source Corp. |
$ |
214,446 |
||||||||
6,741 |
Allegiance Bancshares, Inc. |
275,437 |
|||||||||
54,152 |
Ameris Bancorp |
2,258,138 |
|||||||||
140,534 |
Associated Banc-Corp |
2,803,653 |
|||||||||
38,161 |
Atlantic Union Bankshares Corp. |
1,289,079 |
|||||||||
11,956 |
BancFirst Corp. |
977,403 |
|||||||||
21,464 |
Bank of Hawaii Corp. |
1,595,634 |
|||||||||
4,251 |
Bank of Marin Bancorp |
132,886 |
|||||||||
72,541 |
Bank OZK |
2,787,025 |
|||||||||
88,793 |
BankUnited, Inc. |
3,333,289 |
|||||||||
19,500 |
Banner Corp. |
1,047,150 |
|||||||||
28,465 |
Berkshire Hills Bancorp, Inc. |
704,224 |
|||||||||
24,624 |
BOK Financial Corp. |
2,042,068 |
|||||||||
35,099 |
Brookline Bancorp, Inc. |
507,532 |
|||||||||
124,419 |
Cadence Bank |
3,115,452 |
|||||||||
4,331 |
Camden National Corp. |
193,812 |
|||||||||
41,716 |
Cathay General Bancorp |
1,672,394 |
|||||||||
78,902 |
Citizens Financial Group, Inc. |
3,108,739 |
|||||||||
7,021 |
City Holding Co. |
543,285 |
|||||||||
103,669 |
Columbia Banking System, Inc. |
2,911,026 |
|||||||||
42,015 |
Comerica, Inc. |
3,441,028 |
|||||||||
47,791 |
Commerce Bancshares, Inc. |
3,267,471 |
|||||||||
23,388 |
Community Bank System, Inc. |
1,506,187 |
|||||||||
5,227 |
Community Trust Bancorp, Inc. |
208,087 |
|||||||||
16,373 |
ConnectOne Bancorp, Inc. |
456,152 |
|||||||||
62,623 |
Customers Bancorp, Inc. (a) |
2,634,550 |
|||||||||
93,075 |
CVB Financial Corp. |
2,142,586 |
|||||||||
16,564 |
Dime Community Bancshares, Inc. |
520,772 |
|||||||||
15,325 |
Eagle Bancorp, Inc. |
771,614 |
|||||||||
48,265 |
East West Bancorp, Inc. |
3,441,294 |
|||||||||
84,130 |
Eastern Bankshares, Inc. |
1,611,931 |
|||||||||
16,258 |
Enterprise Financial Services Corp. |
718,116 |
|||||||||
290,346 |
F.N.B. Corp. |
3,344,786 |
|||||||||
14,844 |
FB Financial Corp. |
571,939 |
|||||||||
84,069 |
Fifth Third Bancorp |
3,155,110 |
|||||||||
6,171 |
Financial Institutions, Inc. |
171,801 |
|||||||||
19,885 |
First Bancorp |
744,892 |
|||||||||
221,406 |
First BanCorp ADR |
3,013,336 |
|||||||||
6,348 |
First Bancshares, Inc. |
204,342 |
|||||||||
18,972 |
First Busey Corp. |
426,301 |
|||||||||
5,215 |
First Citizens BancShares, Inc. Class A |
3,334,367 |
|||||||||
62,890 |
First Commonwealth Financial Corp. |
847,757 |
|||||||||
35,418 |
First Financial Bancorp |
724,298 |
|||||||||
50,772 |
First Financial Bankshares, Inc. |
2,029,865 |
|||||||||
9,384 |
First Financial Corp. |
399,946 |
|||||||||
71,974 |
First Hawaiian, Inc. |
1,699,306 |
|||||||||
160,269 |
First Horizon National Corp. |
3,586,820 |
|||||||||
23,786 |
First Merchants Corp. |
932,173 |
|||||||||
23,063 |
First Republic Bank |
3,441,461 |
|||||||||
14,104 |
Flushing Finanicial Corp. |
303,236 |
|||||||||
123,068 |
Fulton Financial Corp. |
1,866,942 |
|||||||||
44,097 |
Glacier Bancorp, Inc. |
2,017,879 |
|||||||||
5,118 |
Great Southern Bancorp, Inc. |
290,395 |
Shares |
Fair Value |
||||||||||
Credit Intermediation and Related Activities (continued) |
|||||||||||
54,956 |
Hancock Holding Co. |
$ |
2,570,292 |
||||||||
18,473 |
Hanmi Financial Corp. Class A |
427,650 |
|||||||||
19,479 |
HarborOne Bancorp, Inc. |
260,824 |
|||||||||
15,124 |
Heartland Financial USA, Inc. |
661,977 |
|||||||||
17,929 |
Heritage Commerce Corp. |
201,343 |
|||||||||
22,857 |
Heritage Financial Corp. |
553,597 |
|||||||||
48,776 |
Hilltop Holdings, Inc. |
1,243,300 |
|||||||||
21,272 |
HomeStreet, Inc. |
863,430 |
|||||||||
88,497 |
Hope Bancorp, Inc. |
1,265,507 |
|||||||||
14,982 |
Horizon Bancorp, Inc. |
261,885 |
|||||||||
251,293 |
Huntington Bancshares, Inc. |
3,304,503 |
|||||||||
22,649 |
Independent Bank Corp. (Massachusetts) |
1,747,597 |
|||||||||
12,330 |
Independent Bank Corp. (Michigan) |
243,394 |
|||||||||
21,719 |
Independent Bank Group, Inc. |
1,472,548 |
|||||||||
26,764 |
International Bancshares Corp. |
1,064,940 |
|||||||||
161,389 |
KeyCorp |
3,116,422 |
|||||||||
26,565 |
Lakeland Bancorp, Inc. |
399,272 |
|||||||||
16,267 |
Lakeland Financial Corp. |
1,184,563 |
|||||||||
52,941 |
Live Oak Bancshares, Inc. |
2,240,993 |
|||||||||
21,479 |
M&T Bank Corp. |
3,579,261 |
|||||||||
5,123 |
Mercantile Bank Corp. |
160,862 |
|||||||||
32,805 |
Meta Financial Group, Inc. |
1,431,938 |
|||||||||
12,706 |
Metropolitan Bank Holding Corp. (a) |
1,131,469 |
|||||||||
9,366 |
Midland States Bancorp, Inc. |
246,888 |
|||||||||
17,568 |
NBT Bancorp, Inc. |
618,394 |
|||||||||
8,216 |
Nicolet Bankshares, Inc. (a) |
668,618 |
|||||||||
96,720 |
Northwest Bancshares, Inc. |
1,226,410 |
|||||||||
27,950 |
OceanFirst Financial Corp. |
523,503 |
|||||||||
29,359 |
OFG Bancorp ADR |
780,362 |
|||||||||
211,736 |
Old National Bancorp |
3,209,918 |
|||||||||
49,750 |
Pacific Premier Bancorp, Inc. |
1,560,160 |
|||||||||
84,377 |
PacWest Bancorp |
2,775,160 |
|||||||||
3,507 |
Park National Corp. |
413,300 |
|||||||||
4,749 |
Peapack-Gladstone Financial Corp. |
147,172 |
|||||||||
9,592 |
Peoples Bancorp, Inc. |
263,013 |
|||||||||
39,024 |
Pinnacle Financial Partners, Inc. |
3,026,311 |
|||||||||
20,306 |
PNC Financial Services Group, Inc. |
3,372,827 |
|||||||||
45,564 |
Popular, Inc. ADR |
3,553,536 |
|||||||||
10,390 |
Preferred Bank |
697,377 |
|||||||||
13,869 |
Premier Financial Corp. |
368,083 |
|||||||||
45,950 |
Prosperity Bancshares, Inc. |
3,004,211 |
|||||||||
168,828 |
Regions Financial Corp. |
3,498,116 |
|||||||||
30,505 |
Renasant Corp. |
908,744 |
|||||||||
14,595 |
S&T Bancorp, Inc. |
412,455 |
|||||||||
19,305 |
Sandy Spring Bancorp, Inc. |
758,107 |
|||||||||
37,825 |
Seacoast Banking Corp. of Florida |
1,229,312 |
|||||||||
12,787 |
Signature Bank |
3,097,651 |
|||||||||
29,956 |
Silvergate Capital Corp. (a) |
3,503,654 |
|||||||||
75,630 |
Simmons First National Corp. |
1,805,288 |
|||||||||
10,245 |
Southside Bancshares, Inc. |
401,502 |
|||||||||
6,971 |
SVB Financial Group (a) |
3,399,338 |
|||||||||
77,892 |
Synovus Financial Corp. |
3,235,634 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
50
Direxion Daily Regional Banks Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Credit Intermediation and Related Activities (continued) |
|||||||||||
55,079 |
Texas Capital Bancshares, Inc. (a) |
$ |
2,828,857 |
||||||||
50,364 |
The Bancorp, Inc. (a) |
1,142,759 |
|||||||||
3,671 |
Tompkins Financial Corp. |
267,983 |
|||||||||
9,199 |
TriCo Bancshares |
345,422 |
|||||||||
24,314 |
Triumph Bancorp, Inc. (a) |
1,688,364 |
|||||||||
64,737 |
Truist Financial Corp. |
3,130,034 |
|||||||||
27,240 |
Trustmark Corp. |
759,451 |
|||||||||
29,817 |
UMB Financial Corp. |
2,688,897 |
|||||||||
75,285 |
United Bankshares, Inc. |
2,503,979 |
|||||||||
97,833 |
United Community Banks, Inc. |
2,948,687 |
|||||||||
9,255 |
Univest Corp. of Pennsylvania |
233,226 |
|||||||||
267,264 |
Valley National Bancorp |
3,201,823 |
|||||||||
7,217 |
Washington Trust Bancorp, Inc. |
338,766 |
|||||||||
66,769 |
Webster Financial Corp. |
3,337,782 |
|||||||||
31,252 |
WesBanco, Inc. |
1,007,564 |
|||||||||
9,962 |
Westamerica Bancorp |
586,961 |
|||||||||
44,546 |
Western Alliance Bancorp |
3,390,396 |
|||||||||
40,309 |
Wintrust Financial Corp. |
3,519,782 |
|||||||||
57,609 |
Zions Bancorp |
3,255,485 |
|||||||||
200,608,241 |
|||||||||||
Management of Companies and Enterprises - 6.7% |
|||||||||||
29,131 |
Banc of California, Inc. |
525,523 |
|||||||||
12,396 |
Byline Bancorp, Inc. |
290,810 |
|||||||||
20,115 |
Central Pacific Financial Corp. |
486,381 |
|||||||||
26,806 |
Cullen/Frost Bankers, Inc. |
3,546,166 |
|||||||||
24,236 |
First Foundation, Inc. |
538,524 |
|||||||||
83,655 |
First Interstate BancSystem, Inc. |
2,720,460 |
|||||||||
75,624 |
Home Bancshares, Inc. |
1,634,991 |
|||||||||
18,273 |
National Bank Holdings Corp. |
667,147 |
|||||||||
16,668 |
ServisFirst Bancshares, Inc. |
1,338,774 |
|||||||||
42,812 |
South State Corp. |
3,315,361 |
|||||||||
167,648 |
Umpqua Holdings Corp. |
2,772,898 |
|||||||||
31,941 |
Veritex Holdings, Inc. |
1,049,262 |
|||||||||
18,886,297 |
|||||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.6% |
|||||||||||
9,654 |
CBTX, Inc. |
275,332 |
|||||||||
6,882 |
QCR Holdings, Inc. |
373,624 |
|||||||||
31,010 |
TriState Capital Holdings, Inc. (a) |
936,812 |
|||||||||
1,585,768 |
|||||||||||
TOTAL COMMON STOCKS (Cost $256,625,095) |
$ |
221,080,306 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 44.5% |
|||||||||||
Money Market Funds - 44.5% |
|||||||||||
47,166,327 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
47,166,327 |
||||||||
60,241,153 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
60,241,153 |
|||||||||
17,060,822 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
17,060,822 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $124,468,302) |
$ |
124,468,302 |
|||||||||
TOTAL INVESTMENTS (Cost $381,093,397) - 123.5% (c) |
$ |
345,548,608 |
|||||||||
Liabilities in Excess of Other Assets - (23.5)% |
(65,572,775 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
279,975,833 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $193,479,525.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
51
Direxion Daily Regional Banks Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P Regional Banks Select Industry Index |
0.7800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
143,127 |
$ |
315,173,887 |
$ |
(35,338,479 |
) |
||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index |
0.8800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
110,000 |
242,073,700 |
(27,035,814 |
) |
||||||||||||||||||||
Total return of S&P Regional Banks Select Industry Index |
0.8200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
65,312 |
133,404,089 |
(4,537,837 |
) |
||||||||||||||||||||
$ |
690,651,676 |
$ |
(66,912,130 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
52
Direxion Daily Retail Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 83.0% |
|||||||||||
Administrative and Support Services - 0.8% |
|||||||||||
11,658 |
Revolve Group, Inc. (a) |
$ |
492,667 |
||||||||
Broadcasting (except Internet) - 0.7% |
|||||||||||
108,541 |
Qurate Retail, Inc. |
456,958 |
|||||||||
Clothing and Clothing Accessories Stores - 19.7% |
|||||||||||
18,355 |
Abercrombie & Fitch Co. Class A (a) |
634,716 |
|||||||||
16,482 |
Academy Sports & Outdoors Inc. |
615,768 |
|||||||||
29,903 |
American Eagle Outfitters, Inc. |
451,834 |
|||||||||
11,154 |
Bath & Body Works, Inc. |
589,935 |
|||||||||
5,954 |
Boot Barn Holdings, Inc. (a) |
536,217 |
|||||||||
26,568 |
Caleres, Inc. |
609,204 |
|||||||||
114,385 |
Chicos FAS, Inc. (a) |
606,240 |
|||||||||
10,132 |
Childrens Place Retail Stores, Inc. (a) |
469,416 |
|||||||||
15,739 |
Citi Trends, Inc. (a) |
440,220 |
|||||||||
42,104 |
Designer Brands, Inc. |
581,877 |
|||||||||
37,001 |
Gap, Inc. |
459,552 |
|||||||||
7,212 |
Genesco, Inc. (a) |
447,360 |
|||||||||
30,057 |
Guess?, Inc. (b) |
675,381 |
|||||||||
22,709 |
Nordstrom, Inc. |
583,621 |
|||||||||
5,947 |
Ross Stores, Inc. |
593,332 |
|||||||||
15,515 |
Shoe Carnival, Inc. |
468,398 |
|||||||||
7,944 |
Signet Jewelers Ltd. ADR |
557,669 |
|||||||||
14,426 |
The Buckle, Inc. |
448,072 |
|||||||||
82,608 |
The RealReal, Inc. (a) |
447,735 |
|||||||||
8,500 |
TJX Companies, Inc. |
520,880 |
|||||||||
20,206 |
Urban Outfitters, Inc. (a) |
480,903 |
|||||||||
11,130 |
Victoria's Secret & Co. (a) |
524,446 |
|||||||||
13,030 |
Zumiez, Inc. (a) |
477,289 |
|||||||||
12,220,065 |
|||||||||||
Data Processing, Hosting and Related Services - 0.7% |
|||||||||||
6,027 |
Shutterstock, Inc. |
456,364 |
|||||||||
Electronics and Appliance Stores - 3.1% |
|||||||||||
5,521 |
Best Buy Co., Inc. |
496,504 |
|||||||||
28,191 |
Conn's, Inc. (a) |
441,189 |
|||||||||
5,631 |
GameStop Corp. Class A (a)(b) |
704,269 |
|||||||||
120,850 |
Volta, Inc. (a)(b) |
252,576 |
|||||||||
1,894,538 |
|||||||||||
Food and Beverage Stores - 3.7% |
|||||||||||
17,759 |
Grocery Outlet Holding Corp. (a) |
597,946 |
|||||||||
5,167 |
Ingles Markets, Inc. |
481,151 |
|||||||||
9,341 |
Kroger Co. |
504,040 |
|||||||||
16,837 |
Sprouts Farmers Market, Inc. (a) |
501,743 |
|||||||||
2,488 |
Weis Markets, Inc. |
198,741 |
|||||||||
2,283,621 |
|||||||||||
Food Services and Drinking Places - 1.5% |
|||||||||||
2,997 |
Casey's General Stores, Inc. |
603,296 |
|||||||||
4,563 |
Wayfair, Inc. (a)(b) |
351,077 |
|||||||||
954,373 |
|||||||||||
Gasoline Stations - 0.5% |
|||||||||||
7,722 |
TravelCenters of America Inc. (a) |
293,513 |
Shares |
Fair Value |
||||||||||
General Merchandise Stores - 11.4% |
|||||||||||
15,729 |
Big Lots, Inc. |
$ |
486,026 |
||||||||
8,555 |
BJ's Wholesale Club Holdings, Inc. (a) |
550,514 |
|||||||||
2,654 |
Burlington Stores, Inc. (a) |
540,248 |
|||||||||
991 |
Costco Wholesale Corp. |
526,935 |
|||||||||
1,936 |
Dillard's, Inc. Class A |
588,176 |
|||||||||
2,540 |
Dollar General Corp. |
603,326 |
|||||||||
3,552 |
Dollar Tree, Inc. (a) |
577,023 |
|||||||||
3,403 |
Five Below, Inc. (a) |
534,611 |
|||||||||
9,680 |
Kohl's Corp. |
560,279 |
|||||||||
22,082 |
Macy's, Inc. |
533,722 |
|||||||||
5,186 |
PriceSmart, Inc. |
412,028 |
|||||||||
2,522 |
Target Corp. |
576,655 |
|||||||||
3,673 |
Wal-Mart Stores, Inc. |
561,932 |
|||||||||
7,051,475 |
|||||||||||
Health and Personal Care Stores - 3.7% |
|||||||||||
15,172 |
Albertsons Companies, Inc. Class A |
474,580 |
|||||||||
18,404 |
Petmed Express, Inc. (b) |
403,047 |
|||||||||
57,372 |
Rite Aid Corp. (a) |
365,460 |
|||||||||
1,415 |
Ulta Salon, Cosmetics & Fragrance, Inc. (a) |
561,472 |
|||||||||
11,004 |
Walgreens Boots Alliance, Inc. |
466,570 |
|||||||||
2,271,129 |
|||||||||||
Lessors of Nonfinancial Intangible Assets (except Copyrighted Works) - 0.1% |
|||||||||||
416 |
Winmark Corp. |
84,531 |
|||||||||
Machinery Manufacturing - 0.8% |
|||||||||||
26,542 |
Leslie's, Inc. (a) |
520,223 |
|||||||||
Merchant Wholesalers, Durable Goods - 0.5% |
|||||||||||
3,950 |
America's Car-Mart, Inc. (a) |
319,358 |
|||||||||
Merchant Wholesalers, Nondurable Goods - 0.8% |
|||||||||||
17,495 |
Foot Locker, Inc. |
512,779 |
|||||||||
Miscellaneous Manufacturing - 1.7% |
|||||||||||
12,805 |
National Vision Holdings, Inc. (a) |
482,108 |
|||||||||
28,328 |
Petco Health & Wellness Co., Inc. (a) |
545,598 |
|||||||||
1,027,706 |
|||||||||||
Miscellaneous Store Retailers - 6.1% |
|||||||||||
38,875 |
1-800-Flowers.com, Inc. (a) |
396,525 |
|||||||||
13,304 |
Chewy, Inc. (a)(b) |
386,614 |
|||||||||
4,307 |
Etsy, Inc. (a) |
401,369 |
|||||||||
13,311 |
Ollie's Bargain Outlet Holdings, Inc. (a) |
639,594 |
|||||||||
152,211 |
Party City Holdings Inc. (a) |
470,332 |
|||||||||
31,489 |
Sally Beauty Holdings, Inc. (a) |
476,114 |
|||||||||
12,282 |
The ODP Corp. (a) |
528,494 |
|||||||||
2,306 |
Tractor Supply Co. |
464,544 |
|||||||||
3,763,586 |
|||||||||||
Motor Vehicle and Parts Dealers - 11.7% |
|||||||||||
2,558 |
Advance Auto Parts, Inc. |
510,653 |
|||||||||
2,778 |
Asbury Automotive Group, Inc. (a) |
510,346 |
|||||||||
4,721 |
AutoNation, Inc. (a) |
547,211 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
53
Direxion Daily Retail Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Motor Vehicle and Parts Dealers (continued) |
|||||||||||
280 |
AutoZone, Inc. (a) |
$ |
547,532 |
||||||||
5,264 |
CarMax, Inc. (a) |
451,546 |
|||||||||
61,358 |
CarParts.com, Inc. (a) |
367,534 |
|||||||||
4,586 |
Carvana Co. (a) |
265,805 |
|||||||||
44,021 |
EVgo, Inc. (a)(b) |
398,830 |
|||||||||
2,785 |
Group 1 Automotive, Inc. |
484,980 |
|||||||||
12,113 |
MarineMax, Inc. (a) |
495,664 |
|||||||||
2,980 |
Murphy USA, Inc. |
696,128 |
|||||||||
774 |
O'Reilly Automotive, Inc. (a) |
469,470 |
|||||||||
5,270 |
OneWater Marine. Inc. |
172,276 |
|||||||||
5,161 |
Penske Automotive Group, Inc. |
540,976 |
|||||||||
11,041 |
Sonic Automotive, Inc. |
469,795 |
|||||||||
191,943 |
Vroom, Inc. (a)(b) |
299,431 |
|||||||||
7,228,177 |
|||||||||||
Nonstore Retailers - 4.5% |
|||||||||||
179 |
Amazon.com, Inc. (a) |
444,928 |
|||||||||
6,001 |
DoorDash, Inc. (a) |
488,661 |
|||||||||
10,427 |
eBay, Inc. |
541,370 |
|||||||||
11,658 |
Overstock.com, Inc. (a) |
391,242 |
|||||||||
51,311 |
Stitch Fix, Inc. (a) |
487,455 |
|||||||||
69,426 |
ThredUp, Inc. (a)(b) |
457,517 |
|||||||||
2,811,173 |
|||||||||||
Printing and Related Support Activities - 0.3% |
|||||||||||
19,681 |
Arko Corp. |
182,443 |
|||||||||
Professional, Scientific, and Technical Services - 3.0% |
|||||||||||
277,704 |
ContextLogic, Inc. (a)(b) |
472,097 |
|||||||||
12,282 |
Franchise Group, Inc. |
457,996 |
|||||||||
28,989 |
Groupon, Inc. (a)(b) |
565,575 |
|||||||||
63,577 |
Quotient Technology, Inc. (a) |
337,594 |
|||||||||
1,833,262 |
|||||||||||
Publishing Industries (except Internet) - 1.2% |
|||||||||||
75,995 |
Porch Group, Inc. (a) |
281,182 |
|||||||||
44,059 |
Poshmark, Inc. (a) |
486,411 |
|||||||||
767,593 |
|||||||||||
Rental and Leasing Services - 0.8% |
|||||||||||
20,142 |
Rent-A-Center, Inc. |
485,825 |
|||||||||
Repair and Maintenance - 1.2% |
|||||||||||
14,191 |
Liquidity Services, Inc. (a) |
204,634 |
|||||||||
11,615 |
Monro Muffler Brake, Inc. |
531,154 |
|||||||||
735,788 |
|||||||||||
Sporting Goods, Hobby, Musical Instrument, and Book Stores - 3.8% |
|||||||||||
33,126 |
Big 5 Sporting Goods Corp. (b) |
479,333 |
|||||||||
17,356 |
Camping World Holdings, Inc. (b) |
445,702 |
|||||||||
4,849 |
Dick's Sporting Goods, Inc. (b) |
467,541 |
|||||||||
11,519 |
Hibbett Sports, Inc. |
497,391 |
|||||||||
47,635 |
Sportsman's Warehouse Holdings, Inc. (a) |
457,772 |
|||||||||
2,347,739 |
|||||||||||
Truck Transportation - 0.7% |
|||||||||||
1,630 |
Lithia Motors, Inc. Class A |
461,502 |
|||||||||
TOTAL COMMON STOCKS (Cost $61,679,518) |
$ |
51,456,388 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 65.1% |
|||||||||||
Money Market Funds - 65.1% |
|||||||||||
25,392,759 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
25,392,759 |
||||||||
24 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
24 |
|||||||||
14,940,673 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
14,940,673 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $40,333,456) |
$ |
40,333,456 |
|||||||||
TOTAL INVESTMENTS (Cost $102,012,974) - 148.1% (e) |
$ |
91,789,844 |
|||||||||
Liabilities in Excess of Other Assets - (48.1)% |
(29,788,635 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
62,001,209 |
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 April 30, 2022.
(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 $61,081,575.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
54
Direxion Daily Retail Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P Retail Select Industry® Index |
0.6800% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
6,178 |
$ |
49,200,879 |
$ |
(3,665,674 |
) |
||||||||||||||||||
Total return of S&P Retail Select Industry® Index |
0.9300% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
1,513 |
14,591,039 |
(3,421,251 |
) |
||||||||||||||||||||
Total return of S&P Retail Select Industry® Index |
0.6300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
3,784 |
30,372,571 |
(2,484,398 |
) |
||||||||||||||||||||
Total return of S&P Retail Select Industry® Index |
0.8700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
6,799 |
54,559,465 |
(4,255,276 |
) |
||||||||||||||||||||
$ |
148,723,954 |
$ |
(13,826,599 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
55
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 82.9% |
|||||||||||
Accommodation - 2.4% |
|||||||||||
8,865 |
Caesars Entertainment Inc. (a) |
$ |
587,572 |
||||||||
11,403 |
MGM Resorts International |
467,979 |
|||||||||
16,886 |
Penn National Gaming, Inc. (a) |
617,521 |
|||||||||
1,673,072 |
|||||||||||
Administrative and Support Services - 0.7% |
|||||||||||
4,819 |
Live Nation Entertainment, Inc. (a) |
505,417 |
|||||||||
Air Transportation - 0.9% |
|||||||||||
12,183 |
United Continental Holdings, Inc. (a) |
615,242 |
|||||||||
Apparel Manufacturing - 0.6% |
|||||||||||
5,883 |
PVH Corp. |
428,165 |
|||||||||
Chemical Manufacturing - 2.9% |
|||||||||||
2,959 |
Albemarle Corp. |
570,584 |
|||||||||
1,443 |
Bio-Techne Corp. |
547,893 |
|||||||||
13,974 |
Mosaic Co. |
872,257 |
|||||||||
1,990,734 |
|||||||||||
Clothing and Clothing Accessories Stores - 1.6% |
|||||||||||
10,194 |
Bath & Body Works, Inc. |
539,161 |
|||||||||
5,757 |
Ross Stores, Inc. |
574,376 |
|||||||||
1,113,537 |
|||||||||||
Computer and Electronic Product Manufacturing - 23.8% |
|||||||||||
6,229 |
Advanced Micro Devices, Inc. (a) |
532,704 |
|||||||||
7,032 |
Amphenol Corp. Class A |
502,788 |
|||||||||
3,558 |
Analog Devices, Inc. |
549,284 |
|||||||||
3,405 |
Apple, Inc. |
536,798 |
|||||||||
4,598 |
Arista Networks, Inc. (a) |
531,391 |
|||||||||
1,114 |
Broadcom, Inc. |
617,591 |
|||||||||
5,448 |
Enphase Energy, Inc. (a) |
879,307 |
|||||||||
2,316 |
Fortinet, Inc. (a) |
669,347 |
|||||||||
1,053 |
IDEXX Laboratories, Inc. (a) |
453,295 |
|||||||||
1,501 |
Illumina, Inc. (a) |
445,272 |
|||||||||
3,251 |
Keysight Technologies, Inc. (a) |
456,018 |
|||||||||
11,073 |
Microchip Technology, Inc. |
721,960 |
|||||||||
8,608 |
Micron Technology, Inc. |
586,980 |
|||||||||
1,983 |
Monolithic Power Systems, Inc. |
777,812 |
|||||||||
6,318 |
NetApp, Inc. |
462,794 |
|||||||||
3,635 |
NVIDIA Corp. |
674,183 |
|||||||||
4,113 |
NXP Semiconductors N.V. ADR (Netherlands) |
702,912 |
|||||||||
5,490 |
Qorvo, Inc. (a) |
624,652 |
|||||||||
3,806 |
Qualcomm, Inc. |
531,660 |
|||||||||
5,277 |
Seagate Technology Holdings PLC ADR (Ireland) |
432,925 |
|||||||||
5,051 |
Skyworks Solutions, Inc. |
572,278 |
|||||||||
3,376 |
SolarEdge Technologies, Inc. (a) |
845,384 |
|||||||||
7,883 |
Teradyne, Inc. |
831,341 |
|||||||||
3,372 |
Texas Instruments, Inc. |
574,083 |
|||||||||
9,773 |
Trimble, Inc. (a) |
651,859 |
|||||||||
12,992 |
Western Digital Corp. (a) |
689,485 |
|||||||||
1,220 |
Zebra Technologies Corp. Class A (a) |
450,985 |
|||||||||
16,305,088 |
|||||||||||
Construction of Buildings - 2.2% |
|||||||||||
7,147 |
D.R. Horton, Inc. |
497,360 |
Shares |
Fair Value |
||||||||||
Construction of Buildings (continued) |
|||||||||||
6,358 |
Lennar Corp. Class A |
$ |
486,323 |
||||||||
11,957 |
PulteGroup, Inc. |
499,324 |
|||||||||
1,483,007 |
|||||||||||
Credit Intermediation and Related Activities - 3.1% |
|||||||||||
4,649 |
Discover Financial Services |
522,827 |
|||||||||
1,487 |
MasterCard, Inc. Class A |
540,346 |
|||||||||
1,796 |
Signature Bank |
435,081 |
|||||||||
1,260 |
SVB Financial Group (a) |
614,426 |
|||||||||
2,112,680 |
|||||||||||
Data Processing, Hosting and Related Services - 0.6% |
|||||||||||
5,239 |
Match Group, Inc. (a) |
414,667 |
|||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 1.9% |
|||||||||||
2,131 |
Generac Holdings, Inc. (a) |
467,499 |
|||||||||
3,951 |
IPG Photonics Corp. (a) |
373,291 |
|||||||||
3,862 |
TE Connectivity Ltd. ADR (Switzerland) |
481,900 |
|||||||||
1,322,690 |
|||||||||||
Insurance Carriers and Related Activities - 0.7% |
|||||||||||
8,173 |
Lincoln National Corp. |
491,606 |
|||||||||
Machinery Manufacturing - 2.1% |
|||||||||||
6,657 |
Applied Materials, Inc. |
734,600 |
|||||||||
1,479 |
Lam Research Corp. |
688,859 |
|||||||||
1,423,459 |
|||||||||||
Management of Companies and Enterprises - 1.6% |
|||||||||||
27,104 |
Carnival Corp. ADR (a) |
468,899 |
|||||||||
29,829 |
Norwegian Cruise Line Holdings Ltd. ADR (a) |
597,475 |
|||||||||
1,066,374 |
|||||||||||
Merchant Wholesalers, Durable Goods - 3.2% |
|||||||||||
4,412 |
Copart, Inc. (a) |
501,424 |
|||||||||
5,888 |
Fortune Brands Home & Security, Inc. |
419,520 |
|||||||||
2,240 |
KLA-Tencor Corp. |
715,142 |
|||||||||
3,820 |
Mohawk Industries, Inc. (a) |
538,849 |
|||||||||
2,174,935 |
|||||||||||
Mining (except Oil and Gas) - 1.0% |
|||||||||||
16,635 |
Freeport-McMoRan Copper & Gold, Inc. |
674,549 |
|||||||||
Miscellaneous Manufacturing - 2.9% |
|||||||||||
1,385 |
Align Technology, Inc. (a) |
401,525 |
|||||||||
1,318 |
DexCom, Inc. (a) |
538,508 |
|||||||||
2,216 |
Intuitive Surgical, Inc. (a) |
530,289 |
|||||||||
7,962 |
Textron, Inc. |
551,369 |
|||||||||
2,021,691 |
|||||||||||
Miscellaneous Store Retailers - 0.7% |
|||||||||||
5,209 |
Etsy, Inc. (a) |
485,427 |
|||||||||
Oil and Gas Extraction - 4.8% |
|||||||||||
21,976 |
APA Corp. |
899,478 |
|||||||||
12,967 |
Devon Energy Corp. |
754,290 |
|||||||||
29,151 |
Marathon Oil Corp. |
726,443 |
|||||||||
15,987 |
Occidental Petroleum Corp. |
880,724 |
|||||||||
3,260,935 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
56
Direxion Daily S&P 500® High Beta Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Other Information Services - 1.3% |
|||||||||||
17,551 |
Twitter, Inc. (a) |
$ |
860,350 |
||||||||
Professional, Scientific, and Technical Services - 3.4% |
|||||||||||
2,918 |
CDW Corp. |
476,159 |
|||||||||
15,042 |
DXC Technology Co. (a) |
431,706 |
|||||||||
1,498 |
EPAM Systems, Inc. (a) |
396,955 |
|||||||||
2,556 |
Meta Platforms, Inc. (a) |
512,401 |
|||||||||
1,142 |
ServiceNow, Inc. (a) |
545,990 |
|||||||||
2,363,211 |
|||||||||||
Publishing Industries (except Internet) - 8.9% |
|||||||||||
1,235 |
Adobe Systems, Inc. (a) |
488,998 |
|||||||||
2,153 |
ANSYS, Inc. (a) |
593,561 |
|||||||||
2,765 |
Autodesk, Inc. (a) |
523,359 |
|||||||||
4,911 |
Cadence Design Systems, Inc. (a) |
740,824 |
|||||||||
8,715 |
Ceridian HCM Holding, Inc. (a) |
489,173 |
|||||||||
1,120 |
Intuit, Inc. |
469,000 |
|||||||||
2,114 |
Paycom Software, Inc. (a) |
595,028 |
|||||||||
5,130 |
PTC, Inc. (a) |
585,897 |
|||||||||
2,689 |
Salesforce.com, Inc. (a) |
473,103 |
|||||||||
2,342 |
Synopsys, Inc. (a) |
671,662 |
|||||||||
1,235 |
Tyler Technologies, Inc. (a) |
487,467 |
|||||||||
6,118,072 |
|||||||||||
Rental and Leasing Services - 0.9% |
|||||||||||
1,850 |
United Rentals, Inc. (a) |
585,562 |
|||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.2% |
|||||||||||
1,774 |
Ameriprise Financial, Inc. |
470,979 |
|||||||||
678 |
BlackRock, Inc. |
423,533 |
|||||||||
20,638 |
Franklin Resources, Inc. |
507,488 |
|||||||||
30,696 |
Invesco Ltd. ADR |
564,193 |
|||||||||
1,084 |
MSCI, Inc. Class A |
456,635 |
|||||||||
3,942 |
T. Rowe Price Group, Inc. |
485,024 |
|||||||||
2,907,852 |
|||||||||||
Specialty Trade Contractors - 0.9% |
|||||||||||
5,539 |
Quanta Services, Inc. |
642,413 |
|||||||||
Support Activities for Mining - 0.9% |
|||||||||||
4,864 |
Diamondback Energy, Inc. |
613,983 |
|||||||||
Support Activities for Transportation - 0.7% |
|||||||||||
2,906 |
Expedia, Inc. (a) |
507,823 |
|||||||||
Telecommunications - 0.8% |
|||||||||||
5,916 |
PayPal Holdings, Inc. (a) |
520,194 |
|||||||||
Transportation Equipment Manufacturing - 2.5% |
|||||||||||
4,140 |
Aptiv PLC ADR (Ireland) (a) |
440,496 |
|||||||||
2,816 |
Boeing Co. (a) |
419,133 |
|||||||||
948 |
Tesla Motors, Inc. (a) |
825,481 |
|||||||||
1,685,110 |
|||||||||||
Water Transportation - 0.7% |
|||||||||||
6,506 |
Royal Caribbean Cruises Ltd. ADR (Liberia) (a) |
505,711 |
|||||||||
TOTAL COMMON STOCKS (Cost $66,043,123) |
$ |
56,873,556 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 43.2% |
|||||||||||
Money Market Funds - 43.2% |
|||||||||||
14,587,450 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
14,587,450 |
||||||||
11,913,796 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
11,913,796 |
|||||||||
3,111,871 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
3,111,871 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,613,117) |
$ |
29,613,117 |
|||||||||
TOTAL INVESTMENTS (Cost $95,656,240) - 126.1% (c) |
$ |
86,486,673 |
|||||||||
Liabilities in Excess of Other Assets - (26.1)% |
(17,924,812 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
68,561,861 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $72,186,671.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
57
Direxion Daily S&P 500® High Beta Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P 500® High Beta Index |
0.7300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
3,942 |
$ |
72,929,610 |
$ |
(10,457,596 |
) |
||||||||||||||||||
Total return of S&P 500® High Beta Index |
0.7800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
60 |
1,107,353 |
(155,542 |
) |
||||||||||||||||||||
Total return of S&P 500® High Beta Index |
0.8300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
2,442 |
43,041,627 |
(4,319,812 |
) |
||||||||||||||||||||
Total return of S&P 500® High Beta Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
2,944 |
48,552,092 |
(1,794,860 |
) |
||||||||||||||||||||
$ |
165,630,682 |
$ |
(16,727,810 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
58
Direxion Daily S&P 500® High Beta Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 91.2% |
|||||||||||
Money Market Funds - 91.2% |
|||||||||||
19,362,654 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
19,362,654 |
||||||||
16,631,045 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
16,631,045 |
|||||||||
6,908,355 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
6,908,355 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $42,902,054) (b) |
$ |
42,902,054 |
|||||||||
TOTAL INVESTMENTS (Cost $42,902,054) - 91.2% |
$ |
42,902,054 |
|||||||||
Other Assets in Excess of Liabilities - 8.8% |
4,151,991 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
47,054,045 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $26,241,570.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.0300% representing 1 month SOFR rate + spread |
Total return of S&P 500® High Beta Index |
J.P. Morgan |
7/29/2022 |
550 |
$ |
9,508,318 |
$ |
711,127 |
|||||||||||||||||||
0.4800% representing 1 month SOFR rate + spread |
Total return of S&P 500® High Beta Index |
Barclays |
12/7/2022 |
5,071 |
87,065,390 |
6,680,094 |
|||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of S&P 500® High Beta Index |
Bank of America Merrill Lynch |
12/13/2022 |
1,213 |
19,772,950 |
533,338 |
|||||||||||||||||||||
0.6200% representing 1 month SOFR rate + spread |
Total return of S&P 500® High Beta Index |
UBS Securities LLC |
12/14/2022 |
2,071 |
33,750,841 |
917,462 |
|||||||||||||||||||||
$ |
150,097,499 |
$ |
8,842,021 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
59
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 82.7% |
|||||||||||
Ambulatory Health Care Services - 2.7% |
|||||||||||
169,393 |
ALX Oncology Holdings, Inc. (a) |
$ |
2,164,843 |
||||||||
187,543 |
CareDx, Inc. (a) |
5,708,809 |
|||||||||
37,023 |
Keros Therapeutics, Inc. (a) |
1,962,589 |
|||||||||
148,084 |
Natera, Inc. (a) |
5,200,710 |
|||||||||
253,546 |
Organogenesis Holdings, Inc. (a) |
1,632,836 |
|||||||||
151,502 |
Y-mAbs Therapeutics, Inc. (a) |
1,272,617 |
|||||||||
17,942,404 |
|||||||||||
Apparel Manufacturing - 0.6% |
|||||||||||
523,562 |
Sana Biotechnology, Inc. (a)(b) |
3,952,893 |
|||||||||
Chemical Manufacturing - 54.9% |
|||||||||||
237,407 |
2seventy bio, Inc. (a) |
3,195,498 |
|||||||||
43,954 |
Aadi Bioscience, Inc. (a)(b) |
641,728 |
|||||||||
38,788 |
AbbVie, Inc. |
5,697,181 |
|||||||||
249,084 |
Acadia Pharmaceuticals Inc. (a) |
4,593,109 |
|||||||||
191,998 |
Agios Pharmaceuticals, Inc. (a) |
4,218,196 |
|||||||||
758,608 |
Akebia Therapeutics, Inc. (a) |
314,974 |
|||||||||
54,037 |
Albireo Pharma, Inc. (a) |
1,719,457 |
|||||||||
236,857 |
Alkermes PLC ADR (Ireland) (a) |
6,833,324 |
|||||||||
37,250 |
Alnylam Pharmaceuticals, Inc. (a) |
4,970,267 |
|||||||||
25,208 |
Amgen, Inc. |
5,878,254 |
|||||||||
621,414 |
Amicus Therapeutics, Inc. (a) |
4,399,611 |
|||||||||
256,277 |
Arcturus Therapeutics Holdings, Inc. (a)(b) |
4,966,648 |
|||||||||
174,444 |
Arcus Biosciences Inc. (a) |
4,223,289 |
|||||||||
61,823 |
Arcutis Biotherapeutics, Inc. (a) |
1,248,206 |
|||||||||
233,181 |
Avid Bioservices, Inc. (a) |
3,138,616 |
|||||||||
94,809 |
Beam Therapeutics, Inc. (a)(b) |
3,558,182 |
|||||||||
358,154 |
BioCryst Pharmaceuticals, Inc. (a) |
3,327,251 |
|||||||||
29,173 |
Biogen, Inc. (a) |
6,051,647 |
|||||||||
76,060 |
BioMarin Pharmaceutical, Inc. (a) |
6,187,481 |
|||||||||
100,327 |
Bioxcel Therapeutics Inc. (a)(b) |
1,315,287 |
|||||||||
1,057,108 |
bluebird bio, Inc. (a) |
3,837,302 |
|||||||||
101,113 |
Blueprint Medicines Corp. (a) |
5,899,944 |
|||||||||
672,804 |
BridgeBio Pharma, Inc. (a) |
5,395,888 |
|||||||||
249,967 |
Catalyst Pharmaceuticals, Inc. (a) |
1,904,749 |
|||||||||
168,678 |
Celldex Therapeutics, Inc. (a) |
5,153,113 |
|||||||||
243,418 |
ChemoCentryx, Inc. (a) |
4,493,496 |
|||||||||
276,914 |
Chimerix, Inc. (a) |
1,218,422 |
|||||||||
85,632 |
Chinook Therapeutics, Inc. (a) |
1,295,612 |
|||||||||
290,216 |
Coherus BioSciences, Inc. (a) |
2,623,553 |
|||||||||
84,378 |
Crinetics Pharmaceuticals, Inc. (a) |
1,714,561 |
|||||||||
456,038 |
Deciphera Pharmaceuticals, Inc. (a) |
4,615,105 |
|||||||||
190,006 |
Denali Therapeutics, Inc. (a) |
4,522,143 |
|||||||||
31,195 |
Eagle Pharmaceuticals, Inc. (a) |
1,376,635 |
|||||||||
158,283 |
Emergent Biosolutions, Inc. (a) |
5,125,204 |
|||||||||
62,212 |
Enanta Pharmaceuticals, Inc. (a) |
4,006,453 |
|||||||||
299,246 |
FibroGen, Inc. (a) |
2,782,988 |
|||||||||
179,400 |
Forma Therapeutics Holdings, Inc. (a) |
1,356,264 |
|||||||||
276,917 |
G1 Therapeutics, Inc. (a)(b) |
1,423,353 |
Shares |
Fair Value |
||||||||||
Chemical Manufacturing (continued) |
|||||||||||
681,923 |
Geron Corp. (a) |
$ |
961,511 |
||||||||
99,482 |
Gilead Sciences, Inc. |
5,903,262 |
|||||||||
202,829 |
Gossamer Bio, Inc. (a) |
1,401,548 |
|||||||||
166,250 |
Halozyme Therapeutics, Inc. (a) |
6,633,375 |
|||||||||
1,027,955 |
Heron Therapeutics, Inc. (a) |
4,646,357 |
|||||||||
57,334 |
Horizon Therapeutics PLC ADR (Ireland) (a) |
5,650,839 |
|||||||||
491,053 |
ImmunityBio, Inc. (a)(b) |
1,782,522 |
|||||||||
920,790 |
Immunogen, Inc. (a) |
4,447,416 |
|||||||||
78,065 |
Incyte Corp. (a) |
5,851,752 |
|||||||||
260,755 |
Insmed, Inc. (a) |
5,728,787 |
|||||||||
94,215 |
Intellia Therapeutics, Inc. (a) |
4,619,361 |
|||||||||
245,980 |
Intercept Pharmaceuticals, Inc. (a)(b) |
3,864,346 |
|||||||||
179,380 |
Ionis Pharmaceuticals, Inc. (a) |
6,594,009 |
|||||||||
494,779 |
Ironwood Pharmaceuticals, Inc. Class A (a) |
5,937,348 |
|||||||||
103,818 |
iTeos Therapeutics, Inc. (a) |
2,770,902 |
|||||||||
51,297 |
KalVista Pharmaceuticals, Inc. (a) |
653,011 |
|||||||||
56,136 |
Karuna Therapeutics, Inc. (a) |
6,256,919 |
|||||||||
873,350 |
Karyopharm Therapeutics, Inc. (a)(b) |
5,327,435 |
|||||||||
64,878 |
Krystal Biotech, Inc. (a) |
3,932,256 |
|||||||||
51,603 |
Ligand Pharmaceuticals, Inc. (a) |
4,791,855 |
|||||||||
224,216 |
MacroGenics, Inc. (a) |
1,603,144 |
|||||||||
50,005 |
Madrigal Pharmaceuticals, Inc. (a) |
3,500,350 |
|||||||||
935,953 |
MannKind Corp. (a) |
2,929,533 |
|||||||||
73,036 |
Morphic Holding, Inc. (a) |
2,213,721 |
|||||||||
292,645 |
Myovant Sciences, Ltd. ADR (United Kingdom) (a)(b) |
2,724,525 |
|||||||||
141,418 |
Myriad Genetics, Inc. (a) |
2,899,069 |
|||||||||
64,723 |
Neurocrine Biosciences, Inc. (a) |
5,827,012 |
|||||||||
79,116 |
Novavax, Inc. (a)(b) |
3,565,758 |
|||||||||
1,750,565 |
OPKO Health, Inc. (a) |
4,726,525 |
|||||||||
185,845 |
PMV Pharmaceuticals, Inc. (a) |
2,692,894 |
|||||||||
47,395 |
Prometheus Biosciences, Inc. (a) |
1,246,488 |
|||||||||
154,961 |
Prothena Corp. PLC (a) |
4,518,663 |
|||||||||
168,503 |
PTC Therapeutics, Inc. (a) |
5,953,211 |
|||||||||
90,368 |
RAPT Therapeutics, Inc. (a) |
1,367,268 |
|||||||||
8,979 |
Regeneron Pharmaceuticals, Inc. (a) |
5,918,149 |
|||||||||
125,951 |
REGENXBIO, Inc. (a) |
3,496,400 |
|||||||||
108,436 |
Replimune Group Inc. (a) |
1,818,472 |
|||||||||
375,940 |
Rigel Pharmaceuticals, Inc. (a) |
887,218 |
|||||||||
178,436 |
Rocket Pharmaceuticals, Inc. (a) |
1,834,322 |
|||||||||
185,839 |
Sage Therapeutics, Inc. (a) |
5,857,645 |
|||||||||
497,166 |
Sangamo Therapeutics, Inc. (a) |
2,063,239 |
|||||||||
74,173 |
Sarepta Therapeutics, Inc. (a) |
5,364,191 |
|||||||||
85,822 |
Scholar Rock Holding Corp. (a) |
606,762 |
|||||||||
41,831 |
Seagen Inc. (a) |
5,480,279 |
|||||||||
320,069 |
Seres Therapeutics, Inc. (a) |
1,513,926 |
|||||||||
98,087 |
SpringWorks Therapeutics, Inc. (a) |
4,208,913 |
|||||||||
55,717 |
Stoke Therapeutics, Inc. (a) |
804,553 |
|||||||||
177,987 |
Sutro Biopharma, Inc. (a) |
1,069,702 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
60
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
Chemical Manufacturing (continued) |
|||||||||||
140,856 |
Syndax Pharmaceuticals Inc. (a) |
$ |
2,362,155 |
||||||||
656,074 |
TG Therapeutics, Inc. (a) |
4,553,154 |
|||||||||
171,097 |
Travere Therapeutics, Inc. (a) |
4,299,668 |
|||||||||
206,297 |
Turning Point Therapeutics, Inc. (a) |
6,073,384 |
|||||||||
131,840 |
Twist Bioscience Corp. (a) |
3,802,266 |
|||||||||
88,242 |
Ultragenyx Pharmaceutical, Inc. (a) |
6,237,827 |
|||||||||
203,821 |
uniQure N.V. ADR (Netherlands) (a) |
3,045,086 |
|||||||||
33,375 |
United Therapeutics Corp. (a) |
5,926,065 |
|||||||||
186,055 |
Vanda Pharmaceuticals, Inc. (a) |
1,845,666 |
|||||||||
242,653 |
Veracyte, Inc. (a) |
4,967,107 |
|||||||||
134,906 |
Vericel Corp. (a) |
3,844,821 |
|||||||||
24,348 |
Vertex Pharmaceuticals, Inc. (a) |
6,652,361 |
|||||||||
101,172 |
Xencor, Inc. (a) |
2,527,277 |
|||||||||
365,806,571 |
|||||||||||
Merchant Wholesalers, Nondurable Goods - 3.2% |
|||||||||||
72,828 |
Akero Therapeutics, Inc. (a) |
763,966 |
|||||||||
417,922 |
Atara Biotherapeutics, Inc. (a) |
2,657,984 |
|||||||||
146,168 |
C4 Therapeutics, Inc. (a) |
1,252,660 |
|||||||||
207,571 |
Global Blood Therapeutics, Inc. (a) |
6,372,429 |
|||||||||
75,829 |
Praxis Precision Medicines, Inc. (a) |
614,215 |
|||||||||
224,666 |
Protagonist Therapeutics Inc. (a) |
2,042,214 |
|||||||||
180,022 |
Relay Therapeutics, Inc. (a) |
4,289,924 |
|||||||||
130,854 |
Zentalis Pharmaceuticals, Inc. (a) |
3,470,248 |
|||||||||
21,463,640 |
|||||||||||
Miscellaneous Manufacturing - 2.4% |
|||||||||||
31,956 |
Anika Therapeutics, Inc. (a) |
688,013 |
|||||||||
1,792,896 |
Inovio Pharmaceuticals, Inc. (a)(b) |
4,894,606 |
|||||||||
229,682 |
MiMedx Group, Inc. (a) |
907,244 |
|||||||||
71,502 |
Mirati Therapeutics, Inc. (a) |
4,418,109 |
|||||||||
2,356,375 |
Ocugen, Inc. (a)(b) |
5,160,461 |
|||||||||
16,068,433 |
|||||||||||
Nursing and Residential Care Facilities - 0.3% |
|||||||||||
274,179 |
Radius Health, Inc. (a) |
1,875,384 |
|||||||||
Professional, Scientific, and Technical Services - 16.0% |
|||||||||||
77,468 |
4D Molecular Therapeutics, Inc. (a) |
922,644 |
|||||||||
1,260,301 |
Agenus, Inc. (a) |
2,331,557 |
|||||||||
246,069 |
Alector, Inc. (a) |
2,362,262 |
|||||||||
609,325 |
Allogene Therapeutics, Inc. (a) |
5,087,864 |
|||||||||
50,266 |
AnaptysBio, Inc. (a) |
1,176,224 |
|||||||||
397,444 |
Anavex Life Sciences Corp. (a) |
3,414,044 |
|||||||||
133,270 |
Apellis Pharmaceuticals, Inc. (a) |
5,801,243 |
|||||||||
138,174 |
Arrowhead Pharmaceuticals, Inc. (a) |
5,680,333 |
|||||||||
84,012 |
Avidity Biosciences, Inc. (a) |
1,201,372 |
|||||||||
48,580 |
Biohaven Pharmaceutical Holding Co. Ltd (a) |
4,331,879 |
|||||||||
59,546 |
Cullinan Oncology, Inc. (a)(b) |
584,146 |
|||||||||
153,975 |
Cytokinetics, Inc. (a) |
6,138,983 |
|||||||||
592,140 |
Dynavax Technologies Corp. (a) |
5,228,596 |
|||||||||
383,354 |
Editas Medicine, Inc. (a) |
5,075,607 |
Shares |
Fair Value |
||||||||||
Professional, Scientific, and Technical Services (continued) |
|||||||||||
92,009 |
Exact Sciences Corp. (a) |
$ |
5,065,095 |
||||||||
275,076 |
Exelixis, Inc. (a) |
6,145,198 |
|||||||||
172,080 |
Fate Therapeutics, Inc. (a) |
4,914,605 |
|||||||||
117,596 |
IDEAYA Biosciences, Inc. (a) |
1,127,746 |
|||||||||
102,548 |
Inhibrx, Inc. (a) |
1,625,386 |
|||||||||
352,337 |
Iveric Bio, Inc. (a) |
4,879,867 |
|||||||||
148,279 |
Kezar Life Sciences, Inc. (a) |
1,761,555 |
|||||||||
115,477 |
Kronos Bio, Inc. (a) |
546,206 |
|||||||||
192,307 |
Kura Oncology, Inc. (a) |
2,759,605 |
|||||||||
134,010 |
Kymera Therapeutics, Inc. (a) |
4,201,213 |
|||||||||
41,781 |
Moderna, Inc. (a) |
5,615,784 |
|||||||||
157,939 |
Nurix Therapeutics, Inc. (a) |
1,748,385 |
|||||||||
160,469 |
Revolution Medicines, Inc. (a) |
3,204,566 |
|||||||||
2,648,222 |
Sorrento Therapeutics Inc. (a)(b) |
3,998,815 |
|||||||||
62,689 |
Vaxcyte, Inc. (a) |
1,517,701 |
|||||||||
199,789 |
Verve Therapeutics, Inc. (a) |
2,980,852 |
|||||||||
264,385 |
Vir Biotechnology, Inc. (a) |
5,380,235 |
|||||||||
106,809,568 |
|||||||||||
Real Estate - 0.2% |
|||||||||||
1,143,798 |
VBI Vaccines Inc. ADR (Canada) (a) |
1,429,748 |
|||||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.8% |
|||||||||||
121,991 |
Cerevel Therapeutics Holdings, Inc. (a) |
3,571,896 |
|||||||||
239,923 |
DermTech, Inc. (a) |
2,051,342 |
|||||||||
5,623,238 |
|||||||||||
Specialty Trade Contractors - 0.6% |
|||||||||||
1,075,786 |
Vaxart, Inc. (a)(b) |
3,743,735 |
|||||||||
Support Activities for Transportation - 1.0% |
|||||||||||
438,021 |
Iovance Biotherapeutics, Inc. (a) |
6,636,018 |
|||||||||
TOTAL COMMON STOCKS (Cost $659,552,445) |
$ |
551,351,632 |
|||||||||
SHORT TERM INVESTMENTS - 63.8% |
|||||||||||
Money Market Funds - 63.8% |
|||||||||||
81,933,444 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
81,933,444 |
||||||||
37,270,000 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
37,270,000 |
|||||||||
305,767,931 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
305,767,931 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $424,971,375) |
$ |
424,971,375 |
|||||||||
TOTAL INVESTMENTS (Cost $1,084,523,820) - 146.5% (e) |
$ |
976,323,007 |
|||||||||
Liabilities in Excess of Other Assets - (46.5)% |
(309,871,609 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
666,451,398 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
61
Direxion Daily S&P Biotech Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
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 April 30, 2022.
(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 $859,916,319.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 S&P Biotechnology Select Industry Index |
0.5300% representing 1 month SOFR rate + spread |
J.P. Morgan |
7/21/2022 |
63,445 |
$ |
436,749,695 |
$ |
(72,883,608 |
) |
||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index |
0.4100% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
6,603 |
42,252,319 |
(4,376,441 |
) |
||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index |
0.7300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
120,686 |
837,500,696 |
(145,524,583 |
) |
||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index |
1.0400% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
48,100 |
307,688,129 |
(31,793,658 |
) |
||||||||||||||||||||
Total return of S&P Biotechnology Select Industry Index |
1.2300% representing 1 month SOFR rate + spread |
Barclays |
4/4/2023 |
13,500 |
100,883,748 |
(23,492,774 |
) |
||||||||||||||||||||
$ |
1,725,074,587 |
$ |
(278,071,064 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
62
Direxion Daily S&P Biotech Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 91.4% |
|||||||||||
Money Market Funds - 91.4% |
|||||||||||
29,487,453 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
29,487,453 |
||||||||
4,170,000 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
4,170,000 |
|||||||||
27,542,236 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
27,542,236 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $61,199,689) (b) |
$ |
61,199,689 |
|||||||||
TOTAL INVESTMENTS (Cost $61,199,689) - 91.4% |
$ |
61,199,689 |
|||||||||
Other Assets in Excess of Liabilities - 8.6% |
5,749,580 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
66,949,269 |
Percentages are stated as a percent of net assets.
The geographic location of all investments is United States unless otherwise indicated.
(a) Represents annualized seven-day yield at April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $41,317,652.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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) |
|||||||||||||||||||||
0.1300% representing 1 month SOFR rate + spread |
Total return of S&P Biotechnology Select Industry Index |
J.P. Morgan |
12/6/2022 |
8,458 |
$ |
59,862,515 |
$ |
11,314,358 |
|||||||||||||||||||
0.1300% representing 1 month SOFR rate + spread |
Total return of S&P Biotechnology Select Industry Index |
Citibank N.A. |
12/13/2022 |
6,249 |
45,079,919 |
9,219,972 |
|||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of S&P Biotechnology Select Industry Index |
Bank of America Merrill Lynch |
12/13/2022 |
3,712 |
33,284,600 |
12,018,254 |
|||||||||||||||||||||
0.5000% representing 1 month SOFR rate + spread |
Total return of S&P Biotechnology Select Industry Index |
UBS Securities LLC |
12/14/2022 |
13,081 |
75,068,850 |
(892 |
) |
||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of S&P Biotechnology Select Industry Index |
Barclays |
4/4/2023 |
3,500 |
26,152,140 |
6,066,060 |
|||||||||||||||||||||
$ |
239,448,024 |
$ |
38,617,752 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
63
Direxion Daily Semiconductor Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 80.2% |
|||||||||||
Computer and Electronic Product Manufacturing - 65.4% |
|||||||||||
2,888,059 |
Advanced Micro Devices, Inc. (a) |
$ |
246,986,806 |
||||||||
1,111,467 |
Analog Devices, Inc. |
171,588,275 |
|||||||||
3,304,434 |
ASE Technology Holding Co., Ltd. ADR (Taiwan) |
21,280,555 |
|||||||||
606,048 |
Broadcom, Inc. |
335,986,951 |
|||||||||
5,577,987 |
Intel Corp. |
243,144,453 |
|||||||||
659,001 |
Lattice Semiconductor Corp. (a) |
31,658,408 |
|||||||||
2,606,640 |
Marvell Technology, Inc. |
151,393,651 |
|||||||||
2,533,187 |
Microchip Technology, Inc. |
165,163,792 |
|||||||||
2,004,468 |
Micron Technology, Inc. |
136,684,673 |
|||||||||
267,679 |
MKS Instruments, Inc. |
30,510,052 |
|||||||||
210,646 |
Monolithic Power Systems, Inc. |
82,623,787 |
|||||||||
1,460,926 |
NVIDIA Corp. |
270,957,945 |
|||||||||
936,338 |
NXP Semiconductors N.V. ADR (Netherlands) |
160,020,164 |
|||||||||
2,066,833 |
ON Semiconductor Corp. (a) |
107,702,668 |
|||||||||
522,744 |
Qorvo, Inc. (a) |
59,477,812 |
|||||||||
1,546,821 |
Qualcomm, Inc. |
216,075,426 |
|||||||||
792,319 |
Skyworks Solutions, Inc. |
89,769,743 |
|||||||||
1,364,977 |
STMicroelectronics NV ADR (Netherlands) |
49,985,458 |
|||||||||
1,537,115 |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) |
142,844,097 |
|||||||||
785,162 |
Teradyne, Inc. |
82,803,185 |
|||||||||
1,047,148 |
Texas Instruments, Inc. |
178,276,947 |
|||||||||
3,744,023 |
United Microelectronics Corp. ADR (Taiwan) (b) |
29,802,423 |
|||||||||
215,171 |
Universal Display Corp. |
27,483,792 |
|||||||||
594,934 |
Wolfspeed, Inc. (a) |
54,561,397 |
|||||||||
3,086,782,460 |
|||||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.6% |
|||||||||||
188,575 |
Synaptics, Inc. (a) |
27,992,073 |
|||||||||
Machinery Manufacturing - 9.2% |
|||||||||||
1,327,642 |
Applied Materials, Inc. |
146,505,295 |
|||||||||
246,958 |
ASML Holding NV ADR (Netherlands) |
139,227,512 |
|||||||||
317,445 |
Lam Research Corp. |
147,853,183 |
|||||||||
433,585,990 |
|||||||||||
Merchant Wholesalers, Durable Goods - 5.0% |
|||||||||||
653,005 |
Entegris, Inc. |
72,738,227 |
|||||||||
510,474 |
KLA-Tencor Corp. |
162,973,929 |
|||||||||
235,712,156 |
|||||||||||
TOTAL COMMON STOCKS (Cost $4,246,717,913) |
$ |
3,784,072,679 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 51.2% |
|||||||||||
Money Market Funds - 51.2% |
|||||||||||
1,426,940,802 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
1,426,940,802 |
||||||||
182,563,590 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (c) |
182,563,590 |
|||||||||
86,044,808 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
86,044,808 |
|||||||||
720,910,285 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
720,910,285 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,416,459,485) |
$ |
2,416,459,485 |
|||||||||
TOTAL INVESTMENTS (Cost $6,663,177,398) - 131.4% (e) |
$ |
6,200,532,164 |
|||||||||
Liabilities in Excess of Other Assets - (31.4)% |
(1,481,241,941 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
4,719,290,223 |
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 April 30, 2022.
(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 $5,190,530,324.
ADR - American Depository Receipt
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
64
Direxion Daily Semiconductor Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 ICE Semiconductor Index |
1.1700% representing 1 month SOFR rate + spread |
BNP Paribas |
9/20/2022 |
1,552,684 |
$ |
1,209,258,052 |
$ |
(150,366,938 |
) |
||||||||||||||||||
Total return of ICE Semiconductor Index |
0.5800% representing 1 month SOFR rate + spread |
J.P. Morgan |
9/26/2022 |
1,381,844 |
1,052,162,880 |
(110,192,626 |
) |
||||||||||||||||||||
Total return of ICE Semiconductor Index |
1.1300% representing 1 month SOFR rate + spread |
Goldman Sachs |
11/16/2022 |
1,214,679 |
872,157,640 |
(45,767,141 |
) |
||||||||||||||||||||
Total return of ICE Semiconductor Index |
1.0600% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
2,632,442 |
1,947,578,199 |
(155,878,433 |
) |
||||||||||||||||||||
Total return of ICE Semiconductor Index |
0.7300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
2,766,724 |
2,179,137,839 |
(293,510,654 |
) |
||||||||||||||||||||
Total return of ICE Semiconductor Index |
0.8800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
2,067,476 |
1,602,519,500 |
(195,391,158 |
) |
||||||||||||||||||||
Total return of ICE Semiconductor Index |
1.0600% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
3,046,794 |
2,269,689,761 |
(194,831,488 |
) |
||||||||||||||||||||
Total return of ICE Semiconductor Index |
1.1700% representing 1 month SOFR rate + spread |
BNP Paribas |
4/19/2023 |
575,000 |
426,611,305 |
(35,667,420 |
) |
||||||||||||||||||||
$ |
11,559,115,176 |
$ |
(1,181,605,858 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
65
Direxion Daily Semiconductor Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 75.5% |
|||||||||||
Money Market Funds - 75.5% |
|||||||||||
120,040,241 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
120,040,241 |
||||||||
14,553,508 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (a) |
14,553,508 |
|||||||||
20,973,245 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
20,973,245 |
|||||||||
45,405,594 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
45,405,594 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $200,972,588) (b) |
$ |
200,972,588 |
|||||||||
TOTAL INVESTMENTS (Cost $200,972,588) - 75.5% |
$ |
200,972,588 |
|||||||||
Other Assets in Excess of Liabilities - 24.5% |
65,305,837 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
266,278,425 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $118,634,912.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.3200% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
BNP Paribas |
9/20/2022 |
22,941 |
$ |
17,865,074 |
$ |
2,118,581 |
|||||||||||||||||||
0.1300% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
J.P. Morgan |
9/26/2022 |
137,971 |
111,749,593 |
17,642,052 |
|||||||||||||||||||||
0.6100% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
Barclays |
12/7/2022 |
147,112 |
110,784,397 |
10,655,011 |
|||||||||||||||||||||
0.4300% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
Goldman Sachs |
12/9/2022 |
448,816 |
307,775,753 |
2,191,556 |
|||||||||||||||||||||
0.4300% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
Citibank N.A. |
12/13/2022 |
34,425 |
27,721,421 |
4,230,681 |
|||||||||||||||||||||
0.6800% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
Bank of America Merrill Lynch |
12/13/2022 |
101,065 |
79,893,861 |
11,017,376 |
|||||||||||||||||||||
0.6800% representing 1 month SOFR rate + spread |
Total return of ICE Semiconductor Index |
UBS Securities LLC |
12/13/2022 |
281,140 |
196,154,189 |
4,764,790 |
|||||||||||||||||||||
$ |
851,944,288 |
$ |
52,620,047 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
66
Direxion Daily Technology Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 71.1% |
|||||||||||
Administrative and Support Services - 4.0% |
|||||||||||
65,795 |
Automatic Data Processing, Inc. |
$ |
14,355,153 |
||||||||
18,291 |
Broadridge Financial Solutions, Inc. |
2,636,282 |
|||||||||
12,719 |
FleetCor Technologies, Inc. (a) |
3,173,645 |
|||||||||
12,882 |
Gartner, Inc. (a) |
3,742,865 |
|||||||||
259,773 |
Visa, Inc. Class A |
55,365,419 |
|||||||||
79,273,364 |
|||||||||||
Amusement, Gambling, and Recreation Industries - 0.3% |
|||||||||||
44,603 |
Global Payments, Inc. |
6,109,719 |
|||||||||
Computer and Electronic Product Manufacturing - 33.7% |
|||||||||||
256,074 |
Advanced Micro Devices, Inc. (a) |
21,899,448 |
|||||||||
93,817 |
Amphenol Corp. Class A |
6,707,916 |
|||||||||
82,287 |
Analog Devices, Inc. |
12,703,467 |
|||||||||
2,056,744 |
Apple, Inc. |
324,245,692 |
|||||||||
35,137 |
Arista Networks, Inc. (a) |
4,060,783 |
|||||||||
64,672 |
Broadcom, Inc. |
35,853,510 |
|||||||||
660,640 |
Cisco Systems, Inc. |
32,358,147 |
|||||||||
20,980 |
Enphase Energy, Inc. (a) |
3,386,172 |
|||||||||
21,257 |
Fortinet, Inc. (a) |
6,143,486 |
|||||||||
169,596 |
HP, Inc. |
6,212,301 |
|||||||||
637,833 |
Intel Corp. |
27,803,140 |
|||||||||
140,474 |
International Business Machines Corp. |
18,572,068 |
|||||||||
28,671 |
Keysight Technologies, Inc. (a) |
4,021,681 |
|||||||||
87,090 |
Microchip Technology, Inc. |
5,678,268 |
|||||||||
175,400 |
Micron Technology, Inc. |
11,960,526 |
|||||||||
6,787 |
Monolithic Power Systems, Inc. |
2,662,133 |
|||||||||
26,456 |
Motorola Solutions, Inc. |
5,653,383 |
|||||||||
34,817 |
NetApp, Inc. |
2,550,345 |
|||||||||
258,345 |
NVIDIA Corp. |
47,915,247 |
|||||||||
41,655 |
NXP Semiconductors N.V. ADR (Netherlands) |
7,118,840 |
|||||||||
16,985 |
Qorvo, Inc. (a) |
1,932,553 |
|||||||||
176,532 |
Qualcomm, Inc. |
24,659,755 |
|||||||||
15,382 |
Roper Technologies, Inc. (a) |
7,228,309 |
|||||||||
31,545 |
Seagate Technology Holdings PLC ADR (Ireland) |
2,587,952 |
|||||||||
25,690 |
Skyworks Solutions, Inc. |
2,910,677 |
|||||||||
8,227 |
SolarEdge Technologies, Inc. (a) |
2,060,123 |
|||||||||
25,533 |
Teradyne, Inc. |
2,692,710 |
|||||||||
144,663 |
Texas Instruments, Inc. |
24,628,876 |
|||||||||
39,318 |
Trimble, Inc. (a) |
2,622,511 |
|||||||||
49,015 |
Western Digital Corp. (a) |
2,601,226 |
|||||||||
8,314 |
Zebra Technologies Corp. Class A (a) |
3,073,353 |
|||||||||
664,504,598 |
|||||||||||
Credit Intermediation and Related Activities - 3.0% |
|||||||||||
95,383 |
Fidelity National Information Services, Inc. |
9,457,225 |
|||||||||
135,188 |
MasterCard, Inc. Class A |
49,124,615 |
|||||||||
58,581,840 |
Shares |
Fair Value |
||||||||||
Data Processing, Hosting and Related Services - 0.5% |
|||||||||||
93,076 |
Fiserv, Inc. (a) |
$ |
9,114,002 |
||||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.3% |
|||||||||||
5,595 |
IPG Photonics Corp. (a) |
528,616 |
|||||||||
50,998 |
TE Connectivity Ltd. ADR (Switzerland) |
6,363,530 |
|||||||||
6,892,146 |
|||||||||||
Machinery Manufacturing - 1.3% |
|||||||||||
139,094 |
Applied Materials, Inc. |
15,349,023 |
|||||||||
21,851 |
Lam Research Corp. |
10,177,322 |
|||||||||
25,526,345 |
|||||||||||
Merchant Wholesalers, Durable Goods - 0.4% |
|||||||||||
23,608 |
KLA-Tencor Corp. |
7,537,090 |
|||||||||
Nonmetallic Mineral Product Manufacturing - 0.2% |
|||||||||||
117,009 |
Corning, Inc. |
4,117,547 |
|||||||||
Professional, Scientific, and Technical Services - 3.9% |
|||||||||||
98,996 |
Accenture PLC Class A ADR (Ireland) |
29,734,439 |
|||||||||
21,259 |
CDW Corp. |
3,469,044 |
|||||||||
82,275 |
Cognizant Technology Solutions Corp. Class A |
6,656,047 |
|||||||||
38,295 |
DXC Technology Co. (a) |
1,099,066 |
|||||||||
8,885 |
EPAM Systems, Inc. (a) |
2,354,436 |
|||||||||
9,514 |
F5 Networks, Inc. (a) |
1,592,739 |
|||||||||
11,407 |
Jack Henry & Associates, Inc. |
2,162,539 |
|||||||||
50,936 |
Juniper Networks, Inc. |
1,605,503 |
|||||||||
50,293 |
Paychex, Inc. |
6,373,632 |
|||||||||
31,328 |
ServiceNow, Inc. (a) |
14,977,917 |
|||||||||
7,308 |
Teledyne Technologies, Inc. (a) |
3,153,767 |
|||||||||
15,137 |
VeriSign, Inc. (a) |
2,704,830 |
|||||||||
75,883,959 |
|||||||||||
Publishing Industries (except Internet) - 22.7% |
|||||||||||
73,886 |
Adobe Systems, Inc. (a) |
29,255,162 |
|||||||||
25,451 |
Akamai Technologies, Inc. (a) |
2,857,638 |
|||||||||
13,667 |
ANSYS, Inc. (a) |
3,767,855 |
|||||||||
34,456 |
Autodesk, Inc. (a) |
6,521,832 |
|||||||||
43,411 |
Cadence Design Systems, Inc. (a) |
6,548,549 |
|||||||||
21,427 |
Ceridian HCM Holding, Inc. (a) |
1,202,697 |
|||||||||
19,536 |
Citrix Systems, Inc. |
1,955,553 |
|||||||||
202,603 |
Hewlett Packard Enterprise Co. |
3,122,112 |
|||||||||
44,355 |
Intuit, Inc. |
18,573,656 |
|||||||||
1,126,548 |
Microsoft Corp. |
312,639,601 |
|||||||||
91,142 |
NortonLifeLock, Inc. |
2,282,196 |
|||||||||
246,794 |
Oracle Corp. |
18,114,680 |
|||||||||
7,542 |
Paycom Software, Inc. (a) |
2,122,847 |
|||||||||
16,487 |
PTC, Inc. (a) |
1,882,980 |
|||||||||
154,289 |
Salesforce.com, Inc. (a) |
27,145,607 |
|||||||||
24,034 |
Synopsys, Inc. (a) |
6,892,711 |
|||||||||
6,418 |
Tyler Technologies, Inc. (a) |
2,533,249 |
|||||||||
447,418,925 |
|||||||||||
Telecommunications - 0.8% |
|||||||||||
182,485 |
PayPal Holdings, Inc. (a) |
16,045,906 |
|||||||||
TOTAL COMMON STOCKS (Cost $1,317,803,388) |
$ |
1,401,005,441 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
67
Direxion Daily Technology Bull 3X Shares
Schedule of Investments, continued (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 50.5% |
|||||||||||
Money Market Funds - 50.5% |
|||||||||||
472,707,852 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
472,707,852 |
||||||||
318,113,580 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (b) |
318,113,580 |
|||||||||
31,330,000 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
31,330,000 |
|||||||||
171,713,496 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
171,713,496 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $993,864,928) |
$ |
993,864,928 |
|||||||||
TOTAL INVESTMENTS (Cost $2,311,668,316) - 121.6% (c) |
$ |
2,394,870,369 |
|||||||||
Liabilities in Excess of Other Assets - (21.6)% |
(424,916,612 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
1,969,953,757 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,018,071,402.
ADR - American Depository Receipt
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Technology Select Sector Index |
0.7300% representing 1 month SOFR rate + spread |
J.P. Morgan |
12/6/2022 |
235,348 |
$ |
339,639,527 |
$ |
(4,355,996 |
) |
||||||||||||||||||
Total return of Technology Select Sector Index |
0.8700% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
671,905 |
1,029,487,315 |
(72,467,307 |
) |
||||||||||||||||||||
Total return of Technology Select Sector Index |
1.0700% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
442,886 |
668,531,988 |
(37,758,418 |
) |
||||||||||||||||||||
Total return of Technology Select Sector Index |
0.9500% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
331,955 |
502,138,632 |
(29,464,634 |
) |
||||||||||||||||||||
Total return of Technology Select Sector Index |
0.8800% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
391,192 |
587,541,024 |
(30,497,671 |
) |
||||||||||||||||||||
Total return of Technology Select Sector Index |
0.9700% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
421,688 |
644,394,083 |
(43,993,665 |
) |
||||||||||||||||||||
Total return of Technology Select Sector Index |
0.7800% representing 1 month SOFR rate + spread |
Goldman Sachs |
12/21/2022 |
670,000 |
1,121,423,438 |
(166,568,453 |
) |
||||||||||||||||||||
$ |
4,893,156,007 |
$ |
(385,106,144 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
68
Direxion Daily Technology Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 85.1% |
|||||||||||
Money Market Funds - 85.1% |
|||||||||||
47,352,818 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
47,352,818 |
||||||||
4,490,000 |
Dreyfus Treasury Securities Cash Management Institutional Shares, 0.32% (a) |
4,490,000 |
|||||||||
22,232,088 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
22,232,088 |
|||||||||
28,264,453 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
28,264,453 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $102,339,359) (b) |
$ |
102,339,359 |
|||||||||
TOTAL INVESTMENTS (Cost $102,339,359) - 85.1% |
$ |
102,339,359 |
|||||||||
Other Assets in Excess of Liabilities - 14.9% |
17,944,918 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
120,284,277 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $57,079,578.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation |
|||||||||||||||||||||
0.2800% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
J.P. Morgan |
12/6/2022 |
116,438 |
$ |
166,884,295 |
$ |
997,852 |
|||||||||||||||||||
0.5100% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
Barclays |
12/7/2022 |
68,725 |
100,315,816 |
2,410,757 |
|||||||||||||||||||||
0.3200% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
BNP Paribas |
12/7/2022 |
6,697 |
9,842,581 |
299,147 |
|||||||||||||||||||||
0.5300% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
Citibank N.A. |
12/13/2022 |
16,341 |
25,859,615 |
2,573,116 |
|||||||||||||||||||||
0.6800% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
Bank of America Merrill Lynch |
12/13/2022 |
252 |
434,589 |
75,306 |
|||||||||||||||||||||
0.6700% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
UBS Securities LLC |
12/14/2022 |
29,862 |
49,016,708 |
6,472,678 |
|||||||||||||||||||||
0.4800% representing 1 month SOFR rate + spread |
Total return of Technology Select Sector Index |
Goldman Sachs |
5/12/2023 |
15,000 |
22,439,034 |
1,072,615 |
|||||||||||||||||||||
$ |
374,792,638 |
$ |
13,901,471 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
69
Direxion Daily Transportation Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 44.6% |
|||||||||||
Air Transportation - 4.1% |
|||||||||||
8,179 |
Alaska Air Group, Inc. (a) |
$ |
444,855 |
||||||||
8,179 |
American Airlines Group, Inc. (a) |
153,520 |
|||||||||
8,179 |
Delta Air Lines, Inc. (a) |
351,942 |
|||||||||
8,179 |
JetBlue Airways Corp. (a) |
90,051 |
|||||||||
8,179 |
Southwest Airlines Co. (a) |
382,123 |
|||||||||
8,179 |
United Continental Holdings, Inc. (a)(b) |
413,039 |
|||||||||
1,835,530 |
|||||||||||
Couriers and Messengers - 7.0% |
|||||||||||
8,179 |
FedEx Corp. |
1,625,495 |
|||||||||
8,179 |
United Parcel Service, Inc. Class B |
1,472,056 |
|||||||||
3,097,551 |
|||||||||||
Rail Transportation - 9.7% |
|||||||||||
8,179 |
CSX Corp. |
280,867 |
|||||||||
8,179 |
Norfolk Southern Corp. |
2,109,200 |
|||||||||
8,179 |
Union Pacific Corp. |
1,916,258 |
|||||||||
4,306,325 |
|||||||||||
Rental and Leasing Services - 6.2% |
|||||||||||
8,179 |
Avis Budget Group, Inc. (a) |
2,189,273 |
|||||||||
8,179 |
Ryder System, Inc. |
571,712 |
|||||||||
2,760,985 |
|||||||||||
Support Activities for Transportation - 8.5% |
|||||||||||
8,179 |
C.H. Robinson Worldwide, Inc. |
868,201 |
|||||||||
8,179 |
Expeditors International of Washington, Inc. |
810,293 |
|||||||||
8,179 |
J.B. Hunt Transport Services, Inc. |
1,397,382 |
|||||||||
8,179 |
Matson, Inc. |
703,558 |
|||||||||
3,779,434 |
|||||||||||
Truck Transportation - 5.1% |
|||||||||||
8,179 |
Old Dominion Freight Line, Inc. |
2,291,102 |
|||||||||
Warehousing and Storage - 2.8% |
|||||||||||
8,179 |
Landstar System, Inc. |
1,266,927 |
|||||||||
Water Transportation - 1.2% |
|||||||||||
8,179 |
Kirby Corp. (a) |
533,271 |
|||||||||
TOTAL COMMON STOCKS (Cost $21,698,570) |
$ |
19,871,125 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 79.1% |
|||||||||||
Money Market Funds - 79.1% |
|||||||||||
16,932,972 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c) |
$ |
16,932,972 |
||||||||
509,866 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
509,866 |
|||||||||
17,764,268 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
17,764,268 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $35,207,106) |
$ |
35,207,106 |
|||||||||
TOTAL INVESTMENTS (Cost $56,905,676) - 123.7% (d) |
$ |
55,078,231 |
|||||||||
Liabilities in Excess of Other Assets - (23.7)% |
(10,542,252 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
44,535,979 |
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 April 30, 2022.
(d) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $37,468,835.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
70
Direxion Daily Transportation Bull 3X Shares
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Dow Jones Transportation Average Index |
0.7800% representing 1 month SOFR rate + spread |
J.P. Morgan |
6/28/2022 |
848 |
$ |
13,845,355 |
$ |
(1,212,927 |
) |
||||||||||||||||||
Total return of Dow Jones Transportation Average Index |
0.9800% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/7/2022 |
2,838 |
46,337,814 |
(4,100,345 |
) |
||||||||||||||||||||
Total return of Dow Jones Transportation Average Index |
0.8300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
462 |
7,530,118 |
(651,517 |
) |
||||||||||||||||||||
Total return of Dow Jones Transportation Average Index |
0.7800% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
867 |
12,914,873 |
(30,222 |
) |
||||||||||||||||||||
Total return of Dow Jones Transportation Average Index |
0.9200% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
2,637 |
43,054,484 |
(3,798,210 |
) |
||||||||||||||||||||
$ |
123,682,644 |
$ |
(9,793,221 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
71
Direxion Daily Utilities Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
COMMON STOCKS - 86.7% |
|||||||||||
Utilities - 86.7% |
|||||||||||
12,230 |
AES Corp. |
$ |
249,737 |
||||||||
4,593 |
Alliant Energy Corp. |
270,114 |
|||||||||
4,726 |
Ameren Corp. |
439,045 |
|||||||||
9,239 |
American Electric Power Co., Inc. |
915,677 |
|||||||||
3,330 |
American Water Works Co., Inc. |
513,086 |
|||||||||
2,484 |
Atmos Energy Corp. |
281,686 |
|||||||||
11,537 |
CenterPoint Energy, Inc. |
353,148 |
|||||||||
5,316 |
CMS Energy Corp. |
365,156 |
|||||||||
6,490 |
Consolidated Edison, Inc. |
601,883 |
|||||||||
5,990 |
Constellation Energy Corp. |
354,668 |
|||||||||
14,859 |
Dominion Energy, Inc. |
1,213,089 |
|||||||||
3,555 |
DTE Energy Co. |
465,847 |
|||||||||
14,111 |
Duke Energy Corp. |
1,554,468 |
|||||||||
6,969 |
Edison International |
479,398 |
|||||||||
3,686 |
Entergy Corp. |
438,081 |
|||||||||
4,207 |
Evergy, Inc. |
285,445 |
|||||||||
6,307 |
Eversource Energy |
551,232 |
|||||||||
17,969 |
Exelon Corp. |
840,590 |
|||||||||
10,460 |
FirstEnergy Corp. |
453,023 |
|||||||||
35,995 |
NextEra Energy, Inc. |
2,556,365 |
|||||||||
7,204 |
NiSource, Inc. |
209,780 |
|||||||||
4,492 |
NRG Energy, Inc. |
161,263 |
|||||||||
2,070 |
Pinnacle West Capital Corp. |
147,384 |
|||||||||
13,772 |
PPL Corp. |
389,885 |
|||||||||
9,275 |
Public Service Enterprise Group, Inc. |
646,096 |
|||||||||
5,859 |
Sempra Energy |
945,408 |
|||||||||
19,441 |
Southern Co. |
1,426,775 |
|||||||||
5,786 |
WEC Energy Group, Inc. |
578,889 |
|||||||||
9,882 |
Xcel Energy, Inc. |
723,955 |
|||||||||
TOTAL COMMON STOCKS (Cost $18,632,171) |
$ |
18,411,173 |
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 17.5% |
|||||||||||
Money Market Funds - 17.5% |
|||||||||||
523,095 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (b) |
$ |
523,095 |
||||||||
18,364 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (b) |
18,364 |
|||||||||
3,172,325 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (b) |
3,172,325 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,713,784) |
$ |
3,713,784 |
|||||||||
TOTAL INVESTMENTS (Cost $22,345,955) - 104.2% (c) |
$ |
22,124,957 |
|||||||||
Liabilities in Excess of Other Assets - (4.2)% |
(883,683 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
21,241,274 |
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 April 30, 2022.
(c) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $19,041,126.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 Utilities Select Sector Index |
0.8300% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
10,386 |
$ |
7,013,440 |
$ |
499,744 |
|||||||||||||||||||
Total return of Utilities Select Sector Index |
0.7300% representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
43,663 |
30,388,159 |
1,336,115 |
|||||||||||||||||||||
Total return of Utilities Select Sector Index |
0.6800% representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
8,756 |
6,484,097 |
(165,889 |
) |
||||||||||||||||||||
$ |
43,885,696 |
$ |
1,669,970 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
72
Direxion Daily 7-10 Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 85.9% |
|||||||||||
156,180 |
iShares 7-10 Year Treasury Bond ETF (a)(b) |
$ |
16,056,866 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $17,752,280) |
$ |
16,056,866 |
|||||||||
SHORT TERM INVESTMENTS - 40.0% |
|||||||||||
Money Market Funds - 40.0% |
|||||||||||
4,518,063 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
4,518,063 |
||||||||
700,067 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (c) |
700,067 |
|||||||||
2,261,389 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
2,261,389 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $7,479,519) |
$ |
7,479,519 |
|||||||||
TOTAL INVESTMENTS (Cost $25,231,799) - 125.9% (e) |
$ |
23,536,385 |
|||||||||
Liabilities in Excess of Other Assets - (25.9)% |
(4,843,399 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
18,692,986 |
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 April 30, 2022.
(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 $18,253,745.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
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 iShares 7-10 Year Treasury Bond ETF |
0.5800% representing 1 month SOFR rate + spread |
Barclays |
12/7/2022 |
25,149 |
$ |
2,868,596 |
$ |
(277,763 |
) |
||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF |
(0.3100)% representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
73,118 |
7,966,574 |
(434,152 |
) |
||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF |
0.4300% representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
118,128 |
13,406,979 |
(1,236,170 |
) |
||||||||||||||||||||
Total return of iShares 7-10 Year Treasury Bond ETF |
0.4800% representing 1 month SOFR rate + spread |
J.P. Morgan |
2/10/2023 |
172,891 |
18,988,242 |
(1,192,475 |
) |
||||||||||||||||||||
$ |
43,230,391 |
$ |
(3,140,560 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
73
Direxion Daily 7-10 Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 97.9% |
|||||||||||
Money Market Funds - 97.9% |
|||||||||||
36,127,212 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
36,127,212 |
||||||||
850,066 |
Goldman Sachs Financial Square Government Fund Institutional Shares, 0.31% (a) |
850,066 |
|||||||||
23,768,832 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
23,768,832 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $60,746,110) (b) |
$ |
60,746,110 |
|||||||||
TOTAL INVESTMENTS (Cost $60,746,110) - 97.9% |
$ |
60,746,110 |
|||||||||
Other Assets in Excess of Liabilities - 2.1% |
1,280,640 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
62,026,750 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $39,453,196.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received/(Paid) at Termination |
Terms of Payments to be Paid at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
(0.6700)% representing 1 month SOFR rate + spread |
Total return of iShares 7-10 Year Treasury Bond ETF |
J.P. Morgan |
12/6/2022 |
692,868 |
$ |
73,453,458 |
$ |
2,187,717 |
|||||||||||||||||||
0.1900% representing 1 month SOFR rate + spread |
Total return of iShares 7-10 Year Treasury Bond ETF |
Barclays |
12/7/2022 |
41,114 |
4,699,828 |
458,346 |
|||||||||||||||||||||
(0.6100)% representing 1 month SOFR rate + spread |
Total return of iShares 7-10 Year Treasury Bond ETF |
BNP Paribas |
12/7/2022 |
369,069 |
39,179,522 |
1,191,472 |
|||||||||||||||||||||
(0.6100)% representing 1 month SOFR rate + spread |
Total return of iShares 7-10 Year Treasury Bond ETF |
BNP Paribas |
12/7/2022 |
343,827 |
35,291,237 |
(63,815 |
) |
||||||||||||||||||||
0.3800% representing 1 month SOFR rate + spread |
Total return of iShares 7-10 Year Treasury Bond ETF |
Bank of America Merrill Lynch |
12/13/2022 |
363,088 |
41,198,217 |
3,779,523 |
|||||||||||||||||||||
$ |
193,822,262 |
$ |
7,553,243 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
74
Direxion Daily 20+ Year Treasury Bull 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
INVESTMENT COMPANIES - 64.1% |
|||||||||||
1,747,968 |
iShares 20+ Year Treasury Bond ETF (a)(b) |
$ |
208,794,778 |
||||||||
TOTAL INVESTMENT COMPANIES (Cost $244,694,213) |
$ |
208,794,778 |
|||||||||
SHORT TERM INVESTMENTS - 75.9% |
|||||||||||
Money Market Funds - 75.9% |
|||||||||||
117,195,886 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (c)(d) |
$ |
117,195,886 |
||||||||
130,132,870 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (c) |
130,132,870 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $247,328,756) |
$ |
247,328,756 |
|||||||||
TOTAL INVESTMENTS (Cost $492,022,969) - 140.0% (e) |
$ |
456,123,534 |
|||||||||
Liabilities in Excess of Other Assets - (40.0)% |
(130,297,501 |
) |
|||||||||
TOTAL NET ASSETS - 100.0% |
$ |
325,826,033 |
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 April 30, 2022.
(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 $312,943,374.
Long Total Return Swap Contracts (Unaudited)
April 30, 2022
Terms of Payments to be Received at Termination |
Terms of Payments to be Paid/(Received) at Termination |
Counterparty |
Termination Date |
Contracts |
Notional Amount |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF |
0.5900 % representing 1 month SOFR rate + spread |
BNP Paribas |
12/7/2022 |
1,377,939 |
$ |
164,319,226 |
$ |
246,284 |
|||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF |
(0.1200)% representing 1 month SOFR rate + spread |
Credit Suisse International |
12/13/2022 |
370,508 |
54,849,766 |
(10,319,697 |
) |
||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF |
0.4600 % representing 1 month SOFR rate + spread |
Citibank N.A. |
12/13/2022 |
1,653,317 |
220,991,121 |
(23,238,443 |
) |
||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF |
0.5800 % representing 1 month SOFR rate + spread |
Bank of America Merrill Lynch |
12/13/2022 |
1,135,766 |
169,359,029 |
(33,138,439 |
) |
||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF |
0.2800 % representing 1 month SOFR rate + spread |
UBS Securities LLC |
12/14/2022 |
1,400,470 |
178,652,224 |
(11,188,841 |
) |
||||||||||||||||||||
Total return of iShares 20+ Year Treasury Bond ETF |
0.5800% representing 1 month SOFR rate + spread |
J.P. Morgan |
2/10/2023 |
497,293 |
70,744,902 |
(11,147,640 |
) |
||||||||||||||||||||
$ |
858,916,268 |
$ |
(88,786,776 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
75
Direxion Daily 20+ Year Treasury Bear 3X Shares
Schedule of Investments (Unaudited)
April 30, 2022
Shares |
Fair Value |
||||||||||
SHORT TERM INVESTMENTS - 97.8% |
|||||||||||
Money Market Funds - 97.8% |
|||||||||||
337,282,919 |
Dreyfus Government Cash Management Institutional Shares, 0.24% (a) |
$ |
337,282,919 |
||||||||
196,511,184 |
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.34% (a) |
196,511,184 |
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $533,794,103) (b) |
$ |
533,794,103 |
|||||||||
TOTAL INVESTMENTS (Cost $533,794,103) - 97.8% |
$ |
533,794,103 |
|||||||||
Other Assets in Excess of Liabilities - 2.2% |
12,094,966 |
||||||||||
TOTAL NET ASSETS - 100.0% |
$ |
545,889,069 |
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 April 30, 2022.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $326,520,204.
Short Total Return Swap Contracts (Unaudited)
April 30, 2022
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 |
|||||||||||||||||||||
0.0800 % representing 1 month SOFR rate + spread |
Total return of iShares 20+ Year Treasury Bond ETF |
J.P. Morgan |
6/28/2022 |
1,332,377 |
$ |
191,822,755 |
$ |
31,848,037 |
|||||||||||||||||||
(0.4000)% representing 1 month SOFR rate + spread |
Total return of iShares 20+ Year Treasury Bond ETF |
Credit Suisse International |
12/7/2022 |
771,702 |
117,476,195 |
24,443,305 |
|||||||||||||||||||||
0.3700 % representing 1 month SOFR rate + spread |
Total return of iShares 20+ Year Treasury Bond ETF |
BNP Paribas |
12/7/2022 |
3,799,534 |
456,948,489 |
3,142,565 |
|||||||||||||||||||||
0.1800 % representing 1 month SOFR rate + spread |
Total return of iShares 20+ Year Treasury Bond ETF |
Citibank N.A. |
12/13/2022 |
3,872,713 |
504,962,384 |
41,980,216 |
|||||||||||||||||||||
(0.2200)% representing 1 month SOFR rate + spread |
Total return of iShares 20+ Year Treasury Bond ETF |
Bank of America Merrill Lynch |
12/13/2022 |
1,455,876 |
175,797,027 |
1,882,579 |
|||||||||||||||||||||
0.0300 % representing 1 month SOFR rate + spread |
Total return of iShares 20+ Year Treasury Bond ETF |
UBS Securities LLC |
12/14/2022 |
2,478,118 |
302,896,124 |
6,888,791 |
|||||||||||||||||||||
$ |
1,749,902,974 |
$ |
110,185,493 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
76
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Mid Cap Bull 3X Shares |
Direxion Daily S&P 500® Bull 3X Shares |
Direxion Daily S&P 500® Bear 3X Shares |
Direxion Daily Small Cap Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
68,298,196 |
$ |
2,858,255,126 |
$ |
439,770,699 |
$ |
1,873,667,857 |
|||||||||||
Receivable for Fund shares sold |
— |
18,147,868 |
9,594,685 |
4,753 |
|||||||||||||||
Receivable for investments sold |
— |
62,032,334 |
— |
83,223,025 |
|||||||||||||||
Dividend and interest receivable |
5,387 |
141,682 |
93,786 |
170,908 |
|||||||||||||||
Due from broker for swap contracts |
61,558 |
463,171 |
— |
217,272 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
100,138,308 |
— |
|||||||||||||||
Prepaid expenses and other assets |
10,741 |
52,073 |
8,198 |
67,309 |
|||||||||||||||
Total Assets |
68,375,882 |
2,939,092,254 |
549,605,676 |
1,957,351,124 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
— |
— |
335,777,980 |
|||||||||||||||
Payable for Fund shares redeemed |
— |
4,462,162 |
9,152,752 |
15,841,878 |
|||||||||||||||
Unrealized depreciation on swap contracts |
9,512,134 |
345,561,532 |
— |
292,904,793 |
|||||||||||||||
Due to Adviser, net (Note 6) |
42,143 |
1,800,025 |
296,121 |
941,315 |
|||||||||||||||
Due to broker for swap contracts |
294,579 |
33,429,592 |
60,187,136 |
48,373,872 |
|||||||||||||||
Accrued expenses and other liabilities |
48,505 |
1,567,174 |
223,969 |
727,275 |
|||||||||||||||
Total Liabilities |
9,897,361 |
386,820,485 |
69,859,978 |
694,567,113 |
|||||||||||||||
Net Assets |
$ |
58,478,521 |
$ |
2,552,271,769 |
$ |
479,745,698 |
$ |
1,262,784,011 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
57,652,472 |
$ |
2,618,300,706 |
$ |
3,153,363,007 |
$ |
2,212,174,554 |
|||||||||||
Total distributable earnings (loss) |
826,049 |
(66,028,937 |
) |
(2,673,617,309 |
) |
(949,390,543 |
) |
||||||||||||
Net Assets |
$ |
58,478,521 |
$ |
2,552,271,769 |
$ |
479,745,698 |
$ |
1,262,784,011 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
58,478,521 |
$ |
2,552,271,769 |
$ |
479,745,698 |
$ |
1,262,784,011 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
1,300,132 |
28,600,002 |
21,276,918 |
27,900,002 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
44.98 |
$ |
89.24 |
$ |
22.55 |
$ |
45.26 |
|||||||||||
Cost of Investments |
$ |
67,665,480 |
$ |
2,893,629,779 |
$ |
439,770,699 |
$ |
1,998,295,895 |
* Securities loaned with values of $–, $–, $– and $319,291,207, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
77
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Small Cap Bear 3X Shares |
Direxion Daily FTSE China Bull 3X Shares |
Direxion Daily FTSE China Bear 3X Shares |
Direxion Daily FTSE Europe Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
335,414,399 |
$ |
450,658,079 |
$ |
123,253,601 |
$ |
32,041,836 |
|||||||||||
Receivable for Fund shares sold |
7,903 |
1,806,226 |
5,079,668 |
— |
|||||||||||||||
Dividend and interest receivable |
79,409 |
55,872 |
25,103 |
3,925 |
|||||||||||||||
Due from broker for swap contracts |
18,259,745 |
— |
30,288 |
1,027 |
|||||||||||||||
Unrealized appreciation on swap contracts |
104,069,379 |
7,725,504 |
— |
— |
|||||||||||||||
Prepaid expenses and other assets |
12,876 |
11,943 |
6,668 |
14,789 |
|||||||||||||||
Total Assets |
457,843,711 |
460,257,624 |
128,395,328 |
32,061,577 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
— |
— |
826,793 |
|||||||||||||||
Payable for Fund shares redeemed |
26,341,289 |
89,640 |
1,935,597 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
1,732 |
8,125,830 |
19,438,907 |
5,442,002 |
|||||||||||||||
Due to Adviser, net (Note 6) |
243,741 |
277,203 |
72,295 |
19,560 |
|||||||||||||||
Due to broker for swap contracts |
93,790,794 |
10,861 |
2,308,439 |
309,317 |
|||||||||||||||
Accrued expenses and other liabilities |
183,191 |
247,770 |
52,372 |
20,965 |
|||||||||||||||
Total Liabilities |
120,560,747 |
8,751,304 |
23,807,610 |
6,618,637 |
|||||||||||||||
Net Assets |
$ |
337,282,964 |
$ |
451,506,320 |
$ |
104,587,718 |
$ |
25,442,940 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
4,024,533,864 |
$ |
1,127,771,706 |
$ |
223,101,260 |
$ |
48,367,998 |
|||||||||||
Total distributable loss |
(3,687,250,900 |
) |
(676,265,386 |
) |
(118,513,542 |
) |
(22,925,058 |
) |
|||||||||||
Net Assets |
$ |
337,282,964 |
$ |
451,506,320 |
$ |
104,587,718 |
$ |
25,442,940 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
337,282,964 |
$ |
451,506,320 |
$ |
104,587,718 |
$ |
25,442,940 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
8,322,797 |
5,597,501 |
6,177,337 |
1,150,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
40.53 |
$ |
80.66 |
$ |
16.93 |
$ |
22.12 |
|||||||||||
Cost of Investments |
$ |
335,414,399 |
$ |
452,435,458 |
$ |
123,253,601 |
$ |
34,126,509 |
* Securities loaned with values of $–, $–, $– and $799,943, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
78
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
Direxion Daily MSCI Mexico Bull 3X Shares |
Direxion Daily MSCI South Korea Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
122,752,876 |
$ |
46,274,073 |
$ |
16,239,594 |
$ |
32,166,748 |
|||||||||||
Dividend and interest receivable |
26,019 |
8,745 |
3,193 |
4,351 |
|||||||||||||||
Due from broker for swap contracts |
100,430 |
— |
— |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
6,115,739 |
79,752 |
— |
|||||||||||||||
Prepaid expenses and other assets |
45,740 |
54,302 |
7,270 |
11,978 |
|||||||||||||||
Total Assets |
122,925,065 |
52,452,859 |
16,329,809 |
32,183,077 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
— |
4,077,900 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
25,005,226 |
2,029,946 |
576,386 |
7,104,409 |
|||||||||||||||
Due to Adviser, net (Note 6) |
71,332 |
22,392 |
7,977 |
17,253 |
|||||||||||||||
Due to broker for swap contracts |
1 |
6,505,785 |
176,121 |
7,851 |
|||||||||||||||
Accrued expenses and other liabilities |
115,364 |
97,355 |
21,103 |
32,582 |
|||||||||||||||
Total Liabilities |
25,191,923 |
8,655,478 |
4,859,487 |
7,162,095 |
|||||||||||||||
Net Assets |
$ |
97,733,142 |
$ |
43,797,381 |
$ |
11,470,322 |
$ |
25,020,982 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
337,737,321 |
$ |
378,040,657 |
$ |
7,301,581 |
$ |
56,664,931 |
|||||||||||
Total distributable earnings (loss) |
(240,004,179 |
) |
(334,243,276 |
) |
4,168,741 |
(31,643,949 |
) |
||||||||||||
Net Assets |
$ |
97,733,142 |
$ |
43,797,381 |
$ |
11,470,322 |
$ |
25,020,982 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
97,733,142 |
$ |
43,797,381 |
$ |
11,470,322 |
$ |
25,020,982 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
2,181,598 |
3,445,232 |
133,205 |
1,700,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
44.80 |
$ |
12.71 |
$ |
86.11 |
$ |
14.72 |
|||||||||||
Cost of Investments |
$ |
122,836,291 |
$ |
46,274,073 |
$ |
16,298,611 |
$ |
35,284,535 |
* Securities loaned with values of $–, $–, $3,895,084 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
79
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Aerospace & Defense Bull 3X Shares |
Direxion Daily Consumer Discretionary Bull 3X Shares |
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
222,499,474 |
$ |
38,615,708 |
$ |
147,940,522 |
$ |
29,770,366 |
|||||||||||
Receivable for Fund shares sold |
— |
2,502,643 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
59,410 |
4,322 |
11,311 |
5,193 |
|||||||||||||||
Due from broker for swap contracts |
259,178 |
16,739 |
— |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
4,907,435 |
— |
— |
417,213 |
|||||||||||||||
Prepaid expenses and other assets |
45,555 |
28,162 |
10,779 |
12,391 |
|||||||||||||||
Total Assets |
227,771,052 |
41,167,574 |
147,962,612 |
30,205,163 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
703,908 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
2,472,713 |
5,426,116 |
40,743,139 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
169,797 |
24,919 |
91,555 |
14,115 |
|||||||||||||||
Due to broker for swap contracts |
17,232,000 |
1,630,929 |
5,692,564 |
1 |
|||||||||||||||
Accrued expenses and other liabilities |
125,462 |
51,453 |
66,902 |
23,037 |
|||||||||||||||
Total Liabilities |
20,703,880 |
7,133,417 |
46,594,160 |
37,153 |
|||||||||||||||
Net Assets |
$ |
207,067,172 |
$ |
34,034,157 |
$ |
101,368,452 |
$ |
30,168,010 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
199,406,903 |
$ |
50,237,876 |
$ |
301,125,391 |
$ |
27,469,802 |
|||||||||||
Total distributable earnings (loss) |
7,660,269 |
(16,203,719 |
) |
(199,756,939 |
) |
2,698,208 |
|||||||||||||
Net Assets |
$ |
207,067,172 |
$ |
34,034,157 |
$ |
101,368,452 |
$ |
30,168,010 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
207,067,172 |
$ |
34,034,157 |
$ |
101,368,452 |
$ |
30,168,010 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
11,550,001 |
800,001 |
6,000,001 |
819,952 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
17.93 |
$ |
42.54 |
$ |
16.89 |
$ |
36.79 |
|||||||||||
Cost of Investments |
$ |
225,699,591 |
$ |
41,295,765 |
$ |
163,027,066 |
$ |
29,770,366 |
* Securities loaned with values of $1,192,289, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
80
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
Direxion Daily Healthcare Bull 3X Shares |
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
2,738,398,493 |
$ |
140,986,811 |
$ |
226,413,023 |
$ |
223,613,941 |
|||||||||||
Receivable for Fund shares sold |
— |
3,629,385 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
3,292,412 |
30,212 |
189,357 |
142,587 |
|||||||||||||||
Due from broker for swap contracts |
3,926,439 |
— |
109,949 |
79,656 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
26,390,308 |
— |
— |
|||||||||||||||
Prepaid expenses and other assets |
91,603 |
2,949 |
22,901 |
48,069 |
|||||||||||||||
Total Assets |
2,745,708,947 |
171,039,665 |
226,735,230 |
223,884,253 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
1,296,611 |
— |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
6,240,065 |
— |
258,858 |
|||||||||||||||
Unrealized depreciation on swap contracts |
517,324,855 |
— |
8,605,549 |
32,884,527 |
|||||||||||||||
Due to Adviser, net (Note 6) |
1,640,641 |
92,348 |
165,744 |
122,388 |
|||||||||||||||
Due to broker for swap contracts |
54,838,413 |
26,024,177 |
7,312,893 |
6,813,663 |
|||||||||||||||
Accrued expenses and other liabilities |
1,300,329 |
76,579 |
138,134 |
126,318 |
|||||||||||||||
Total Liabilities |
576,400,849 |
32,433,169 |
16,222,320 |
40,205,754 |
|||||||||||||||
Net Assets |
$ |
2,169,308,098 |
$ |
138,606,496 |
$ |
210,512,910 |
$ |
183,678,499 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
2,266,660,514 |
$ |
3,238,330,435 |
$ |
171,748,539 |
$ |
225,269,668 |
|||||||||||
Total distributable earnings (loss) |
(97,352,416 |
) |
(3,099,723,939 |
) |
38,764,371 |
(42,591,169 |
) |
||||||||||||
Net Assets |
$ |
2,169,308,098 |
$ |
138,606,496 |
$ |
210,512,910 |
$ |
182,678,499 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
2,169,308,098 |
$ |
138,606,496 |
$ |
210,512,910 |
$ |
182,678,499 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
26,049,289 |
5,553,350 |
1,900,008 |
5,050,000 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
83.28 |
$ |
24.96 |
$ |
110.80 |
$ |
36.17 |
|||||||||||
Cost of Investments |
$ |
2,723,724,902 |
$ |
140,986,811 |
$ |
231,196,149 |
$ |
245,986,895 |
* Securities loaned with values of $1,295,203, $–, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
81
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Industrials Bull 3X Shares |
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
Direxion Daily Real Estate Bull 3X Shares |
Direxion Daily Real Estate Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
30,903,347 |
$ |
15,967,318 |
$ |
117,382,259 |
$ |
29,927,192 |
|||||||||||
Cash |
— |
— |
985 |
— |
|||||||||||||||
Receivable for Fund shares sold |
— |
— |
379,455 |
1,898,145 |
|||||||||||||||
Receivable for investments sold |
272,547 |
201,765 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
12,150 |
8,118 |
30,040 |
6,006 |
|||||||||||||||
Due from broker for swap contracts |
15,649 |
1,465 |
881,247 |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
1,207,345 |
2,166,036 |
|||||||||||||||
Prepaid expenses and other assets |
47,818 |
21,054 |
89,594 |
6,842 |
|||||||||||||||
Total Assets |
31,251,511 |
16,199,720 |
119,970,925 |
34,004,221 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
195,450 |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
— |
45,272 |
— |
|||||||||||||||
Payable for investments purchased |
271,876 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
4,079,732 |
1,875,427 |
11,062,627 |
380,320 |
|||||||||||||||
Due to Adviser, net (Note 6) |
19,028 |
9,851 |
78,498 |
11,170 |
|||||||||||||||
Due to broker for swap contracts |
457,450 |
93,667 |
6,790,012 |
16,912 |
|||||||||||||||
Accrued expenses and other liabilities |
26,107 |
19,581 |
111,921 |
39,284 |
|||||||||||||||
Total Liabilities |
4,854,193 |
2,193,976 |
18,088,330 |
447,686 |
|||||||||||||||
Net Assets |
$ |
26,397,318 |
$ |
14,005,744 |
$ |
101,882,595 |
$ |
33,556,535 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
24,598,087 |
$ |
22,290,207 |
$ |
59,431,318 |
$ |
170,989,503 |
|||||||||||
Total distributable earnings (loss) |
1,799,231 |
(8,284,463 |
) |
42,451,277 |
(137,432,968 |
) |
|||||||||||||
Net Assets |
$ |
26,397,318 |
$ |
14,005,744 |
$ |
101,882,595 |
$ |
33,556,535 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
26,397,318 |
$ |
14,005,744 |
$ |
101,882,595 |
$ |
33,556,535 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
800,001 |
1,300,001 |
4,600,000 |
884,045 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
33.00 |
$ |
10.77 |
$ |
22.15 |
$ |
37.96 |
|||||||||||
Cost of Investments |
$ |
33,397,409 |
$ |
17,276,190 |
$ |
116,289,279 |
$ |
29,927,192 |
* Securities loaned with values of $–, $186,848, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
82
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Regional Banks Bull 3X Shares |
Direxion Daily Retail Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
345,548,608 |
$ |
91,789,844 |
$ |
86,486,673 |
$ |
42,902,054 |
|||||||||||
Receivable for Fund shares sold |
313,037 |
181,778 |
— |
— |
|||||||||||||||
Receivable for investments sold |
10,055,783 |
654,826 |
— |
— |
|||||||||||||||
Dividend and interest receivable |
112,991 |
24,544 |
18,766 |
9,869 |
|||||||||||||||
Due from broker for swap contracts |
1,109,035 |
23,342 |
148,939 |
1 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
— |
— |
8,842,021 |
|||||||||||||||
Prepaid expenses and other assets |
99,833 |
51,981 |
31,259 |
9,870 |
|||||||||||||||
Total Assets |
357,239,287 |
92,726,315 |
86,685,637 |
51,763,815 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
— |
2,657,554 |
— |
— |
|||||||||||||||
Payable for Fund shares redeemed |
46,024 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
66,912,130 |
13,826,599 |
16,727,810 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
215,201 |
47,601 |
51,273 |
27,037 |
|||||||||||||||
Due to broker for swap contracts |
9,963,704 |
14,158,012 |
1,298,630 |
4,657,623 |
|||||||||||||||
Accrued expenses and other liabilities |
126,395 |
35,340 |
46,063 |
25,110 |
|||||||||||||||
Total Liabilities |
77,263,454 |
30,725,106 |
18,123,776 |
4,709,770 |
|||||||||||||||
Net Assets |
$ |
279,975,833 |
$ |
62,001,209 |
$ |
68,561,861 |
$ |
47,054,045 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
314,252,890 |
$ |
139,998,441 |
$ |
78,526,824 |
$ |
152,170,651 |
|||||||||||
Total distributable loss |
(34,277,057 |
) |
(77,997,232 |
) |
(9,964,963 |
) |
(105,116,606 |
) |
|||||||||||
Net Assets |
$ |
279,975,833 |
$ |
62,001,209 |
$ |
68,561,861 |
$ |
47,054,045 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
279,975,833 |
$ |
62,001,209 |
$ |
68,561,861 |
$ |
47,054,045 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
9,298,590 |
4,171,105 |
1,664,370 |
4,406,828 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
30.11 |
$ |
14.86 |
$ |
41.19 |
$ |
10.68 |
|||||||||||
Cost of Investments |
$ |
381,093,397 |
$ |
102,012,974 |
$ |
95,656,240 |
$ |
42,902,054 |
* Securities loaned with values of $–, $2,738,232, $– and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
83
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily S&P Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
976,323,007 |
$ |
61,199,689 |
$ |
6,200,532,164 |
$ |
200,972,588 |
|||||||||||
Receivable for Fund shares sold |
13,967,604 |
7,865,403 |
3,484,962 |
50,410,266 |
|||||||||||||||
Receivable for investments sold |
27,769 |
— |
— |
— |
|||||||||||||||
Dividend and interest receivable |
149,278 |
15,905 |
208,625 |
50,853 |
|||||||||||||||
Due from broker for swap contracts |
41,561 |
4,698,533 |
— |
— |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
38,618,644 |
— |
52,620,047 |
|||||||||||||||
Prepaid expenses and other assets |
244,217 |
14,134 |
95,643 |
10,980 |
|||||||||||||||
Total Assets |
990,753,436 |
112,412,308 |
6,204,321,394 |
304,064,734 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
10,885,244 |
— |
29,961,087 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
28,402 |
8,113,961 |
25,161,065 |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
278,071,064 |
892 |
1,181,605,858 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
544,392 |
45,740 |
2,732,257 |
154,336 |
|||||||||||||||
Due to broker for swap contracts |
34,357,927 |
37,260,000 |
243,398,703 |
37,534,820 |
|||||||||||||||
Accrued expenses and other liabilities |
415,009 |
42,446 |
2,172,201 |
97,153 |
|||||||||||||||
Total Liabilities |
324,302,038 |
45,463,039 |
1,485,031,171 |
37,786,309 |
|||||||||||||||
Net Assets |
$ |
666,451,398 |
$ |
66,949,269 |
$ |
4,719,290,223 |
$ |
266,278,425 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
2,394,249,738 |
$ |
316,239,238 |
$ |
8,061,749,576 |
$ |
994,016,086 |
|||||||||||
Total distributable loss |
(1,727,798,340 |
) |
(249,289,969 |
) |
(3,342,459,353 |
) |
(727,737,661 |
) |
|||||||||||
Net Assets |
$ |
666,451,398 |
$ |
66,949,269 |
$ |
4,719,290,223 |
$ |
266,278,425 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
666,451,398 |
$ |
66,949,269 |
$ |
4,719,290,223 |
$ |
266,278,425 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
82,061,600 |
1,166,024 |
213,100,060 |
4,723,440 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
8.12 |
$ |
57.42 |
$ |
22.15 |
$ |
56.37 |
|||||||||||
Cost of Investments |
$ |
1,084,523,820 |
$ |
61,199,689 |
$ |
6,663,177,398 |
$ |
200,972,588 |
* Securities loaned with values of $10,058,360, $–, $27,788,360 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
84
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
Direxion Daily Transportation Bull 3X Shares |
Direxion Daily Utilities Bull 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
2,394,870,369 |
$ |
102,339,359 |
$ |
55,078,231 |
$ |
22,124,957 |
|||||||||||
Receivable for Fund shares sold |
— |
10,551,691 |
— |
— |
|||||||||||||||
Receivable for investments sold |
7,184,443 |
— |
— |
— |
|||||||||||||||
Dividend and interest receivable |
361,478 |
22,330 |
7,515 |
13,260 |
|||||||||||||||
Due from broker for swap contracts |
353,964 |
— |
7,913 |
184,497 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
13,901,471 |
— |
1,835,859 |
|||||||||||||||
Prepaid expenses and other assets |
72,490 |
9,493 |
34,215 |
32,260 |
|||||||||||||||
Total Assets |
2,402,842,744 |
126,824,344 |
55,127,874 |
24,190,833 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Payable for investments purchased |
7,228,448 |
— |
— |
— |
|||||||||||||||
Unrealized depreciation on swap contracts |
385,106,144 |
— |
9,793,221 |
165,889 |
|||||||||||||||
Due to Adviser, net (Note 6) |
1,473,059 |
63,944 |
28,516 |
14,292 |
|||||||||||||||
Due to broker for swap contracts |
37,762,527 |
6,425,132 |
740,725 |
2,748,896 |
|||||||||||||||
Accrued expenses and other liabilities |
1,318,809 |
50,991 |
29,433 |
20,482 |
|||||||||||||||
Total Liabilities |
432,888,987 |
6,540,067 |
10,591,895 |
2,949,559 |
|||||||||||||||
Net Assets |
$ |
1,969,953,757 |
$ |
120,284,277 |
$ |
44,535,979 |
$ |
21,241,274 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
2,219,714,196 |
$ |
422,809,194 |
$ |
35,261,726 |
$ |
12,442,350 |
|||||||||||
Total distributable earnings (loss) |
(249,760,439 |
) |
(302,524,917 |
) |
9,274,253 |
8,798,924 |
|||||||||||||
Net Assets |
$ |
1,969,953,757 |
$ |
120,284,277 |
$ |
44,535,979 |
$ |
21,241,274 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
1,969,953,757 |
$ |
120,284,277 |
$ |
44,535,979 |
$ |
21,241,274 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
47,150,000 |
2,850,260 |
1,250,001 |
550,001 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
41.78 |
$ |
42.20 |
$ |
35.63 |
$ |
38.62 |
|||||||||||
Cost of Investments |
$ |
2,311,668,316 |
$ |
102,339,359 |
$ |
56,905,676 |
$ |
22,345,955 |
* Securities loaned with values of $–, $–, $8,434 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
85
Statements of Assets and Liabilities (Unaudited)
April 30, 2022
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
||||||||||||||||
Assets: |
|||||||||||||||||||
Investments, at fair value (including securities loaned*) (Note 2) |
$ |
23,536,385 |
$ |
60,746,110 |
$ |
456,123,534 |
$ |
533,794,103 |
|||||||||||
Receivable for Fund shares sold |
— |
— |
— |
1,431 |
|||||||||||||||
Dividend and interest receivable |
1,657 |
10,110 |
47,384 |
93,461 |
|||||||||||||||
Due from broker for swap contracts |
1,849 |
20,240 |
654,728 |
172,254 |
|||||||||||||||
Unrealized appreciation on swap contracts |
— |
7,617,058 |
246,284 |
110,185,493 |
|||||||||||||||
Prepaid expenses and other assets |
51,843 |
52,446 |
9,286 |
36,165 |
|||||||||||||||
Total Assets |
23,591,734 |
68,445,964 |
457,081,216 |
644,282,907 |
|||||||||||||||
Liabilities: |
|||||||||||||||||||
Collateral for securities loaned (Note 2) |
1,606,765 |
— |
32,142,977 |
— |
|||||||||||||||
Payable for Fund shares redeemed |
— |
— |
— |
4,768,312 |
|||||||||||||||
Unrealized depreciation on swap contracts |
3,140,560 |
63,815 |
89,033,060 |
— |
|||||||||||||||
Due to Adviser, net (Note 6) |
10,717 |
31,999 |
216,037 |
305,785 |
|||||||||||||||
Due to broker for swap contracts |
59,206 |
6,240,000 |
9,707,987 |
93,130,001 |
|||||||||||||||
Accrued expenses and other liabilities |
81,500 |
83,400 |
155,122 |
189,740 |
|||||||||||||||
Total Liabilities |
4,898,748 |
6,419,214 |
131,255,183 |
98,393,838 |
|||||||||||||||
Net Assets |
$ |
18,692,986 |
$ |
62,026,750 |
$ |
325,826,033 |
$ |
545,889,069 |
|||||||||||
Net Assets Consist of: |
|||||||||||||||||||
Capital stock |
$ |
27,271,363 |
$ |
114,057,953 |
$ |
628,047,843 |
$ |
1,393,189,618 |
|||||||||||
Total distributable loss |
(8,578,377 |
) |
(52,031,203 |
) |
(302,221,810 |
) |
(847,300,549 |
) |
|||||||||||
Net Assets |
$ |
18,692,986 |
$ |
62,026,750 |
$ |
325,826,033 |
$ |
545,889,069 |
|||||||||||
Calculation of Net Asset Value Per Share: |
|||||||||||||||||||
Net assets |
$ |
18,692,986 |
$ |
62,026,750 |
$ |
325,826,033 |
$ |
545,889,069 |
|||||||||||
Shares outstanding (unlimited shares of beneficial interest authorized, par value) |
500,000 |
5,400,000 |
22,700,000 |
5,724,261 |
|||||||||||||||
Net assets value, redemption price and offering price per share |
$ |
37.39 |
$ |
11.49 |
$ |
14.35 |
$ |
95.36 |
|||||||||||
Cost of Investments |
$ |
25,231,799 |
$ |
60,746,110 |
$ |
492,022,969 |
$ |
533,794,103 |
* Securities loaned with values of $1,565,796, $–, $63,672,464 and $–, respectively. See Note 2.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
86
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Mid Cap Bull 3X Shares |
Direxion Daily S&P 500® Bull 3X Shares |
Direxion Daily S&P 500® Bear 3X Shares |
Direxion Daily Small Cap Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
370,750 |
$ |
15,991,723 |
$ |
— |
$ |
5,657,561 |
|||||||||||
Interest income |
9,341 |
301,910 |
157,248 |
223,083 |
|||||||||||||||
Securities lending income |
— |
— |
— |
336,815 |
|||||||||||||||
Total investment income |
380,091 |
16,293,633 |
157,248 |
6,217,459 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
302,960 |
12,306,454 |
1,450,208 |
6,200,609 |
|||||||||||||||
Licensing fees |
32,316 |
1,312,688 |
154,689 |
496,049 |
|||||||||||||||
Fund servicing fees |
14,405 |
566,198 |
67,527 |
285,491 |
|||||||||||||||
Management service fees (Note 6) |
9,986 |
405,680 |
47,820 |
204,401 |
|||||||||||||||
Professional fees |
7,439 |
105,887 |
16,970 |
55,801 |
|||||||||||||||
Reports to shareholders |
5,708 |
233,585 |
28,115 |
117,764 |
|||||||||||||||
Interest expense |
4,036 |
107,256 |
7,703 |
29,163 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Trustees' fees and expenses |
1,103 |
45,250 |
5,468 |
22,823 |
|||||||||||||||
Insurance fees |
753 |
30,657 |
3,648 |
15,443 |
|||||||||||||||
Other |
981 |
39,316 |
4,233 |
19,839 |
|||||||||||||||
Total Expenses |
385,360 |
15,158,644 |
1,792,054 |
7,453,056 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
2,977 |
— |
52,581 |
226 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(551 |
) |
— |
— |
— |
||||||||||||||
Less: Investment advisory fees waived (Note 6) |
— |
(1,066,078 |
) |
— |
(46,150 |
) |
|||||||||||||
Net Expenses |
387,786 |
14,092,566 |
1,844,634 |
7,407,132 |
|||||||||||||||
Net investment income (loss) |
(7,695 |
) |
2,201,067 |
(1,687,386 |
) |
(1,189,673 |
) |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(998,807 |
) |
(77,604,305 |
) |
— |
(133,385,917 |
) |
||||||||||||
In-kind redemptions |
3,075,097 |
78,952,676 |
— |
26,941,825 |
|||||||||||||||
Swap contracts |
9,887,716 |
367,020,213 |
(89,325,430 |
) |
(359,089,321 |
) |
|||||||||||||
Net realized gain (loss) |
11,964,006 |
368,368,584 |
(89,325,430 |
) |
(465,533,413 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(8,698,258 |
) |
(296,069,578 |
) |
— |
(134,965,499 |
) |
||||||||||||
Swap contracts |
(32,828,811 |
) |
(1,133,988,233 |
) |
179,776,824 |
(428,418,055 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(41,527,069 |
) |
(1,430,057,811 |
) |
179,776,824 |
(563,383,554 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(29,563,063 |
) |
(1,061,689,227 |
) |
90,451,394 |
(1,028,916,967 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(29,570,758 |
) |
$ |
(1,059,488,160 |
) |
$ |
88,764,008 |
$ |
(1,030,106,640 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
87
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Small Cap Bear 3X Shares |
Direxion Daily FTSE China Bull 3X Shares |
Direxion Daily FTSE China Bear 3X Shares |
Direxion Daily FTSE Europe Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
— |
$ |
4,338,901 |
$ |
— |
$ |
261,184 |
|||||||||||
Interest income |
137,923 |
105,058 |
37,726 |
7,190 |
|||||||||||||||
Securities lending income |
— |
3,060 |
— |
194 |
|||||||||||||||
Total investment income |
137,923 |
4,447,019 |
37,726 |
268,568 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
1,453,071 |
1,723,302 |
264,299 |
145,330 |
|||||||||||||||
Licensing fees |
116,246 |
200,133 |
30,694 |
6,329 |
|||||||||||||||
Fund servicing fees |
67,521 |
79,715 |
12,728 |
7,163 |
|||||||||||||||
Management service fees (Note 6) |
47,909 |
56,809 |
8,716 |
4,790 |
|||||||||||||||
Reports to shareholders |
27,866 |
32,753 |
5,150 |
2,736 |
|||||||||||||||
Professional fees |
16,952 |
19,094 |
7,153 |
6,147 |
|||||||||||||||
Interest expense |
9,737 |
2,985 |
436 |
1,598 |
|||||||||||||||
Trustees' fees and expenses |
5,403 |
6,345 |
1,002 |
529 |
|||||||||||||||
Exchange listing fees |
5,392 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Insurance fees |
3,643 |
4,294 |
666 |
361 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Excise tax |
— |
— |
— |
5,042 |
|||||||||||||||
Other |
4,283 |
5,233 |
752 |
480 |
|||||||||||||||
Total Expenses |
1,760,999 |
2,136,336 |
337,269 |
186,178 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
3,683 |
49,499 |
416 |
4,734 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
— |
— |
(2,471 |
) |
(187 |
) |
|||||||||||||
Net Expenses |
1,764,682 |
2,185,834 |
335,214 |
190,725 |
|||||||||||||||
Net investment income (loss) |
(1,626,759 |
) |
2,261,185 |
(297,488 |
) |
77,843 |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
— |
(125,313,073 |
) |
— |
3 |
||||||||||||||
In-kind redemptions |
— |
13,707,951 |
— |
203,628 |
|||||||||||||||
Swap contracts |
11,706,916 |
(333,713,582 |
) |
8,646,321 |
(1,110,625 |
) |
|||||||||||||
Net realized gain (loss) |
11,706,916 |
(445,318,704 |
) |
8,646,321 |
(906,994 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
— |
2,826,739 |
— |
(2,845,015 |
) |
||||||||||||||
Swap contracts |
170,309,666 |
48,486,730 |
(11,768,309 |
) |
(15,021,390 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
170,309,666 |
51,313,469 |
(11,768,309 |
) |
(17,866,405 |
) |
|||||||||||||
Net realized and unrealized gain (loss) |
182,016,582 |
(394,005,235 |
) |
(3,121,988 |
) |
(18,773,399 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
180,389,823 |
$ |
(391,744,050 |
) |
$ |
(3,419,476 |
) |
$ |
(18,695,556 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
88
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
Direxion Daily MSCI Mexico Bull 3X Shares |
Direxion Daily MSCI South Korea Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
1,049,321 |
$ |
— |
$ |
93,706 |
$ |
383,523 |
|||||||||||
Interest income |
45,070 |
14,029 |
3,047 |
6,995 |
|||||||||||||||
Securities lending income |
296 |
— |
22,031 |
163 |
|||||||||||||||
Total investment income |
1,094,687 |
14,029 |
118,784 |
390,681 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
536,566 |
117,672 |
53,052 |
144,035 |
|||||||||||||||
Licensing fees |
— |
33,472 |
— |
— |
|||||||||||||||
Fund servicing fees |
25,146 |
5,938 |
2,933 |
7,104 |
|||||||||||||||
Management service fees (Note 6) |
17,687 |
3,880 |
1,749 |
4,748 |
|||||||||||||||
Reports to shareholders |
10,151 |
2,288 |
1,007 |
2,700 |
|||||||||||||||
Professional fees |
9,356 |
5,935 |
5,394 |
6,136 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Trustees' fees and expenses |
1,964 |
445 |
195 |
521 |
|||||||||||||||
Insurance fees |
1,335 |
296 |
132 |
357 |
|||||||||||||||
Interest expense |
500 |
852 |
599 |
56 |
|||||||||||||||
Other |
67,558 |
352 |
3,004 |
15,832 |
|||||||||||||||
Total Expenses |
675,936 |
176,803 |
73,738 |
187,162 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
5,303 |
— |
— |
— |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(1,088 |
) |
(26,900 |
) |
(5,939 |
) |
(4,663 |
) |
|||||||||||
Net Expenses |
680,151 |
149,903 |
67,799 |
182,499 |
|||||||||||||||
Net investment income (loss) |
414,536 |
(135,874 |
) |
50,985 |
208,182 |
||||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(10,078,955 |
) |
— |
— |
(451,056 |
) |
|||||||||||||
In-kind redemptions |
(327,034 |
) |
— |
(131,864 |
) |
(130,976 |
) |
||||||||||||
Swap contracts |
(58,604,369 |
) |
8,949,217 |
6,230,077 |
(14,330,724 |
) |
|||||||||||||
Net realized gain (loss) |
(69,010,358 |
) |
8,949,217 |
6,098,213 |
(14,912,756 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
6,436,751 |
— |
(55,848 |
) |
(2,226,143 |
) |
|||||||||||||
Swap contracts |
(15,189,465 |
) |
2,022,847 |
(5,688,445 |
) |
(2,275,070 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(8,752,714 |
) |
2,022,847 |
(5,744,293 |
) |
(4,501,213 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(77,763,072 |
) |
10,972,064 |
353,920 |
(19,413,969 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(77,348,536 |
) |
$ |
10,836,190 |
$ |
404,905 |
$ |
(19,205,787 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
89
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Aerospace & Defense Bull 3X Shares |
Direxion Daily Consumer Discretionary Bull 3X Shares |
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
1,059,839 |
$ |
124,635 |
$ |
125,270 |
$ |
— |
|||||||||||
Interest income |
35,768 |
4,425 |
19,038 |
7,080 |
|||||||||||||||
Securities lending income |
2,302 |
2 |
235 |
— |
|||||||||||||||
Total investment income |
1,097,909 |
129,062 |
144,543 |
7,080 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
1,037,761 |
188,660 |
550,861 |
45,453 |
|||||||||||||||
Licensing fees |
110,694 |
25,082 |
58,759 |
6,096 |
|||||||||||||||
Fund servicing fees |
48,247 |
9,143 |
25,816 |
2,616 |
|||||||||||||||
Management service fees (Note 6) |
34,211 |
6,218 |
18,159 |
1,500 |
|||||||||||||||
Reports to shareholders |
19,795 |
3,527 |
10,556 |
922 |
|||||||||||||||
Interest expense |
19,000 |
1,779 |
2,781 |
49 |
|||||||||||||||
Professional fees |
13,485 |
6,499 |
9,476 |
5,342 |
|||||||||||||||
Trustees' fees and expenses |
3,839 |
681 |
2,053 |
181 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Insurance fees |
2,590 |
468 |
1,372 |
116 |
|||||||||||||||
Other |
3,221 |
632 |
1,814 |
108 |
|||||||||||||||
Total Expenses |
1,298,516 |
248,362 |
687,320 |
68,056 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
2,772 |
— |
13,225 |
— |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
— |
(7,613 |
) |
(7 |
) |
(10,433 |
) |
||||||||||||
Net Expenses |
1,301,287 |
240,749 |
700,538 |
57,623 |
|||||||||||||||
Net investment loss |
(203,378 |
) |
(111,687 |
) |
(555,995 |
) |
(50,543 |
) |
|||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(12,945,170 |
) |
(3,815,864 |
) |
(40,623,925 |
) |
— |
||||||||||||
In-kind redemptions |
15,522,772 |
772,848 |
4,293,735 |
— |
|||||||||||||||
Swap contracts |
13,894,905 |
(4,456,170 |
) |
(103,338,366 |
) |
11,628,112 |
|||||||||||||
Net realized gain (loss) |
16,472,507 |
(7,499,186 |
) |
(139,668,556 |
) |
11,628,112 |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(5,344,164 |
) |
(5,346,336 |
) |
(17,945,541 |
) |
— |
||||||||||||
Swap contracts |
(26,584,434 |
) |
(22,191,093 |
) |
(61,727,192 |
) |
855,175 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(31,928,598 |
) |
(27,537,429 |
) |
(79,672,733 |
) |
855,175 |
||||||||||||
Net realized and unrealized gain (loss) |
(15,456,091 |
) |
(35,036,615 |
) |
(219,341,289 |
) |
12,483,287 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(15,659,469 |
) |
$ |
(35,148,302 |
) |
$ |
(219,897,284 |
) |
$ |
12,432,744 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
90
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
Direxion Daily Healthcare Bull 3X Shares |
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
22,969,048 |
$ |
— |
$ |
1,213,188 |
$ |
982,803 |
|||||||||||
(net of foreign withholding tax of $4,003, $—, $— and $—, respectively) |
|||||||||||||||||||
Interest income |
304,633 |
48,891 |
34,039 |
41,402 |
|||||||||||||||
Securities lending income |
9,280 |
— |
— |
10 |
|||||||||||||||
Total investment income |
23,282,961 |
48,891 |
1,247,227 |
1,024,215 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
12,092,378 |
462,386 |
894,564 |
1,107,357 |
|||||||||||||||
Licensing fees |
967,390 |
36,991 |
95,420 |
118,118 |
|||||||||||||||
Fund servicing fees |
556,108 |
21,830 |
41,664 |
51,226 |
|||||||||||||||
Management service fees (Note 6) |
398,615 |
15,245 |
29,491 |
36,498 |
|||||||||||||||
Reports to shareholders |
229,197 |
8,896 |
17,071 |
20,538 |
|||||||||||||||
Interest expense |
147,110 |
1,002 |
6,507 |
23,619 |
|||||||||||||||
Professional fees |
104,061 |
8,777 |
12,310 |
13,988 |
|||||||||||||||
Trustees' fees and expenses |
44,386 |
1,727 |
3,311 |
3,951 |
|||||||||||||||
Insurance fees |
30,103 |
1,160 |
2,233 |
2,742 |
|||||||||||||||
Exchange listing fees |
3,595 |
3,595 |
2,697 |
2,697 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Other |
37,759 |
1,361 |
2,881 |
3,787 |
|||||||||||||||
Total Expenses |
14,613,678 |
565,946 |
1,111,125 |
1,387,497 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
20,746 |
28,498 |
— |
|||||||||||||||
Less: Investment advisory fees waived (Note 6) |
(1,024,511 |
) |
— |
— |
— |
||||||||||||||
Net Expenses |
13,589,167 |
586,691 |
1,139,622 |
1,387,496 |
|||||||||||||||
Net investment income (loss) |
9,693,794 |
(537,800 |
) |
107,605 |
(363,281 |
) |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(134,772,230 |
) |
— |
(1,835,582 |
) |
(22,616,539 |
) |
||||||||||||
In-kind redemptions |
134,905,386 |
— |
14,102,109 |
15,621,558 |
|||||||||||||||
Swap contracts |
564,584,284 |
(3,196,462 |
) |
44,834,500 |
37,215,340 |
||||||||||||||
Net realized gain (loss) |
564,717,440 |
(3,196,462 |
) |
57,101,027 |
30,220,359 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(382,359,300 |
) |
— |
(18,822,323 |
) |
(30,183,413 |
) |
||||||||||||
Swap contracts |
(1,656,704,407 |
) |
55,865,420 |
(67,531,341 |
) |
(161,407,591 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(2,039,063,707 |
) |
55,865,420 |
(86,353,664 |
) |
(191,591,004 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(1,474,346,267 |
) |
52,668,958 |
(29,252,637 |
) |
(161,370,645 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(1,464,652,473 |
) |
$ |
52,131,158 |
$ |
(29,145,032 |
) |
$ |
(161,733,926 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
91
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Industrials Bull 3X Shares |
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
Direxion Daily Real Estate Bull 3X Shares |
Direxion Daily Real Estate Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
209,652 |
$ |
90,729 |
$ |
1,151,925 |
$ |
— |
|||||||||||
Interest income |
6,356 |
3,513 |
21,472 |
9,491 |
|||||||||||||||
Securities lending income |
2 |
17,559 |
167 |
— |
|||||||||||||||
Total investment income |
216,010 |
111,801 |
1,173,564 |
9,491 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
163,642 |
85,612 |
470,256 |
86,058 |
|||||||||||||||
Licensing fees |
17,454 |
10,339 |
55,685 |
27,375 |
|||||||||||||||
Fund servicing fees |
7,997 |
4,430 |
22,118 |
4,477 |
|||||||||||||||
Professional fees |
6,295 |
5,661 |
8,818 |
5,673 |
|||||||||||||||
Management service fees (Note 6) |
5,394 |
2,822 |
15,502 |
2,838 |
|||||||||||||||
Reports to shareholders |
3,049 |
1,629 |
8,904 |
1,676 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Interest expense |
2,011 |
294 |
8,994 |
145 |
|||||||||||||||
Trustees' fees and expenses |
587 |
316 |
1,723 |
326 |
|||||||||||||||
Insurance fees |
406 |
213 |
1,172 |
217 |
|||||||||||||||
Other |
525 |
281 |
1,527 |
238 |
|||||||||||||||
Total Expenses |
213,033 |
117,270 |
600,372 |
134,696 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
44 |
— |
7,917 |
— |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(3,786 |
) |
(8,534 |
) |
(3,638 |
) |
(25,545 |
) |
|||||||||||
Net Expenses |
209,291 |
108,736 |
604,651 |
109,151 |
|||||||||||||||
Net investment income (loss) |
6,719 |
3,065 |
568,913 |
(99,660 |
) |
||||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(54,058 |
) |
(2,538,282 |
) |
(3,069,429 |
) |
— |
||||||||||||
In-kind redemptions |
57,619 |
2,746,291 |
5,421,101 |
— |
|||||||||||||||
Swap contracts |
9,274,042 |
(2,798,986 |
) |
54,938,827 |
(7,639,467 |
) |
|||||||||||||
Net realized gain (loss) |
9,277,603 |
(2,590,977 |
) |
57,290,499 |
(7,639,467 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(2,018,872 |
) |
(1,666,422 |
) |
(6,396,049 |
) |
— |
||||||||||||
Swap contracts |
(18,447,747 |
) |
(2,228,640 |
) |
(65,038,738 |
) |
6,892,750 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(20,466,619 |
) |
(3,895,062 |
) |
(71,434,787 |
) |
6,892,750 |
||||||||||||
Net realized and unrealized (loss) |
(11,189,016 |
) |
(6,486,039 |
) |
(14,144,288 |
) |
(746,717 |
) |
|||||||||||
Net decrease in net assets resulting from operations |
$ |
(11,182,297 |
) |
$ |
(6,482,974 |
) |
$ |
(13,575,375 |
) |
$ |
(846,377 |
) |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
92
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Regional Banks Bull 3X Shares |
Direxion Daily Retail Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
3,159,160 |
$ |
775,325 |
$ |
327,691 |
$ |
— |
|||||||||||
(net of foreign withholding tax of $10,821, $—, $881 and $—, respectively) |
|||||||||||||||||||
Interest income |
45,348 |
14,497 |
13,840 |
17,120 |
|||||||||||||||
Securities lending income |
2 |
39,119 |
9 |
— |
|||||||||||||||
Total investment income |
3,204,510 |
828,941 |
341,540 |
17,120 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
1,568,322 |
409,244 |
373,531 |
122,254 |
|||||||||||||||
Licensing fees |
84,041 |
21,825 |
41,746 |
13,441 |
|||||||||||||||
Fund servicing fees |
72,583 |
19,246 |
17,633 |
6,165 |
|||||||||||||||
Management service fees (Note 6) |
51,699 |
13,489 |
12,312 |
4,032 |
|||||||||||||||
Reports to shareholders |
29,785 |
7,606 |
7,032 |
2,408 |
|||||||||||||||
Interest expense |
28,598 |
5,346 |
6,332 |
230 |
|||||||||||||||
Professional fees |
17,821 |
8,297 |
8,012 |
5,978 |
|||||||||||||||
Trustees' fees and expenses |
5,771 |
1,465 |
1,360 |
470 |
|||||||||||||||
Insurance fees |
3,907 |
1,014 |
927 |
309 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Other |
4,836 |
1,360 |
1,209 |
336 |
|||||||||||||||
Total Expenses |
1,873,036 |
494,565 |
475,767 |
161,296 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
1,603 |
25,970 |
4,110 |
— |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
— |
— |
(405 |
) |
(6,211 |
) |
|||||||||||||
Net Expenses |
1,874,638 |
520,534 |
479,472 |
155,085 |
|||||||||||||||
Net investment income (loss) |
1,329,872 |
308,407 |
(137,932 |
) |
(137,965 |
) |
|||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(21,699,281 |
) |
(20,068,837 |
) |
(2,169,690 |
) |
— |
||||||||||||
In-kind redemptions |
18,593,878 |
4,673,698 |
5,615,986 |
— |
|||||||||||||||
Swap contracts |
88,598,484 |
(35,300,128 |
) |
19,312,020 |
(5,108,263 |
) |
|||||||||||||
Net realized gain (loss) |
85,493,081 |
(50,695,267 |
) |
22,758,316 |
(5,108,263 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(44,507,303 |
) |
(10,551,478 |
) |
(12,519,120 |
) |
— |
||||||||||||
Swap contracts |
(204,897,545 |
) |
(45,918,271 |
) |
(56,540,877 |
) |
16,696,523 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(249,404,848 |
) |
(56,469,749 |
) |
(69,059,997 |
) |
16,696,523 |
||||||||||||
Net realized and unrealized gain (loss) |
(163,911,767 |
) |
(107,165,016 |
) |
(46,301,681 |
) |
11,588,260 |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(162,581,895 |
) |
$ |
(106,856,609 |
) |
$ |
(46,439,613 |
) |
$ |
11,450,295 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
93
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily S&P Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
345,316 |
$ |
— |
$ |
18,861,932 |
$ |
— |
|||||||||||
(net of foreign withholding tax of $—, $—, $471,243 and $—, respectively) |
|||||||||||||||||||
Interest income |
117,449 |
24,309 |
655,138 |
84,675 |
|||||||||||||||
Securities lending income |
113,139 |
— |
194,905 |
— |
|||||||||||||||
Total investment income |
575,904 |
24,309 |
19,711,975 |
84,675 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
3,231,531 |
209,122 |
19,512,685 |
667,990 |
|||||||||||||||
Licensing fees |
344,697 |
22,306 |
849,777 |
29,091 |
|||||||||||||||
Fund servicing fees |
149,100 |
10,175 |
898,161 |
31,382 |
|||||||||||||||
Management service fees (Note 6) |
106,529 |
6,896 |
643,257 |
22,027 |
|||||||||||||||
Reports to shareholders |
61,600 |
4,089 |
373,121 |
12,958 |
|||||||||||||||
Professional fees |
31,478 |
6,695 |
165,195 |
10,494 |
|||||||||||||||
Trustees' fees and expenses |
11,950 |
797 |
72,459 |
2,519 |
|||||||||||||||
Insurance fees |
8,055 |
527 |
48,672 |
1,681 |
|||||||||||||||
Interest expense |
7,286 |
4,551 |
152,640 |
2,904 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Other |
10,116 |
573 |
61,105 |
1,870 |
|||||||||||||||
Total Expenses |
3,968,015 |
271,404 |
22,782,745 |
788,589 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
1,384 |
206 |
— |
17,668 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
— |
(2,171 |
) |
— |
— |
||||||||||||||
Less: Investment advisory fees waived (Note 6) |
— |
— |
(3,902,253 |
) |
— |
||||||||||||||
Net Expenses |
3,969,398 |
269,439 |
18,880,492 |
806,257 |
|||||||||||||||
Net investment income (loss) |
(3,393,494 |
) |
(245,130 |
) |
831,483 |
(721,582 |
) |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(384,040,261 |
) |
— |
(917,017,725 |
) |
— |
|||||||||||||
In-kind redemptions |
53,035,952 |
— |
404,394,023 |
— |
|||||||||||||||
Swap contracts |
(864,919,474 |
) |
41,145,278 |
(1,073,038,347 |
) |
(21,053,771 |
) |
||||||||||||
Net realized gain (loss) |
(1,195,923,783 |
) |
41,145,278 |
(1,585,662,049 |
) |
(21,053,771 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(37,808,133 |
) |
— |
(567,966,100 |
) |
— |
|||||||||||||
Swap contracts |
(252,590,109 |
) |
37,893,955 |
(1,734,691,636 |
) |
70,084,758 |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(290,398,242 |
) |
37,893,955 |
(2,302,657,736 |
) |
70,084,758 |
|||||||||||||
Net realized and unrealized gain (loss) |
(1,486,322,025 |
) |
79,039,233 |
(3,888,319,785 |
) |
49,030,987 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(1,489,715,519 |
) |
$ |
78,794,103 |
$ |
(3,887,488,302 |
) |
$ |
48,309,405 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
94
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
Direxion Daily Transportation Bull 3X Shares |
Direxion Daily Utilities Bull 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
8,394,142 |
$ |
— |
$ |
162,859 |
$ |
275,011 |
|||||||||||
(net of foreign withholding tax of $10,641, $—, $— and $—, respectively) |
|||||||||||||||||||
Interest income |
329,233 |
36,959 |
13,604 |
2,724 |
|||||||||||||||
Securities lending income |
8,358 |
— |
3 |
— |
|||||||||||||||
Total investment income |
8,731,733 |
36,959 |
176,466 |
277,735 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
11,038,929 |
279,360 |
237,173 |
99,624 |
|||||||||||||||
Licensing fees |
1,177,486 |
29,798 |
25,298 |
11,487 |
|||||||||||||||
Fund servicing fees |
506,929 |
13,463 |
11,378 |
5,068 |
|||||||||||||||
Management service fees (Note 6) |
363,860 |
9,214 |
7,818 |
3,284 |
|||||||||||||||
Reports to shareholders |
207,663 |
5,524 |
4,441 |
1,858 |
|||||||||||||||
Interest expense |
145,683 |
1,184 |
2,745 |
964 |
|||||||||||||||
Professional fees |
95,178 |
7,290 |
6,898 |
5,774 |
|||||||||||||||
Trustees' fees and expenses |
40,149 |
1,079 |
857 |
358 |
|||||||||||||||
Insurance fees |
27,404 |
708 |
589 |
247 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Other |
36,369 |
726 |
776 |
321 |
|||||||||||||||
Total Expenses |
13,645,323 |
354,019 |
303,646 |
134,658 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
1,590 |
1,439 |
— |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
— |
(569 |
) |
(1,921 |
) |
(7,503 |
) |
||||||||||||
Less: Investment advisory fees waived (Note 6) |
(786,055 |
) |
— |
— |
— |
||||||||||||||
Net Expenses |
12,859,268 |
355,040 |
303,164 |
127,155 |
|||||||||||||||
Net investment income (loss) |
(4,127,535 |
) |
(318,081 |
) |
(126,698 |
) |
150,580 |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
(191,981,467 |
) |
— |
(19,234 |
) |
247 |
|||||||||||||
In-kind redemptions |
77,628,191 |
— |
2,240,277 |
1,378,296 |
|||||||||||||||
Swap contracts |
350,921,357 |
(23,343,914 |
) |
23,560,405 |
6,988,533 |
||||||||||||||
Net realized gain (loss) |
236,568,081 |
(23,343,914 |
) |
25,781,448 |
8,367,076 |
||||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(232,820,523 |
) |
— |
(3,149,958 |
) |
(717,109 |
) |
||||||||||||
Swap contracts |
(1,362,865,797 |
) |
36,332,324 |
(36,334,749 |
) |
(2,791,693 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(1,595,686,320 |
) |
36,332,324 |
(39,484,707 |
) |
(3,508,802 |
) |
||||||||||||
Net realized and unrealized gain (loss) |
(1,359,118,239 |
) |
12,988,410 |
(13,703,259 |
) |
4,858,274 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(1,363,245,774 |
) |
$ |
12,670,329 |
$ |
(13,829,957 |
) |
$ |
5,008,854 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
95
Statements of Operations (Unaudited)
For the Six Months Ended April 30, 2022
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
||||||||||||||||
Investment Income: |
|||||||||||||||||||
Dividend income |
$ |
87,897 |
$ |
— |
$ |
1,868,715 |
$ |
— |
|||||||||||
Interest income |
2,354 |
14,913 |
67,599 |
153,160 |
|||||||||||||||
Securities lending income |
3,497 |
— |
63,601 |
— |
|||||||||||||||
Total investment income |
93,748 |
14,913 |
1,999,915 |
153,160 |
|||||||||||||||
Expenses: |
|||||||||||||||||||
Investment advisory fees (Note 6) |
84,589 |
130,187 |
1,400,424 |
1,405,545 |
|||||||||||||||
Licensing fees |
10,798 |
10,798 |
61,047 |
61,270 |
|||||||||||||||
Professional fees |
5,656 |
6,038 |
16,476 |
16,578 |
|||||||||||||||
Fund servicing fees |
4,393 |
6,516 |
64,965 |
65,396 |
|||||||||||||||
Pricing fees |
2,976 |
2,976 |
2,976 |
2,976 |
|||||||||||||||
Management service fees (Note 6) |
2,789 |
4,293 |
46,169 |
46,344 |
|||||||||||||||
Exchange listing fees |
2,697 |
2,697 |
2,697 |
2,697 |
|||||||||||||||
Reports to shareholders |
1,616 |
2,533 |
26,732 |
27,205 |
|||||||||||||||
Trustees' fees and expenses |
313 |
493 |
5,183 |
5,293 |
|||||||||||||||
Insurance fees |
212 |
328 |
3,498 |
3,529 |
|||||||||||||||
Interest expense |
6 |
884 |
2,171 |
19,014 |
|||||||||||||||
Excise tax |
— |
— |
9,560 |
— |
|||||||||||||||
Other |
260 |
378 |
4,494 |
4,131 |
|||||||||||||||
Total Expenses |
116,305 |
168,121 |
1,646,392 |
1,659,978 |
|||||||||||||||
Recoupment of expenses to Adviser (Note 6) |
— |
815 |
— |
377 |
|||||||||||||||
Less: Reimbursement of expenses from Adviser (Note 6) |
(9,153 |
) |
(3,148 |
) |
— |
— |
|||||||||||||
Net Expenses |
107,152 |
165,788 |
1,646,391 |
1,660,355 |
|||||||||||||||
Net investment income (loss) |
(13,404 |
) |
(150,875 |
) |
353,524 |
(1,507,195 |
) |
||||||||||||
Net realized and unrealized gain (loss) on investments: |
|||||||||||||||||||
Net realized gain (loss) on: |
|||||||||||||||||||
Investment securities |
— |
— |
(11,283,747 |
) |
— |
||||||||||||||
In-kind redemptions |
123,485 |
— |
136,112 |
— |
|||||||||||||||
Swap contracts |
(2,900,381 |
) |
3,841,311 |
(105,347,286 |
) |
79,744,981 |
|||||||||||||
Net realized gain (loss) |
(2,776,896 |
) |
3,841,311 |
(116,494,921 |
) |
79,744,981 |
|||||||||||||
Change in net unrealized appreciation (depreciation) on: |
|||||||||||||||||||
Investment securities |
(1,959,338 |
) |
— |
(38,764,373 |
) |
— |
|||||||||||||
Swap contracts |
(2,485,841 |
) |
6,990,961 |
(87,008,638 |
) |
138,747,246 |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(4,445,179 |
) |
6,990,961 |
(125,773,011 |
) |
138,747,246 |
|||||||||||||
Net realized and unrealized gain (loss) |
(7,222,075 |
) |
10,832,272 |
(242,267,932 |
) |
218,492,227 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ |
(7,235,479 |
) |
$ |
10,681,397 |
$ |
(241,914,408 |
) |
$ |
216,985,032 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
96
Statements of Changes in Net Assets
Direxion Daily Mid Cap Bull 3X Shares |
Direxion Daily S&P 500® Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(7,695 |
) |
$ |
(135,385 |
) |
$ |
2,201,067 |
$ |
3,060,678 |
|||||||||
Net realized gain |
11,964,006 |
52,535,684 |
368,368,584 |
1,133,614,295 |
|||||||||||||||
Change in net unrealized appreciation (depreciation) |
(41,527,069 |
) |
21,208,162 |
(1,430,057,811 |
) |
888,896,794 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(29,570,758 |
) |
73,608,461 |
(1,059,488,160 |
) |
2,025,571,767 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(21,998 |
) |
(3,197,459 |
) |
(3,773,589 |
) |
||||||||||||
Total distributions |
— |
(21,998 |
) |
(3,197,459 |
) |
(3,773,589 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
11,982,840 |
128,362,135 |
2,665,602,678 |
2,500,709,959 |
|||||||||||||||
Cost of shares redeemed |
(14,520,317 |
) |
(151,461,798 |
) |
(2,400,067,997 |
) |
(2,506,169,335 |
) |
|||||||||||
Transaction fees (Note 4) |
2,581 |
42,359 |
672,470 |
677,169 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(2,534,896 |
) |
(23,057,304 |
) |
266,207,151 |
(4,782,207 |
) |
||||||||||||
Total increase (decrease) in net assets |
(32,105,654 |
) |
50,529,159 |
(796,478,468 |
) |
2,017,015,971 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
90,584,175 |
40,055,016 |
3,348,750,236 |
1,331,734,265 |
|||||||||||||||
End of year/period |
$ |
58,478,521 |
$ |
90,584,175 |
$ |
2,552,271,768 |
$ |
3,348,750,236 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,350,132 |
1,750,132 |
25,700,002 |
27,700,002 |
|||||||||||||||
Shares sold |
200,000 |
2,100,000 |
22,900,000 |
25,750,000 |
|||||||||||||||
Shares repurchased |
(250,000 |
) |
(2,500,000 |
) |
(20,000,000 |
) |
(27,750,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,300,132 |
1,350,132 |
28,600,002 |
25,700,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
97
Statements of Changes in Net Assets
Direxion Daily S&P 500® Bear 3X Shares |
Direxion Daily Small Cap Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(1,687,386 |
) |
$ |
(4,213,941 |
) |
$ |
(1,189,673 |
) |
$ |
(4,538,713 |
) |
|||||||
Net realized gain (loss) |
(89,325,430 |
) |
(586,097,391 |
) |
(465,533,413 |
) |
1,755,128,786 |
||||||||||||
Change in net unrealized appreciation (depreciation) |
179,776,824 |
(3,130,432 |
) |
(563,383,554 |
) |
(257,844,793 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
88,764,008 |
(593,441,764 |
) |
(1,030,106,640 |
) |
1,492,745,280 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
(1,367,545 |
) |
(244,821 |
) |
|||||||||||||
Total distributions |
— |
— |
(1,367,545 |
) |
(244,821 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
682,671,661 |
1,028,436,193 |
2,815,679,686 |
4,816,936,112 |
|||||||||||||||
Cost of shares redeemed |
(680,249,580 |
) |
(850,068,957 |
) |
(2,021,467,082 |
) |
(5,642,498,260 |
) |
|||||||||||
Transaction fees (Note 4) |
202,990 |
251,069 |
526,733 |
1,378,149 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
2,625,071 |
178,618,305 |
794,739,337 |
(824,183,999 |
) |
||||||||||||||
Total increase (decrease) in net assets |
91,389,079 |
(414,823,459 |
) |
(236,734,848 |
) |
668,316,460 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
388,356,619 |
803,180,078 |
1,499,518,859 |
831,202,399 |
|||||||||||||||
End of year/period |
$ |
479,745,698 |
$ |
388,356,619 |
$ |
1,262,784,011 |
$ |
1,499,518,859 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
20,676,918 |
13,170,389 |
16,100,002 |
25,950,002 |
|||||||||||||||
Shares sold |
35,950,000 |
36,235,000 |
38,600,000 |
57,550,000 |
|||||||||||||||
Shares repurchased |
(35,350,000 |
) |
(28,728,471 |
) |
(26,800,000 |
) |
(67,400,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
21,276,918 |
20,676,918 |
27,900,002 |
16,100,002 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
98
Statements of Changes in Net Assets
Direxion Daily Small Cap Bear 3X Shares |
Direxion Daily FTSE China Bull 3X Shares1 |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(1,626,759 |
) |
$ |
(3,552,520 |
) |
$ |
2,261,185 |
$ |
627,787 |
|||||||||
Net realized gain (loss) |
11,706,916 |
(670,785,693 |
) |
(445,318,704 |
) |
(45,594,428 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
170,309,666 |
69,207,089 |
51,313,469 |
(77,709,442 |
) |
||||||||||||||
Net increase (decrease) in net assets resulting from operations |
180,389,823 |
(605,131,124 |
) |
(391,744,050 |
) |
(122,676,083 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
(832,634 |
) |
(2,107,263 |
) |
|||||||||||||
Total distributions |
— |
— |
(832,634 |
) |
(2,107,263 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
774,674,172 |
1,608,299,076 |
525,529,787 |
653,990,404 |
|||||||||||||||
Cost of shares redeemed |
(1,122,901,185 |
) |
(1,044,500,159 |
) |
(163,767,494 |
) |
(307,890,142 |
) |
|||||||||||
Transaction fees (Note 4) |
336,871 |
313,275 |
32,966 |
61,578 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(347,890,142 |
) |
564,112,192 |
361,795,259 |
346,161,840 |
||||||||||||||
Total increase (decrease) in net assets |
(167,500,319 |
) |
(41,018,932 |
) |
(30,781,425 |
) |
221,378,494 |
||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
504,783,283 |
545,802,215 |
482,287,745 |
260,909,251 |
|||||||||||||||
End of year/period |
$ |
337,282,964 |
$ |
504,783,283 |
$ |
451,506,320 |
$ |
482,287,745 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
18,772,797 |
4,386,447 |
2,155,001 |
777,501 |
|||||||||||||||
Shares sold |
25,500,000 |
44,750,000 |
4,660,000 |
2,230,000 |
|||||||||||||||
Shares repurchased |
(35,950,000 |
) |
(30,363,650 |
) |
(1,217,500 |
) |
(852,500 |
) |
|||||||||||
Shares outstanding, end of year/period |
8,322,797 |
18,772,797 |
5,597,501 |
2,155,001 |
1 Effective May 31, 2022, the Fund had a 1:20 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:20 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
99
Statements of Changes in Net Assets
Direxion Daily FTSE China Bear 3X Shares |
Direxion Daily FTSE Europe Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(297,488 |
) |
$ |
(372,304 |
) |
$ |
77,843 |
$ |
200,327 |
|||||||||
Net realized gain (loss) |
8,646,321 |
(10,622,978 |
) |
(906,994 |
) |
17,893,128 |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(11,768,309 |
) |
989,076 |
(17,866,405 |
) |
9,277,886 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(3,419,476 |
) |
(10,006,206 |
) |
(18,695,556 |
) |
27,371,341 |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
(118,623 |
) |
(180,543 |
) |
|||||||||||||
Total distributions |
— |
— |
(118,623 |
) |
(180,543 |
) |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
189,073,628 |
78,432,377 |
12,109,473 |
22,922,512 |
|||||||||||||||
Cost of shares redeemed |
(147,392,269 |
) |
(46,687,356 |
) |
(15,779,333 |
) |
(15,949,307 |
) |
|||||||||||
Transaction fees (Note 4) |
95,566 |
14,006 |
3,156 |
3,190 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
41,776,925 |
31,759,027 |
(3,666,704 |
) |
6,976,395 |
||||||||||||||
Total increase (decrease) in net assets |
38,357,449 |
21,752,821 |
(22,480,883 |
) |
34,167,193 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
66,230,269 |
44,477,448 |
47,923,823 |
13,756,630 |
|||||||||||||||
End of year/period |
$ |
104,587,718 |
$ |
66,230,269 |
$ |
25,442,940 |
$ |
47,923,823 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
3,927,337 |
2,127,337 |
1,250,001 |
950,001 |
|||||||||||||||
Shares sold |
10,000,000 |
4,750,000 |
400,000 |
750,000 |
|||||||||||||||
Shares repurchased |
(7,750,000 |
) |
(2,950,000 |
) |
(500,000 |
) |
(450,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
6,177,337 |
3,927,337 |
1,150,001 |
1,250,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
100
Statements of Changes in Net Assets
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
414,536 |
$ |
(354,003 |
) |
$ |
(135,874 |
) |
$ |
(251,680 |
) |
||||||||
Net realized gain (loss) |
(69,010,358 |
) |
131,372,215 |
8,949,217 |
(39,406,431 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(8,752,714 |
) |
(74,133,925 |
) |
2,022,847 |
20,478,769 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(77,348,536 |
) |
56,884,287 |
10,836,190 |
(19,179,342 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(206,560 |
) |
— |
— |
||||||||||||||
Return of capital |
— |
(107,122 |
) |
— |
— |
||||||||||||||
Total distributions |
— |
(313,682 |
) |
— |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
56,538,793 |
324,420,412 |
20,211,691 |
33,446,137 |
|||||||||||||||
Cost of shares redeemed |
(50,648,273 |
) |
(348,366,324 |
) |
(13,857,893 |
) |
(26,403,874 |
) |
|||||||||||
Transaction fees (Note 4) |
10,129 |
77,355 |
16,939 |
7,921 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
5,900,649 |
(23,868,557 |
) |
6,370,737 |
7,050,184 |
||||||||||||||
Total increase (decrease) in net assets |
(71,447,887 |
) |
32,702,048 |
17,206,927 |
(12,129,158 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
169,181,029 |
136,478,981 |
26,590,454 |
38,719,612 |
|||||||||||||||
End of year/period |
$ |
97,733,142 |
$ |
169,181,029 |
$ |
43,797,381 |
$ |
26,590,454 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
2,081,598 |
2,281,598 |
2,945,232 |
2,245,232 |
|||||||||||||||
Shares sold |
850,000 |
3,400,000 |
1,850,000 |
3,750,000 |
|||||||||||||||
Shares repurchased |
(750,000 |
) |
(3,600,000 |
) |
(1,350,000 |
) |
(3,050,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
2,181,598 |
2,081,598 |
3,445,232 |
2,945,232 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
101
Statements of Changes in Net Assets
Direxion Daily MSCI Mexico Bull 3X Shares |
Direxion Daily MSCI South Korea Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
50,985 |
$ |
(9,268 |
) |
$ |
208,182 |
$ |
(388,753 |
) |
|||||||||
Net realized gain (loss) |
6,098,213 |
10,591,335 |
(14,912,756 |
) |
29,885,775 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(5,744,293 |
) |
3,847,835 |
(4,501,213 |
) |
(14,275,709 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
404,905 |
14,429,902 |
(19,205,787 |
) |
15,221,313 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(85,669 |
) |
(64,079 |
) |
(314,853 |
) |
(4,680 |
) |
|||||||||||
Total distributions |
(85,669 |
) |
(64,079 |
) |
(314,853 |
) |
(4,680 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
— |
25,536,886 |
25,139,227 |
75,569,158 |
|||||||||||||||
Cost of shares redeemed |
(4,074,934 |
) |
(35,344,974 |
) |
(27,625,023 |
) |
(69,600,086 |
) |
|||||||||||
Transaction fees (Note 4) |
815 |
7,337 |
5,525 |
15,623 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(4,074,119 |
) |
(9,800,751 |
) |
(2,480,271 |
) |
5,984,695 |
||||||||||||
Total increase (decrease) in net assets |
(3,754,883 |
) |
4,565,072 |
(22,000,911 |
) |
21,201,328 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
15,225,205 |
10,660,133 |
47,021,893 |
25,820,565 |
|||||||||||||||
End of year/period |
$ |
11,470,322 |
$ |
15,225,205 |
$ |
25,020,982 |
$ |
47,021,893 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
183,205 |
333,205 |
1,800,001 |
1,550,001 |
|||||||||||||||
Shares sold |
— |
350,000 |
1,100,000 |
2,150,000 |
|||||||||||||||
Shares repurchased |
(50,000 |
) |
(500,000 |
) |
(1,200,000 |
) |
(1,900,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
133,205 |
183,205 |
1,700,001 |
1,800,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
102
Statements of Changes in Net Assets
Direxion Daily Aerospace & Defense Bull 3X Shares |
Direxion Daily Consumer Discretionary Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(203,378 |
) |
$ |
(540,442 |
) |
$ |
(111,687 |
) |
$ |
(185,943 |
) |
|||||||
Net realized gain (loss) |
16,472,507 |
168,762,655 |
(7,499,186 |
) |
15,397,015 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(31,928,598 |
) |
59,144,914 |
(27,537,429 |
) |
13,770,294 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(15,659,469 |
) |
227,367,127 |
(35,148,302 |
) |
28,981,366 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(5,480,792 |
) |
(229,995 |
) |
— |
— |
|||||||||||||
Total distributions |
(5,480,792 |
) |
(229,995 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
100,557,291 |
214,752,628 |
18,403,612 |
72,277,777 |
|||||||||||||||
Cost of shares redeemed |
(153,273,972 |
) |
(360,564,439 |
) |
(4,485,560 |
) |
(58,658,316 |
) |
|||||||||||
Transaction fees (Note 4) |
33,967 |
79,628 |
897 |
15,590 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(52,682,714 |
) |
(145,732,183 |
) |
13,918,949 |
13,635,051 |
|||||||||||||
Total increase (decrease) in net assets |
(73,822,975 |
) |
81,404,949 |
(21,229,353 |
) |
42,616,417 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
280,890,147 |
199,485,198 |
55,263,510 |
12,647,093 |
|||||||||||||||
End of year/period |
$ |
207,067,172 |
$ |
280,890,147 |
$ |
34,034,157 |
$ |
55,263,510 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
13,650,001 |
22,500,001 |
600,001 |
350,001 |
|||||||||||||||
Shares sold |
5,250,000 |
11,050,000 |
250,000 |
1,050,000 |
|||||||||||||||
Shares repurchased |
(7,350,000 |
) |
(19,900,000 |
) |
(50,000 |
) |
(800,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
11,550,001 |
13,650,001 |
800,001 |
600,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
103
Statements of Changes in Net Assets
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(555,995 |
) |
$ |
(566,916 |
) |
$ |
(50,543 |
) |
$ |
(41,828 |
) |
|||||||
Net realized gain (loss) |
(139,668,556 |
) |
26,861,803 |
11,628,112 |
(4,367,139 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(79,672,733 |
) |
14,428,445 |
855,175 |
(402,322 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(219,897,284 |
) |
40,723,332 |
12,432,744 |
(4,811,289 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(7,017,671 |
) |
— |
— |
— |
||||||||||||||
Total distributions |
(7,017,671 |
) |
— |
— |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
260,489,455 |
70,705,044 |
38,047,331 |
23,601,785 |
|||||||||||||||
Cost of shares redeemed |
(32,180,875 |
) |
(45,569,213 |
) |
(24,923,282 |
) |
(19,497,618 |
) |
|||||||||||
Transaction fees (Note 4) |
6,436 |
9,114 |
7,477 |
5,849 |
|||||||||||||||
Net increase in net assets resulting from capital transactions |
228,315,016 |
25,144,945 |
13,131,526 |
4,110,016 |
|||||||||||||||
Total increase (decrease) in net assets |
1,400,061 |
65,868,277 |
25,564,270 |
(701,273 |
) |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
99,968,391 |
34,100,114 |
4,603,740 |
5,305,013 |
|||||||||||||||
End of year/period |
$ |
101,368,452 |
$ |
99,968,391 |
$ |
30,168,010 |
$ |
4,603,740 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,150,001 |
750,001 |
319,952 |
119,952 |
|||||||||||||||
Shares sold |
5,700,000 |
950,000 |
1,500,000 |
1,200,000 |
|||||||||||||||
Shares repurchased |
(850,000 |
) |
(550,000 |
) |
(1,000,000 |
) |
(1,000,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
6,000,001 |
1,150,001 |
819,952 |
319,952 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
104
Statements of Changes in Net Assets
Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
9,693,794 |
$ |
16,030,738 |
$ |
(537,800 |
) |
$ |
(1,362,726 |
) |
|||||||||
Net realized gain (loss) |
564,717,440 |
2,012,752,205 |
(3,196,462 |
) |
(303,582,709 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(2,039,063,707 |
) |
1,480,370,317 |
55,865,420 |
(11,913,059 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(1,464,652,473 |
) |
3,509,153,260 |
52,131,158 |
(316,858,494 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(10,118,128 |
) |
(15,325,240 |
) |
— |
— |
|||||||||||||
Total distributions |
(10,118,128 |
) |
(15,325,240 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
1,106,412,153 |
5,161,128,021 |
196,648,101 |
398,984,737 |
|||||||||||||||
Cost of shares redeemed |
(1,044,759,652 |
) |
(6,422,197,997 |
) |
(240,479,170 |
) |
(223,626,675 |
) |
|||||||||||
Transaction fees (Note 4) |
266,210 |
1,763,706 |
72,144 |
67,021 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
61,918,711 |
(1,259,306,270 |
) |
(43,758,925 |
) |
175,425,083 |
|||||||||||||
Total increase (decrease) in net assets |
(1,412,851,890 |
) |
2,234,521,750 |
8,372,233 |
(141,433,411 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
3,582,159,988 |
1,347,638,238 |
130,234,263 |
271,667,674 |
|||||||||||||||
End of year/period |
$ |
2,169,308,098 |
$ |
3,582,159,988 |
$ |
138,606,496 |
$ |
130,234,263 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
24,799,289 |
40,099,289 |
7,103,350 |
2,302,858 |
|||||||||||||||
Shares sold |
9,150,000 |
46,650,000 |
10,500,000 |
12,056,250 |
|||||||||||||||
Shares repurchased |
(7,900,000 |
) |
(61,950,000 |
) |
(12,050,000 |
) |
(7,255,758 |
) |
|||||||||||
Shares outstanding, end of year/period |
26,049,289 |
24,799,289 |
5,553,350 |
7,103,350 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
105
Statements of Changes in Net Assets
Direxion Daily Healthcare Bull 3X Shares |
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
107,605 |
$ |
(75,184 |
) |
$ |
(363,281 |
) |
$ |
(1,515,752 |
) |
||||||||
Net realized gain |
57,101,027 |
54,685,501 |
30,220,359 |
372,704,652 |
|||||||||||||||
Change in net unrealized appreciation (depreciation) |
(86,353,664 |
) |
62,130,778 |
(191,591,004 |
) |
(51,515,019 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(29,145,032 |
) |
116,741,095 |
(161,733,926 |
) |
319,673,881 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(128,234 |
) |
(11,571 |
) |
— |
— |
|||||||||||||
Total distributions |
(128,234 |
) |
(11,571 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
69,665,986 |
175,977,018 |
169,511,643 |
512,015,723 |
|||||||||||||||
Cost of shares redeemed |
(84,012,242 |
) |
(141,667,303 |
) |
(207,221,765 |
) |
(808,927,828 |
) |
|||||||||||
Transaction fees (Note 4) |
16,802 |
37,353 |
47,152 |
172,184 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(14,329,454 |
) |
34,347,068 |
(37,662,970 |
) |
(296,739,921 |
) |
||||||||||||
Total increase (decrease) in net assets |
(43,602,720 |
) |
151,076,592 |
(199,396,896 |
) |
22,933,960 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
254,115,630 |
103,039,038 |
383,075,395 |
360,141,435 |
|||||||||||||||
End of year/period |
$ |
210,512,910 |
$ |
254,115,630 |
$ |
183,678,499 |
$ |
383,075,395 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
2,050,008 |
1,850,008 |
4,600,000 |
9,100,000 |
|||||||||||||||
Shares sold |
550,000 |
1,600,000 |
2,800,000 |
7,950,000 |
|||||||||||||||
Shares repurchased |
(700,000 |
) |
(1,400,000 |
) |
(2,350,000 |
) |
(12,450,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,900,008 |
2,050,008 |
5,050,000 |
4,600,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
106
Statements of Changes in Net Assets
Direxion Daily Industrials Bull 3X Shares |
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
6,719 |
$ |
(7,674 |
) |
$ |
3,065 |
$ |
(71,169 |
) |
|||||||||
Net realized gain (loss) |
9,277,603 |
24,981,429 |
(2,590,977 |
) |
5,837,097 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(20,466,619 |
) |
11,063,801 |
(3,895,062 |
) |
(2,492,865 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(11,182,297 |
) |
36,037,556 |
(6,482,974 |
) |
3,273,063 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(25,130 |
) |
(108,281 |
) |
(13,617 |
) |
— |
||||||||||||
Total distributions |
(25,130 |
) |
(108,281 |
) |
(13,617 |
) |
— |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
3,972,857 |
82,313,226 |
24,958,980 |
32,589,756 |
|||||||||||||||
Cost of shares redeemed |
(29,894,011 |
) |
(71,373,229 |
) |
(36,156,642 |
) |
(15,202,514 |
) |
|||||||||||
Transaction fees (Note 4) |
5,979 |
14,275 |
7,232 |
3,040 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(25,915,175 |
) |
10,954,272 |
(11,190,430 |
) |
17,390,282 |
|||||||||||||
Total increase (decrease) in net assets |
(37,122,602 |
) |
46,883,547 |
(17,687,021 |
) |
20,663,345 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
63,519,920 |
16,636,373 |
31,692,765 |
11,029,420 |
|||||||||||||||
End of year/period |
$ |
26,397,318 |
$ |
63,519,920 |
$ |
14,005,744 |
$ |
31,692,765 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,400,001 |
900,001 |
1,750,001 |
700,001 |
|||||||||||||||
Shares sold |
100,000 |
2,200,000 |
1,700,000 |
1,700,000 |
|||||||||||||||
Shares repurchased |
(700,000 |
) |
(1,700,000 |
) |
(2,150,000 |
) |
(650,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
800,001 |
1,400,001 |
1,300,001 |
1,750,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
107
Statements of Changes in Net Assets
Direxion Daily Real Estate Bull 3X Shares |
Direxion Daily Real Estate Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
568,913 |
$ |
1,402,465 |
$ |
(99,660 |
) |
$ |
(201,300 |
) |
|||||||||
Net realized gain (loss) |
57,290,499 |
41,310,998 |
(7,639,467 |
) |
(22,402,448 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(71,434,787 |
) |
65,355,299 |
6,892,750 |
(8,904,990 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(13,575,375 |
) |
108,068,762 |
(846,377 |
) |
(31,508,738 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(6,388,454 |
) |
(1,224,013 |
) |
— |
— |
|||||||||||||
Total distributions |
(6,388,454 |
) |
(1,224,013 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
12,377,321 |
66,811,598 |
16,587,629 |
17,697,060 |
|||||||||||||||
Cost of shares redeemed |
(38,242,432 |
) |
(75,626,541 |
) |
(2,111,684 |
) |
(11,548,737 |
) |
|||||||||||
Transaction fees (Note 4) |
7,648 |
15,436 |
621 |
3,464 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(25,857,463 |
) |
(8,799,507 |
) |
14,476,566 |
6,151,787 |
|||||||||||||
Total increase (decrease) in net assets |
(45,821,292 |
) |
98,045,242 |
13,630,189 |
(25,356,951 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
147,703,887 |
49,658,645 |
19,926,346 |
45,283,297 |
|||||||||||||||
End of year/period |
$ |
101,882,595 |
$ |
147,703,887 |
$ |
33,556,535 |
$ |
19,926,346 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
5,650,000 |
5,500,000 |
485,144 |
295,144 |
|||||||||||||||
Shares sold |
500,000 |
3,950,000 |
450,000 |
305,000 |
|||||||||||||||
Shares repurchased |
(1,550,000 |
) |
(3,800,000 |
) |
(51,099 |
) |
(115,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
4,600,000 |
5,650,000 |
884,045 |
485,144 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
108
Statements of Changes in Net Assets
Direxion Daily Regional Banks Bull 3X Shares |
Direxion Daily Retail Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
1,329,872 |
$ |
2,677,128 |
$ |
308,407 |
$ |
(261,661 |
) |
||||||||||
Net realized gain (loss) |
85,493,081 |
211,191,068 |
(50,695,267 |
) |
102,853,900 |
||||||||||||||
Change in net unrealized appreciation (depreciation) |
(249,404,848 |
) |
112,168,678 |
(56,469,749 |
) |
18,381,113 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(162,581,895 |
) |
326,036,874 |
(106,856,609 |
) |
120,973,352 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(1,355,178 |
) |
(2,850,169 |
) |
(303,151 |
) |
(14,673 |
) |
|||||||||||
Total distributions |
(1,355,178 |
) |
(2,850,169 |
) |
(303,151 |
) |
(14,673 |
) |
|||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
242,838,681 |
730,879,440 |
93,593,125 |
207,606,767 |
|||||||||||||||
Cost of shares redeemed |
(240,254,232 |
) |
(724,336,451 |
) |
(53,282,935 |
) |
(222,257,385 |
) |
|||||||||||
Transaction fees (Note 4) |
52,403 |
149,812 |
11,799 |
45,752 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
2,636,852 |
6,692,801 |
40,321,989 |
(14,604,866 |
) |
||||||||||||||
Total increase (decrease) in net assets |
(161,300,221 |
) |
329,879,506 |
(66,837,771 |
) |
106,353,813 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
441,276,054 |
111,396,548 |
128,838,980 |
22,485,167 |
|||||||||||||||
End of year/period |
$ |
279,975,833 |
$ |
441,276,054 |
$ |
62,001,209 |
$ |
128,838,980 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
8,648,590 |
8,448,590 |
3,071,105 |
2,621,100 |
|||||||||||||||
Shares sold |
5,300,000 |
19,750,000 |
2,800,000 |
7,000,005 |
|||||||||||||||
Shares repurchased |
(4,650,000 |
) |
(19,550,000 |
) |
(1,700,000 |
) |
(6,550,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
9,298,590 |
8,648,590 |
4,171,105 |
3,071,105 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
109
Statements of Changes in Net Assets
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P 500® High Beta Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(137,932 |
) |
$ |
(23,080 |
) |
$ |
(137,965 |
) |
$ |
(234,512 |
) |
|||||||
Net realized gain (loss) |
22,758,316 |
67,638,919 |
(5,108,263 |
) |
(67,826,311 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(69,059,997 |
) |
37,925,359 |
16,696,523 |
(4,975,326 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(46,439,613 |
) |
105,541,198 |
11,450,295 |
(73,036,149 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(82,925 |
) |
— |
— |
||||||||||||||
Total distributions |
— |
(82,925 |
) |
— |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
53,292,939 |
179,861,640 |
48,276,147 |
59,847,121 |
|||||||||||||||
Cost of shares redeemed |
(48,829,995 |
) |
(204,633,680 |
) |
(36,309,256 |
) |
(15,971,059 |
) |
|||||||||||
Transaction fees (Note 4) |
9,766 |
47,873 |
10,893 |
4,611 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
4,472,710 |
(24,724,167 |
) |
11,977,784 |
43,880,673 |
||||||||||||||
Total increase (decrease) in net assets |
(41,966,903 |
) |
80,734,106 |
23,428,079 |
(29,155,476 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
110,528,764 |
29,794,658 |
23,625,966 |
52,781,442 |
|||||||||||||||
End of year/period |
$ |
68,561,861 |
$ |
110,528,764 |
$ |
47,054,045 |
$ |
23,625,966 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,464,370 |
2,064,370 |
2,606,828 |
522,500 |
|||||||||||||||
Shares sold |
900,000 |
3,050,000 |
5,650,000 |
2,830,000 |
|||||||||||||||
Shares repurchased |
(700,000 |
) |
(3,650,000 |
) |
(3,850,000 |
) |
(745,672 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,664,370 |
1,464,370 |
4,406,828 |
2,606,828 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
110
Statements of Changes in Net Assets
Direxion Daily S&P Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(3,393,494 |
) |
$ |
(5,000,005 |
) |
$ |
(245,130 |
) |
$ |
(691,848 |
) |
|||||||
Net realized gain (loss) |
(1,195,923,783 |
) |
100,727,902 |
41,145,278 |
(95,689,771 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(290,398,242 |
) |
(182,049,076 |
) |
37,893,955 |
10,819,563 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(1,489,715,519 |
) |
(86,321,179 |
) |
78,794,103 |
(85,562,056 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
— |
— |
— |
|||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
2,070,703,870 |
2,438,065,093 |
373,151,600 |
618,832,012 |
|||||||||||||||
Cost of shares redeemed |
(687,487,482 |
) |
(1,871,640,964 |
) |
(432,393,626 |
) |
(549,727,565 |
) |
|||||||||||
Transaction fees (Note 4) |
154,276 |
395,183 |
129,718 |
164,556 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
1,383,370,664 |
566,819,312 |
(59,112,308 |
) |
69,269,003 |
||||||||||||||
Total increase (decrease) in net assets |
(106,344,855 |
) |
480,498,133 |
19,681,795 |
(16,293,053 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
772,796,253 |
292,298,120 |
47,267,474 |
63,560,527 |
|||||||||||||||
End of year/period |
$ |
666,451,398 |
$ |
772,796,253 |
$ |
66,949,269 |
$ |
47,267,474 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
14,511,600 |
5,461,600 |
2,216,024 |
1,166,024 |
|||||||||||||||
Shares sold |
96,800,000 |
35,300,000 |
11,250,000 |
26,950,000 |
|||||||||||||||
Shares repurchased |
(29,250,000 |
) |
(26,250,000 |
) |
(12,300,000 |
) |
(25,900,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
82,061,600 |
14,511,600 |
1,166,024 |
2,216,024 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
111
Statements of Changes in Net Assets
Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares1 |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
831,483 |
$ |
(364,352 |
) |
$ |
(721,582 |
) |
$ |
(954,077 |
) |
||||||||
Net realized gain (loss) |
(1,585,662,049 |
) |
2,854,167,978 |
(21,053,771 |
) |
(134,480,560 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(2,302,657,736 |
) |
177,364,539 |
70,084,758 |
(6,837,423 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(3,887,488,302 |
) |
3,031,168,165 |
48,309,405 |
(142,272,060 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(2,293,603 |
) |
(2,155,338 |
) |
— |
— |
|||||||||||||
Total distributions |
(2,293,603 |
) |
(2,155,338 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
8,333,894,312 |
7,073,156,222 |
1,041,444,401 |
909,892,171 |
|||||||||||||||
Cost of shares redeemed |
(3,880,742,482 |
) |
(7,267,499,520 |
) |
(969,184,145 |
) |
(716,193,908 |
) |
|||||||||||
Transaction fees (Note 4) |
821,339 |
1,585,045 |
290,738 |
214,858 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
4,453,973,169 |
(192,758,253 |
) |
72,550,994 |
193,913,121 |
||||||||||||||
Total increase in net assets |
564,191,264 |
2,836,254,574 |
120,860,399 |
51,641,061 |
|||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
4,155,098,959 |
1,318,844,385 |
145,418,026 |
93,776,965 |
|||||||||||||||
End of year/period |
$ |
4,719,290,223 |
$ |
4,155,098,959 |
$ |
266,278,425 |
$ |
145,418,026 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
87,250,060 |
79,500,060 |
2,530,107 |
250,107 |
|||||||||||||||
Shares sold |
210,300,000 |
191,950,000 |
23,735,000 |
10,035,000 |
|||||||||||||||
Shares repurchased |
(84,450,000 |
) |
(184,200,000 |
) |
(21,541,667 |
) |
(7,755,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
213,100,060 |
87,250,060 |
4,723,440 |
2,530,107 |
1 Effective March 28, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
112
Statements of Changes in Net Assets
Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(4,127,535 |
) |
$ |
(6,583,994 |
) |
$ |
(318,081 |
) |
$ |
(596,741 |
) |
|||||||
Net realized gain (loss) |
236,568,081 |
1,514,493,652 |
(23,343,914 |
) |
(69,922,392 |
) |
|||||||||||||
Change in net unrealized appreciation (depreciation) |
(1,595,686,320 |
) |
701,562,052 |
36,332,324 |
(17,326,206 |
) |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(1,363,245,774 |
) |
2,209,471,710 |
12,670,329 |
(87,845,339 |
) |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(11,889,234 |
) |
(10,258,380 |
) |
— |
— |
|||||||||||||
Total distributions |
(11,889,234 |
) |
(10,258,380 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
749,615,701 |
2,343,364,226 |
236,952,504 |
158,795,876 |
|||||||||||||||
Cost of shares redeemed |
(465,999,348 |
) |
(3,042,099,387 |
) |
(196,339,637 |
) |
(84,069,407 |
) |
|||||||||||
Transaction fees (Note 4) |
113,066 |
793,128 |
58,888 |
25,220 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
283,729,419 |
(697,942,033 |
) |
40,671,755 |
74,751,689 |
||||||||||||||
Total increase (decrease) in net assets |
(1,091,405,589 |
) |
1,501,271,297 |
53,342,084 |
(13,093,650 |
) |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
3,061,359,346 |
1,560,088,049 |
66,942,193 |
80,035,843 |
|||||||||||||||
End of year/period |
$ |
1,969,953,757 |
$ |
3,061,359,346 |
$ |
120,284,277 |
$ |
66,942,193 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
43,050,000 |
61,000,000 |
1,801,485 |
541,485 |
|||||||||||||||
Shares sold |
11,000,000 |
42,250,000 |
6,400,000 |
2,500,000 |
|||||||||||||||
Shares repurchased |
(6,900,000 |
) |
(60,200,000 |
) |
(5,351,225 |
) |
(1,240,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
47,150,000 |
43,050,000 |
2,850,260 |
1,801,485 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
113
Statements of Changes in Net Assets
Direxion Daily Transportation Bull 3X Shares |
Direxion Daily Utilities Bull 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
(126,698 |
) |
$ |
(199,808 |
) |
$ |
150,580 |
$ |
236,892 |
|||||||||
Net realized gain |
25,781,448 |
43,911,743 |
8,367,076 |
5,877,480 |
|||||||||||||||
Change in net unrealized appreciation (depreciation) |
(39,484,707 |
) |
15,345,107 |
(3,508,802 |
) |
1,911,538 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(13,829,957 |
) |
59,057,042 |
5,008,854 |
8,025,910 |
||||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(19,756 |
) |
(235,844 |
) |
(257,434 |
) |
||||||||||||
Total distributions |
— |
(19,756 |
) |
(235,844 |
) |
(257,434 |
) |
||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
13,992,336 |
125,784,768 |
7,258,348 |
39,128,496 |
|||||||||||||||
Cost of shares redeemed |
(45,435,276 |
) |
(133,936,425 |
) |
(28,069,803 |
) |
(24,343,117 |
) |
|||||||||||
Transaction fees (Note 4) |
10,830 |
33,237 |
5,614 |
4,869 |
|||||||||||||||
Net increase (decrease) in net assets resulting from capital transactions |
(31,432,110 |
) |
(8,118,420 |
) |
(20,805,841 |
) |
14,790,248 |
||||||||||||
Total increase (decrease) in net assets |
(45,262,067 |
) |
50,918,866 |
(16,032,831 |
) |
22,558,724 |
|||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
89,798,046 |
38,879,180 |
37,274,105 |
14,715,381 |
|||||||||||||||
End of year/period |
$ |
44,535,979 |
$ |
89,798,046 |
$ |
21,241,274 |
$ |
37,274,105 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
1,850,001 |
2,150,001 |
1,150,001 |
550,001 |
|||||||||||||||
Shares sold |
300,000 |
3,250,000 |
200,000 |
1,400,000 |
|||||||||||||||
Shares repurchased |
(900,000 |
) |
(3,550,000 |
) |
(800,000 |
) |
(800,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
1,250,001 |
1,850,001 |
550,001 |
1,150,001 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
114
Statements of Changes in Net Assets
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment loss |
$ |
(13,404 |
) |
$ |
(80,812 |
) |
$ |
(150,875 |
) |
$ |
(146,678 |
) |
|||||||
Net realized gain (loss) |
(2,776,896 |
) |
(520,359 |
) |
3,841,311 |
(865,095 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(4,445,179 |
) |
(2,605,011 |
) |
6,990,961 |
1,481,064 |
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(7,235,479 |
) |
(3,206,182 |
) |
10,681,397 |
469,291 |
|||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
— |
(1,553,448 |
) |
— |
— |
||||||||||||||
Return of capital |
— |
(167,130 |
) |
— |
— |
||||||||||||||
Total distributions |
— |
(1,720,578 |
) |
— |
— |
||||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
4,724,488 |
13,941,367 |
26,614,051 |
22,674,915 |
|||||||||||||||
Cost of shares redeemed |
(2,135,253 |
) |
(5,211,721 |
) |
(4,893,381 |
) |
(403,393 |
) |
|||||||||||
Transaction fees (Note 4) |
427 |
1,564 |
1,468 |
121 |
|||||||||||||||
Net increase in net assets resulting from capital transactions |
2,589,662 |
8,731,210 |
21,722,138 |
22,271,643 |
|||||||||||||||
Total increase (decrease) in net assets |
(4,645,817 |
) |
3,804,450 |
32,403,535 |
22,740,934 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
23,338,803 |
19,534,353 |
29,623,215 |
6,882,281 |
|||||||||||||||
End of year/period |
$ |
18,692,986 |
$ |
23,338,803 |
$ |
62,026,750 |
$ |
29,623,215 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
450,000 |
300,000 |
3,400,000 |
850,000 |
|||||||||||||||
Shares sold |
100,000 |
250,000 |
2,550,000 |
2,600,000 |
|||||||||||||||
Shares repurchased |
(50,000 |
) |
(100,000 |
) |
(550,000 |
) |
(50,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
500,000 |
450,000 |
5,400,000 |
3,400,000 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
115
Statements of Changes in Net Assets
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
||||||||||||||||||
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
353,524 |
$ |
301,350 |
$ |
(1,507,195 |
) |
$ |
(1,956,090 |
) |
|||||||||
Net realized gain (loss) |
(116,494,921 |
) |
(46,606,271 |
) |
79,744,981 |
(547,287 |
) |
||||||||||||
Change in net unrealized appreciation (depreciation) |
(125,773,011 |
) |
(6,075,258 |
) |
138,747,246 |
(28,182,740 |
) |
||||||||||||
Net increase (decrease) in net assets resulting from operations |
(241,914,408 |
) |
(52,380,179 |
) |
216,985,032 |
(30,686,117 |
) |
||||||||||||
Distributions to shareholders: |
|||||||||||||||||||
Net distributions to shareholders |
(290,338 |
) |
(5,652,475 |
) |
— |
— |
|||||||||||||
Return of capital |
— |
(42,707 |
) |
— |
— |
||||||||||||||
Total distributions |
(290,338 |
) |
(5,695,182 |
) |
— |
— |
|||||||||||||
Capital share transactions: |
|||||||||||||||||||
Proceeds from shares sold |
278,384,042 |
277,352,616 |
153,250,742 |
406,312,058 |
|||||||||||||||
Cost of shares redeemed |
(70,107,137 |
) |
(142,461,318 |
) |
(149,725,121 |
) |
(149,346,363 |
) |
|||||||||||
Transaction fees (Note 4) |
19,057 |
40,022 |
44,918 |
43,697 |
|||||||||||||||
Net increase in net assets resulting from capital transactions |
208,295,962 |
134,931,320 |
3,570,539 |
257,009,392 |
|||||||||||||||
Total increase (decrease) in net assets |
(33,908,784 |
) |
76,855,959 |
220,555,571 |
226,323,275 |
||||||||||||||
Net assets: |
|||||||||||||||||||
Beginning of year/period |
359,734,817 |
282,878,858 |
325,333,498 |
99,010,223 |
|||||||||||||||
End of year/period |
$ |
325,826,033 |
$ |
359,734,817 |
$ |
545,889,069 |
$ |
325,333,498 |
|||||||||||
Changes in shares outstanding |
|||||||||||||||||||
Shares outstanding, beginning of year/period |
12,800,000 |
7,900,000 |
5,674,261 |
1,774,261 |
|||||||||||||||
Shares sold |
13,200,000 |
9,850,000 |
2,300,000 |
6,200,000 |
|||||||||||||||
Shares repurchased |
(3,300,000 |
) |
(4,950,000 |
) |
(2,250,000 |
) |
(2,300,000 |
) |
|||||||||||
Shares outstanding, end of year/period |
22,700,000 |
12,800,000 |
5,724,261 |
5,674,261 |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
116
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
67.09 |
$ |
(0.01 |
) |
$ |
(0.00 |
)9 |
$ |
(22.10 |
) |
$ |
(22.11 |
) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
44.98 |
-32.96 |
% |
$ |
58,479 |
0.96 |
% |
0.95 |
% |
(0.02 |
)% |
0.95 |
% |
0.94 |
% |
(0.01 |
)% |
30 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
22.89 |
(0.08 |
) |
(0.07 |
) |
44.29 |
44.21 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
67.09 |
193.19 |
% |
$ |
90,584 |
0.96 |
% |
0.95 |
% |
(0.14 |
)% |
0.95 |
% |
0.94 |
% |
(0.13 |
)% |
33 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
42.25 |
0.06 |
0.08 |
(19.24 |
) |
(19.18 |
) |
(0.17 |
) |
— |
(0.01 |
) |
(0.18 |
) |
$ |
22.89 |
-45.61 |
% |
$ |
40,055 |
1.00 |
% |
1.06 |
% |
0.25 |
% |
0.95 |
% |
1.01 |
% |
0.30 |
% |
91 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
38.45 |
0.30 |
0.35 |
3.84 |
4.14 |
(0.34 |
) |
— |
— |
(0.34 |
) |
$ |
42.25 |
11.04 |
% |
$ |
46,481 |
1.08 |
% |
1.12 |
% |
0.75 |
% |
0.95 |
% |
0.99 |
% |
0.88 |
% |
23 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
42.92 |
0.22 |
0.29 |
(3.42 |
) |
(3.20 |
) |
(0.10 |
) |
(1.17 |
) |
— |
(1.27 |
) |
$ |
38.45 |
-7.90 |
% |
$ |
57,678 |
1.10 |
% |
1.13 |
% |
0.46 |
% |
0.95 |
% |
0.98 |
% |
0.61 |
% |
39 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
24.95 |
(0.06 |
) |
(0.03 |
) |
18.64 |
18.58 |
— |
(0.61 |
) |
— |
(0.61 |
) |
$ |
42.92 |
75.11 |
% |
$ |
62,242 |
1.04 |
% |
1.09 |
% |
(0.18 |
)% |
0.95 |
% |
1.00 |
% |
(0.09 |
)% |
130 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
130.30 |
0.08 |
0.09 |
(41.03 |
) |
(40.95 |
) |
(0.11 |
) |
— |
— |
(0.11 |
) |
$ |
89.24 |
-31.45 |
% |
$ |
2,552,272 |
0.86 |
% |
0.93 |
% |
0.13 |
% |
0.85 |
% |
0.92 |
% |
0.14 |
% |
39 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
48.08 |
0.13 |
0.14 |
82.25 |
82.38 |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
130.30 |
171.57 |
% |
$ |
3,348,750 |
0.91 |
% |
0.93 |
% |
0.14 |
% |
0.90 |
% |
0.92 |
% |
0.15 |
% |
28 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
55.25 |
0.16 |
0.20 |
(7.02 |
) |
(6.86 |
) |
(0.31 |
) |
— |
— |
(0.31 |
) |
$ |
48.08 |
-12.54 |
% |
$ |
1,331,734 |
1.03 |
% |
1.04 |
% |
0.34 |
% |
0.95 |
% |
0.96 |
% |
0.42 |
% |
223 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
43.04 |
0.45 |
0.56 |
12.26 |
12.71 |
(0.50 |
) |
— |
— |
(0.50 |
) |
$ |
55.25 |
29.95 |
% |
$ |
947,851 |
1.19 |
% |
1.19 |
% |
0.98 |
% |
0.95 |
% |
0.95 |
% |
1.22 |
% |
86 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
40.86 |
0.31 |
0.34 |
3.71 |
4.02 |
(0.24 |
) |
(1.60 |
) |
— |
(1.84 |
) |
$ |
43.04 |
9.74 |
% |
$ |
992,232 |
1.00 |
% |
1.00 |
% |
0.68 |
% |
0.95 |
% |
0.95 |
% |
0.73 |
% |
95 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
22.92 |
0.01 |
0.03 |
17.93 |
17.94 |
— |
— |
— |
— |
$ |
40.86 |
78.31 |
% |
$ |
692,851 |
1.01 |
% |
1.00 |
% |
0.03 |
% |
0.95 |
% |
0.94 |
% |
0.09 |
% |
99 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
18.78 |
(0.08 |
) |
(0.08 |
) |
3.85 |
3.77 |
— |
— |
— |
— |
$ |
22.55 |
20.07 |
% |
$ |
479,746 |
0.95 |
% |
0.92 |
% |
(0.87 |
)% |
0.95 |
% |
0.92 |
% |
(0.87 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
61.00 |
(0.27 |
) |
(0.27 |
) |
(41.95 |
) |
(42.22 |
) |
— |
— |
— |
— |
$ |
18.78 |
-69.21 |
% |
$ |
388,357 |
0.95 |
% |
0.92 |
% |
(0.92 |
)% |
0.95 |
% |
0.92 |
% |
(0.92 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
160.60 |
(0.40 |
) |
(0.40 |
) |
(98.60 |
) |
(99.00 |
) |
(0.40 |
) |
— |
(0.20 |
) |
(0.60 |
) |
$ |
61.00 |
-61.87 |
% |
$ |
803,180 |
0.96 |
% |
0.99 |
% |
(0.45 |
)% |
0.95 |
% |
0.98 |
% |
(0.44 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
259.20 |
2.90 |
2.90 |
(98.60 |
) |
(95.70 |
) |
(2.90 |
) |
— |
— |
(2.90 |
) |
$ |
106.60 |
-37.21 |
% |
$ |
488,984 |
0.96 |
% |
0.96 |
% |
1.44 |
% |
0.95 |
% |
0.95 |
% |
1.45 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
339.40 |
1.80 |
1.80 |
(81.20 |
) |
(79.40 |
) |
(0.80 |
) |
— |
— |
(0.80 |
) |
$ |
259.20 |
-23.38 |
% |
$ |
267,114 |
0.95 |
% |
0.96 |
% |
0.68 |
% |
0.94 |
% |
0.95 |
% |
0.69 |
% |
1 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
646.50 |
(1.30 |
) |
(1.30 |
) |
(305.80 |
) |
(307.10 |
) |
— |
— |
— |
— |
$ |
339.40 |
-47.50 |
% |
$ |
381,925 |
0.93 |
% |
0.96 |
% |
(0.28 |
)% |
0.93 |
% |
0.96 |
% |
(0.28 |
)% |
7 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
93.14 |
(0.05 |
) |
(0.05 |
) |
(47.78 |
) |
(47.83 |
) |
(0.05 |
) |
— |
— |
(0.05 |
) |
$ |
45.26 |
-51.38 |
% |
$ |
1,262,784 |
0.89 |
% |
0.90 |
% |
(0.14 |
)% |
0.89 |
% |
0.90 |
% |
(0.14 |
)% |
69 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
32.03 |
(0.23 |
) |
(0.22 |
) |
61.35 |
61.12 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
93.14 |
190.83 |
% |
$ |
1,499,519 |
0.91 |
% |
0.91 |
% |
(0.28 |
)% |
0.90 |
% |
0.90 |
% |
(0.27 |
)% |
62 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
59.64 |
0.02 |
0.05 |
(27.47 |
) |
(27.45 |
) |
(0.12 |
) |
— |
(0.04 |
) |
(0.16 |
) |
$ |
32.03 |
-46.16 |
% |
$ |
831,202 |
1.03 |
% |
1.01 |
% |
0.06 |
% |
0.95 |
% |
0.93 |
% |
0.14 |
% |
76 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
61.79 |
0.32 |
0.46 |
(2.17 |
) |
(1.85 |
) |
(0.30 |
) |
— |
— |
(0.30 |
) |
$ |
59.64 |
-2.88 |
% |
$ |
730,592 |
1.18 |
% |
1.17 |
% |
0.56 |
% |
0.95 |
% |
0.94 |
% |
0.79 |
% |
53 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
66.18 |
0.20 |
0.31 |
(4.47 |
) |
(4.27 |
) |
(0.12 |
) |
— |
— |
(0.12 |
) |
$ |
61.79 |
-6.49 |
% |
$ |
883,562 |
1.10 |
% |
1.12 |
% |
0.26 |
% |
0.95 |
% |
0.97 |
% |
0.41 |
% |
51 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
34.41 |
(0.11 |
) |
(0.07 |
) |
31.88 |
31.77 |
— |
— |
— |
— |
$ |
66.18 |
92.36 |
% |
$ |
658,510 |
1.02 |
% |
1.03 |
% |
(0.21 |
)% |
0.95 |
% |
0.96 |
% |
(0.14 |
)% |
185 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
26.89 |
(0.13 |
) |
(0.13 |
) |
13.77 |
13.64 |
— |
— |
— |
— |
$ |
40.53 |
50.73 |
% |
$ |
337,283 |
0.92 |
% |
0.91 |
% |
(0.84 |
)% |
0.91 |
% |
0.90 |
% |
(0.83 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
124.40 |
(0.33 |
) |
(0.33 |
) |
(97.18 |
) |
(97.51 |
) |
— |
— |
— |
— |
$ |
26.89 |
-78.38 |
% |
$ |
504,783 |
0.94 |
% |
0.90 |
% |
(0.91 |
)% |
0.94 |
% |
0.90 |
% |
(0.91 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
345.52 |
(0.88 |
) |
(0.88 |
) |
(218.88 |
) |
(219.76 |
) |
(0.96 |
) |
— |
(0.40 |
) |
(1.36 |
) |
$ |
124.40 |
-63.86 |
% |
$ |
545,802 |
0.97 |
% |
0.97 |
% |
(0.46 |
)% |
0.95 |
% |
0.95 |
% |
(0.44 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
462.40 |
5.44 |
5.60 |
(116.64 |
) |
(111.20 |
) |
(5.68 |
) |
— |
— |
(5.68 |
) |
$ |
345.52 |
-24.30 |
% |
$ |
321,403 |
0.99 |
% |
0.99 |
% |
1.36 |
% |
0.95 |
% |
0.95 |
% |
1.40 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
532.00 |
3.20 |
3.20 |
(70.80 |
) |
(67.60 |
) |
(2.00 |
) |
— |
— |
(2.00 |
) |
$ |
462.40 |
-12.65 |
% |
$ |
282,984 |
0.95 |
% |
0.96 |
% |
0.73 |
% |
0.95 |
% |
0.96 |
% |
0.73 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
1,229.20 |
(1.60 |
) |
(1.60 |
) |
(695.60 |
) |
(697.20 |
) |
— |
— |
— |
— |
$ |
532.00 |
-56.72 |
% |
$ |
647,079 |
0.96 |
% |
0.98 |
% |
(0.23 |
)% |
0.95 |
% |
0.97 |
% |
(0.22 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares11 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
223.80 |
0.68 |
0.68 |
(143.54 |
) |
(142.86 |
) |
(0.28 |
) |
— |
— |
(0.28 |
) |
$ |
80.66 |
-63.90 |
% |
$ |
451,506 |
0.95 |
% |
0.93 |
% |
0.99 |
% |
0.95 |
% |
0.93 |
% |
0.99 |
% |
69 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
335.60 |
0.60 |
0.60 |
(109.60 |
) |
(109.00 |
) |
(2.80 |
) |
— |
— |
(2.80 |
) |
$ |
223.80 |
-32.82 |
% |
$ |
482,288 |
0.95 |
% |
0.93 |
% |
0.17 |
% |
0.95 |
% |
0.93 |
% |
0.17 |
% |
50 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
361.00 |
3.00 |
3.20 |
(24.80 |
) |
(21.80 |
) |
(3.20 |
) |
— |
(0.40 |
) |
(3.60 |
) |
$ |
335.60 |
-6.03 |
% |
$ |
260,909 |
0.99 |
% |
1.01 |
% |
0.96 |
% |
0.95 |
% |
0.97 |
% |
1.00 |
% |
264 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
357.00 |
4.40 |
4.80 |
4.00 |
8.40 |
(4.40 |
) |
— |
— |
(4.40 |
) |
$ |
361.00 |
2.23 |
% |
$ |
329,403 |
1.05 |
% |
1.07 |
% |
1.12 |
% |
0.95 |
% |
0.97 |
% |
1.22 |
% |
142 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
653.20 |
9.60 |
10.00 |
(295.60 |
) |
(286.00 |
) |
(10.20 |
) |
— |
— |
(10.20 |
) |
$ |
357.00 |
-44.39 |
% |
$ |
307,058 |
1.02 |
% |
1.05 |
% |
1.63 |
% |
0.95 |
% |
0.98 |
% |
1.70 |
% |
158 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
345.00 |
(1.80 |
) |
(1.40 |
) |
310.00 |
308.20 |
— |
— |
— |
— |
$ |
653.20 |
89.33 |
% |
$ |
236,786 |
1.03 |
% |
1.08 |
% |
(0.41 |
)% |
0.95 |
% |
1.00 |
% |
(0.33 |
)% |
112 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
117
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
16.86 |
$ |
(0.08 |
) |
$ |
(0.08 |
) |
$ |
0.15 |
$ |
0.07 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
16.93 |
0.42 |
% |
$ |
104,588 |
0.95 |
% |
0.96 |
% |
(0.84 |
)% |
0.95 |
% |
0.96 |
% |
(0.84 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
20.91 |
(0.14 |
) |
(0.14 |
) |
(3.91 |
) |
(4.05 |
) |
— |
— |
— |
— |
$ |
16.86 |
-19.37 |
% |
$ |
66,230 |
0.95 |
% |
0.98 |
% |
(0.93 |
)% |
0.95 |
% |
0.98 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
49.94 |
(0.05 |
) |
(0.04 |
) |
(28.78 |
) |
(28.83 |
) |
(0.11 |
) |
— |
(0.09 |
) |
(0.20 |
) |
$ |
20.91 |
-57.94 |
% |
$ |
44,477 |
0.98 |
% |
1.03 |
% |
(0.14 |
)% |
0.95 |
% |
1.00 |
% |
(0.11 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
71.04 |
0.65 |
0.71 |
(21.04 |
) |
(20.39 |
) |
(0.71 |
) |
— |
— |
(0.71 |
) |
$ |
49.94 |
-28.74 |
% |
$ |
78,771 |
1.05 |
% |
1.09 |
% |
1.27 |
% |
0.95 |
% |
0.99 |
% |
1.37 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
65.30 |
0.39 |
0.43 |
5.52 |
5.91 |
(0.17 |
) |
— |
— |
(0.17 |
) |
$ |
71.04 |
9.14 |
% |
$ |
80,084 |
1.02 |
% |
1.08 |
% |
0.69 |
% |
0.95 |
% |
1.01 |
% |
0.76 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
154.50 |
(0.30 |
) |
(0.30 |
) |
(88.90 |
) |
(89.20 |
) |
— |
— |
— |
— |
$ |
65.30 |
-57.73 |
% |
$ |
40,664 |
0.96 |
% |
1.05 |
% |
(0.28 |
)% |
0.95 |
% |
1.04 |
% |
(0.27 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
38.34 |
0.06 |
0.07 |
(16.18 |
) |
(16.12 |
) |
(0.10 |
) |
— |
— |
(0.10 |
) |
$ |
22.12 |
-42.12 |
% |
$ |
25,443 |
0.98 |
% |
0.96 |
% |
0.41 |
% |
0.95 |
% |
0.93 |
% |
0.44 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
14.48 |
0.15 |
0.15 |
23.85 |
24.00 |
(0.14 |
) |
— |
— |
(0.14 |
) |
$ |
38.34 |
165.99 |
% |
$ |
47,924 |
0.96 |
% |
0.93 |
% |
0.45 |
% |
0.95 |
% |
0.92 |
% |
0.46 |
% |
51 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
29.27 |
0.09 |
0.11 |
(14.74 |
) |
(14.65 |
) |
(0.14 |
) |
— |
— |
(0.14 |
) |
$ |
14.48 |
-50.09 |
% |
$ |
13,757 |
1.03 |
% |
1.09 |
% |
0.43 |
% |
0.95 |
% |
1.01 |
% |
0.51 |
% |
101 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
24.54 |
0.36 |
0.42 |
4.79 |
5.15 |
(0.42 |
) |
— |
— |
(0.42 |
) |
$ |
29.27 |
21.25 |
% |
$ |
27,804 |
1.18 |
% |
1.20 |
% |
1.41 |
% |
0.95 |
% |
0.97 |
% |
1.64 |
% |
111 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
36.99 |
0.54 |
0.56 |
(12.34 |
) |
(11.80 |
) |
(0.65 |
) |
— |
— |
(0.65 |
) |
$ |
24.54 |
-32.39 |
% |
$ |
46,632 |
1.00 |
% |
0.98 |
% |
1.52 |
% |
0.95 |
% |
0.93 |
% |
1.57 |
% |
54 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
18.88 |
0.22 |
0.25 |
17.89 |
18.11 |
— |
— |
— |
— |
$ |
36.99 |
95.92 |
% |
$ |
64,737 |
1.03 |
% |
1.06 |
% |
0.78 |
% |
0.95 |
% |
0.98 |
% |
0.86 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
81.27 |
0.19 |
0.19 |
(36.66 |
) |
(36.47 |
) |
— |
— |
— |
— |
$ |
44.80 |
-44.88 |
% |
$ |
97,733 |
0.95 |
% |
0.94 |
% |
0.58 |
% |
0.95 |
% |
0.94 |
% |
0.58 |
% |
144 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
59.82 |
(0.15 |
) |
(0.14 |
) |
21.73 |
21.58 |
(0.09 |
) |
— |
(0.04 |
) |
(0.13 |
) |
$ |
81.27 |
36.04 |
% |
$ |
169,181 |
0.96 |
% |
0.94 |
% |
(0.16 |
)% |
0.95 |
% |
0.93 |
% |
(0.15 |
)% |
87 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
73.05 |
0.27 |
0.31 |
(13.07 |
) |
(12.80 |
) |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
59.82 |
-16.88 |
% |
$ |
136,479 |
1.02 |
% |
1.04 |
% |
0.46 |
% |
0.95 |
% |
0.97 |
% |
0.53 |
% |
192 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
62.74 |
0.90 |
0.96 |
10.28 |
11.18 |
(0.87 |
) |
— |
— |
(0.87 |
) |
$ |
73.05 |
17.72 |
% |
$ |
188,596 |
1.04 |
% |
1.06 |
% |
1.24 |
% |
0.95 |
% |
0.97 |
% |
1.33 |
% |
66 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
115.85 |
1.02 |
1.05 |
(53.34 |
) |
(52.32 |
) |
(0.77 |
) |
— |
(0.02 |
) |
(0.79 |
) |
$ |
62.74 |
-45.51 |
% |
$ |
202,745 |
0.98 |
% |
0.99 |
% |
0.94 |
% |
0.95 |
% |
0.96 |
% |
0.97 |
% |
136 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
62.59 |
(0.37 |
) |
(0.28 |
) |
53.63 |
53.26 |
— |
— |
— |
— |
$ |
115.85 |
85.09 |
% |
$ |
275,919 |
1.06 |
% |
1.08 |
% |
(0.47 |
)% |
0.95 |
% |
0.97 |
% |
(0.36 |
)% |
38 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
9.03 |
(0.04 |
) |
(0.04 |
) |
3.72 |
3.68 |
— |
— |
— |
— |
$ |
12.71 |
40.75 |
% |
$ |
43,797 |
0.96 |
% |
1.13 |
% |
(0.87 |
)% |
0.95 |
% |
1.12 |
% |
(0.86 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
17.25 |
(0.08 |
) |
(0.08 |
) |
(8.14 |
) |
(8.22 |
) |
— |
— |
— |
— |
$ |
9.03 |
-47.65 |
% |
$ |
26,590 |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
42.02 |
(0.04 |
) |
(0.03 |
) |
(24.56 |
) |
(24.60 |
) |
(0.11 |
) |
— |
(0.06 |
) |
(0.17 |
) |
$ |
17.25 |
-58.79 |
% |
$ |
38,720 |
0.98 |
% |
1.08 |
% |
(0.12 |
)% |
0.95 |
% |
1.05 |
% |
(0.09 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
64.78 |
0.63 |
0.67 |
(22.66 |
) |
(22.03 |
) |
(0.73 |
) |
— |
— |
(0.73 |
) |
$ |
42.02 |
-34.15 |
% |
$ |
62,837 |
1.02 |
% |
1.08 |
% |
1.32 |
% |
0.95 |
% |
1.01 |
% |
1.39 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
50.55 |
0.30 |
0.32 |
14.09 |
14.39 |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
64.78 |
28.60 |
% |
$ |
90,383 |
0.99 |
% |
1.03 |
% |
0.64 |
% |
0.95 |
% |
0.99 |
% |
0.68 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
114.55 |
(0.20 |
) |
(0.20 |
) |
(63.80 |
) |
(64.00 |
) |
— |
— |
— |
— |
$ |
50.55 |
-55.87 |
% |
$ |
84,166 |
0.96 |
% |
1.00 |
% |
(0.26 |
)% |
0.95 |
% |
0.99 |
% |
(0.25 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
83.10 |
0.32 |
0.33 |
3.16 |
3.48 |
(0.47 |
) |
— |
— |
(0.47 |
) |
$ |
86.11 |
4.18 |
% |
$ |
11,470 |
0.96 |
% |
1.04 |
% |
0.72 |
% |
0.95 |
% |
1.03 |
% |
0.73 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
31.99 |
(0.03 |
) |
(0.02 |
) |
51.33 |
51.30 |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
83.10 |
160.49 |
% |
$ |
15,225 |
0.96 |
% |
0.99 |
% |
(0.04 |
)% |
0.95 |
% |
0.98 |
% |
(0.03 |
)% |
180 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
130.32 |
0.08 |
0.12 |
(97.90 |
) |
(97.82 |
) |
(0.42 |
) |
— |
(0.09 |
) |
(0.51 |
) |
$ |
31.99 |
-75.36 |
% |
$ |
10,660 |
1.03 |
% |
1.26 |
% |
0.18 |
% |
0.95 |
% |
1.18 |
% |
0.26 |
% |
188 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
128.28 |
2.04 |
2.16 |
2.28 |
4.32 |
(2.28 |
) |
— |
— |
(2.28 |
) |
$ |
130.32 |
3.42 |
% |
$ |
11,400 |
1.05 |
% |
1.20 |
% |
1.69 |
% |
0.95 |
% |
1.10 |
% |
1.79 |
% |
325 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
261.96 |
3.48 |
3.48 |
(130.56 |
) |
(127.08 |
) |
(6.60 |
) |
— |
— |
(6.60 |
) |
$ |
128.28 |
-49.66 |
% |
$ |
4,809 |
0.96 |
% |
1.13 |
% |
1.50 |
% |
0.95 |
% |
1.12 |
% |
1.51 |
% |
140 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 |
$ |
300.00 |
0.48 |
0.48 |
(38.52 |
) |
(38.04 |
) |
— |
— |
— |
— |
$ |
261.96 |
-12.68 |
% |
$ |
3,274 |
0.96 |
% |
2.74 |
% |
0.30 |
% |
0.95 |
% |
2.73 |
% |
0.29 |
% |
647 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
118
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
26.12 |
$ |
0.12 |
$ |
0.12 |
$ |
(11.33 |
) |
$ |
(11.21 |
) |
$ |
(0.19 |
) |
$ |
— |
$ |
— |
$ |
(0.19 |
) |
$ |
14.72 |
-43.22 |
% |
$ |
25,021 |
0.95 |
% |
0.97 |
% |
1.08 |
% |
0.95 |
% |
0.97 |
% |
1.08 |
% |
21 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
16.66 |
(0.27 |
) |
(0.27 |
) |
9.73 |
9.46 |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
26.12 |
56.80 |
% |
$ |
47,022 |
0.96 |
% |
0.97 |
% |
(0.73 |
)% |
0.95 |
% |
0.96 |
% |
(0.72 |
)% |
97 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
21.32 |
(0.00 |
)10 |
0.01 |
(4.47 |
) |
(4.47 |
) |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
16.66 |
-21.27 |
% |
$ |
25,821 |
1.01 |
% |
1.15 |
% |
(0.02 |
)% |
0.95 |
% |
1.09 |
% |
0.04 |
% |
327 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
24.13 |
0.16 |
0.18 |
(2.78 |
) |
(2.62 |
) |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
21.32 |
-10.93 |
% |
$ |
25,580 |
1.04 |
% |
1.10 |
% |
0.71 |
% |
0.95 |
% |
1.01 |
% |
0.80 |
% |
149 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
60.22 |
0.36 |
0.39 |
(34.01 |
) |
(33.65 |
) |
(0.60 |
) |
(1.84 |
) |
— |
(2.44 |
) |
$ |
24.13 |
-58.26 |
% |
$ |
22,924 |
1.03 |
% |
1.16 |
% |
0.76 |
% |
0.95 |
% |
1.08 |
% |
0.84 |
% |
96 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
26.57 |
(0.21 |
) |
(0.21 |
) |
33.86 |
33.65 |
— |
— |
— |
— |
$ |
60.22 |
126.65 |
% |
$ |
12,044 |
0.97 |
% |
1.35 |
% |
(0.53 |
)% |
0.95 |
% |
1.33 |
% |
(0.51 |
)% |
88 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
20.58 |
(0.01 |
) |
(0.01 |
) |
(2.30 |
) |
(2.31 |
) |
(0.00 |
)10 |
(0.34 |
) |
— |
(0.34 |
) |
$ |
17.93 |
-11.26 |
% |
$ |
207,067 |
0.94 |
% |
0.93 |
% |
(0.14 |
)% |
0.93 |
% |
0.92 |
% |
(0.13 |
)% |
38 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.87 |
(0.03 |
) |
(0.03 |
) |
11.75 |
11.72 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
20.58 |
132.19 |
% |
$ |
280,890 |
0.96 |
% |
0.93 |
% |
(0.17 |
)% |
0.95 |
% |
0.92 |
% |
(0.16 |
)% |
64 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
55.54 |
0.01 |
(0.01 |
) |
(46.58 |
) |
(46.57 |
) |
(0.06 |
) |
— |
(0.04 |
) |
(0.10 |
) |
$ |
8.87 |
-83.86 |
% |
$ |
199,485 |
0.99 |
% |
1.02 |
% |
0.07 |
% |
0.95 |
% |
0.98 |
% |
0.11 |
% |
159 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
42.15 |
0.30 |
0.46 |
13.43 |
13.73 |
(0.34 |
) |
— |
— |
(0.34 |
) |
$ |
55.54 |
32.78 |
% |
$ |
52,759 |
1.30 |
% |
1.34 |
% |
0.63 |
% |
0.95 |
% |
0.99 |
% |
0.98 |
% |
54 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
40.03 |
0.20 |
0.27 |
2.81 |
3.01 |
(0.26 |
) |
(0.63 |
) |
— |
(0.89 |
) |
$ |
42.15 |
7.39 |
% |
$ |
56,900 |
1.09 |
% |
1.11 |
% |
0.40 |
% |
0.95 |
% |
0.97 |
% |
0.54 |
% |
39 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 |
$ |
25.00 |
0.07 |
0.07 |
14.96 |
15.03 |
— |
— |
— |
— |
$ |
40.03 |
60.12 |
% |
$ |
42,032 |
0.98 |
% |
1.34 |
% |
0.39 |
% |
0.95 |
% |
1.31 |
% |
0.42 |
% |
7 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
92.11 |
(0.16 |
) |
(0.16 |
) |
(49.41 |
) |
(49.57 |
) |
— |
— |
— |
— |
$ |
42.54 |
-53.82 |
% |
$ |
34,034 |
0.96 |
% |
0.99 |
% |
(0.45 |
)% |
0.95 |
% |
0.98 |
% |
(0.44 |
)% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
36.13 |
(0.33 |
) |
(0.33 |
) |
56.31 |
55.98 |
— |
— |
— |
— |
$ |
92.11 |
154.94 |
% |
$ |
55,264 |
0.96 |
% |
0.99 |
% |
(0.54 |
)% |
0.95 |
% |
0.98 |
% |
(0.53 |
)% |
18 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
31.74 |
(0.06 |
) |
(0.05 |
) |
4.52 |
4.46 |
(0.07 |
) |
— |
— |
(0.07 |
) |
$ |
36.13 |
14.26 |
% |
$ |
12,647 |
1.00 |
% |
1.46 |
% |
(0.20 |
)% |
0.95 |
% |
1.41 |
% |
(0.15 |
)% |
101 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period November 29, 20189 through October 31, 2019 |
$ |
25.00 |
0.15 |
0.18 |
6.79 |
6.94 |
(0.17 |
) |
— |
(0.03 |
) |
(0.20 |
) |
$ |
31.74 |
27.83 |
% |
$ |
6,347 |
1.08 |
% |
2.18 |
% |
0.55 |
% |
0.95 |
% |
2.05 |
% |
0.68 |
% |
66 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
86.93 |
(0.15 |
) |
(0.15 |
) |
(66.84 |
) |
(66.99 |
) |
— |
(3.05 |
) |
— |
(3.05 |
) |
$ |
16.89 |
-79.68 |
% |
$ |
101,368 |
0.95 |
% |
0.93 |
% |
(0.75 |
)% |
0.95 |
% |
0.93 |
% |
(0.75 |
)% |
27 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
45.47 |
(0.62 |
) |
(0.62 |
) |
42.08 |
41.46 |
— |
— |
— |
— |
$ |
86.93 |
91.18 |
% |
$ |
99,968 |
0.96 |
% |
0.96 |
% |
(0.81 |
)% |
0.95 |
% |
0.95 |
% |
(0.80 |
)% |
65 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 |
$ |
25.00 |
(0.25 |
) |
(0.24 |
) |
20.74 |
20.49 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
45.47 |
81.99 |
% |
$ |
34,100 |
0.97 |
% |
1.14 |
% |
(0.66 |
)% |
0.95 |
% |
1.12 |
% |
(0.64 |
)% |
123 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
14.39 |
(0.10 |
) |
(0.10 |
) |
22.50 |
22.40 |
— |
— |
— |
— |
$ |
36.79 |
155.66 |
% |
$ |
30,168 |
0.95 |
% |
1.12 |
% |
(0.83 |
)% |
0.95 |
% |
1.12 |
% |
(0.83 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
44.23 |
(0.18 |
) |
(0.18 |
) |
(29.66 |
) |
(29.84 |
) |
— |
— |
— |
— |
$ |
14.39 |
-67.47 |
% |
$ |
4,604 |
0.95 |
% |
1.56 |
% |
(0.93 |
)% |
0.95 |
% |
1.56 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 |
$ |
250.00 |
(0.24 |
) |
(0.23 |
) |
(204.96 |
) |
(205.20 |
) |
(0.28 |
) |
— |
(0.29 |
) |
(0.57 |
) |
$ |
44.23 |
-82.26 |
% |
$ |
5,305 |
0.96 |
% |
2.14 |
% |
(0.30 |
)% |
0.95 |
% |
2.13 |
% |
(0.29 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
144.45 |
0.38 |
0.38 |
(61.19 |
) |
(60.81 |
) |
(0.36 |
) |
— |
— |
(0.36 |
) |
$ |
83.28 |
-42.18 |
% |
$ |
2,169,308 |
0.84 |
% |
0.91 |
% |
0.60 |
% |
0.83 |
% |
0.90 |
% |
0.61 |
% |
61 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
33.61 |
0.52 |
0.53 |
110.82 |
111.34 |
(0.50 |
) |
— |
— |
(0.50 |
) |
$ |
144.45 |
332.26 |
% |
$ |
3,582,160 |
0.86 |
% |
0.91 |
% |
0.56 |
% |
0.85 |
% |
0.90 |
% |
0.57 |
% |
70 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
80.94 |
0.32 |
0.36 |
(47.34 |
) |
(47.02 |
) |
(0.31 |
) |
— |
— |
(0.31 |
) |
$ |
33.61 |
-58.07 |
% |
$ |
1,347,638 |
1.03 |
% |
1.03 |
% |
0.73 |
% |
0.94 |
% |
0.94 |
% |
0.82 |
% |
247 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
58.65 |
0.68 |
0.88 |
22.25 |
22.93 |
(0.64 |
) |
— |
— |
(0.64 |
) |
$ |
80.94 |
39.44 |
% |
$ |
1,339,498 |
1.26 |
% |
1.25 |
% |
1.04 |
% |
0.95 |
% |
0.94 |
% |
1.35 |
% |
29 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
60.31 |
0.60 |
0.67 |
(1.70 |
) |
(1.10 |
) |
(0.56 |
) |
— |
— |
(0.56 |
) |
$ |
58.65 |
-1.98 |
% |
$ |
1,627,513 |
1.04 |
% |
1.05 |
% |
0.89 |
% |
0.94 |
% |
0.95 |
% |
0.99 |
% |
73 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
29.34 |
0.11 |
0.15 |
30.86 |
30.97 |
— |
— |
— |
— |
$ |
60.31 |
105.56 |
% |
$ |
1,538,012 |
1.03 |
% |
1.02 |
% |
0.24 |
% |
0.95 |
% |
0.94 |
% |
0.32 |
% |
4 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
119
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
18.33 |
$ |
(0.08 |
) |
$ |
(0.08 |
) |
$ |
6.71 |
$ |
6.63 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
24.96 |
36.17 |
% |
$ |
138,606 |
0.95 |
% |
0.92 |
% |
(0.87 |
)% |
0.95 |
% |
0.92 |
% |
(0.87 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
118.00 |
(0.33 |
) |
(0.33 |
) |
(99.34 |
) |
(99.67 |
) |
— |
— |
— |
— |
$ |
18.33 |
-84.47 |
% |
$ |
130,234 |
0.95 |
% |
0.92 |
% |
(0.93 |
)% |
0.95 |
% |
0.92 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
261.76 |
(0.88 |
) |
(0.80 |
) |
(141.92 |
) |
(142.80 |
) |
(0.64 |
) |
— |
(0.32 |
) |
(0.96 |
) |
$ |
118.00 |
-54.76 |
% |
$ |
271,668 |
0.96 |
% |
0.98 |
% |
(0.48 |
)% |
0.95 |
% |
0.97 |
% |
(0.47 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
449.20 |
4.72 |
4.88 |
(187.52 |
) |
(182.80 |
) |
(4.64 |
) |
— |
— |
(4.64 |
) |
$ |
261.76 |
-40.98 |
% |
$ |
175,801 |
0.99 |
% |
1.00 |
% |
1.37 |
% |
0.95 |
% |
0.96 |
% |
1.41 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
538.40 |
2.80 |
2.80 |
(90.40 |
) |
(87.60 |
) |
(1.60 |
) |
— |
— |
(1.60 |
) |
$ |
449.20 |
-16.26 |
% |
$ |
141,799 |
0.95 |
% |
0.96 |
% |
0.69 |
% |
0.95 |
% |
0.96 |
% |
0.69 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
1,255.60 |
(2.00 |
) |
(2.00 |
) |
(715.20 |
) |
(717.20 |
) |
— |
— |
— |
— |
$ |
538.40 |
-57.12 |
% |
$ |
178,750 |
0.95 |
% |
1.00 |
% |
(0.26 |
)% |
0.95 |
% |
1.00 |
% |
(0.26 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
123.96 |
0.06 |
0.06 |
(13.15 |
) |
(13.09 |
) |
(0.07 |
) |
— |
— |
(0.07 |
) |
$ |
110.80 |
-10.57 |
% |
$ |
210,513 |
0.96 |
% |
0.94 |
% |
0.09 |
% |
0.95 |
% |
0.93 |
% |
0.10 |
% |
7 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
55.70 |
(0.04 |
) |
(0.04 |
) |
68.31 |
68.27 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
123.96 |
122.57 |
% |
$ |
254,116 |
0.96 |
% |
0.94 |
% |
(0.05 |
)% |
0.95 |
% |
0.93 |
% |
(0.04 |
)% |
2 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
58.15 |
0.12 |
0.16 |
(2.44 |
) |
(2.32 |
) |
(0.13 |
) |
— |
— |
(0.13 |
) |
$ |
55.70 |
-3.85 |
% |
$ |
103,039 |
1.01 |
% |
1.04 |
% |
0.20 |
% |
0.95 |
% |
0.98 |
% |
0.26 |
% |
228 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
53.02 |
0.40 |
0.46 |
5.16 |
5.56 |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
58.15 |
10.61 |
% |
$ |
139,550 |
1.07 |
% |
1.08 |
% |
0.75 |
% |
0.95 |
% |
0.96 |
% |
0.87 |
% |
16 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
44.17 |
0.20 |
0.25 |
8.94 |
9.14 |
(0.27 |
) |
(0.02 |
) |
— |
(0.29 |
) |
$ |
53.02 |
20.69 |
% |
$ |
151,104 |
1.06 |
% |
1.07 |
% |
0.40 |
% |
0.95 |
% |
0.96 |
% |
0.51 |
% |
43 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
25.86 |
(0.01 |
) |
0.01 |
18.32 |
18.31 |
— |
— |
— |
— |
$ |
44.17 |
70.80 |
% |
$ |
143,567 |
1.00 |
% |
1.02 |
% |
(0.02 |
)% |
0.95 |
% |
0.97 |
% |
0.03 |
% |
23 |
% |
||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
83.28 |
(0.09 |
) |
(0.08 |
) |
(47.02 |
) |
(47.11 |
) |
— |
— |
— |
— |
$ |
36.17 |
-56.33 |
% |
$ |
182,678 |
0.94 |
% |
0.94 |
% |
(0.25 |
)% |
0.92 |
% |
0.92 |
% |
(0.23 |
)% |
49 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
39.58 |
(0.25 |
) |
(0.24 |
) |
43.95 |
43.70 |
— |
— |
— |
— |
$ |
83.28 |
110.41 |
% |
$ |
383,075 |
0.96 |
% |
0.94 |
% |
(0.37 |
)% |
0.94 |
% |
0.92 |
% |
(0.35 |
)% |
95 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
70.39 |
(0.12 |
) |
(0.10 |
) |
(30.69 |
) |
(30.81 |
) |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
39.58 |
-43.74 |
% |
$ |
360,141 |
1.01 |
% |
1.02 |
% |
(0.34 |
)% |
0.95 |
% |
0.96 |
% |
(0.28 |
)% |
134 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
28.33 |
0.15 |
0.22 |
42.09 |
42.24 |
(0.17 |
) |
— |
(0.01 |
) |
(0.18 |
) |
$ |
70.39 |
149.83 |
% |
$ |
66,870 |
1.12 |
% |
1.17 |
% |
0.34 |
% |
0.95 |
% |
1.00 |
% |
0.51 |
% |
24 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
71.69 |
0.05 |
0.08 |
(42.24 |
) |
(42.19 |
) |
(0.02 |
) |
(1.15 |
) |
— |
(1.17 |
) |
$ |
28.33 |
-59.92 |
% |
$ |
39,667 |
0.99 |
% |
1.03 |
% |
0.09 |
% |
0.95 |
% |
0.99 |
% |
0.13 |
% |
38 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
21.24 |
(0.17 |
) |
(0.14 |
) |
50.62 |
50.45 |
— |
— |
— |
— |
$ |
71.69 |
237.52 |
% |
$ |
39,428 |
1.02 |
% |
1.45 |
% |
(0.39 |
)% |
0.95 |
% |
1.38 |
% |
(0.32 |
)% |
164 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
45.37 |
0.01 |
0.01 |
(12.36 |
) |
(12.35 |
) |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
33.00 |
-27.23 |
% |
$ |
26,397 |
0.96 |
% |
0.98 |
% |
0.03 |
% |
0.95 |
% |
0.97 |
% |
0.04 |
% |
4 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
18.48 |
(0.00 |
)10 |
(0.00 |
)10 |
26.96 |
26.96 |
(0.03 |
) |
(0.04 |
) |
— |
(0.07 |
) |
$ |
45.37 |
146.14 |
% |
$ |
63,520 |
0.96 |
% |
0.96 |
% |
(0.01 |
)% |
0.95 |
% |
0.95 |
% |
— |
% |
3 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
32.94 |
0.05 |
0.06 |
(14.36 |
) |
(14.31 |
) |
(0.15 |
) |
— |
— |
(0.15 |
) |
$ |
18.48 |
-43.33 |
% |
$ |
16,636 |
0.97 |
% |
1.44 |
% |
0.27 |
% |
0.95 |
% |
1.42 |
% |
0.29 |
% |
103 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
26.25 |
0.37 |
0.39 |
6.75 |
7.12 |
(0.43 |
) |
— |
— |
(0.43 |
) |
$ |
32.94 |
27.57 |
% |
$ |
3,294 |
1.03 |
% |
1.84 |
% |
1.25 |
% |
0.95 |
% |
1.76 |
% |
1.33 |
% |
228 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
30.93 |
0.22 |
0.25 |
(4.54 |
) |
(4.32 |
) |
(0.27 |
) |
(0.09 |
) |
— |
(0.36 |
) |
$ |
26.25 |
-14.26 |
% |
$ |
3,937 |
1.05 |
% |
1.58 |
% |
0.62 |
% |
0.95 |
% |
1.48 |
% |
0.72 |
% |
26 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 |
$ |
25.00 |
0.05 |
0.05 |
5.88 |
5.93 |
— |
— |
— |
— |
$ |
30.93 |
23.72 |
% |
$ |
3,093 |
0.95 |
% |
3.54 |
% |
0.34 |
% |
0.95 |
% |
3.54 |
% |
0.34 |
% |
111 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
18.11 |
0.009 |
0.009 |
(7.33 |
) |
(7.33 |
) |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
10.77 |
-40.50 |
% |
$ |
14,006 |
0.95 |
% |
1.02 |
% |
0.03 |
% |
0.95 |
% |
1.02 |
% |
0.03 |
% |
112 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
15.76 |
(0.09 |
) |
(0.08 |
) |
2.44 |
2.35 |
— |
— |
— |
— |
$ |
18.11 |
14.91 |
% |
$ |
31,693 |
0.95 |
% |
1.07 |
% |
(0.39 |
)% |
0.95 |
% |
1.07 |
% |
(0.39 |
)% |
115 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
15.66 |
(0.06 |
) |
(0.04 |
) |
0.16 |
0.10 |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
15.76 |
0.64 |
% |
$ |
11,029 |
1.03 |
% |
1.38 |
% |
(0.34 |
)% |
0.95 |
% |
1.30 |
% |
(0.26 |
)% |
165 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
26.53 |
0.12 |
0.12 |
(10.80 |
) |
(10.68 |
) |
(0.18 |
) |
— |
(0.01 |
) |
(0.19 |
) |
$ |
15.66 |
-40.41 |
% |
$ |
8,611 |
0.97 |
% |
1.43 |
% |
0.72 |
% |
0.95 |
% |
1.41 |
% |
0.74 |
% |
246 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Period November 15, 20179 through October 31, 2018 |
$ |
25.00 |
0.08 |
0.09 |
1.56 |
1.64 |
(0.10 |
) |
— |
(0.01 |
) |
(0.11 |
) |
$ |
26.53 |
6.49 |
% |
$ |
3,979 |
0.98 |
% |
2.01 |
% |
0.30 |
% |
0.95 |
% |
1.98 |
% |
0.33 |
% |
152 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
120
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
26.14 |
$ |
0.11 |
$ |
0.11 |
$ |
(2.85 |
) |
$ |
(2.74 |
) |
$ |
(0.12 |
) |
$ |
(1.13 |
) |
$ |
— |
$ |
(1.25 |
) |
$ |
22.15 |
-11.08 |
% |
$ |
101,883 |
0.96 |
% |
0.95 |
% |
0.91 |
% |
0.95 |
% |
0.94 |
% |
0.92 |
% |
55 |
% |
||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
9.03 |
0.22 |
0.22 |
17.08 |
17.30 |
(0.19 |
) |
— |
— |
(0.19 |
) |
$ |
26.14 |
192.60 |
% |
$ |
147,704 |
0.96 |
% |
0.94 |
% |
1.18 |
% |
0.95 |
% |
0.93 |
% |
1.19 |
% |
20 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
30.84 |
0.19 |
0.19 |
(21.40 |
) |
(21.21 |
) |
(0.17 |
) |
(0.40 |
) |
(0.03 |
) |
(0.60 |
) |
$ |
9.03 |
-69.35 |
% |
$ |
49,659 |
1.01 |
% |
1.08 |
% |
1.40 |
% |
0.95 |
% |
1.02 |
% |
1.46 |
% |
123 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
19.59 |
0.54 |
0.59 |
11.20 |
11.74 |
(0.49 |
) |
— |
— |
(0.49 |
) |
$ |
30.84 |
60.83 |
% |
$ |
53,969 |
1.14 |
% |
1.22 |
% |
2.21 |
% |
0.95 |
% |
1.03 |
% |
2.40 |
% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
21.70 |
0.50 |
0.53 |
(2.01 |
) |
(1.51 |
) |
(0.48 |
) |
— |
(0.12 |
) |
(0.60 |
) |
$ |
19.59 |
-7.13 |
% |
$ |
40,163 |
1.09 |
% |
1.12 |
% |
2.55 |
% |
0.95 |
% |
0.98 |
% |
2.69 |
% |
149 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
20.09 |
0.05 |
0.06 |
1.56 |
1.61 |
— |
— |
— |
— |
$ |
21.70 |
8.01 |
% |
$ |
69,453 |
1.00 |
% |
1.05 |
% |
0.20 |
% |
0.95 |
% |
1.00 |
% |
0.25 |
% |
113 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
41.07 |
(0.17 |
) |
(0.17 |
) |
(2.94 |
) |
(3.11 |
) |
— |
— |
— |
— |
$ |
37.96 |
-7.57 |
% |
$ |
33,557 |
0.95 |
% |
1.17 |
% |
(0.87 |
)% |
0.95 |
% |
1.17 |
% |
(0.87 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
153.40 |
(0.64 |
) |
(0.64 |
) |
(111.69 |
) |
(112.33 |
) |
— |
— |
— |
— |
$ |
41.07 |
-73.23 |
% |
$ |
19,926 |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0.95 |
% |
1.17 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
257.60 |
(1.10 |
) |
(1.10 |
) |
(102.20 |
) |
(103.30 |
) |
(0.60 |
) |
— |
(0.30 |
) |
(0.90 |
) |
$ |
153.40 |
-40.31 |
% |
$ |
45,283 |
0.96 |
% |
1.14 |
% |
(0.60 |
)% |
0.95 |
% |
1.13 |
% |
(0.59 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
502.00 |
5.00 |
5.00 |
(244.60 |
) |
(239.60 |
) |
(4.80 |
) |
— |
— |
(4.80 |
) |
$ |
257.60 |
-47.94 |
% |
$ |
15,495 |
0.97 |
% |
1.28 |
% |
1.41 |
% |
0.95 |
% |
1.26 |
% |
1.43 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
564.00 |
4.00 |
4.00 |
(64.50 |
) |
(60.50 |
) |
(1.50 |
) |
— |
— |
(1.50 |
) |
$ |
502.00 |
-10.68 |
% |
$ |
19,156 |
0.99 |
% |
1.36 |
% |
0.71 |
% |
0.95 |
% |
1.32 |
% |
0.75 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
714.00 |
(2.00 |
) |
(2.00 |
) |
(148.00 |
) |
(150.00 |
) |
— |
— |
— |
— |
$ |
564.00 |
-21.01 |
% |
$ |
15,882 |
0.97 |
% |
1.36 |
% |
(0.33 |
)% |
0.95 |
% |
1.34 |
% |
(0.31 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
51.02 |
0.16 |
0.16 |
(20.91 |
) |
(20.75 |
) |
(0.16 |
) |
— |
— |
(0.16 |
) |
$ |
30.11 |
-40.79 |
% |
$ |
279,976 |
0.89 |
% |
0.89 |
% |
0.64 |
% |
0.88 |
% |
0.88 |
% |
0.65 |
% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
13.19 |
0.28 |
0.28 |
37.83 |
38.11 |
(0.28 |
) |
— |
— |
(0.28 |
) |
$ |
51.02 |
290.09 |
% |
$ |
441,276 |
0.91 |
% |
0.89 |
% |
0.70 |
% |
0.90 |
% |
0.88 |
% |
0.71 |
% |
147 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
83.12 |
0.21 |
0.21 |
(69.69 |
) |
(69.48 |
) |
(0.45 |
) |
— |
— |
(0.45 |
) |
$ |
13.19 |
-83.83 |
% |
$ |
111,397 |
0.97 |
% |
1.00 |
% |
1.64 |
% |
0.95 |
% |
0.98 |
% |
1.66 |
% |
331 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
99.44 |
1.40 |
1.44 |
(16.30 |
) |
(14.90 |
) |
(1.42 |
) |
— |
— |
(1.42 |
) |
$ |
83.13 |
-14.83 |
% |
$ |
20,780 |
0.99 |
% |
1.07 |
% |
1.64 |
% |
0.95 |
% |
1.03 |
% |
1.68 |
% |
81 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
133.96 |
1.24 |
1.34 |
(34.54 |
) |
(33.30 |
) |
(1.22 |
) |
— |
— |
(1.22 |
) |
$ |
99.44 |
-25.20 |
% |
$ |
29,835 |
1.02 |
% |
1.04 |
% |
0.79 |
% |
0.95 |
% |
0.97 |
% |
0.86 |
% |
76 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
69.40 |
0.30 |
0.32 |
64.46 |
64.76 |
(0.20 |
) |
— |
— |
(0.20 |
) |
$ |
133.96 |
93.38 |
% |
$ |
26,794 |
0.96 |
% |
1.07 |
% |
0.25 |
% |
0.95 |
% |
1.06 |
% |
0.26 |
% |
184 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
41.95 |
0.08 |
0.08 |
(27.09 |
) |
(27.01 |
) |
(0.08 |
) |
— |
— |
(0.08 |
) |
$ |
14.86 |
-64.50 |
% |
$ |
62,001 |
0.95 |
% |
0.91 |
% |
0.56 |
% |
0.94 |
% |
0.90 |
% |
0.57 |
% |
38 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.58 |
(0.09 |
) |
(0.08 |
) |
33.46 |
33.37 |
(0.00 |
)10 |
— |
— |
(0.00 |
)10 |
$ |
41.95 |
389.07 |
% |
$ |
129 |
0.97 |
% |
0.92 |
% |
(0.24 |
)% |
0.95 |
% |
0.90 |
% |
(0.22 |
)% |
112 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
9.43 |
0.01 |
0.01 |
(0.82 |
) |
(0.81 |
) |
(0.02 |
) |
— |
(0.02 |
) |
(0.04 |
) |
$ |
8.58 |
-7.65 |
% |
$ |
22,485 |
0.99 |
% |
1.17 |
% |
0.12 |
% |
0.95 |
% |
1.13 |
% |
0.16 |
% |
171 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
14.76 |
0.13 |
0.13 |
(5.34 |
) |
(5.21 |
) |
(0.12 |
) |
— |
— |
(0.12 |
) |
$ |
9.43 |
-35.35 |
% |
$ |
12,967 |
1.01 |
% |
1.16 |
% |
1.15 |
% |
0.95 |
% |
1.10 |
% |
1.21 |
% |
84 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
9.80 |
0.08 |
0.56 |
4.98 |
5.06 |
(0.10 |
) |
— |
— |
(0.10 |
) |
$ |
14.76 |
51.66 |
% |
$ |
31,367 |
1.09 |
% |
1.15 |
% |
0.59 |
% |
0.95 |
% |
1.01 |
% |
0.73 |
% |
81 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
15.45 |
(0.01 |
) |
(0.01 |
) |
(5.26 |
) |
(5.27 |
) |
— |
(0.38 |
) |
— |
(0.38 |
) |
$ |
9.80 |
-35.22 |
% |
$ |
36,728 |
0.99 |
% |
1.09 |
% |
(0.10 |
)% |
0.95 |
% |
1.05 |
% |
(0.06 |
)% |
659 |
% |
|||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
75.48 |
(0.09 |
) |
(0.09 |
) |
(34.20 |
) |
(34.29 |
) |
— |
— |
— |
— |
$ |
41.19 |
-45.43 |
% |
$ |
68,562 |
0.96 |
% |
0.95 |
% |
(0.27 |
)% |
0.95 |
% |
0.94 |
% |
(0.26 |
)% |
88 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
14.43 |
(0.01 |
) |
(0.01 |
) |
61.10 |
61.09 |
(0.04 |
) |
— |
— |
(0.04 |
) |
$ |
75.48 |
423.32 |
% |
$ |
110,529 |
0.96 |
% |
0.97 |
% |
(0.02 |
)% |
0.95 |
% |
0.96 |
% |
(0.01 |
)% |
151 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 |
$ |
35.71 |
— |
— |
(21.14 |
) |
(21.14 |
) |
(0.04 |
) |
— |
(0.10 |
) |
(0.14 |
) |
$ |
14.43 |
-59.13 |
% |
$ |
29,795 |
0.97 |
% |
1.16 |
% |
(0.03 |
)% |
0.95 |
% |
1.14 |
% |
(0.01 |
)% |
245 |
% |
||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
9.06 |
(0.04 |
) |
(0.04 |
) |
1.66 |
1.62 |
— |
— |
— |
— |
$ |
10.68 |
17.88 |
% |
$ |
47,054 |
0.95 |
% |
0.99 |
% |
(0.84 |
)% |
0.95 |
% |
0.99 |
% |
(0.84 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
101.00 |
(0.15 |
) |
(0.15 |
) |
(91.79 |
) |
(91.94 |
) |
— |
— |
— |
— |
$ |
9.06 |
-91.03 |
% |
$ |
23,626 |
0.95 |
% |
1.03 |
% |
(0.93 |
)% |
0.95 |
% |
1.03 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period November 7, 20199 through October 31, 2020 |
$ |
500.00 |
(1.00 |
) |
(1.00 |
) |
(379.20 |
) |
(398.20 |
) |
(0.40 |
) |
— |
(0.40 |
) |
(0.80 |
) |
$ |
101.00 |
-79.76 |
% |
$ |
52,781 |
0.96 |
% |
1.10 |
% |
(0.79 |
)% |
0.95 |
% |
1.09 |
% |
(0.78 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
121
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
53.25 |
$ |
(0.08 |
) |
$ |
(0.08 |
) |
$ |
(45.05 |
) |
$ |
(45.13 |
) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
8.12 |
-84.75 |
% |
$ |
666,451 |
0.92 |
% |
0.92 |
% |
(0.79 |
)% |
0.92 |
% |
0.92 |
% |
(0.79 |
)% |
56 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
53.52 |
(0.57 |
) |
(0.57 |
) |
0.30 |
(0.27 |
) |
— |
— |
— |
— |
$ |
53.25 |
-0.50 |
% |
$ |
772,796 |
0.95 |
% |
0.93 |
% |
(0.82 |
)% |
0.94 |
% |
0.92 |
% |
(0.81 |
)% |
169 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
37.18 |
(0.23 |
) |
(0.19 |
) |
16.58 |
16.35 |
(0.01 |
) |
— |
(0.00 |
)10 |
(0.01 |
) |
$ |
53.52 |
43.96 |
% |
$ |
292,298 |
1.04 |
% |
1.05 |
% |
(0.48 |
)% |
0.95 |
% |
0.96 |
% |
(0.39 |
)% |
137 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
49.33 |
0.24 |
0.25 |
(12.14 |
) |
(11.90 |
) |
(0.25 |
) |
— |
— |
(0.25 |
) |
$ |
37.18 |
-24.17 |
% |
$ |
487,452 |
0.98 |
% |
0.98 |
% |
0.53 |
% |
0.95 |
% |
0.95 |
% |
0.56 |
% |
114 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
76.45 |
0.15 |
0.31 |
(27.03 |
) |
(26.88 |
) |
(0.11 |
) |
(0.13 |
) |
— |
(0.24 |
) |
$ |
49.33 |
-35.28 |
% |
$ |
592,472 |
1.14 |
% |
1.15 |
% |
0.18 |
% |
0.95 |
% |
0.96 |
% |
0.37 |
% |
510 |
% |
||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
28.82 |
(0.22 |
) |
(0.18 |
) |
47.85 |
47.63 |
— |
— |
— |
— |
$ |
76.45 |
165.27 |
% |
$ |
379,297 |
1.04 |
% |
1.04 |
% |
(0.45 |
)% |
0.95 |
% |
0.95 |
% |
(0.36 |
)% |
642 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
21.33 |
(0.14 |
) |
(0.14 |
) |
36.23 |
36.09 |
— |
— |
— |
— |
$ |
57.42 |
169.20 |
% |
$ |
66,949 |
0.97 |
% |
0.98 |
% |
(0.88 |
)% |
0.95 |
% |
0.96 |
% |
(0.86 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
54.51 |
(0.20 |
) |
(0.20 |
) |
(32.98 |
) |
(33.18 |
) |
— |
— |
— |
— |
$ |
21.33 |
-60.87 |
% |
$ |
47,267 |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
408.20 |
(0.09 |
) |
(0.04 |
) |
(352.33 |
) |
(352.42 |
) |
(0.71 |
) |
— |
(0.56 |
) |
(1.27 |
) |
$ |
54.51 |
-86.59 |
% |
$ |
63,561 |
0.99 |
% |
1.03 |
% |
(0.07 |
)% |
0.95 |
% |
0.99 |
% |
(0.03 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
783.40 |
5.80 |
6.20 |
(373.20 |
) |
(367.40 |
) |
(7.80 |
) |
— |
— |
(7.80 |
) |
$ |
408.20 |
-47.16 |
% |
$ |
82,336 |
1.05 |
% |
1.07 |
% |
1.29 |
% |
0.95 |
% |
0.97 |
% |
1.39 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
1,008.00 |
4.60 |
5.00 |
(226.20 |
) |
(221.60 |
) |
(3.00 |
) |
— |
— |
(3.00 |
) |
$ |
783.40 |
-21.81 |
% |
$ |
56,196 |
1.00 |
% |
1.02 |
% |
0.74 |
% |
0.95 |
% |
0.97 |
% |
0.79 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
5,500.00 |
(2.00 |
) |
(2.00 |
) |
(4,490.00 |
) |
(4,492.00 |
) |
— |
— |
— |
— |
$ |
1,008.00 |
-81.67 |
% |
$ |
98,361 |
0.96 |
% |
0.99 |
% |
(0.17 |
)% |
0.95 |
% |
0.98 |
% |
(0.16 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
47.62 |
0.01 |
0.01 |
(25.46 |
) |
(25.45 |
) |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
22.15 |
-53.47 |
% |
$ |
4,719,290 |
0.73 |
% |
0.88 |
% |
0.03 |
% |
0.72 |
% |
0.87 |
% |
0.04 |
% |
97 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
16.59 |
(0.00 |
)10 |
(0.00 |
)10 |
31.05 |
31.05 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
47.62 |
187.22 |
% |
$ |
4,155,099 |
0.83 |
% |
0.90 |
% |
(0.01 |
)% |
0.82 |
% |
0.89 |
% |
— |
% |
170 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
13.21 |
0.02 |
0.03 |
3.39 |
3.41 |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
16.59 |
25.88 |
% |
$ |
1,318,844 |
1.06 |
% |
1.06 |
% |
0.13 |
% |
0.94 |
% |
0.94 |
% |
0.25 |
% |
230 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
6.70 |
0.07 |
0.10 |
6.51 |
6.58 |
(0.07 |
) |
— |
— |
(0.07 |
) |
$ |
13.21 |
98.82 |
% |
$ |
634,080 |
1.35 |
% |
1.35 |
% |
0.74 |
% |
0.93 |
% |
0.93 |
% |
1.16 |
% |
92 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
9.87 |
0.05 |
0.07 |
(3.16 |
) |
(3.11 |
) |
(0.06 |
) |
— |
— |
(0.06 |
) |
$ |
6.70 |
-31.68 |
% |
$ |
582,998 |
1.10 |
% |
1.09 |
% |
0.56 |
% |
0.94 |
% |
0.93 |
% |
0.72 |
% |
101 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
3.05 |
— |
0.01 |
7.00 |
7.00 |
— |
(0.18 |
) |
— |
(0.18 |
) |
$ |
9.87 |
238.31 |
% |
$ |
525,405 |
1.06 |
% |
1.04 |
% |
(0.02 |
)% |
0.95 |
% |
0.93 |
% |
0.09 |
% |
17 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares12 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
57.50 |
(0.17 |
) |
(0.17 |
) |
(0.96 |
) |
(1.13 |
) |
— |
— |
— |
— |
$ |
56.37 |
-1.97 |
% |
$ |
266,278 |
0.90 |
% |
0.88 |
% |
(0.81 |
)% |
0.90 |
% |
0.88 |
% |
(0.81 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
374.90 |
(0.80 |
) |
(0.80 |
) |
(316.60 |
) |
(317.40 |
) |
— |
— |
— |
— |
$ |
57.50 |
-84.66 |
% |
$ |
145,418 |
0.95 |
% |
0.91 |
% |
(0.93 |
)% |
0.95 |
% |
0.91 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
3,681.60 |
(0.20 |
) |
0.10 |
(3,292.40 |
) |
(3,292.60 |
) |
(10.20 |
) |
— |
(3.90 |
) |
(14.10 |
) |
$ |
374.90 |
-89.76 |
% |
$ |
93,777 |
0.98 |
% |
1.00 |
% |
(0.02 |
)% |
0.95 |
% |
0.97 |
% |
0.01 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
15,996.00 |
92.40 |
96.00 |
(12,285.60 |
) |
(12,193.20 |
) |
(121.20 |
) |
— |
— |
(121.20 |
) |
$ |
3,681.60 |
-76.67 |
% |
$ |
237,361 |
1.02 |
% |
1.01 |
% |
1.45 |
% |
0.95 |
% |
0.94 |
% |
1.52 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
19,500.00 |
96.00 |
108.00 |
(3,552.00 |
) |
(3,456.00 |
) |
(48.00 |
) |
— |
— |
(48.00 |
) |
$ |
15,996.00 |
-17.63 |
% |
$ |
65,459 |
0.97 |
% |
0.98 |
% |
0.73 |
% |
0.95 |
% |
0.96 |
% |
0.75 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
92,160.00 |
(72.00 |
) |
(72.00 |
) |
(72,588.00 |
) |
(72,660.00 |
) |
— |
— |
— |
— |
$ |
19,500.00 |
-78.84 |
% |
$ |
48,915 |
0.96 |
% |
1.03 |
% |
(0.18 |
)% |
0.95 |
% |
1.02 |
% |
(0.17 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
71.11 |
(0.09 |
) |
(0.09 |
) |
(28.96 |
) |
(29.05 |
) |
— |
(0.28 |
) |
— |
(0.28 |
) |
$ |
41.78 |
-41.05 |
% |
$ |
1,969,954 |
0.87 |
% |
0.93 |
% |
(0.28 |
)% |
0.86 |
% |
0.92 |
% |
(0.27 |
)% |
48 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
25.58 |
(0.14 |
) |
(0.14 |
) |
45.86 |
45.72 |
— |
(0.19 |
) |
— |
(0.19 |
) |
$ |
71.11 |
179.53 |
% |
$ |
3,061,359 |
0.91 |
% |
0.93 |
% |
(0.29 |
)% |
0.90 |
% |
0.92 |
% |
(0.28 |
)% |
25 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
18.44 |
(0.02 |
) |
— |
7.19 |
7.17 |
(0.03 |
) |
— |
— |
(0.03 |
) |
$ |
25.58 |
38.98 |
% |
$ |
1,560,088 |
1.06 |
% |
1.06 |
% |
(0.11 |
)% |
0.95 |
% |
0.95 |
% |
— |
% |
376 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
12.55 |
0.04 |
0.09 |
5.91 |
5.95 |
(0.05 |
) |
— |
— |
(0.05 |
) |
$ |
18.44 |
47.55 |
% |
$ |
774,641 |
1.36 |
% |
1.36 |
% |
0.27 |
% |
0.95 |
% |
0.95 |
% |
0.68 |
% |
47 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
10.76 |
0.04 |
0.07 |
1.80 |
1.84 |
(0.05 |
) |
— |
— |
(0.05 |
) |
$ |
12.55 |
16.99 |
% |
$ |
671,151 |
1.17 |
% |
1.17 |
% |
0.29 |
% |
0.95 |
% |
0.95 |
% |
0.51 |
% |
41 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
4.73 |
— |
0.01 |
6.03 |
6.03 |
— |
— |
— |
— |
$ |
10.76 |
127.43 |
% |
$ |
452,001 |
1.03 |
% |
1.03 |
% |
0.01 |
% |
0.95 |
% |
0.95 |
% |
0.09 |
% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
122
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
37.16 |
$ |
(0.15 |
) |
$ |
(0.15 |
) |
$ |
5.19 |
$ |
5.04 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
42.20 |
13.56 |
% |
$ |
120,284 |
0.95 |
% |
0.95 |
% |
(0.85 |
)% |
0.95 |
% |
0.95 |
% |
(0.85 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
147.80 |
(0.57 |
) |
(0.57 |
) |
(110.07 |
) |
(110.64 |
) |
— |
— |
— |
— |
$ |
37.16 |
-74.86 |
% |
$ |
66,942 |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0.95 |
% |
0.95 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
957.00 |
(0.50 |
) |
(0.40 |
) |
(805.00 |
) |
(805.50 |
) |
(2.30 |
) |
— |
(1.40 |
) |
(3.70 |
) |
$ |
147.80 |
-84.47 |
% |
$ |
80,036 |
0.96 |
% |
1.03 |
% |
(0.18 |
)% |
0.95 |
% |
1.02 |
% |
(0.17 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
2,218.00 |
22.00 |
22.00 |
(1,260.00 |
) |
(1,238.00 |
) |
(23.00 |
) |
— |
— |
(23.00 |
) |
$ |
957.00 |
-56.25 |
% |
$ |
59,340 |
0.98 |
% |
1.03 |
% |
1.53 |
% |
0.95 |
% |
1.00 |
% |
1.56 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
3,680.00 |
20.00 |
21.00 |
(1,470.00 |
) |
(1,450.00 |
) |
(12.00 |
) |
— |
— |
(12.00 |
) |
$ |
2,218.00 |
-39.38 |
% |
$ |
33,349 |
0.96 |
% |
1.05 |
% |
0.85 |
% |
0.95 |
% |
1.04 |
% |
0.86 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
9,630.00 |
(10.00 |
) |
(10.00 |
) |
(5,940.00 |
) |
(5,950.00 |
) |
— |
— |
— |
— |
$ |
3,680.00 |
-61.79 |
% |
$ |
17,419 |
0.96 |
% |
1.15 |
% |
(0.20 |
)% |
0.95 |
% |
1.14 |
% |
(0.19 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
48.54 |
(0.09 |
) |
(0.09 |
) |
(12.82 |
) |
(12.91 |
) |
— |
— |
— |
— |
$ |
35.63 |
-26.60 |
% |
$ |
44,536 |
0.96 |
% |
0.96 |
% |
(0.40 |
)% |
0.95 |
% |
0.95 |
% |
(0.39 |
)% |
13 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
18.08 |
(0.09 |
) |
(0.09 |
) |
30.56 |
30.47 |
(0.01 |
) |
— |
— |
(0.01 |
) |
$ |
48.54 |
168.57 |
% |
$ |
89,798 |
0.96 |
% |
0.95 |
% |
(0.24 |
)% |
0.95 |
% |
0.94 |
% |
(0.23 |
)% |
49 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
25.01 |
(0.02 |
) |
(0.01 |
) |
(6.85 |
) |
(6.87 |
) |
(0.06 |
) |
— |
— |
(0.06 |
) |
$ |
18.08 |
-27.42 |
% |
$ |
38,879 |
0.96 |
% |
1.13 |
% |
(0.10 |
)% |
0.95 |
% |
1.12 |
% |
(0.09 |
)% |
128 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
27.12 |
0.23 |
0.24 |
(2.06 |
) |
(1.83 |
) |
(0.28 |
) |
— |
— |
(0.28 |
) |
$ |
25.01 |
-6.66 |
% |
$ |
3,751 |
0.99 |
% |
1.57 |
% |
0.92 |
% |
0.95 |
% |
1.53 |
% |
0.96 |
% |
74 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
29.44 |
0.19 |
0.19 |
0.66 |
0.85 |
(0.24 |
) |
(2.93 |
) |
— |
(3.17 |
) |
$ |
27.12 |
1.13 |
% |
$ |
10,849 |
0.95 |
% |
1.37 |
% |
0.57 |
% |
0.95 |
% |
1.37 |
% |
0.57 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 |
$ |
25.00 |
0.02 |
0.02 |
4.42 |
4.44 |
— |
— |
— |
— |
$ |
29.44 |
17.76 |
% |
$ |
2,945 |
0.95 |
% |
3.62 |
% |
0.13 |
% |
0.95 |
% |
3.62 |
% |
0.13 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
32.41 |
0.20 |
0.21 |
6.31 |
6.51 |
(0.22 |
) |
(0.08 |
) |
— |
(0.30 |
) |
$ |
38.62 |
20.14 |
% |
$ |
21,241 |
0.96 |
% |
1.02 |
% |
1.13 |
% |
0.95 |
% |
1.01 |
% |
1.14 |
% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
26.76 |
0.31 |
0.31 |
5.70 |
6.01 |
(0.36 |
) |
— |
— |
(0.36 |
) |
$ |
32.41 |
22.72 |
% |
$ |
37,274 |
0.96 |
% |
1.03 |
% |
1.04 |
% |
0.95 |
% |
1.02 |
% |
1.05 |
% |
69 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
45.80 |
0.40 |
0.42 |
(17.58 |
) |
(17.18 |
) |
(0.50 |
) |
(1.34 |
) |
(0.02 |
) |
(1.86 |
) |
$ |
26.76 |
-38.38 |
% |
$ |
14,715 |
1.01 |
% |
1.28 |
% |
1.44 |
% |
0.95 |
% |
1.22 |
% |
1.50 |
% |
80 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
27.81 |
0.65 |
0.68 |
18.04 |
18.69 |
(0.70 |
) |
— |
— |
(0.70 |
) |
$ |
45.80 |
67.76 |
%13 |
$ |
16,029 |
1.04 |
% |
1.58 |
% |
1.76 |
% |
0.95 |
% |
1.49 |
% |
1.85 |
% |
72 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
31.13 |
0.53 |
0.54 |
(3.31 |
) |
(2.78 |
) |
(0.54 |
) |
— |
— |
(0.54 |
) |
$ |
27.81 |
-8.72 |
% |
$ |
4,172 |
0.96 |
% |
1.45 |
% |
2.15 |
% |
0.95 |
% |
1.44 |
% |
2.16 |
% |
44 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Period May 3, 20179 through October 31, 2017 |
$ |
25.00 |
0.15 |
0.15 |
5.98 |
6.13 |
— |
— |
— |
— |
$ |
31.13 |
24.52 |
% |
$ |
3,113 |
0.95 |
% |
3.46 |
% |
1.04 |
% |
0.95 |
% |
3.46 |
% |
1.04 |
% |
86 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
51.86 |
(0.03 |
) |
(0.03 |
) |
(14.44 |
) |
(14.47 |
) |
— |
— |
— |
— |
$ |
37.39 |
-27.90 |
% |
$ |
18,693 |
0.95 |
% |
1.03 |
% |
(0.12 |
)% |
0.95 |
% |
1.03 |
% |
(0.12 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
65.11 |
(0.22 |
) |
(0.22 |
) |
(7.29 |
) |
(7.51 |
) |
— |
(5.18 |
) |
(0.56 |
) |
(5.74 |
) |
$ |
51.86 |
-12.64 |
% |
$ |
23,339 |
0.95 |
% |
1.06 |
% |
(0.40 |
)% |
0.95 |
% |
1.06 |
% |
(0.40 |
)% |
6 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
54.00 |
(0.06 |
) |
(0.04 |
) |
11.35 |
11.29 |
(0.18 |
) |
— |
— |
(0.18 |
) |
$ |
65.11 |
20.96 |
% |
$ |
19,534 |
0.99 |
% |
1.15 |
% |
(0.10 |
)% |
0.95 |
% |
1.11 |
% |
(0.06 |
)% |
76 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
38.83 |
0.52 |
0.57 |
15.18 |
15.70 |
(0.53 |
) |
— |
— |
(0.53 |
) |
$ |
54.00 |
40.66 |
% |
$ |
21,600 |
1.05 |
% |
1.28 |
% |
1.09 |
% |
0.95 |
% |
1.18 |
% |
1.19 |
% |
97 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
44.25 |
0.31 |
0.34 |
(5.41 |
) |
(5.10 |
) |
(0.32 |
) |
— |
— |
(0.32 |
) |
$ |
38.83 |
-11.54 |
% |
$ |
5,824 |
1.01 |
% |
1.57 |
% |
0.76 |
% |
0.95 |
% |
1.51 |
% |
0.82 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
51.25 |
(0.02 |
) |
(0.01 |
) |
(4.14 |
) |
(4.16 |
) |
— |
(2.84 |
) |
— |
(2.84 |
) |
$ |
44.25 |
-7.60 |
% |
$ |
8,851 |
0.96 |
% |
1.70 |
% |
(0.04 |
)% |
0.95 |
% |
1.69 |
% |
(0.03 |
)% |
134 |
% |
|||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
8.71 |
(0.04 |
) |
(0.04 |
) |
2.82 |
2.78 |
— |
— |
— |
— |
$ |
11.49 |
31.92 |
% |
$ |
62,027 |
0.96 |
% |
0.97 |
% |
(0.87 |
)% |
0.95 |
% |
0.96 |
% |
(0.86 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
8.10 |
(0.08 |
) |
(0.08 |
) |
0.69 |
0.61 |
— |
— |
— |
— |
$ |
8.71 |
7.53 |
% |
$ |
29,623 |
0.95 |
% |
1.12 |
% |
(0.93 |
)% |
0.95 |
% |
1.12 |
% |
(0.93 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
10.58 |
(0.01 |
) |
(0.01 |
) |
(2.43 |
) |
(2.44 |
) |
(0.03 |
) |
— |
(0.01 |
) |
(0.04 |
) |
$ |
8.10 |
-23.08 |
% |
$ |
6,882 |
0.95 |
% |
1.40 |
% |
(0.09 |
)% |
0.95 |
% |
1.40 |
% |
(0.09 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
15.53 |
0.18 |
0.18 |
(4.95 |
) |
(4.77 |
) |
(0.18 |
) |
— |
— |
(0.18 |
) |
$ |
10.58 |
-30.84 |
% |
$ |
11,109 |
0.97 |
% |
1.18 |
% |
1.41 |
% |
0.95 |
% |
1.16 |
% |
1.43 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
14.01 |
0.07 |
0.08 |
1.47 |
1.54 |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
15.53 |
11.01 |
% |
$ |
20,189 |
1.05 |
% |
1.15 |
% |
0.45 |
% |
0.95 |
% |
1.05 |
% |
0.55 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
13.65 |
(0.05 |
) |
(0.04 |
) |
0.41 |
0.36 |
— |
— |
— |
— |
$ |
14.01 |
2.64 |
% |
$ |
28,724 |
0.97 |
% |
1.07 |
% |
(0.33 |
)% |
0.95 |
% |
1.05 |
% |
(0.31 |
)% |
0 |
% |
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
123
Financial Highlights
April 30, 2022
RATIOS TO AVERAGE NET ASSETS7 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year/ Period |
Net Investment Income (Loss)1,2 |
Net Investment Income (Loss)1,3 |
Net Realized and Unrealized Gain (Loss) on Investments4 |
Net Increase (Decrease) in Net Asset Value Resulting from Operations |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Distributions from Return of Capital |
Total Distributions |
Net Asset Value, End of Year/ Period |
Total Return5 |
Net Assets, End of Year/ Period (000's omitted) |
Net Expenses2,6 |
Total Expenses2 |
Net Investment Income (Loss) after Expense Reimbursement2 |
Net Expenses3,6 |
Total Expenses3 |
Net Investment Income (Loss) after Expense Reimbursement3 |
Portfolio Turnover Rate8 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
28.10 |
$ |
0.02 |
$ |
0.02 |
$ |
(13.75 |
) |
$ |
(13.73 |
) |
$ |
(0.02 |
) |
$ |
— |
$ |
— |
$ |
(0.02 |
) |
$ |
14.35 |
-48.89 |
% |
$ |
325,826 |
0.89 |
% |
0.89 |
% |
0.19 |
% |
0.88 |
% |
0.88 |
% |
0.20 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
35.81 |
0.03 |
0.03 |
(7.01 |
) |
(6.98 |
) |
(0.03 |
) |
(0.69 |
) |
(0.01 |
) |
(0.73 |
) |
$ |
28.10 |
-19.90 |
% |
$ |
359,735 |
0.88 |
% |
0.88 |
% |
0.11 |
% |
0.88 |
% |
0.88 |
% |
0.11 |
% |
33 |
% |
|||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
29.39 |
0.08 |
0.10 |
6.49 |
6.57 |
(0.15 |
) |
— |
— |
(0.15 |
) |
$ |
35.81 |
22.38 |
% |
$ |
282,879 |
0.98 |
% |
0.98 |
% |
0.22 |
% |
0.93 |
% |
0.93 |
% |
0.27 |
% |
67 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
15.76 |
0.29 |
0.34 |
13.63 |
13.92 |
(0.29 |
) |
— |
— |
(0.29 |
) |
$ |
29.39 |
88.98 |
% |
$ |
189,539 |
1.12 |
% |
1.12 |
% |
1.25 |
% |
0.92 |
% |
0.92 |
% |
1.46 |
% |
66 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
20.77 |
0.25 |
0.26 |
(5.00 |
) |
(4.75 |
) |
(0.26 |
) |
— |
— |
(0.26 |
) |
$ |
15.76 |
-23.07 |
% |
$ |
100,873 |
0.97 |
% |
0.95 |
% |
1.31 |
% |
0.94 |
% |
0.92 |
% |
1.34 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
24.07 |
0.07 |
0.08 |
(3.35 |
) |
(3.28 |
) |
(0.02 |
) |
— |
— |
(0.02 |
) |
$ |
20.77 |
-13.64 |
% |
$ |
90,347 |
0.98 |
% |
0.97 |
% |
0.36 |
% |
0.95 |
% |
0.94 |
% |
0.39 |
% |
66 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended April 30, 2022 (Unaudited) |
$ |
57.33 |
(0.26 |
) |
(0.25 |
) |
38.29 |
38.03 |
— |
— |
— |
— |
$ |
95.36 |
66.34 |
% |
$ |
545,889 |
0.89 |
% |
0.89 |
% |
(0.80 |
)% |
0.88 |
% |
0.88 |
% |
(0.79 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2021 |
$ |
55.80 |
(0.55 |
) |
(0.55 |
) |
2.08 |
1.53 |
— |
— |
— |
— |
$ |
57.33 |
2.74 |
% |
$ |
325,333 |
0.88 |
% |
0.88 |
% |
(0.86 |
)% |
0.88 |
% |
0.88 |
% |
(0.86 |
)% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2020 |
$ |
107.20 |
(0.06 |
) |
(0.05 |
) |
(50.93 |
) |
(50.99 |
) |
(0.28 |
) |
— |
(0.13 |
) |
(0.41 |
) |
$ |
55.80 |
-47.66 |
% |
$ |
99,010 |
0.90 |
% |
0.90 |
% |
(0.09 |
)% |
0.89 |
% |
0.89 |
% |
(0.08 |
)% |
0 |
% |
||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2019 |
$ |
228.50 |
2.10 |
2.40 |
(121.20 |
) |
(119.10 |
) |
(2.20 |
) |
— |
— |
(2.20 |
) |
$ |
107.20 |
-52.34 |
% |
$ |
123,239 |
1.10 |
% |
1.10 |
% |
1.32 |
% |
0.91 |
% |
0.91 |
% |
1.51 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2018 |
$ |
191.40 |
1.10 |
1.20 |
36.60 |
37.70 |
(0.60 |
) |
— |
— |
(0.60 |
) |
$ |
228.50 |
19.71 |
% |
$ |
345,100 |
0.99 |
% |
0.99 |
% |
0.54 |
% |
0.90 |
% |
0.90 |
% |
0.63 |
% |
0 |
% |
|||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended October 31, 2017 |
$ |
188.10 |
(0.70 |
) |
(0.60 |
) |
4.00 |
3.30 |
— |
— |
— |
— |
$ |
191.40 |
1.75 |
% |
$ |
371,392 |
0.93 |
% |
0.93 |
% |
(0.31 |
)% |
0.90 |
% |
0.90 |
% |
(0.28 |
)% |
0 |
% |
1 Net investment income (loss) per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout each period.
2 Includes interest expense and extraordinary expenses, which comprise of tax and litigation expenses.
3 Excludes interest expense and extraordinary expenses which comprise of excise tax and litigation expenses.
4 Due to the timing of sales and redemptions of capital shares, the net realized and realized gain (loss) per share is not in accordance with the Fund's changes in net realized and unrealized gain (loss) on investments, in-kind redemptions, futures, and swaps for the year/period.
5 Total return is calculated assuming an initial investment made at the net asset value at the beginning of the year/period, reinvestment of all dividends and distributions at net asset value during the year/period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived or recouped by the Adviser.
6 Net expenses include effects of any reimbursement/waiver or recoupment.
7 For periods less than a year, these ratios are annualized.
8 Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund's capital shares. Portfolio turnover rate does not include effects of turnover of the swap and future contracts portfolio. Short-term securities with maturities less than or equal to 365 days are also excluded from portfolio turnover calculation.
9 Commencement of operations.
10 Between $(0.005) and $0.005.
11 Effective May 31, 2022, the Fund had a 1:20 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:20 stock split.
12 Effective March 28, 2022, the Fund had a 1:10 reverse stock split. Share amounts for all periods have been adjusted to give effect to the 1:10 stock split.
13 The Fund's total return includes voluntary reimbursement by the Adviser for a realized loss on a trading error. Had this reimbursement not been made to the Fund, total return would have been 1.94% lower.
The accompanying notes are an integral part of these financial statements.
DIREXION SEMI-ANNUAL REPORT
124
Direxion Shares ETF Trust
Notes to the Financial Statements (Unaudited)
April 30, 2022
1. ORGANIZATION
The Direxion Shares ETF Trust (the "Trust") is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission ("SEC") as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust is a registered investment company that has 82 separate series (each, a "Fund" and together the "Funds"). 40 of these Funds are included in this report:
Bull Funds |
Bear Funds |
||||||
Direxion Daily Mid Cap Bull 3X Shares |
|||||||
Direxion Daily S&P 500® Bull 3X Shares |
Direxion Daily S&P 500® Bear 3X Shares |
||||||
Direxion Daily Small Cap Bull 3X Shares |
Direxion Daily Small Cap Bear 3X Shares |
||||||
Direxion Daily FTSE China Bull 3X Shares |
Direxion Daily FTSE China Bear 3X Shares |
||||||
Direxion Daily FTSE Europe Bull 3X Shares |
|||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
|||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
|||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
|||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
|||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
Direxion Daily Dow Jones Internet Bear 3X Shares |
||||||
Direxion Daily Financial Bull 3X Shares |
Direxion Daily Financial Bear 3X Shares |
||||||
Direxion Daily Healthcare Bull 3X Shares |
|||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
|||||||
Direxion Daily Industrials Bull 3X Shares |
|||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
|||||||
Direxion Daily Real Estate Bull 3X Shares* |
Direxion Daily Real Estate Bear 3X Shares* |
||||||
Direxion Daily Regional Banks Bull 3X Shares |
|||||||
Direxion Daily Retail Bull 3X Shares |
|||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Direxion Daily S&P High Beta Bear 3X Shares |
||||||
Direxion Daily S&P 500® Biotech Bull 3X Shares |
Direxion Daily S&P Biotech Bear 3X Shares |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
Direxion Daily Semiconductor Bear 3X Shares |
||||||
Direxion Daily Technology Bull 3X Shares |
Direxion Daily Technology Bear 3X Shares |
||||||
Direxion Daily Transportation Bull 3X Shares |
|||||||
Direxion Daily Utilities Bull 3X Shares |
|||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Direxion Daily 20+ Year Treasury Bear 3X Shares |
* Effective February 28, 2022, Direxion Daily MSCI Real Estate Bull 3X Shares and Direxion Daily MSCI Real Estate Bear 3X Shares changed their names to Direxion Daily Real Estate Bull 3X Shares and Direxion Daily Real Estate Bear 3X Shares, respectively.
The Trust has evaluated the structure, objective and activities of the Funds and determined that they meet the characteristics of an investment company. As such, these financial statements have applied the guidance as set forth in the Accounting Standards Codification ("ASC") 946, Financial Services – Investment Companies.
Rafferty Asset Management, LLC (the "Adviser") has registered as a commodity pool operator ("CPO") and the Funds are considered commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, the Adviser is subject to registration and regulation as a CPO under the CEA and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission and the National Futures Association, including investor protection requirements, antifraud provisions, disclosure requirements and reporting and recordkeeping requirements.
Each Fund's investment objective is to seek daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word "Bull" in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word "Bear" in their
DIREXION SEMI-ANNUAL REPORT
125
name attempt to provide investment results that correlate negatively to the return of an index or benchmark. The correlations sought by the Bull Funds are a multiple of 300% of the return of the target index or benchmark and a multiple of -300% of the return of the target index or benchmark for the Bear Funds.
Funds |
Index or Benchmark |
Daily Target |
|||||||||
Direxion Daily Mid Cap Bull 3X Shares |
S&P Mid Cap 400® Index |
300 |
% |
||||||||
Direxion Daily S&P 500® Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily S&P 500® Bear 3X Shares |
S&P 500® Index |
-300 |
% |
||||||||
Direxion Daily Small Cap Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
Russell 2000® Index |
-300 |
% |
||||||||
Direxion Daily FTSE China Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily FTSE China Bear 3X Shares |
FTSE China 50 Index |
- 300 |
% |
||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
FTSE Developed Europe All Cap Index |
300 |
% |
||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
MSCI Emerging Markets IndexSM |
-300 |
% |
||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
MSCI Mexico IMI 25/50 Index |
300 |
% |
||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
MSCI Korea 25/50 Index |
300 |
% |
||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
Dow Jones U.S. Select Aerospace & Defense Index |
300 |
% |
||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
Consumer Discretionary Select Sector Index |
300 |
% |
||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
Dow Jones Internet Composite Index |
-300 |
% |
||||||||
Direxion Daily Financial Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Financial Bear 3X Shares |
Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index1 |
-300 |
% |
||||||||
Direxion Daily Healthcare Bull 3X Shares |
Health Care Select Sector Index |
300 |
% |
||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
Dow Jones U.S. Select Home Construction Index |
300 |
% |
||||||||
Direxion Daily Industrials Bull 3X Shares |
Industrial Select Sector Index |
300 |
% |
||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
S&P Pharmaceuticals Select Industry Index |
300 |
% |
||||||||
Direxion Daily Real Estate Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Real Estate Bear 3X Shares |
Real Estate Select Sector Index2 |
-300 |
% |
||||||||
Direxion Daily Regional Banks Bull 3X Shares |
S&P Regional Banks Select Industry Index |
300 |
% |
||||||||
Direxion Daily Retail Bull 3X Shares |
S&P Retail Select Industry® Index |
300 |
% |
||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
S&P 500® High Beta Index |
-300 |
% |
||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
S&P Biotechnology Select Industry Index |
-300 |
% |
||||||||
Direxion Daily Semiconductor Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Semiconductor Bear 3X Shares |
ICE Semiconductor Index |
-300 |
% |
||||||||
Direxion Daily Technology Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily Technology Bear 3X Shares |
Technology Select Sector Index |
-300 |
% |
||||||||
Direxion Daily Transportation Bull 3X Shares |
Dow Jones Transportation Average |
300 |
% |
||||||||
Direxion Daily Utilities Bull 3X Shares |
Utilities Select Sector Index |
300 |
% |
||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
ICE U.S. Treasury 7-10 Year Bond Index |
-300 |
% |
||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
300 |
% |
|||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
ICE U.S. Treasury 20+ Year Bond Index |
-300 |
% |
1 Effective February 28, 2022, Direxion Daily Financial Bull 3X Shares and Direxion Daily Financial Bear 3X Shares changed their benchmark index from Russell 1000® Index – Financials to Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index.
2 Effective February 28, 2022, Direxion Daily Real Estate Bull 3X Shares and Direxion Daily Real Estate Bear 3X Shares changed their benchmark index from MSCI U.S. IMI Real Estate 25/50 Index to Real Estate Select Sector Index.
DIREXION SEMI-ANNUAL REPORT
126
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP").
a) Investment Valuation – The Net Asset Value ("NAV") per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE") (normally at 4:00 p.m. Eastern time), each day the NYSE is open for business. On days that the Securities Industry and Financial Markets Association ("SIFMA") recommends that the bond markets close all day, Direxion Daily 7-10 Year Treasury Bull 3X Shares, Direxion Daily 7-10 Year Treasury Bear 3X Shares, Direxion Daily 20+ Year Treasury Bull 3X Shares and Direxion Daily 20+ Year Treasury Bear 3X Shares (the "Fixed Income Funds") do not calculate their NAVs, even if the NYSE is open for business. Similarly, on days that SIFMA recommends that the bond markets close early, each of the Fixed Income Funds calculate its NAV as of the time of the recommended close, usually 2:00 p.m. Eastern time, rather than the close of regular trading on the NYSE. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ® Global Market ("NASDAQ") for which market quotations are readily available are valued using the NASDAQ® Official Closing Price ("NOCP") provided by NASDAQ each business day. Over the Counter ("OTC") securities held by a Fund will be valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities; if no sales price is reported, the mean of the last bid and asked price is used. Swap contracts are valued using the closing price of the underlying reference entity or the closing value of the underlying reference index. The Funds valued their investments in money market funds based on their daily net asset values. Futures contracts are valued at settlement price established on the exchange on which they are traded, if that settlement price reflects trading prior to the Valuation Time. If the settlement price established by the exchange reflects trading after the Valuation Time, then the last sales price prior to Valuation time will be used. Securities, swap or future contracts are fair valued as determined by the Adviser under the supervision of the Board of Trustees (the "Board") in the following scenarios: a) reliable market quotations are not readily available; b) the Funds' pricing service does not provide a valuation for such securities; c) the Funds' pricing service provides valuation that in the judgment of the Adviser does not represent fair value; or d) the Fund or Adviser believes the market price is stale.
b) Swap Contracts – Each Fund may enter into equity swap contacts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a "notional amount" (i.e. the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index or industry sector). Each Fund enters into master netting agreements with counterparties to mitigate counterparty credit risk in derivative contracts. A Fund does not offset fair value amounts for derivatives contracts and related cash collateral on the Statement of Assets and Liabilities arising from derivative contracts executed with the same counterparties under such master netting agreements. The Fund's obligations are accrued daily and offset by any amounts owed to the Fund.
In a "long" equity swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commission paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. In certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the counterparty will pay the Fund interest. These swap contracts do not include the delivery of securities by the Funds to the counterparty. The net amount of the excess, if any, of the Fund's obligations owed over its entitlement with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Fund's custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as "unrealized gains or losses on swaps" and when cash is exchanged, the gain or loss is recorded as "realized gains or losses on swaps."
DIREXION SEMI-ANNUAL REPORT
127
Each Fund may enter into swap contracts that provide the opposite return of the underlying benchmark or security ("short" the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund will pay the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements to obtain leverage in order to meet their objectives.
Accounting Standards Update No. 2013-01 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2013-01 is limited in scope to recognized derivative instruments accounted for under ASC 815 "Derivatives and Hedging", to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including swap contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g. swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to the counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivative counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of April 30, 2022, 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 April 30, 2022 is detailed in the following tables. If such credit risk-related contingencies were triggered, the counterparties would have the option to terminate any positions open under the master netting agreement.
DIREXION SEMI-ANNUAL REPORT
128
Description: Swap Contract
Counterparty: Bank of America Merrill Lynch
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
2,781,442 |
$ |
— |
$ |
2,781,4421 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
— |
53,428,402 |
— |
53,428,4021 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
11,837,644 |
— |
10,310,000 |
1,527,644 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
— |
— |
— |
5,616,995 |
— |
5,616,9951 |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
— |
— |
— |
1,732 |
— |
1,7321 |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
— |
— |
— |
— |
2,156,835 |
— |
2,156,8351 |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
— |
— |
— |
11,633,036 |
— |
11,633,0361 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
— |
— |
— |
— |
4,014,224 |
— |
4,014,2241 |
— |
|||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
— |
— |
— |
2,022,574 |
— |
2,022,5741 |
— |
|||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
— |
— |
— |
14,516,529 |
— |
14,516,5291 |
— |
|||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
417,213 |
— |
— |
417,213 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
63,272,738 |
— |
63,272,7381 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
10,134,742 |
— |
7,110,000 |
3,024,742 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
— |
— |
— |
3,188,923 |
— |
3,188,9231 |
— |
|||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
— |
12,174,809 |
— |
12,174,8091 |
— |
DIREXION SEMI-ANNUAL REPORT
129
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
4,848,767 |
$ |
— |
$ |
4,848,7671 |
$ |
— |
|||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
1,066,392 |
— |
— |
1,066,392 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
— |
— |
— |
— |
27,035,814 |
— |
13,367,256 |
13,668,558 |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
— |
— |
— |
4,319,812 |
— |
4,319,8121 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
533,338 |
— |
— |
533,338 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
145,524,583 |
— |
145,524,5831 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
12,018,254 |
— |
11,390,000 |
628,254 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
195,391,158 |
— |
195,391,1581 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
11,017,376 |
— |
7,800,000 |
3,217,376 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
30,497,671 |
— |
30,497,6711 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
75,306 |
— |
46,923 |
28,383 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
— |
1,236,170 |
— |
1,236,1701 |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
3,779,523 |
— |
3,510,000 |
269,523 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
33,138,439 |
— |
33,138,4391 |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
1,882,579 |
— |
— |
1,882,579 |
— |
— |
— |
— |
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 SEMI-ANNUAL REPORT
130
Description: Swap Contract
Counterparty: BNP Paribas
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
58,307,213 |
$ |
— |
$ |
58,307,2131 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
5,978,429 |
— |
2,810,000 |
3,168,429 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
— |
— |
— |
43,003,265 |
— |
43,003,2651 |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
13,313,638 |
— |
10,170,000 |
3,143,638 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
— |
— |
— |
— |
787,075 |
— |
787,0751 |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
— |
— |
— |
2,539,181 |
— |
2,539,1811 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
79,752 |
79,752 |
— |
— |
144,097 |
79,752 |
64,3451 |
— |
|||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
— |
— |
— |
— |
2,472,713 |
— |
2,472,7131 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
64,383,545 |
— |
64,383,5451 |
— |
|||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
— |
2,711,529 |
— |
2,711,5291 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
186,034,358 |
— |
186,034,3581 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
2,118,581 |
— |
1,420,000 |
698,581 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
37,758,418 |
— |
37,758,4181 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
299,147 |
— |
— |
299,147 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
— |
434,152 |
— |
434,1521 |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
1,191,472 |
63,815 |
730,000 |
397,657 |
63,815 |
63,815 |
— |
— |
DIREXION SEMI-ANNUAL REPORT
131
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
$ |
246,284 |
$ |
— |
$ |
246,2841 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
3,142,565 |
— |
— |
3,142,565 |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Barclays
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
42,871,710 |
$ |
— |
$ |
42,871,7101 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
15,448,837 |
— |
13,130,000 |
2,318,837 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
— |
— |
— |
57,080,671 |
— |
57,080,6711 |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
— |
— |
— |
— |
5,181,920 |
— |
5,181,9201 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
94,607,748 |
— |
94,607,7481 |
— |
|||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
— |
— |
— |
2,677,379 |
— |
2,677,3791 |
— |
|||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
— |
8,751,327 |
— |
8,751,3271 |
— |
|||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
— |
— |
— |
2,035,078 |
— |
2,035,0781 |
— |
|||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
— |
— |
— |
220,177 |
— |
220,1771 |
— |
|||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
— |
— |
— |
— |
35,338,479 |
— |
35,338,4791 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
— |
— |
— |
10,457,596 |
— |
10,457,5961 |
— |
DIREXION SEMI-ANNUAL REPORT
132
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
$ |
6,680,094 |
$ |
— |
$ |
3,950,000 |
$ |
2,730,094 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
23,492,774 |
— |
23,492,7741 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
6,066,060 |
— |
5,310,000 |
756,060 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
155,878,433 |
— |
155,878,4331 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
10,655,011 |
— |
5,960,000 |
4,695,011 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
72,467,307 |
— |
72,467,3071 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
2,410,757 |
— |
— |
2,410,757 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
— |
651,517 |
— |
651,5171 |
— |
|||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
499,744 |
— |
499,7441 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
— |
277,763 |
— |
277,7631 |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
458,346 |
— |
260,000 |
198,346 |
— |
— |
— |
— |
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: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
2,152,240 |
$ |
— |
$ |
2,152,2401 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
— |
50,387,205 |
— |
50,387,2051 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
9,183,524 |
— |
6,637,000 |
2,546,524 |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
133
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
79,826,258 |
$ |
— |
$ |
79,826,2581 |
$ |
— |
|||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
40,685,423 |
— |
33,114,000 |
7,571,423 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
— |
— |
— |
843,670 |
— |
843,6701 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
— |
14,403,800 |
— |
14,403,8001 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
3,495,018 |
— |
3,495,0181 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
— |
— |
— |
— |
3,021,797 |
— |
3,021,7971 |
— |
|||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
966,257 |
— |
966,2571 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
— |
— |
— |
13,615,344 |
— |
13,615,3441 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
71,631,441 |
— |
49,733,575 |
21,897,866 |
|||||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
— |
9,246,862 |
— |
9,246,8621 |
— |
|||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
— |
— |
— |
148,864 |
— |
148,8641 |
— |
|||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
— |
— |
— |
610,320 |
— |
610,3201 |
— |
|||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
— |
— |
— |
— |
2,484,398 |
— |
2,484,3981 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
— |
— |
— |
155,542 |
— |
1 |
155,541 |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
4,376,441 |
— |
4,376,4411 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
9,219,972 |
— |
8,160,000 |
1,059,972 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
293,510,654 |
— |
293,510,6541 |
— |
DIREXION SEMI-ANNUAL REPORT
134
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
$ |
4,230,681 |
$ |
— |
$ |
3,142,019 |
$ |
1,088,662 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
29,464,634 |
— |
29,464,6341 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
2,573,116 |
— |
1,574,000 |
999,116 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
— |
30,222 |
— |
30,2221 |
— |
|||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
1,336,115 |
— |
1,336,1151 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
23,238,443 |
— |
23,238,4431 |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
41,980,216 |
— |
35,900,001 |
6,080,215 |
— |
— |
— |
— |
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: Credit Suisse International
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
49,160,064 |
$ |
— |
$ |
49,160,0641 |
$ |
— |
|||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
— |
— |
— |
1,314,485 |
— |
1,314,4851 |
— |
|||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
2,015,538 |
— |
2,015,5381 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
— |
— |
— |
1,174,122 |
— |
1,174,1221 |
— |
|||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
— |
— |
— |
— |
3,421,251 |
— |
3,421,2511 |
— |
|||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
— |
4,100,345 |
— |
4,100,3451 |
— |
DIREXION SEMI-ANNUAL REPORT
135
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
10,319,697 |
$ |
— |
$ |
10,319,6971 |
$ |
— |
|||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
24,443,305 |
— |
23,370,000 |
1,073,305 |
— |
— |
— |
— |
1 The amount of collateral shown has been limited such that the net amount cannot be less than zero.
2 The amount shown is the maximum credit exposure of the Fund for the corresponding counterparty.
Description: Swap Contract
Counterparty: Goldman Sachs
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
46,621,205 |
$ |
— |
$ |
46,621,2051 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
24,896,919 |
— |
7,790,000 |
17,106,919 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
163,634,498 |
— |
163,634,4981 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
9,153,417 |
— |
4,370,000 |
4,783,417 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
45,767,141 |
— |
45,767,1411 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
2,191,556 |
— |
— |
2,191,556 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
166,568,453 |
— |
166,568,4531 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
1,072,615 |
— |
150,000 |
922,615 |
— |
— |
— |
— |
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 SEMI-ANNUAL REPORT
136
Description: Swap Contract
Counterparty: J.P. Morgan
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
723,437 |
$ |
— |
$ |
723,4371 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
— |
65,084,171 |
— |
65,084,1711 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
16,910,789 |
— |
9,149,999 |
7,760,790 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
— |
— |
— |
9,576,063 |
— |
9,576,0631 |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
34,347,091 |
— |
27,750,000 |
6,597,091 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
— |
— |
— |
202,182 |
— |
202,1821 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
— |
5,116,678 |
— |
5,116,6781 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
— |
— |
— |
2,029,946 |
— |
2,029,9461 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
— |
— |
— |
— |
417,391 |
— |
417,3911 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
— |
— |
— |
— |
68,388 |
— |
68,3881 |
— |
|||||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
1,925,640 |
— |
1,925,6401 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
— |
— |
— |
2,171,155 |
— |
2,171,1551 |
— |
|||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
— |
— |
— |
11,244,182 |
— |
11,244,1821 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
16,468,107 |
— |
16,468,1071 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
5,259,488 |
— |
5,259,4881 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
— |
— |
— |
2,529,317 |
— |
2,529,3171 |
— |
|||||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
— |
— |
— |
721,668 |
— |
721,6681 |
— |
DIREXION SEMI-ANNUAL REPORT
137
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
$ |
1,207,345 |
$ |
— |
$ |
1,207,3451 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
— |
— |
— |
380,320 |
— |
380,3201 |
— |
|||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
— |
— |
— |
— |
3,665,674 |
— |
3,665,6741 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
711,127 |
— |
510,001 |
201,126 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
72,883,608 |
— |
72,883,6081 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
11,314,358 |
— |
9,720,000 |
1,594,358 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
110,192,626 |
— |
110,192,6261 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
17,642,052 |
— |
13,240,000 |
4,402,052 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
4,355,996 |
— |
4,355,9961 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
997,852 |
— |
— |
997,852 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
— |
1,212,927 |
— |
1,212,9271 |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
— |
1,192,475 |
— |
1,192,4751 |
— |
|||||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
2,187,717 |
— |
1,740,000 |
447,717 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
11,147,640 |
— |
11,147,6401 |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
31,848,037 |
— |
29,990,000 |
1,858,037 |
— |
— |
— |
— |
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 SEMI-ANNUAL REPORT
138
Description: Swap Contract
Counterparty: UBS Securities LLC
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
3,855,015 |
$ |
— |
$ |
3,855,0151 |
$ |
— |
|||||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
— |
28,861,626 |
— |
28,861,6261 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
15,882,166 |
— |
8,780,000 |
7,102,166 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
— |
— |
— |
48,641,477 |
— |
48,641,4771 |
— |
|||||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
15,723,227 |
— |
11,370,000 |
4,353,227 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
7,725,504 |
— |
— |
7,725,504 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
— |
— |
— |
7,805,871 |
— |
7,805,8711 |
— |
|||||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
— |
— |
— |
542,484 |
— |
542,4841 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
— |
5,484,748 |
— |
5,484,7481 |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
2,620,721 |
— |
2,620,7211 |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
— |
— |
— |
— |
14,898 |
— |
14,8981 |
— |
|||||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
— |
— |
— |
1,232,387 |
— |
1,232,3871 |
— |
|||||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
— |
— |
— |
1,367,084 |
— |
1,367,0841 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
43,326,778 |
— |
43,326,7781 |
— |
|||||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
1,842,661 |
— |
— |
1,842,661 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
— |
— |
— |
209,930 |
— |
209,9301 |
— |
DIREXION SEMI-ANNUAL REPORT
139
Assets: Gross Amounts not offset in the Statement of Asset and Liabilities |
Liabilities: Gross Amounts not offset in the Statement of Asset and Liabilities |
||||||||||||||||||||||||||||||||||
Fund Name |
Gross Amounts of Recognized Assets |
Financial Instruments |
Collateral Received |
Net Amount2 |
Gross Amounts of Recognized Liabilities |
Financial Instruments |
Collateral Pledged |
Net Amount |
|||||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
1,044,930 |
$ |
— |
$ |
1,044,9301 |
$ |
— |
|||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
— |
— |
— |
— |
6,213,860 |
— |
6,213,8601 |
— |
|||||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
1,099,644 |
— |
— |
1,099,644 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
— |
— |
— |
— |
4,537,837 |
— |
4,537,8371 |
— |
|||||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
— |
— |
— |
— |
4,255,276 |
— |
4,255,2761 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
— |
— |
— |
1,794,860 |
— |
1,794,8601 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
917,462 |
— |
— |
917,462 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
31,793,658 |
— |
31,793,6581 |
— |
|||||||||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
— |
— |
— |
892 |
— |
8921 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
194,831,488 |
— |
194,831,4881 |
— |
|||||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
4,764,790 |
— |
— |
4,764,790 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
43,993,665 |
— |
43,993,6651 |
— |
|||||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
6,472,678 |
— |
4,650,000 |
1,822,678 |
— |
— |
— |
— |
|||||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
— |
3,798,210 |
— |
3,798,2101 |
— |
|||||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
— |
— |
— |
— |
165,889 |
— |
165,8891 |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
11,188,841 |
— |
11,188,8411 |
— |
|||||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
6,888,791 |
— |
3,870,000 |
3,018,791 |
— |
— |
— |
— |
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 SEMI-ANNUAL REPORT
140
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 options during the period ended April 30, 2022.
e) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
f) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the identified cost, which is the same basis used for U.S. Federal income tax purposes, with the net sales proceeds.
g) Securities Lending – The Funds may lend its investment securities to approved brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of April 30, 2022, all securities on loan were collateralized by cash and/or U.S. government obligations. The cash received as collateral for securities on loan was invested in money market funds, whose maturities are overnight and continuous, and is disclosed in the Schedules of Investments. The securities on loan in each Fund are also disclosed in the Schedule of Investments. The total value of securities loaned and the value of the invested cash collateral are disclosed in the Statements of Assets and Liabilities. Non-cash collateral consists of U.S. Treasury securities and is not disclosed on the Statements of Assets and Liabilities as its held by the lending agent on behalf of the Funds, and the Funds do not have the ability to sell, reinvest or pledge those securities. Income earned by the Funds from securities lending is disclosed in the Statements of Operations.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds are contractually indemnified with the securities lending agent. Furthermore, the Funds require the value of the securities loaned to be computed daily at the close of the market and additional collateral be furnished if required.
DIREXION SEMI-ANNUAL REPORT
141
As of April 30, 2022, the market value of the securities loaned and the payable on collateral received for securities lending were as follows:
Funds |
Market Value of Securities Loaned |
Cash Collateral Received |
Non-Cash Collateral Received |
Total Collateral Received |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
$ |
319,291,207 |
$ |
335,777,980 |
$ |
— |
$ |
335,777,980 |
|||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
799,943 |
826,793 |
— |
826,793 |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
3,895,084 |
4,077,900 |
— |
4,077,900 |
|||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
1,192,289 |
703,908 |
574,219 |
1,278,127 |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
1,295,203 |
1,296,611 |
76,863 |
1,373,474 |
|||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
186,848 |
195,450 |
— |
195,450 |
|||||||||||||||
Direxion Daily Retail Bull 3X Shares |
2,738,232 |
2,657,554 |
296,266 |
2,953,820 |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
10,058,360 |
10,885,244 |
250,898 |
11,136,142 |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
27,788,360 |
29,961,087 |
— |
29,961,087 |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
8,434 |
— |
8,900 |
8,900 |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
1,565,796 |
1,606,765 |
— |
1,606,765 |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
63,672,464 |
32,142,977 |
33,950,944 |
66,093,921 |
h) Federal Income Taxes – Each Fund intends to make the requisite distributions of income and capital gains to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company. Therefore, no provision for U.S. Federal income tax has been made by the Funds.
The Funds may be subject to a nondeductible 4% U.S. excise tax calculated as a percentage of certain undistributed amounts of net investment income and net capital gains. Certain Funds paid this excise tax during the period ended April 30, 2022, which is disclosed on the Statements of Operations.
i) Income and Expenses – Interest income, including amortization of premiums and discounts, is recognized on an accrual basis. Distributions are recorded on the ex-dividend date. Certain Funds paid this excise tax during the period ended April 30, 2022.
The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust's series in proportion to their respective average daily net assets.
j) Distributions to Shareholders – Each Fund pays dividends from net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with U.S. Federal income tax regulations, which may differ from GAAP. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.
k) Guarantees and Indemnifications – In the ordinary course of business, the Funds enter into contracts that contain a variety of indemnification provisions pursuant to which the Funds agree to indemnify third parties upon occurrence of specified events. The Funds' maximum exposure relating to these indemnification agreements is unknown. However, the Funds have not had prior claims or losses in connection with these provisions and believe the risk of loss is remote.
l) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
DIREXION SEMI-ANNUAL REPORT
142
3. INCOME TAX AND DISTRIBUTION INFORMATION
The tax character of distributions paid during the periods ended April 30, 2022 and October 31, 2021, are listed below.
The tax character of distributions to shareholders made during the periods may differ from their ultimate characterization for U.S. Federal income tax purposes.
Period Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
— |
$ |
— |
$ |
— |
$ |
21,998 |
$ |
— |
$ |
— |
|||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
3,197,459 |
— |
— |
3,773,589 |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
1,367,545 |
— |
— |
244,821 |
— |
— |
|||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
832,634 |
— |
— |
2,107,263 |
— |
— |
|||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
118,623 |
— |
— |
180,543 |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
— |
— |
— |
206,560 |
— |
107,122 |
|||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
85,669 |
— |
— |
64,079 |
— |
— |
|||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
314,853 |
— |
— |
4,680 |
— |
— |
|||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
5,480,792 |
— |
— |
229,995 |
— |
— |
|||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
7,017,671 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
10,118,128 |
— |
— |
15,325,240 |
— |
— |
|||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
128,234 |
— |
— |
11,571 |
— |
— |
|||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
25,130 |
— |
— |
108,281 |
— |
— |
|||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
13,617 |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
6,388,454 |
— |
— |
1,224,013 |
— |
— |
|||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
1,355,178 |
— |
— |
2,850,169 |
— |
— |
DIREXION SEMI-ANNUAL REPORT
143
Period Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||||||||||||||||||||||
Distributions Paid From: |
Distributions Paid From: |
||||||||||||||||||||||||||
Funds |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
Ordinary Income |
Long Term Capital Gains |
Return of Capital |
|||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
$ |
303,151 |
$ |
— |
$ |
— |
$ |
14,673 |
$ |
— |
$ |
— |
|||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
— |
— |
82,925 |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
2,293,603 |
— |
— |
2,155,338 |
— |
— |
|||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
11,889,234 |
— |
— |
10,258,380 |
— |
— |
|||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
19,756 |
— |
— |
|||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
235,844 |
— |
— |
257,434 |
— |
— |
|||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
1,553,448 |
— |
167,130 |
|||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
290,338 |
— |
— |
5,652,475 |
— |
42,707 |
|||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
— |
— |
— |
— |
— |
At October 31, 2021, the components of accumulated earnings/losses of the Funds on a tax basis were as follows:
Funds |
Net Unrealized Appreciation/ (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
30,559,002 |
$ |
— |
$ |
— |
$ |
(162,195 |
) |
$ |
30,396,807 |
||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
996,669,203 |
— |
— |
(12,522 |
) |
996,656,681 |
|||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
(335,855,721 |
) |
— |
— |
(2,426,525,596 |
) |
(2,762,381,317 |
) |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
82,087,491 |
— |
— |
(3,849 |
) |
82,083,642 |
|||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
(478,729,256 |
) |
— |
— |
(3,388,911,467 |
) |
(3,867,640,723 |
) |
|||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
(205,329,422 |
) |
— |
— |
(78,359,280 |
) |
(283,688,702 |
) |
|||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
(18,553,998 |
) |
— |
— |
(96,540,068 |
) |
(115,094,066 |
) |
|||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
9,535,257 |
44,621 |
— |
(13,690,757 |
) |
(4,110,879 |
) |
||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
(45,527,004 |
) |
— |
— |
(117,128,639 |
) |
(162,655,643 |
) |
|||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
(10,825,318 |
) |
— |
— |
(334,254,148 |
) |
(345,079,466 |
) |
DIREXION SEMI-ANNUAL REPORT
144
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 Mexico Bull 3X Shares |
$ |
3,849,505 |
$ |
— |
$ |
— |
$ |
— |
$ |
3,849,505 |
|||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
(12,123,309 |
) |
— |
— |
— |
(12,123,309 |
) |
||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
23,347,547 |
5,452,983 |
— |
— |
28,800,530 |
||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
18,944,583 |
— |
— |
— |
18,944,583 |
||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
20,140,361 |
7,017,655 |
— |
— |
27,158,016 |
||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
(3,095,479 |
) |
— |
— |
(6,639,057 |
) |
(9,734,536 |
) |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
1,370,421,887 |
7,001,664 |
— |
(5,366 |
) |
1,377,418,185 |
|||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
(152,648,116 |
) |
— |
— |
(2,999,206,981 |
) |
(3,151,855,097 |
) |
|||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
68,037,637 |
— |
— |
— |
68,037,637 |
||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
119,142,757 |
— |
— |
— |
119,142,757 |
||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
13,006,658 |
— |
— |
— |
13,006,658 |
||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
(1,787,872 |
) |
— |
— |
— |
(1,787,872 |
) |
||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
57,440,325 |
4,974,781 |
— |
— |
62,415,106 |
||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
(16,760,032 |
) |
— |
— |
(119,826,559 |
) |
(136,586,591 |
) |
|||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
129,660,016 |
— |
— |
— |
129,660,016 |
||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
29,162,528 |
— |
— |
— |
29,162,528 |
||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
36,474,650 |
— |
— |
— |
36,474,650 |
||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
(22,043,132 |
) |
— |
— |
(94,523,769 |
) |
(116,566,901 |
) |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
(238,082,821 |
) |
— |
— |
— |
(238,082,821 |
) |
||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
(38,123,029 |
) |
— |
— |
(289,961,043 |
) |
(328,084,072 |
) |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
547,322,552 |
— |
— |
— |
547,322,552 |
||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
(17,802,400 |
) |
— |
— |
(758,244,666 |
) |
(776,047,066 |
) |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
1,113,485,537 |
11,889,032 |
— |
— |
1,125,374,569 |
||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
(62,929,925 |
) |
— |
— |
(252,265,321 |
) |
(315,195,246 |
) |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
23,104,210 |
— |
— |
— |
23,104,210 |
||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
3,960,018 |
65,896 |
— |
— |
4,025,914 |
||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
(1,267,383 |
) |
— |
— |
(75,515 |
) |
(1,342,898 |
) |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
(1,510,643 |
) |
— |
— |
(61,201,957 |
) |
(62,712,600 |
) |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
(52,357,797 |
) |
— |
— |
(7,659,267 |
) |
(60,017,064 |
) |
DIREXION SEMI-ANNUAL REPORT
145
Funds |
Net Unrealized Appreciation/ (Depreciation) |
Undistributed Ordinary Income (Loss) |
Undistributed Capital Gain (Loss) |
Other Accumulated Earnings (Losses)1 |
Total Accumulated Earnings (Losses) |
||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
$ |
(93,249,584 |
) |
$ |
— |
$ |
— |
$ |
(971,035,997 |
) |
$ |
(1,064,285,581 |
) |
1 Other Accumulated Earnings (Losses) consist of capital loss carryover, qualified late year losses and organizational costs.
At April 30, 2022, the aggregate gross unrealized appreciation and depreciation of investments for U.S Federal income tax purposes were as follows:
Funds |
Tax Cost of Investments |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
67,665,480 |
$ |
632,716 |
$ |
— |
$ |
632,716 |
|||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
2,893,629,779 |
— |
(35,374,653 |
) |
(35,374,653 |
) |
|||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
439,770,699 |
— |
— |
— |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
1,998,295,895 |
— |
(124,628,038 |
) |
(124,628,038 |
) |
|||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
335,414,399 |
— |
— |
— |
|||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
452,435,458 |
— |
(1,777,379 |
) |
(1,777,379 |
) |
|||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
123,253,601 |
— |
— |
— |
|||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
34,126,509 |
— |
(2,084,673 |
) |
(2,084,673 |
) |
|||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
122,836,291 |
— |
(83,415 |
) |
(83,415 |
) |
|||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
46,274,073 |
— |
— |
— |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
16,298,611 |
— |
(59,017 |
) |
(59,017 |
) |
|||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
35,284,535 |
— |
(3,117,787 |
) |
(3,117,787 |
) |
|||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
225,699,591 |
8,308,257 |
(11,508,374 |
) |
(3,200,117 |
) |
|||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
41,295,765 |
457,881 |
(3,137,938 |
) |
(2,680,057 |
) |
|||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
163,027,066 |
1,514,006 |
(16,600,550 |
) |
(15,086,544 |
) |
|||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
29,770,366 |
— |
— |
— |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
2,723,724,902 |
105,871,939 |
(91,198,348 |
) |
14,673,591 |
||||||||||||||
Direxion Daily Financial Bear 3X Shares |
140,986,811 |
— |
— |
— |
|||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
231,196,149 |
7,418,042 |
(12,201,168 |
) |
(4,783,126 |
) |
|||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
245,986,895 |
449,790 |
(22,822,744 |
) |
(22,372,954 |
) |
|||||||||||||
Direxion Daily Industrials Bull 3X Shares |
33,397,409 |
199,890 |
(2,693,952 |
) |
(2,494,062 |
) |
|||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
17,276,190 |
384,805 |
(1,693,677 |
) |
(1,308,872 |
) |
|||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
116,289,279 |
2,227,688 |
(1,134,708 |
) |
1,092,980 |
||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
29,927,192 |
— |
— |
— |
|||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
381,093,397 |
1,213,219 |
(36,758,008 |
) |
(35,544,789 |
) |
|||||||||||||
Direxion Daily Retail Bull 3X Shares |
102,012,974 |
2,772,854 |
(12,995,984 |
) |
(10,223,130 |
) |
|||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
95,656,240 |
1,660,778 |
(10,830,345 |
) |
(9,169,567 |
) |
|||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
42,902,054 |
— |
— |
— |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
1,084,523,820 |
8,710,881 |
(116,911,694 |
) |
(108,200,813 |
) |
|||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
61,199,689 |
— |
— |
— |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
6,663,177,398 |
— |
(462,645,234 |
) |
(462,645,234 |
) |
|||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
200,972,588 |
— |
— |
— |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
2,311,668,316 |
136,523,216 |
(53,321,163 |
) |
83,202,053 |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
102,339,359 |
— |
— |
— |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
56,905,676 |
917,469 |
(2,744,914 |
) |
(1,827,445 |
) |
|||||||||||||
Direxion Daily Utilities Bull 3X Shares |
22,345,955 |
552,526 |
(773,524 |
) |
(220,998 |
) |
|||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
25,231,799 |
— |
(1,695,414 |
) |
(1,695,414 |
) |
|||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
60,746,110 |
— |
— |
— |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
492,022,969 |
— |
(35,899,435 |
) |
(35,899,435 |
) |
|||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
533,794,103 |
— |
— |
— |
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.
DIREXION SEMI-ANNUAL REPORT
146
In order to meet certain U.S. excise tax distribution requirements, the Funds are required to measure and distribute annually net capital gains realized during a twelve month period ending October 31 and net investment income earned during a twelve month period ending December 31. In connection with this, the Funds are permitted for tax purposes to defer into their next fiscal year qualified late year losses. Qualified late ordinary losses are generally losses incurred between January 1 and the end of their fiscal year, October 31, 2021.
At October 31, 2021, the Funds deferred, on a tax basis, qualified late year losses of:
Ordinary Late Year Loss Deferral |
|||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
162,195 |
|||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
||||||
Direxion Daily S&P 500® Bear 3X Shares |
3,234,148 |
||||||
Direxion Daily Small Cap Bull 3X Shares |
— |
||||||
Direxion Daily Small Cap Bear 3X Shares |
2,862,615 |
||||||
Direxion Daily FTSE China Bull 3X Shares |
1,827,917 |
||||||
Direxion Daily FTSE China Bear 3X Shares |
310,703 |
||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
1,068,694 |
||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
203,938 |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
— |
||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
— |
||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
— |
||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
35,875 |
||||||
Direxion Daily Financial Bull 3X Shares |
— |
||||||
Direxion Daily Financial Bear 3X Shares |
1,004,811 |
||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
||||||
Direxion Daily Industrials Bull 3X Shares |
— |
||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
||||||
Direxion Daily Real Estate Bull 3X Shares |
— |
||||||
Direxion Daily Real Estate Bear 3X Shares |
183,394 |
||||||
Direxion Daily Regional Banks Bull 3X Shares |
— |
||||||
Direxion Daily Retail Bull 3X Shares |
— |
||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
— |
||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
175,878 |
||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
||||||
Direxion Daily S&P Biotech Bear 3X Shares |
520,651 |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
||||||
Direxion Daily Semiconductor Bear 3X Shares |
810,885 |
||||||
Direxion Daily Technology Bull 3X Shares |
— |
||||||
Direxion Daily Technology Bear 3X Shares |
487,735 |
||||||
Direxion Daily Transportation Bull 3X Shares |
— |
||||||
Direxion Daily Utilities Bull 3X Shares |
— |
||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
75,515 |
||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
135,623 |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
1,794,543 |
Under current law, the Funds may carry forward net capital losses indefinitely to use to offset capital gains realized in future years and their character is retained as either short-term and/or long-term.
DIREXION SEMI-ANNUAL REPORT
147
At October 31, 2021, for U.S. Federal income tax purposes, the following Funds had capital loss carryforwards available to offset future capital gains through the year indicated:
Funds |
Utilized in Current Year |
Unlimited ST |
Unlimited LT |
||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
8,380,357 |
$ |
— |
$ |
— |
|||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
2,419,952,932 |
3,329,426 |
||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
92,337,273 |
— |
— |
||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
3,386,044,852 |
— |
||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
17,804,809 |
71,478,831 |
5,052,532 |
||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
96,229,365 |
— |
||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
9,244,846 |
13,690,757 |
— |
||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
84,197,223 |
55,726,896 |
60,333,049 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
334,050,210 |
— |
||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
6,661,142 |
— |
— |
||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
3,755,869 |
— |
— |
||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
3,346,307 |
— |
— |
||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
6,603,182 |
— |
||||||||||||
Direxion Daily Financial Bull 3X Shares |
2,657,865 |
— |
— |
||||||||||||
Direxion Daily Financial Bear 3X Shares |
— |
2,998,196,085 |
— |
||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
5,929,770 |
— |
— |
||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
119,643,165 |
— |
||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
8,197,313 |
— |
— |
||||||||||||
Direxion Daily Retail Bull 3X Shares |
4,735,834 |
— |
— |
||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
441,728 |
— |
— |
||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
94,347,891 |
— |
||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
5,030,055 |
— |
— |
||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
289,440,392 |
— |
||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
757,433,781 |
— |
||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Technology Bear 3X Shares |
— |
251,777,266 |
— |
||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily Utilities Bull 3X Shares |
1,053,435 |
— |
— |
||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
— |
||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
61,066,334 |
— |
||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
6,255,612 |
1,403,655 |
||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
969,241,454 |
— |
The Funds follow authoritative financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Funds have reviewed all open tax years and concluded that there is no effect to the Funds' financial positions or results of operations and no tax liability resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During this period, the Funds did not incur any interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of April 30, 2022, open U.S. Federal and state income tax years include the tax years ended October 31, 2019 through October 31, 2021. The Funds have no examination in progress. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
DIREXION SEMI-ANNUAL REPORT
148
4. CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES
Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called "Creation Units." A Creation Unit consists of 50,000 shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund include both cash and in-kind transactions and are disclosed in detail in the Statements of Changes in Net Assets.
Transaction fees are imposed to cover the costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total transaction fee. A fixed transaction fee is paid to the transfer agent and is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable transaction fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction and is paid to the Fund. Not all Funds will have a transaction fee associated with capital share activity for the year. Transaction fees received by each Fund are presented in the Capital Share Transaction section of the Statements of Changes in Net Assets.
5. INVESTMENT TRANSACTIONS
The table below presents each Fund's investment transactions during the period ended April 30, 2022 represent the aggregate purchases of investments excluding the cost of in-kind purchases, short-term investment purchases, swaps and futures contracts. Sales represent the aggregate sales of investments excluding proceeds from in-kind sales, short-term investments, swap and future contracts.
Purchases in-kind are the aggregate of all in-kind purchases and sales in-kind are the aggregate of all proceeds from in-kind sales. The transactions for each of these categories are as follows:
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
16,280,253 |
$ |
23,787,267 |
$ |
8,935,132 |
$ |
11,222,311 |
|||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
945,562,700 |
2,311,911,909 |
1,906,150,562 |
475,774,152 |
|||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
727,229,600 |
1,138,034,746 |
1,352,113,228 |
784,535,328 |
|||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
201,104,400 |
559,657,873 |
524,882,980 |
157,946,848 |
|||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
— |
— |
10,472,035 |
15,977,374 |
|||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
51,557,450 |
117,746,751 |
34,211,415 |
51,158,405 |
|||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
9,444,510 |
— |
— |
4,112,711 |
|||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
3,836,052 |
4,181,882 |
24,269,913 |
27,703,044 |
|||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
69,868,304 |
89,472,217 |
90,880,911 |
119,223,513 |
|||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
23,778,949 |
23,831,774 |
15,935,627 |
4,431,667 |
|||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
29,809,654 |
190,034,705 |
261,099,046 |
31,920,463 |
|||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
1,359,017,529 |
2,019,716,246 |
977,300,404 |
468,025,879 |
|||||||||||||||
Direxion Daily Financial Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
22,228,268 |
11,798,760 |
57,991,767 |
83,871,263 |
|||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
96,244,659 |
122,447,663 |
119,593,141 |
141,124,655 |
|||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
6,624,259 |
951,942 |
2,046,652 |
29,909,387 |
|||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
16,533,818 |
17,157,689 |
24,856,114 |
35,562,540 |
|||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
40,931,362 |
61,400,504 |
10,087,997 |
38,377,231 |
|||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
301,415,976 |
180,371,708 |
224,997,667 |
194,601,856 |
|||||||||||||||
Direxion Daily Retail Bull 3X Shares |
29,645,438 |
93,656,260 |
91,268,478 |
41,122,142 |
|||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
57,551,827 |
64,116,035 |
53,507,912 |
47,873,962 |
|||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
149
Funds |
Purchases |
Sales |
Purchases In-Kind |
Sales In-Kind |
|||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
$ |
352,664,645 |
$ |
1,070,114,761 |
$ |
1,597,846,177 |
$ |
504,242,793 |
|||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
3,664,797,171 |
6,095,478,002 |
8,094,057,806 |
3,191,556,465 |
|||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Technology Bull 3X Shares |
927,888,722 |
1,416,553,553 |
662,880,012 |
267,354,263 |
|||||||||||||||
Direxion Daily Technology Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
4,184,753 |
3,422,843 |
9,930,758 |
26,695,123 |
|||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
18,508,344 |
24,270 |
7,300,989 |
28,065,676 |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
— |
4,714,110 |
2,127,476 |
|||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
— |
— |
— |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
90,761,781 |
141,172,016 |
19,819,959 |
|||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
— |
— |
— |
There were no purchases or sales of long-term U.S. Government securities in the Funds during the period ended April 30, 2022.
6. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Under an Investment Advisory Agreement between the Adviser and the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund's assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of each Fund, subject to the supervision of the Trustees. Pursuant to the Advisory Agreement, each Fund pays the Adviser 0.75% at an annual rate based on its average daily net assets.
The Adviser has agreed to waive a portion of its fees based upon the specific breakpoints listed in the table below based on each Fund's daily net assets. For the period ended April 30, 2022, the Adviser waived its fee in certain Funds.
Net Asset Range |
Advisory Fee Limit |
||||||
$0 – $1,500,000,000 |
0.75 |
% |
|||||
$1,500,000,000 – $2,000,000,000 |
0.70 |
% |
|||||
$2,000,000,000 – $2,500,000,000 |
0.65 |
% |
|||||
$2,500,000,000 – $3,000,000,000 |
0.60 |
% |
|||||
$3,000,000,000 – $3,500,000,000 |
0.55 |
% |
|||||
$3,500,000,000 – $4,000,000,000 |
0.50 |
% |
|||||
$4,000,000,000 – $4,500,000,000 |
0.45 |
% |
|||||
Greater than $4,500,000,000 |
0.40 |
% |
Additionally, the Trust has entered into a Management Services Agreement with the Adviser. Under the Management Services Agreement, the Trust pays the Adviser management service fees of 0.026% on the first $10,000,000,000 of the Trust's daily net assets and 0.024% on assets in excess of $10,000,000,000. This fee compensates the Adviser for performing certain management, administration and compliance functions related to the Trust.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to waive its fees and/or reimburse each Fund's operating expenses to the extent that they exceed 0.95% of each Fund's respective average daily net assets at least until September 1, 2023. Any expense waiver is subject to recoupment by the Adviser, as applicable, within the following three years if overall expenses fall below these percentage limitations.
The table below presents amounts that the Adviser recouped, reimbursed and the amounts available for potential recoupment by the Adviser.
Potential Recoupment Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31, 2022 |
October 31, 2023 |
October 31, 2024 |
April 30, 2025 |
Recoupment Amount |
|||||||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
2,977 |
$ |
551 |
$ |
10,229 |
$ |
27,314 |
$ |
1,507 |
$ |
551 |
$ |
39,601 |
|||||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
— |
— |
— |
— |
— |
— |
— |
DIREXION SEMI-ANNUAL REPORT
150
Potential Recoupment Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31, 2022 |
October 31, 2023 |
October 31, 2024 |
April 30, 2025 |
Recoupment Amount |
|||||||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
$ |
52,581 |
$ |
— |
$ |
— |
$ |
150,522 |
$ |
1,315 |
$ |
— |
$ |
151,837 |
|||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
226 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
3,683 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
49,499 |
— |
11,028 |
66,062 |
379 |
— |
77,469 |
||||||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
416 |
2,471 |
17,020 |
34,795 |
11,460 |
2,471 |
65,746 |
||||||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
4,734 |
187 |
— |
1,774 |
1,054 |
187 |
3,015 |
||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
5,303 |
1,088 |
20,457 |
40,267 |
939 |
1,088 |
62,751 |
||||||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
26,900 |
9,879 |
54,120 |
58,889 |
26,900 |
149,788 |
||||||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
— |
5,939 |
17,392 |
22,485 |
6,726 |
5,939 |
52,542 |
||||||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
— |
4,663 |
2,140 |
31,386 |
4,769 |
4,663 |
42,958 |
||||||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
2,772 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
7,613 |
11,111 |
43,606 |
18,769 |
7,613 |
81,099 |
||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
13,225 |
7 |
— |
11,648 |
4,118 |
7 |
15,773 |
||||||||||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
10,433 |
— |
35,406 |
27,407 |
10,433 |
73,246 |
||||||||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
20,746 |
— |
— |
43,258 |
4,546 |
— |
47,804 |
||||||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
28,498 |
— |
— |
19,517 |
384 |
— |
19,901 |
||||||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
44 |
3,786 |
20,729 |
43,942 |
5,072 |
3,786 |
73,529 |
||||||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
8,534 |
35,714 |
45,404 |
21,940 |
8,534 |
111,592 |
||||||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
7,917 |
3,638 |
17,828 |
40,574 |
2,655 |
3,638 |
64,694 |
||||||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
25,545 |
39,560 |
62,433 |
48,415 |
25,545 |
175,953 |
||||||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
1,603 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
25,970 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
4,110 |
405 |
— |
32,518 |
8,528 |
405 |
41,451 |
||||||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
6,211 |
— |
35,623 |
19,907 |
6,211 |
61,741 |
DIREXION SEMI-ANNUAL REPORT
151
Potential Recoupment Amounts Expiring: |
Total Potential |
||||||||||||||||||||||||||||||
Expenses Recouped |
Expenses Reimbursed |
October 31, 2022 |
October 31, 2023 |
October 31, 2024 |
April 30, 2025 |
Recoupment Amount |
|||||||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
$ |
1,384 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
206 |
2,171 |
2,084 |
39,815 |
2,825 |
2,171 |
46,895 |
||||||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
17,668 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
1,590 |
569 |
14,406 |
37,209 |
2,677 |
569 |
54,861 |
||||||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
1,439 |
1,921 |
24,990 |
34,483 |
3,328 |
1,921 |
64,722 |
||||||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
— |
7,503 |
23,985 |
38,650 |
17,028 |
7,503 |
87,166 |
||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
9,153 |
32,553 |
33,178 |
21,335 |
9,153 |
96,219 |
||||||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
815 |
3,148 |
30,792 |
38,575 |
26,014 |
3,148 |
98,529 |
||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
377 |
— |
— |
— |
— |
— |
— |
The net amounts receivable (payable) arising from the Investment Advisory Agreement, Management Services Agreement and waiver of any expenses as of April 30, 2022 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 value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes of valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels below:
Level 1 – Quoted prices in active markets for identical securities
Level 2 – Evaluated price based on other significant observable inputs (including quoted prices for similar securities in active markets, quoted prices for identical or similar securities in inactive markets, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – Significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments)
The inputs or methodology used for valuing securities are not an indication of the credit risk associated with investing in those securities.
DIREXION SEMI-ANNUAL REPORT
152
The following is a summary of the inputs used to value the Funds' net assets as of April 30, 2022:
Asset Class |
Liability Class |
||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 2 |
|||||||||||||||||||||||||
Funds |
Investment Companies |
Common Stocks |
Short Term Investments |
Cash Equivalents |
Total Return Swap Contracts* |
Total Return Swap Contracts* |
|||||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
44,439,606 |
$ |
— |
$ |
23,858,590 |
$ |
— |
$ |
— |
$ |
(9,512,134 |
) |
||||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
2,127,439,488 |
— |
730,815,638 |
— |
— |
(345,561,532 |
) |
||||||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
— |
439,770,699 |
— |
100,138,308 |
— |
|||||||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
837,372,962 |
— |
1,036,294,895 |
— |
— |
(292,904,793 |
) |
||||||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
— |
335,414,399 |
— |
104,069,379 |
(1,732 |
) |
||||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
191,638,121 |
— |
259,019,958 |
— |
7,725,504 |
(8,125,830 |
) |
||||||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
— |
123,253,601 |
— |
— |
(19,438,907 |
) |
||||||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
13,084,790 |
— |
18,957,046 |
— |
— |
(5,442,002 |
) |
||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
1,144,048 |
— |
121,608,828 |
— |
— |
(25,005,226 |
) |
||||||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
— |
46,274,073 |
— |
6,115,739 |
(2,029,946 |
) |
||||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
5,263,899 |
— |
10,975,695 |
— |
79,752 |
(576,386 |
) |
||||||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
14,223,108 |
— |
17,943,640 |
— |
— |
(7,104,409 |
) |
||||||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
— |
148,327,921 |
74,171,553 |
— |
4,907,435 |
(2,472,713 |
) |
||||||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
— |
28,539,189 |
10,076,519 |
— |
— |
(5,426,116 |
) |
||||||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
— |
84,324,466 |
63,616,056 |
— |
— |
(40,743,139 |
) |
DIREXION SEMI-ANNUAL REPORT
153
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 Dow Jones Internet Bear 3X Shares |
$ |
— |
$ |
— |
$ |
29,770,366 |
$ |
— |
$ |
417,213 |
$ |
— |
|||||||||||||||
Direxion Daily Financial Bull 3X Shares |
— |
1,704,372,673 |
1,034,025,820 |
— |
— |
(517,324,855 |
) |
||||||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
— |
— |
140,986,811 |
— |
26,390,308 |
— |
|||||||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
— |
152,188,922 |
74,224,101 |
— |
— |
(8,605,549 |
) |
||||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
— |
134,033,589 |
89,580,352 |
— |
— |
(32,884,527 |
) |
||||||||||||||||||||
Direxion Daily Industrials Bull 3X Shares |
— |
15,299,216 |
15,604,131 |
— |
— |
(4,079,732 |
) |
||||||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
— |
7,821,783 |
8,145,535 |
— |
— |
(1,875,427 |
) |
||||||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
— |
52,168,493 |
65,213,766 |
— |
1,207,345 |
(11,062,627 |
) |
||||||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
— |
29,927,192 |
— |
2,166,036 |
(380,320 |
) |
||||||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
— |
221,080,306 |
124,468,302 |
— |
— |
(66,912,130 |
) |
||||||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
— |
51,456,388 |
40,333,456 |
— |
— |
(13,826,599 |
) |
||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
56,873,556 |
29,613,117 |
— |
— |
(16,727,810 |
) |
|||||||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
— |
42,902,054 |
— |
8,842,021 |
— |
|||||||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
— |
551,351,632 |
424,971,375 |
— |
— |
(278,071,064 |
) |
||||||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
— |
61,199,689 |
— |
38,618,644 |
(892 |
) |
||||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
— |
3,784,072,679 |
2,416,459,485 |
— |
— |
(1,181,605,858 |
) |
||||||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
— |
200,972,588 |
— |
52,620,047 |
— |
DIREXION SEMI-ANNUAL REPORT
154
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 Technology Bull 3X Shares |
$ |
— |
$ |
1,401,005,441 |
$ |
993,864,928 |
$ |
— |
$ |
— |
$ |
(385,106,144 |
) |
||||||||||||||
Direxion Daily Technology Bear 3X Shares |
— |
— |
102,339,359 |
— |
13,901,471 |
— |
|||||||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
— |
19,871,125 |
35,207,106 |
— |
— |
(9,793,221 |
) |
||||||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
— |
18,411,173 |
3,713,784 |
— |
1,835,859 |
(165,889 |
) |
||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
16,056,866 |
— |
7,479,519 |
— |
— |
(3,140,560 |
) |
||||||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
— |
60,746,110 |
— |
7,617,058 |
(63,815 |
) |
||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
208,794,778 |
— |
247,328,756 |
— |
246,284 |
(89,033,060 |
) |
||||||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
— |
533,794,103 |
— |
110,185,493 |
— |
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, b) transfers between all levels on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfers and c) purchases and sales on a gross basis in the Level 3 rollforward rather than as one net number. Additionally, reporting entities are required to disclose quantitative information about unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy.
8. VALUATION OF DERIVATIVE INSTRUMENTS
The Funds follow authoritative standards of accounting for derivative instruments, which establish disclosure requirements for derivative instruments. These standards improve financial reporting for derivative instruments by requiring enhanced disclosures that enable investors to understand how and why a fund uses derivative instruments, how derivative instruments are accounted for and how derivative instruments affect a fund's financial position and results of operations.
DIREXION SEMI-ANNUAL REPORT
155
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objective. For additional discussion on the risks associated with derivative instruments refer to Note 2. As of April 30, 2022, the Funds were invested in swap contracts. At April 30, 2022, the fair value of derivative instruments, by primary risk, were as follows:
Asset Derivatives1 |
|||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
$ |
100,138,308 |
$ |
— |
$ |
100,138,308 |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
104,069,379 |
— |
104,069,379 |
||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
7,725,504 |
— |
7,725,504 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
6,115,739 |
— |
6,115,739 |
||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
79,752 |
— |
79,752 |
||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
4,907,435 |
— |
4,907,435 |
||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
417,213 |
— |
417,213 |
||||||||||||
Direxion Daily Financial Bear 3X Shares |
26,390,308 |
— |
26,390,308 |
||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
1,207,345 |
— |
1,207,345 |
||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
2,166,036 |
— |
2,166,036 |
||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
8,842,021 |
— |
8,842,021 |
||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
38,618,644 |
— |
38,618,644 |
||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
52,620,047 |
— |
52,620,047 |
||||||||||||
Direxion Daily Technology Bear 3X Shares |
13,901,471 |
— |
13,901,471 |
||||||||||||
Direxion Daily Utilities Bull 3X Shares |
1,835,859 |
— |
1,835,859 |
||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
7,617,058 |
7,617,058 |
||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
246,284 |
246,284 |
||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
110,185,493 |
110,185,493 |
1 Statements of Assets and Liabilities location: Unrealized appreciation on swap contracts.
Liability Derivatives2 |
|||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
9,512,134 |
$ |
— |
$ |
9,512,134 |
|||||||||
Direxion Daily S&P 500® Bull 3X Shares |
345,561,532 |
— |
345,561,532 |
||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
292,904,793 |
— |
292,904,793 |
||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
1,732 |
— |
1,732 |
||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
8,125,830 |
— |
8,125,830 |
||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
19,438,907 |
— |
19,438,907 |
||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
5,442,002 |
— |
5,442,002 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
25,005,226 |
— |
25,005,226 |
||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
2,029,946 |
— |
2,029,946 |
||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
576,386 |
— |
576,386 |
||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
7,104,409 |
— |
7,104,409 |
||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
2,472,713 |
— |
2,472,713 |
||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
5,426,116 |
— |
5,426,116 |
||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
40,743,139 |
— |
40,743,139 |
||||||||||||
Direxion Daily Financial Bull 3X Shares |
517,324,855 |
— |
517,324,855 |
||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
8,605,549 |
— |
8,605,549 |
||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
32,884,527 |
— |
32,884,527 |
||||||||||||
Direxion Daily Industrials Bull 3X Shares |
4,079,732 |
— |
4,079,732 |
||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
1,875,427 |
— |
1,875,427 |
||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
11,062,627 |
— |
11,062,627 |
||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
380,320 |
— |
380,320 |
||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
66,912,130 |
— |
66,912,130 |
||||||||||||
Direxion Daily Retail Bull 3X Shares |
13,826,599 |
— |
13,826,599 |
||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
16,727,810 |
— |
16,727,810 |
||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
278,071,064 |
— |
278,071,064 |
||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
892 |
— |
892 |
||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
1,181,605,858 |
— |
1,181,605,858 |
||||||||||||
Direxion Daily Technology Bull 3X Shares |
385,106,144 |
— |
385,106,144 |
||||||||||||
Direxion Daily Transportation Bull 3X Shares |
9,793,221 |
— |
9,793,221 |
||||||||||||
Direxion Daily Utilities Bull 3X Shares |
165,889 |
— |
165,889 |
||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
— |
3,140,560 |
3,140,560 |
DIREXION SEMI-ANNUAL REPORT
156
Liability Derivatives2 |
|||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Total |
||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
$ |
— |
$ |
63,815 |
$ |
63,815 |
|||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
— |
89,033,060 |
89,033,060 |
2 Statements of Assets and Liabilities location: Unrealized depreciation on swap contracts.
Transactions in derivative instruments during the period ended April 30, 2022 by primary risk, were as follows:
Net Realized Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
Swap Contracts |
$ |
9,887,716 |
$ |
— |
$ |
(32,828,811 |
) |
$ |
— |
|||||||||||||
Direxion Daily S&P 500® Bull 3X Shares |
Swap Contracts |
367,020,213 |
— |
(1,133,988,233 |
) |
— |
|||||||||||||||||
Direxion Daily S&P 500® Bear 3X Shares |
Swap Contracts |
(89,325,430 |
) |
— |
179,776,824 |
— |
|||||||||||||||||
Direxion Daily Small Cap Bull 3X Shares |
Swap Contracts |
(359,089,321 |
) |
— |
(428,418,055 |
) |
— |
||||||||||||||||
Direxion Daily Small Cap Bear 3X Shares |
Swap Contracts |
11,706,916 |
— |
170,309,666 |
— |
||||||||||||||||||
Direxion Daily FTSE China Bull 3X Shares |
Swap Contracts |
(333,713,582 |
) |
— |
48,486,730 |
— |
|||||||||||||||||
Direxion Daily FTSE China Bear 3X Shares |
Swap Contracts |
8,646,321 |
— |
(11,768,309 |
) |
— |
|||||||||||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
Swap Contracts |
(1,110,625 |
) |
— |
(15,021,390 |
) |
— |
||||||||||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
Swap Contracts |
(58,604,369 |
) |
— |
(15,189,465 |
) |
— |
||||||||||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
Swap Contracts |
8,949,217 |
— |
2,022,847 |
— |
||||||||||||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
Swap Contracts |
6,230,077 |
— |
(5,688,445 |
) |
— |
|||||||||||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
Swap Contracts |
(14,330,724 |
) |
— |
(2,275,070 |
) |
— |
||||||||||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
Swap Contracts |
13,894,905 |
— |
(26,584,434 |
) |
— |
|||||||||||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
Swap Contracts |
(4,456,170 |
) |
— |
(22,191,093 |
) |
— |
||||||||||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
Swap Contracts |
(103,338,366 |
) |
— |
(61,727,192 |
) |
— |
||||||||||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
Swap Contracts |
11,628,112 |
— |
855,175 |
— |
||||||||||||||||||
Direxion Daily Financial Bull 3X Shares |
Swap Contracts |
564,584,284 |
— |
(1,656,704,407 |
) |
— |
|||||||||||||||||
Direxion Daily Financial Bear 3X Shares |
Swap Contracts |
(3,196,462 |
) |
— |
55,865,420 |
— |
|||||||||||||||||
Direxion Daily Healthcare Bull 3X Shares |
Swap Contracts |
44,834,500 |
— |
(67,531,341 |
) |
— |
DIREXION SEMI-ANNUAL REPORT
157
Net Realized Gain (Loss)1 |
Net Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||||||
Fund |
Equity Risk |
Interest Rate Risk |
Equity Risk |
Interest Rate Risk |
|||||||||||||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
Swap Contracts |
$ |
37,215,340 |
$ |
— |
$ |
(161,407,591 |
) |
$ |
— |
|||||||||||||
Direxion Daily Industrials Bull 3X Shares |
Swap Contracts |
9,274,042 |
— |
(18,447,747 |
) |
— |
|||||||||||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
Swap Contracts |
(2,798,986 |
) |
— |
(2,228,640 |
) |
— |
||||||||||||||||
Direxion Daily Real Estate Bull 3X Shares |
Swap Contracts |
54,938,827 |
— |
(65,038,738 |
) |
— |
|||||||||||||||||
Direxion Daily Real Estate Bear 3X Shares |
Swap Contracts |
(7,639,467 |
) |
— |
6,892,750 |
— |
|||||||||||||||||
Direxion Daily Regional Banks Bull 3X Shares |
Swap Contracts |
88,598,484 |
— |
(204,897,545 |
) |
— |
|||||||||||||||||
Direxion Daily Retail Bull 3X Shares |
Swap Contracts |
(35,300,128 |
) |
— |
(45,918,271 |
) |
— |
||||||||||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
Swap Contracts |
19,312,020 |
— |
(56,540,877 |
) |
— |
|||||||||||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
Swap Contracts |
(5,108,263 |
) |
— |
16,696,523 |
— |
|||||||||||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
Swap Contracts |
(864,919,474 |
) |
— |
(252,590,109 |
) |
— |
||||||||||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
Swap Contracts |
41,145,278 |
— |
37,893,955 |
— |
||||||||||||||||||
Direxion Daily Semiconductor Bull 3X Shares |
Swap Contracts |
(1,073,038,347 |
) |
— |
(1,734,691,636 |
) |
— |
||||||||||||||||
Direxion Daily Semiconductor Bear 3X Shares |
Swap Contracts |
(21,053,771 |
) |
— |
70,084,758 |
— |
|||||||||||||||||
Direxion Daily Technology Bull 3X Shares |
Swap Contracts |
350,921,357 |
— |
(1,362,865,797 |
) |
— |
|||||||||||||||||
Direxion Daily Technology Bear 3X Shares |
Swap Contracts |
(23,343,914 |
) |
— |
36,332,324 |
— |
|||||||||||||||||
Direxion Daily Transportation Bull 3X Shares |
Swap Contracts |
23,560,405 |
— |
(36,334,749 |
) |
— |
|||||||||||||||||
Direxion Daily Utilities Bull 3X Shares |
Swap Contracts |
6,988,533 |
— |
(2,791,693 |
) |
— |
|||||||||||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
Swap Contracts |
— |
(2,900,381 |
) |
— |
(2,485,841 |
) |
||||||||||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
Swap Contracts |
— |
3,841,311 |
— |
6,990,961 |
||||||||||||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
Swap Contracts |
— |
(105,347,286 |
) |
— |
(87,008,638 |
) |
||||||||||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
Swap Contracts |
— |
79,744,981 |
— |
138,747,246 |
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.
DIREXION SEMI-ANNUAL REPORT
158
For the period ended April 30, 2022, the volume of the derivatives held by the Funds was as follows:
Quarterly Average Gross Notional Amounts |
|||||||||||
Long Total Return Swap Contracts |
Short Total Return Swap Contracts |
||||||||||
Direxion Daily Mid Cap Bull 3X Shares |
$ |
169,876,483 |
$ |
— |
|||||||
Direxion Daily S&P 500® Bull 3X Shares |
6,901,356,073 |
— |
|||||||||
Direxion Daily S&P 500® Bear 3X Shares |
— |
1,230,322,518 |
|||||||||
Direxion Daily Small Cap Bull 3X Shares |
3,702,764,291 |
— |
|||||||||
Direxion Daily Small Cap Bear 3X Shares |
— |
1,222,060,802 |
|||||||||
Direxion Daily FTSE China Bull 3X Shares |
1,190,780,200 |
— |
|||||||||
Direxion Daily FTSE China Bear 3X Shares |
— |
208,479,462 |
|||||||||
Direxion Daily FTSE Europe Bull 3X Shares |
95,654,356 |
— |
|||||||||
Direxion Daily MSCI Emerging Markets Bull 3X Shares |
400,494,483 |
— |
|||||||||
Direxion Daily MSCI Emerging Markets Bear 3X Shares |
— |
99,394,811 |
|||||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
34,141,871 |
— |
|||||||||
Direxion Daily MSCI South Korea Bull 3X Shares |
96,381,117 |
— |
|||||||||
Direxion Daily Aerospace & Defense Bull 3X Shares |
543,389,923 |
— |
|||||||||
Direxion Daily Consumer Discretionary Bull 3X Shares |
104,497,391 |
— |
|||||||||
Direxion Daily Dow Jones Internet Bull 3X Shares |
297,702,453 |
— |
|||||||||
Direxion Daily Dow Jones Internet Bear 3X Shares |
— |
45,098,170 |
|||||||||
Direxion Daily Financial Bull 3X Shares |
6,773,830,122 |
— |
|||||||||
Direxion Daily Financial Bear 3X Shares |
— |
377,382,498 |
|||||||||
Direxion Daily Healthcare Bull 3X Shares |
525,676,909 |
— |
|||||||||
Direxion Daily Homebuilders & Supplies Bull 3X Shares |
650,672,910 |
— |
|||||||||
Direxion Daily Industrials Bull 3X Shares |
99,363,708 |
— |
|||||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
56,506,595 |
— |
|||||||||
Direxion Daily Real Estate Bull 3X Shares |
280,394,041 |
— |
|||||||||
Direxion Daily Real Estate Bear 3X Shares |
— |
75,080,402 |
|||||||||
Direxion Daily Regional Banks Bull 3X Shares |
884,296,001 |
— |
|||||||||
Direxion Daily Retail Bull 3X Shares |
227,805,155 |
— |
|||||||||
Direxion Daily S&P 500® High Beta Bull 3X Shares |
208,675,415 |
— |
|||||||||
Direxion Daily S&P 500® High Beta Bear 3X Shares |
— |
104,407,408 |
|||||||||
Direxion Daily S&P Biotech Bull 3X Shares |
1,940,213,978 |
— |
|||||||||
Direxion Daily S&P Biotech Bear 3X Shares |
— |
189,818,543 |
|||||||||
Direxion Daily Semiconductor Bull 3X Shares |
11,296,695,452 |
— |
|||||||||
Direxion Daily Semiconductor Bear 3X Shares |
— |
536,998,137 |
|||||||||
Direxion Daily Technology Bull 3X Shares |
6,198,078,053 |
— |
|||||||||
Direxion Daily Technology Bear 3X Shares |
— |
263,076,535 |
|||||||||
Direxion Daily Transportation Bull 3X Shares |
160,491,172 |
— |
|||||||||
Direxion Daily Utilities Bull 3X Shares |
61,230,436 |
— |
|||||||||
Direxion Daily 7-10 Year Treasury Bull 3X Shares |
50,331,640 |
— |
|||||||||
Direxion Daily 7-10 Year Treasury Bear 3X Shares |
— |
128,651,869 |
|||||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
896,261,085 |
— |
|||||||||
Direxion Daily 20+ Year Treasury Bear 3X Shares |
— |
1,267,214,864 |
The Funds utilize this volume of derivatives in order to obtain leverage in order to meet the investment objectives of 300% or -300% daily performance of their respective indices.
9. PRINCIPAL RISKS
Below are some of the principal risks of investing in the Funds. Please refer to the Funds' prospectus for a full discussion.
Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds' counterparties are generally required to post collateral to the Funds to the extent of the Funds' daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its
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159
obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Sector Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Daily Index Correlation/Tracking Risk – A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Derivatives Risk – The Fund's investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund's other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions.
In addition, the Fund's investments in derivatives are subject to the following risks:
• Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index or an ETF that seeks to track an index. Swaps are subject to counterparty, valuation and leveraging risks.
• Futures Contracts. Futures contracts are typically exchange-traded contracts that call for the future delivery of an asset at a certain price and date, or cash settlement of the terms of the contract. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. Futures contracts are subject to liquidity risks; there may not be a liquid secondary market for the futures contracts and the Fund may not be able to enter into a closing transaction. Exchanges may also limit the number of positions that can be held or controlled by the Fund or the Adviser, thus limiting the ability of the Fund to implement its leveraged investment strategy. Futures markets are highly volatile and the use of futures may increase the Fund's volatility. Futures contracts are also subject to leverage risk.
Foreign Securities Risk – Investments in foreign securities directly or indirectly through investments in exchange traded funds which track foreign securities involve greater risks than investing in domestic securities. As a result, the Funds' returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws, accounting and financial reporting standards
DIREXION SEMI-ANNUAL REPORT
160
in foreign countries may require less disclosure than required in the U.S., and therefore there may be less public information available about foreign companies. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy's dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.
Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap and future agreements may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.
Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.
Market Disruption Risk – Geopolitical and other events, including public health crises and natural disasters, have recently led to increased market volatility and significant market losses. Significant market volatility and market downturns may limit a Fund's ability to sell securities and the Fund's sales may exacerbate the market volatility and downturn. Under such circumstances, a Fund may have difficulty achieving its investment objective for one or more trading days, which may adversely impact the Fund's returns on those days and periods inclusive of those days. Alternatively, the Fund may incur higher costs in order to achieve its investment objective and may be forced to purchase and sell securities (including other ETFs' shares) at market prices that do not represent their fair value (including in the case of an ETF, its net asset value) or at times that result in differences between the price the Fund receives for the security and the market closing price of the security. Under those circumstances, the Fund's ability to track its index is likely to be adversely affected, the market price of Fund shares may reflect a greater premium or discount to net asset value, and bid-ask spreads in the Fund's shares may widen, resulting in increased transaction costs for secondary market purchasers and sellers. The Fund may also incur additional tracking error due to the use of other securities that are not perfectly correlated to the Fund's index.
The recent pandemic spread of the novel coronavirus known as COVID-19 has proven to be a market disrupting event. The impact of this virus, like other pandemics that may arise in the future, has negatively affected and may continue to negatively affect the economies of many nations, companies and the global securities and commodities markets, including by reducing liquidity in the markets. Adverse effects may be more pronounced for developing or emerging market countries that have less established health care systems. How long such events will last and whether they will continue or recur cannot be predicted.
10. ADDITIONAL INFORMATION
On March 28, 2022, shares of the following Fund were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split has no impact on the net assets of the Funds or the value of a shareholder's investment in the Fund. A summary of the reverse stock 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 Semiconductor Bear 3X Shares |
3/28/2022 |
1 |
:10 |
$ |
3.50 |
$ |
35.00 |
74,251,071 |
7,425,107 |
11. SUBSEQUENT EVENTS
Management has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no items require recognition or disclosure besides those noted below.
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161
On May 31, 2022, shares of the following Fund were adjusted to reflect a reverse stock split. The effect of the reverse stock split was to decrease the number of shares outstanding and increase the net asset value. The reverse stock split has no impact on the net assets of the Fund or the value of a shareholder's investment in the Fund. A summary of the reverse 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 FTSE China Bull 3X Shares |
5/31/2022 |
1 |
:20 |
$ |
3.86 |
$ |
77.20 |
118,600,013 |
5,930,001 |
On June 21, 2022, certain Funds declared income distributions with an ex-date of June 22, 2022 and payable date of June 29, 2022. The specific Funds and per share amounts of the distributions are listed below.
Funds |
Per Share Income Distribution |
||||||
Direxion Daily S&P 500® Bull 3X Shares |
$ |
0.07763 |
|||||
Direxion Daily FTSE China Bull 3X Shares |
0.06744 |
||||||
Direxion Daily MSCI Mexico Bull 3X Shares |
0.31404 |
||||||
Direxion Daily Financial Bull 3X Shares |
0.12167 |
||||||
Direxion Daily Healthcare Bull 3X Shares |
0.07652 |
||||||
Direxion Daily Industrials Bull 3X Shares |
0.01780 |
||||||
Direxion Daily Pharmaceutical & Medical Bull 3X Shares |
0.00361 |
||||||
Direxion Daily Real Estate Bull 3X Shares |
0.04457 |
||||||
Direxion Daily Regional Banks Bull 3X Shares |
0.08612 |
||||||
Direxion Daily Retail Bull 3X Shares |
0.01228 |
||||||
Direxion Daily Semiconductor Bull 3X Shares |
0.01880 |
||||||
Direxion Daily Utilities Bull 3X Shares |
0.12924 |
||||||
Direxion Daily 20+ Year Treasury Bull 3X Shares |
0.02556 |
Effective August 1, 2022, Direxion Daily Financial Bull 3X Shares and Direxion Daily Financial Bear 3X Shares will change their benchmark index from Russell 1000 Financials 40 Act 15/22.5 Daily Capped Index to Financials Select Sector Index.
Effective August 1, 2022, Direxion Daily Transportation Bull 3X Shares will change its benchmark index from Dow Jones Transportation AverageTM to S&P Transportation Select Industry FMC Capped Index.
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162
Direxion Shares ETF Trust
Supplemental Information (Unaudited)
Householding
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, Annual and Semi-Annual Reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders we reasonably believe are from the same family or household. Householding begins once you have signed your account application. After such time, if you would like to discontinue householding for your accounts, please call toll-free at (800) 851-0511 to request individual copies of these documents. Once the Funds receive notice to stop householding, we will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
DIREXION SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Trustees and Officers
The business affairs of the Funds are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set below. The report includes additional information about the Funds' Trustees and Officers and is available without charge, upon request by calling 1-800-851-0511.
Interested Trustee
Name, Address and Age |
Position(s) Held with Fund |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
# of Portfolios in Direxion Family of Investment Companies Overseen by Trustee(3) |
Other Trusteeships/ Directorships Held by Trustee During Past Five Years |
||||||||||||||||||
Daniel D. O'Neill(1) Age: 54 |
Chairman of the Board of Trustees |
Lifetime of Trust until removal or resignation; Since 2008 |
Chief Executive Officer 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. |
139 |
None. |
||||||||||||||||||
Angela Brickl(2) Age: 46 |
Trustee Chief Compliance Officer Secretary |
Lifetime of Trust until removal or resignation; Since 2022 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. |
139 |
None. |
(1) Mr. O'Neill is affiliated with Rafferty and Direxion. Mr. O'Neill owns a beneficial interest in Rafferty.
(2) Ms. Brickl is affiliated with Rafferty because she serves as an officer of Rafferty.
(3) The Direxion Family of Investment Companies consists of the Direxion Shares ETF Trust which, as of the date of this report, offers for sale to the public 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this report, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Trustees and Officers
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 Investment Companies Overseen by Trustee(2) |
Family of 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. |
139 |
None. |
||||||||||||||||||
Jacob C. Gaffey Age: 74 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2014 |
Managing Director of Loomis & Co. since 2012; Partner, Bay Capital Advisors, LLC 2008 – 2012. |
139 |
None. |
||||||||||||||||||
Henry W. Mulholland Age: 59 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2017 |
Grove Hill Partners LLC, since 2016 as Managing Partner; Bank of America Merrill Lynch, 1990 – 2015, most recently as Managing Director and Head of Equities for Americas. |
139 |
None. |
||||||||||||||||||
Kathleen M. Berkery Age: 54 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2019 |
Chief Financial Officer, Student Sponsor Partners, since November 2021; Senior Manager – Trusts & Estates, Rynkar, Vail & Barrett, LLC, since 2018; Financial Advisor, Lee, Nolan & Koroghlian Life Planning Group, 2010 – 2017. |
139 |
None. |
||||||||||||||||||
Carlyle Peake Age: 50 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2022 |
Head of US & LATAM Debt Syndicate, BBVA Securities, Inc., since 2011. |
139 |
None. |
||||||||||||||||||
Mary Jo Collins Age: 65 |
Trustee |
Lifetime of Trust until removal or resignation; Since 2022 |
Managing Director, Imperial Capital LLC, since 2020; Director, Royal Bank of Canada, 2014 – 2020. |
139 |
None. |
(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 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
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Direxion Shares ETF Trust
Trustees and Officers
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: 54 |
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. |
93 |
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: 46 |
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 |
||||||||||||||||||
Corey Noltner Age: 33 |
Principal Financial Officer |
One Year; Since 2021 |
Senior Business Analyst, Rafferty Asset Management, LLC, since October 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 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 82 of the 128 funds registered with the SEC, the Direxion Funds which, as of the date of this SAI, offers for sale to the public 11 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.
DIREXION SEMI-ANNUAL REPORT
166
SEMI-ANNUAL REPORT APRIL 30, 2022
1301 Avenue of the Americas (6th Ave.), 28th Floor New York, New York 10019 (800) 851-0511 www.direxioninvestments.com
Investment Advisers
Rafferty Asset Management, LLC
Direxion Advisors, LLC
1301 Avenue of the Americas (6th Ave.), 28th Floor
New York, NY 10019
Administrator
U.S. Bancorp Fund Services, LLC
P.O. Box 1993
Milwaukee, WI 53201-1993
Transfer Agent, Custodian & Index Receipt Agent
The Bank of New York Mellon
101 Barclay Street
New York, New York 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
700 Nicollet Mall, Suite 500
Minneapolis, MN 55402
Distributor
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 01401
www.foreside.com
The Trust's Proxy Voting Policies are available without charge by calling 1-800-851-0511, or by accessing the SEC's website, at www.sec.gov.
The actual voting records relating to portfolio securities during the most recent period ended June 30 (starting with the year ended June 30, 2005) is available without charge by calling 1-800-851-0511 or by accessing the SEC's website at www.sec.gov.
Each Fund's premium/discount information is available free of charge on the Funds' websites or by calling (800) 851-8511 or (833) 547-4417.
The Trust files complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. The Funds' Part F of Form N-PORT (and Form N-Q prior to April 30, 2019) is available on the SEC's website at www.sec.gov.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
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 Semi-Annual Report.
DIREXION SEMI-ANNUAL REPORT
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports
Item 6. Schedule of Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors/trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the last fiscal half-year covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Direxion Shares ETF Trust |
By (Signature and Title) | /s/ Patrick Rudnick | ||
Patrick J. Rudnick, Principal Executive Officer |
Date | 7/1/2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Patrick Rudnick | ||
Patrick J. Rudnick, Principal Executive Officer |
Date | 7/1/2022 |
By (Signature and Title) | /s/ Corey Noltner | ||
Corey Noltner, Principal Financial Officer |
Date | 7/1/2022 |