497

U.S. Bancorp Fund Services LLC

615 East Michigan Street

Milwaukee, WI 53202

November 29, 2012

FILED VIA EDGAR

United States Securities and Exchange Commission

Division of Investment Management

100 F. Street, N.E.

Washington, D.C. 20549-1004

Re: Direxion Shares ETF Trust (the “Trust”)

File Nos.: 333-150525 and 811-22201

Dear Sir or Madam:

Pursuant to Rule 497(e) of the Securities Act of 1933, as amended (the “1933 Act”) and the regulations thereunder, transmitted herewith on behalf of the Trust is the XBRL risk/return summaries and corresponding XBRL exhibits, noted below, that mirrors the revisions to the risk/return summary described for the Direxion All Cap Insider Sentiment Shares and the Direxion Large Cap Insider Sentiment Shares and filed pursuant to Rule 497(e) under the 1933 Act on November 6, 2012. This November 6, 2012 Rule 497(e) filing (Accession No. 0000894189-12-006180) is hereby incorporated by reference to today’s Rule 497(e) filing.

The XBRL exhibits attached hereto consist of the following:

EXHIBIT INDEX

Exhibit	Exhibit No.
Instance Document	EX-101.INS
Schema Document	EX-101.SCH
Calculation Linkbase Document	EX-101.CAL
Definition Linkbase Document	EX-101.DEF
Label Linkbase Document	EX-101.LAB
Presentation Linkbase Document	EX-101.PRE

If you have any questions concerning the foregoing, please contact Adam Henkel of U.S. Bancorp Fund Services, LLC at (312) 325-2037.

Sincerely,

/s/Adam R. Henkel

Adam R. Henkel, Esq.

For U.S. Bancorp Fund Services, LLC

XML

DIREXION SHARES ETF TRUST

Direxion All Cap Insider Sentiment Shares (KNOW)

Direxion Large Cap Insider Sentiment Shares (INSD)

Supplement dated November 6, 2012 to the

Prospectus dated June 15, 2012, as supplemented August 31, 2012 (“Prospectus”)

Effective November 8, 2012, the corresponding index descriptions for the Direxion All Cap Insider Sentiment Shares and the Direxion Large Cap Insider Sentiment Shares (collectively, the “Funds”) are changed as follows:

New Index Descriptions

Direxion All Cap Insider Sentiment Shares

The Index is composed of 100 stocks selected from the S&P 1500 by Sabrient Systems LLC (the “Index Provider”) using a quantitative methodology.  The S&P 1500 is a composite index of the S&P 500, S&P 400 and S&P 600, which are composed of stocks representing the large capitalization, mid capitalization and small capitalization segments of the U.S. equity market, respectively.  Starting with an eligible universe of all 1500 stocks in the S&P 1500, the Index Provider first eliminates stocks of companies with very aggressive accounting, as identified by the Index Provider’s proprietary forensics accounting methodology.  From the remaining stocks, the Index Provider further eliminates all but 100 stocks using a screening methodology that is based on an analysis of public company filings relating to frequency of trades, purchases of stock and increases in holdings by a company’s insiders, as well as positive earnings analysis.  The remaining 100 stocks, which compose the Index, are then ranked using a defensive methodology that preferences stocks that have historically performed well in weak markets, having strong free cash flow yield and strong dividend yield.  The Index is “quant-weighted,” meaning the top 50 stocks are weighted exponentially, with the top stock representing 2.6% of the Index, while the bottom 50 stocks are equal-weighted, with each representing 0.35% of the Index.  The bottom 50 stocks thereby account for 17.61% of the total Index.  The Index rebalances monthly.

Direxion Large Cap Insider Sentiment Shares

The Index is composed of 100 stocks selected from the S&P 500® by Sabrient Systems LLC (the “Index Provider”) using a quantitative methodology.  Starting with an eligible universe of all 500 large capitalization domestic equity stocks in the S&P 500®, the Index Provider first eliminates stocks of companies with very aggressive accounting, as identified by the Index Provider’s proprietary forensics accounting methodology.  From the remaining stocks, the Index Provider further eliminates all but 100 stocks using a screening methodology that is based on an analysis of public company filings relating to frequency of trades, purchases of stock and increases in holdings by a company’s insiders, as well as positive earnings analysis.  The remaining 100 stocks, which compose the Index, are then ranked using a defensive methodology that preferences stocks that have historically performed well in weak markets, having strong free cash flow yield and strong dividend yield.  The Index is “quant-weighted,” meaning the top 50 stocks are weighted exponentially, with the top stock representing 2.6% of the Index, while the bottom 50 stocks are equal-weighted, with each representing 0.35% of the Index.  The bottom 50 stocks thereby account for 17.61% of the total Index.  The Index rebalances monthly.

Questions regarding these changes may be directed to the Funds at (866) 476-7523.

XML

Label

Element

Value

Risk/Return:

rr_RiskReturnAbstract

Registrant Name

dei_EntityRegistrantName

Direxion Shares ETF Trust

Prospectus Date

rr_ProspectusDate

Jun. 15, 2012

Supplement [Text Block]

dset2_SupplementTextBlock

DIREXION SHARES ETF TRUST

Direxion All Cap Insider Sentiment Shares (KNOW)

Direxion Large Cap Insider Sentiment Shares (INSD)

Supplement dated November 6, 2012 to the

Prospectus dated June 15, 2012, as supplemented August 31, 2012 (“Prospectus”)

Effective November 8, 2012, the corresponding index descriptions for the Direxion All Cap Insider Sentiment Shares and the Direxion Large Cap Insider Sentiment Shares (collectively, the “Funds”) are changed as follows:

New Index Descriptions

Direxion All Cap Insider Sentiment Shares

The Index is composed of 100 stocks selected from the S&P 1500 by Sabrient Systems LLC (the “Index Provider”) using a quantitative methodology.  The S&P 1500 is a composite index of the S&P 500, S&P 400 and S&P 600, which are composed of stocks representing the large capitalization, mid capitalization and small capitalization segments of the U.S. equity market, respectively.  Starting with an eligible universe of all 1500 stocks in the S&P 1500, the Index Provider first eliminates stocks of companies with very aggressive accounting, as identified by the Index Provider’s proprietary forensics accounting methodology.  From the remaining stocks, the Index Provider further eliminates all but 100 stocks using a screening methodology that is based on an analysis of public company filings relating to frequency of trades, purchases of stock and increases in holdings by a company’s insiders, as well as positive earnings analysis.  The remaining 100 stocks, which compose the Index, are then ranked using a defensive methodology that preferences stocks that have historically performed well in weak markets, having strong free cash flow yield and strong dividend yield.  The Index is “quant-weighted,” meaning the top 50 stocks are weighted exponentially, with the top stock representing 2.6% of the Index, while the bottom 50 stocks are equal-weighted, with each representing 0.35% of the Index.  The bottom 50 stocks thereby account for 17.61% of the total Index.  The Index rebalances monthly.

Direxion Large Cap Insider Sentiment Shares

The Index is composed of 100 stocks selected from the S&P 500® by Sabrient Systems LLC (the “Index Provider”) using a quantitative methodology.  Starting with an eligible universe of all 500 large capitalization domestic equity stocks in the S&P 500®, the Index Provider first eliminates stocks of companies with very aggressive accounting, as identified by the Index Provider’s proprietary forensics accounting methodology.  From the remaining stocks, the Index Provider further eliminates all but 100 stocks using a screening methodology that is based on an analysis of public company filings relating to frequency of trades, purchases of stock and increases in holdings by a company’s insiders, as well as positive earnings analysis.  The remaining 100 stocks, which compose the Index, are then ranked using a defensive methodology that preferences stocks that have historically performed well in weak markets, having strong free cash flow yield and strong dividend yield.  The Index is “quant-weighted,” meaning the top 50 stocks are weighted exponentially, with the top stock representing 2.6% of the Index, while the bottom 50 stocks are equal-weighted, with each representing 0.35% of the Index.  The bottom 50 stocks thereby account for 17.61% of the total Index.  The Index rebalances monthly.

Questions regarding these changes may be directed to the Funds at (866) 476-7523.

Direxion All Cap Insider Sentiment Shares

Risk/Return:

rr_RiskReturnAbstract

Supplement [Text Block]

dset2_SupplementTextBlock

DIREXION SHARES ETF TRUST

Direxion All Cap Insider Sentiment Shares (KNOW)

Direxion Large Cap Insider Sentiment Shares (INSD)

Supplement dated November 6, 2012 to the

Prospectus dated June 15, 2012, as supplemented August 31, 2012 (“Prospectus”)

Effective November 8, 2012, the corresponding index descriptions for the Direxion All Cap Insider Sentiment Shares and the Direxion Large Cap Insider Sentiment Shares (collectively, the “Funds”) are changed as follows:

New Index Descriptions

Direxion All Cap Insider Sentiment Shares

The Index is composed of 100 stocks selected from the S&P 1500 by Sabrient Systems LLC (the “Index Provider”) using a quantitative methodology.  The S&P 1500 is a composite index of the S&P 500, S&P 400 and S&P 600, which are composed of stocks representing the large capitalization, mid capitalization and small capitalization segments of the U.S. equity market, respectively.  Starting with an eligible universe of all 1500 stocks in the S&P 1500, the Index Provider first eliminates stocks of companies with very aggressive accounting, as identified by the Index Provider’s proprietary forensics accounting methodology.  From the remaining stocks, the Index Provider further eliminates all but 100 stocks using a screening methodology that is based on an analysis of public company filings relating to frequency of trades, purchases of stock and increases in holdings by a company’s insiders, as well as positive earnings analysis.  The remaining 100 stocks, which compose the Index, are then ranked using a defensive methodology that preferences stocks that have historically performed well in weak markets, having strong free cash flow yield and strong dividend yield.  The Index is “quant-weighted,” meaning the top 50 stocks are weighted exponentially, with the top stock representing 2.6% of the Index, while the bottom 50 stocks are equal-weighted, with each representing 0.35% of the Index.  The bottom 50 stocks thereby account for 17.61% of the total Index.  The Index rebalances monthly.

Direxion Large Cap Insider Sentiment Shares

Risk/Return:

rr_RiskReturnAbstract

Supplement [Text Block]

dset2_SupplementTextBlock

DIREXION SHARES ETF TRUST

Direxion All Cap Insider Sentiment Shares (KNOW)

Direxion Large Cap Insider Sentiment Shares (INSD)

Supplement dated November 6, 2012 to the

Prospectus dated June 15, 2012, as supplemented August 31, 2012 (“Prospectus”)

Effective November 8, 2012, the corresponding index descriptions for the Direxion All Cap Insider Sentiment Shares and the Direxion Large Cap Insider Sentiment Shares (collectively, the “Funds”) are changed as follows:

New Index Descriptions

Direxion Large Cap Insider Sentiment Shares

The Index is composed of 100 stocks selected from the S&P 500® by Sabrient Systems LLC (the “Index Provider”) using a quantitative methodology.  Starting with an eligible universe of all 500 large capitalization domestic equity stocks in the S&P 500®, the Index Provider first eliminates stocks of companies with very aggressive accounting, as identified by the Index Provider’s proprietary forensics accounting methodology.  From the remaining stocks, the Index Provider further eliminates all but 100 stocks using a screening methodology that is based on an analysis of public company filings relating to frequency of trades, purchases of stock and increases in holdings by a company’s insiders, as well as positive earnings analysis.  The remaining 100 stocks, which compose the Index, are then ranked using a defensive methodology that preferences stocks that have historically performed well in weak markets, having strong free cash flow yield and strong dividend yield.  The Index is “quant-weighted,” meaning the top 50 stocks are weighted exponentially, with the top stock representing 2.6% of the Index, while the bottom 50 stocks are equal-weighted, with each representing 0.35% of the Index.  The bottom 50 stocks thereby account for 17.61% of the total Index.  The Index rebalances monthly.

Questions regarding these changes may be directed to the Funds at (866) 476-7523.

XML

Document and Entity Information	12 Months Ended
	Jun. 15, 2012
Risk/Return:
Document Type	Other
Document Period End Date	Oct. 31, 2011
Registrant Name	Direxion Shares ETF Trust
Central Index Key	0001424958
Amendment Flag	false
Document Creation Date	Nov. 06, 2012
Document Effective Date	Nov. 06, 2012
Prospectus Date	Jun. 15, 2012

XML

Label	Element	Value
Risk/Return:	rr_RiskReturnAbstract
Registrant Name	dei_EntityRegistrantName	Direxion Shares ETF Trust
Prospectus Date	rr_ProspectusDate	Jun. 15, 2012
Document Creation Date	dei_DocumentCreationDate	Nov. 06, 2012