485BPOS

0001193125-12-510142.txt : 20121220 0001193125-12-510142.hdr.sgml : 20121220 20121220151001 ACCESSION NUMBER: 0001193125-12-510142 CONFORMED SUBMISSION TYPE: 485BPOS PUBLIC DOCUMENT COUNT: 7 FILED AS OF DATE: 20121220 DATE AS OF CHANGE: 20121220 EFFECTIVENESS DATE: 20121220 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Direxion Shares ETF Trust CENTRAL INDEX KEY: 0001424958 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: 485BPOS SEC ACT: 1933 Act SEC FILE NUMBER: 333-150525 FILM NUMBER: 121277072 BUSINESS ADDRESS: STREET 1: 1301 AVENUE OF THE AMERICAS (6TH AVENUE) STREET 2: 35TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 646-572-3390 MAIL ADDRESS: STREET 1: 1301 AVENUE OF THE AMERICAS (6TH AVENUE) STREET 2: 35TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: Direxion ETF Trust DATE OF NAME CHANGE: 20080124 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Direxion Shares ETF Trust CENTRAL INDEX KEY: 0001424958 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: 485BPOS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22201 FILM NUMBER: 121277073 BUSINESS ADDRESS: STREET 1: 1301 AVENUE OF THE AMERICAS (6TH AVENUE) STREET 2: 35TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 646-572-3390 MAIL ADDRESS: STREET 1: 1301 AVENUE OF THE AMERICAS (6TH AVENUE) STREET 2: 35TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: Direxion ETF Trust DATE OF NAME CHANGE: 20080124

0001424958 S000038645 Direxion Daily Dow 30 Bull 2X Shares

C000119154 Direxion Daily Dow 30 Bull 2X Shares

0001424958 S000038646 Direxion Daily Dow 30 Bear 2X Shares

C000119155 Direxion Daily Dow 30 Bear 2X Shares

0001424958 S000038647 Direxion Daily Dow 30 Bull 3X Shares

C000119156 Direxion Daily Dow 30 Bull 3X Shares

0001424958 S000038648 Direxion Daily Dow 30 Bear 3X Shares

C000119157 Direxion Daily Dow 30 Bear 3X Shares

0001424958 S000038649 Direxion Daily European Bull 3X Shares

C000119158 Direxion Daily European Bull 3X Shares

0001424958 S000038650 Direxion Daily European Bear 3X Shares

C000119159 Direxion Daily European Bear 3X Shares

485BPOS 1 d431082d485bpos.htm 485BPOS 485BPOS

As filed with the Securities and Exchange Commission on December 20, 2012

1933 Act File No. 333-150525

1940 Act File No. 811-22201

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-1A

REGISTRATION STATEMENT

UNDER


*THE SECURITIES ACT OF 1933*		x
Pre-Effective Amendment No.		¨
Post-Effective Amendment No. 81		x

and/or

REGISTRATION STATEMENT

UNDER


*THE INVESTMENT COMPANY ACT OF 1940*		x
Amendment No. 83		x

(Check appropriate box or boxes.)

DIREXION SHARES ETF TRUST

(Exact name of Registrant as Specified in Charter)

1301 Avenue of the Americas (6^th Avenue), 35^th Floor

New York, New York 10019

(Address of Principal Executive Office) (Zip Code)

Registrant’s Telephone Number, including Area Code: (646) 572-3390

Daniel D. O’Neill, President, Chairman of the Board

and Principal Executive Officer

1301 Avenue of the Americas (6^th Avenue), 35^th Floor

New York, New York 10019

(Name and Address of Agent for Service)

Copy to:


Adam R. Henkel		Francine J. Rosenberger
U.S. Bancorp Fund Services, LLC		K&L Gates LLP
615 East Michigan		1601 K Street, NW
Milwaukee, WI 53202		Washington, DC 20006

It is proposed that this filing will become effective (check appropriate box)

immediately upon filing pursuant to paragraph (b)

On (date) pursuant to paragraph (b)

60 days after filing pursuant to paragraph (a)(1)

On (date) pursuant to paragraph (a)(1)

75 days after filing pursuant to paragraph (a)(2)

on (date) pursuant to paragraph (a)(2) of Rule 485.

If appropriate, check the following box:

This post-effective amendment designates a new effective date for a previously filed post-effective amendment.

EXPLANATORY NOTE

This amendment is being filed solely to submit exhibits containing risk/return summary information in interactive data format that is identical to the risk/return information contained in the Registrant’s prospectus that was filed with the Securities and Exchange Commission in Post-Effective Amendment No. 80 to the Registrant’s registration statement on November 30, 2012.

SIGNATURES

Pursuant to the requirements of the Securities Act of 1933, as amended, (the “Securities Act”) and the 1940 Act, the Registrant certifies that this Post-Effective Amendment No. 81 to its Registration Statement meets all the requirements for effectiveness pursuant to Rule 485(b) of the Securities Act, and the Registrant has duly caused this Post-Effective Amendment No. 81 to its Registration Statement on Form N-1A to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of New York and the State of New York on December 20, 2012.


DIREXION SHARES ETF TRUST

By:		/s/ Daniel D. O’Neill
		Daniel D. O’Neill President

Pursuant to the requirements of the Securities Act, this Post-Effective Amendment No. 81 to its Registration Statement has been signed below by the following persons in the capacities and on the dates indicated.


Signature	Title	Date

/s/ Daniel D. O’Neill	President, Chairman of the Board and Principal Executive Officer	December 20, 2012
Daniel D. O’Neill

/s/ Patrick J. Rudnick	Principal Financial Officer and Treasurer	December 20, 2012
Patrick J. Rudnick	Principal Financial Officer and Treasurer

/s/ Daniel J. Byrne*	Trustee	December 20, 2012
Daniel J. Byrne

/s/ Gerald E. Shanley III*	Trustee	December 20, 2012
Gerald E. Shanley III

/s/ John Weisser*	Trustee	December 20, 2012
John Weisser


*By:		/s/ Patrick J. Rudnick
		Patrick J. Rudnick, Principal Financial Officer, Treasurer and Attorney-In Fact

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

POWER OF ATTORNEY

DIREXION SHARES ETF TRUST

The undersigned trustees and officers of the DIREXION SHARES ETF TRUST, a Delaware business trust (the “Trust”), do hereby constitute and appoint Daniel D. O’Neill, Patrick J. Rudnick and Robert J. Zutz (with full power to each of them to act alone) his/her true and lawful attorney-in-fact and agent, for him/her and on his/her behalf and in his/her name, place and stead in any and all capacities, to make, execute and sign the Trust’s registration statement on Form N - 1A and any and all amendments to such registration statement of the Trust, and to file with the Securities and Exchange Commission, and any other regulatory authority having jurisdiction over the offer and sale of the shares of beneficial interest of the Trust, such registration statement and any such amendment, and any and all supplements thereto or to any prospectus or statement of additional information forming a part thereof, and any and all exhibits and other documents requisite in connection therewith, granting unto said attorneys, and each of them, full power and authority to do and perform each and every act and thing requisite and necessary to be done in and about the premises as fully to all intents and purposes as the Trust and the undersigned officers and trustees themselves might or could do.

The undersigned trustees and officers hereby execute this Power of Attorney as of this 1^st day of June, 2011.


Signature				Title

/s/ Daniel D. O’Neill				President and Chairman of the Board
Daniel D. O’Neill

/s/ Patrick J. Rudnick				Principal Financial Officer and Treasurer
Patrick J. Rudnick

/s/ Daniel J. Byrne				Trustee
Daniel J. Byrne

/s/ Gerald E. Shanley III				Trustee
Gerald E. Shanley III

/s/ John Weisser				Trustee
John Weisser

EX-101.INS 2 dset3-20121130.xml XBRL INSTANCE DOCUMENT 0001424958 2011-12-01 2012-11-30 0001424958 dset3:S000038645Member 2011-12-01 2012-11-30 0001424958 dset3:S000038645Member dset3:C000119154Member 2011-12-01 2012-11-30 0001424958 dset3:S000038646Member 2011-12-01 2012-11-30 0001424958 dset3:S000038647Member 2011-12-01 2012-11-30 0001424958 dset3:S000038646Member dset3:C000119155Member 2011-12-01 2012-11-30 0001424958 dset3:S000038647Member dset3:C000119156Member 2011-12-01 2012-11-30 0001424958 dset3:S000038650Member 2011-12-01 2012-11-30 0001424958 dset3:S000038650Member dset3:C000119159Member 2011-12-01 2012-11-30 0001424958 dset3:S000038648Member 2011-12-01 2012-11-30 0001424958 dset3:S000038648Member dset3:C000119157Member 2011-12-01 2012-11-30 0001424958 dset3:S000038649Member 2011-12-01 2012-11-30 0001424958 dset3:S000038649Member dset3:C000119158Member 2011-12-01 2012-11-30 pure iso4217:USD 2012-11-30 false 2012-11-30 2012-11-30 2012-11-30 485BPOS Direxion Shares ETF Trust 0001424958 DIREXION DAILY DOW 30 BULL 2X SHARES Investment Objective The Fund seeks daily investment results, before fees and expenses, of 200% of the performance of the Dow Jones Industrial Average®. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds. The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios. Fees and Expenses of the Fund This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (“Shares”). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker. ANNUAL FUND OPERATING EXPENSES (expenses that you pay each year as a percentage of the value of your investment) Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Fund’s performance. Expense Example This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: Principal Investment Strategies The Fund, under normal circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Dow Jones Industrial Average® (“Index”) and/or financial instruments that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments. On a day-to-day basis, the Fund also may hold short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large cap, “blue-chip” U.S. stocks, excluding utility and transportation companies. Components are selected through a discretionary process with no predetermined criteria except that components should be established U.S. companies that are leaders in their industries, have an excellent reputation, demonstrate sustained growth, are of interest to a large number of investors and accurately represent the sectors covered by the average. The Index is not limited to traditionally defined industrial stocks, instead, the Index serves as a measure of the entire U.S. market, covering such diverse industries as financial services, technology, retail, entertainment and consumer goods. Composition changes are rare, and generally occur only after corporate acquisitions or other dramatic shifts in a component’s core business. When such an event necessitates that one component be replaced, the entire Index is reviewed. As of September 30, 2012, the Index included companies with capitalizations between $9 billion and $422 billion. The average capitalization of the companies comprising the Index was approximately $136 billion. The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide exposure to those securities. The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements during the day will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Fund’s exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Fund’s exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover. Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from 200% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Index’s volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Index's performance increases. Additionally, because a significant portion of the assets of the Fund may come from investors using “asset allocation” and “market timing” investment strategies, the Fund may further need to engage in frequent trading. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated. Principal Risks An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and exchange-traded funds. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Adverse Market Conditions Risk Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines. Adviser’s Investment Strategy Risk The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Fund’s performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective. Counterparty Risk The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. Daily Correlation Risk There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily target. The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs and costs associated with the use of leveraged investment techniques and/or a temporary lack of liquidity in the markets for the securities held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The 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 Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Index’s movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Fund’s ability to meet its daily investment objective on that day. Derivatives Risk The Fund uses investment techniques, including investments in derivatives such as futures and forward contracts, options and swaps, which may be considered aggressive. Investments in such derivatives are subject to market risks that may cause their prices to fluctuate over time and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk and the risk that the derivatives may become illiquid. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Fund’s NAV, the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund’s daily investment objective. This may prevent the Fund from achieving its daily investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. In addition, the Fund’s investments in derivatives currently are subject to the following risks: <blockquote>Futures and Forward Contracts. 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. Forward currency transactions include the risks associated with fluctuations in currency. Hedging Risk. If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, the hedge might be unsuccessful, reduce the Fund’s investment return, or create a loss. Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices) hedged or used for cover which may cause a given hedge not to achieve its objective. Swap Agreements. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.</blockquote> Early Close/Trading Halt Risk An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses. Effects of Compounding and Market Volatility Risk The Fund 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. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Fund’s daily target (200%) generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Fund’s use of leverage will cause the Fund to underperform the return of two times its benchmark in a trendless or flat market. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility. The Index’s volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Fund’s performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. As shown below, this Fund, or any other 2X Bull Fund, would be expected to lose 6.1% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Index’s annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 43%. At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Index’s annualized volatility is 100%, the Fund would be expected to lose over 90% of its value, even if the cumulative Index return for the year was -50%. <center>Table 1</center> <table cellspacing="0" cellpadding="0" width="100%" border="0" style="BORDER-COLLAPSE:COLLAPSE" align="center"> <tr> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">200% One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="18" align="center" style="border-bottom:1px solid #000000">Volatility Rate</td> <td valign="bottom"> </td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">10%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">25%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">50%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">75%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">100%</td> <td valign="bottom"> </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-84.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-85.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-87.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-90.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-94.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-100</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-75.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-76.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-80.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" align="right">-85.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90.8</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-80</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-64.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-66.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-72.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-79.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-86.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-60</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-51.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-54.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-61.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-72.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-82.0</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-36.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-39.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-50.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-63.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-76.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-20</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-19.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-23.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-36.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-53.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-70.2</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-1.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-6.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-22.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-43.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-63.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">20</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">19.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">13.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-5.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-31.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-55.5</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">42.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">35.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">12.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-18.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-47.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">60</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">67.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">58.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">31.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-3.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-37.8</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">80</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">94.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">84.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">52.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">11.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-27.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">100</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">122.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">111.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">75.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">28.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-17.2</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">153.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">140.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">99.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">45.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-5.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> </table> The Index’s annualized historical volatility rate for the five-year period ended December 30, 2011 is 24%. The Index’s highest volatility rate for any one calendar year during the five-year period is 38% and volatility for a shorter period of time may have been substantially higher. The Index’s annualized performance for the five-year period ended December 30, 2011 is 2.37%. Historical Index volatility and performance are not indications of what the Index volatility and performance will be in the future. For additional graphs and charts demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see “Additional Information Regarding Investment Techniques and Policies” and “Negative Implications of Daily Goals in Volatile Markets” in the Fund’s statutory prospectus, and “Special Note Regarding the Correlation Risks of the Funds” in the Fund’s Statement of Additional Information. Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios. To fully understand the risks of market volatility on the Fund, see “Negative Implications of Daily Goals in Volatile Markets” found in the statutory prospectus. Equity Securities Risk Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the net asset value (“NAV”) of the Fund to fluctuate. Gain Limitation Risk If the Fund’s benchmark moves more than 50% on a given trading day in a direction adverse to the Fund, you would lose all of your money. Rafferty will attempt to position the Fund’s portfolio to ensure that the Fund does not lose more than 90% of its net asset value on a given day. The cost of such downside protection will be limitations on the Fund’s gains. As a consequence, the Fund’s portfolio may not be responsive to Index gains beyond 45% in a given day. For example, if the Index were to gain 50%, the Fund might be limited to a daily gain of 90% rather than 100%, which is 200% of the Index gain of 50%. High Portfolio Turnover Risk Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most exchange-traded funds. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased capital gains, including short-term and/or long-term capital gains that will be taxable to shareholders as ordinary income. The Fund calculates portfolio turnover without including the short term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments is reflected, the calculated portfolio turnover rate would be significantly higher. Intra-Day Investment Risk The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Fund’s net assets will rise by the same amount as the Fund’s exposure. Conversely, if the Index declines, the Fund’s net assets will decline by the same amount as the Fund’s exposure. Since a Fund starts each trading day with exposure which is 200% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $200 of exposure to the next trading day’s Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $202 and the net assets will have risen by that $2 gain to $102. With net assets of $102 and exposure of $202, a purchaser at that point would be receiving 198% exposure of her investment instead of 200%. Leverage Risk If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 2% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 50%. Further, purchasing shares during a day may result in greater than 200% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day. To fully understand the risks of using leverage in the Fund, see “Effects of Compounding and Market Volatility Risk” above. Liquidity Risk Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Rafferty’s judgment of the security’s true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index. Market Risk The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. Market Timing Risk Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of “asset allocation” and “market timing” investment strategies. These strategies often call for frequent trading which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased capital gains, including short-term and/or long-term capital gain that will be taxable to shareholders as ordinary income. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Regulatory Risk The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Fund’s operations and/or change the competitive landscape. Risks of Investing in Other Investment Companies (including ETFs) Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. If the investment company or ETF fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance. Tax and Distribution Risk The Fund has extremely high portfolio turnover which causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is generally treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely generates long-term capital gain or loss. The Fund will generally need to distribute this income in order to satisfy certain tax requirements. As a result of the Fund’s high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Fund’s asset level changes frequently, these distributions could comprise a substantial portion or even all of the Fund’s net assets if the Fund distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors and these investors may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for such shareholders. Potential investors are urged to consult their own tax advisers for more detailed information. Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives are not entirely clear. Because the Fund’s status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Fund’s treatment of certain transactions involving derivatives, the Fund’s ability to engage in these transactions may be limited. Tracking Error Risk The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs, and/or a temporary lack of liquidity in the markets for the securities held by the Fund. A failure to achieve a daily target may cause the Fund to provide returns for a longer period that are worse than expected. In addition, even though the Fund may meet its daily target for a period of time, this will not necessarily produce the returns that might be expected in light of the returns of the Index or the Fund’s benchmark for that period. Special Risks of Exchange-Traded Funds Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit. Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time. Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Fund’s investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund. March 1, 2014 There is the risk that you could lose all or a portion of your money invested in the Fund. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Fund Performance The Fund has not yet commenced operations; therefore, performance information is not yet available. 1-866-476-7523 http://direxionshares.com/etfs?performance 0.0075 0 0.0025 0.01 -0.0005 0.0095 97 313 DIREXION DAILY DOW 30 BEAR 2X SHARES DIREXION DAILY DOW 30 BULL 3X SHARES Investment Objective The Fund seeks daily investment results, before fees and expenses, of 300% of the performance of the Dow Jones Industrial Average®. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds. The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios. Fees and Expenses of the Fund This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (“Shares”). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker. Investment Objective The Fund seeks daily investment results, before fees and expenses, of 200% of the inverse (or opposite) of the performance of the Dow Jones Industrial Average®. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds. The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with shorting and the use of leverage, and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios. Fees and Expenses of the Fund This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (“Shares”). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker. ANNUAL FUND OPERATING EXPENSES (expenses that you pay each year as a percentage of the value of your investment) 0.0075 ANNUAL FUND OPERATING EXPENSES (expenses that you pay each year as a percentage of the value of your investment) 0 0.0025 0.0075 0.01 0 0.0025 -0.0005 0.0095 0.01 -0.0005 0.0095 March 1, 2014 Expense Example March 1, 2014 This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: DIREXION DAILY EUROPEAN BEAR 3X SHARES Expense Example This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 97 313 97 Investment Objective Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Fund’s performance. 313 Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Fund’s performance. Principal Investment Strategies Principal Investment Strategies The Fund, under normal circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Dow Jones Industrial Average® (“Index”) and/or financial instruments that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments. On a day-to-day basis, the Fund also may hold short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large cap, “blue-chip” U.S. stocks, excluding utility and transportation companies. Components are selected through a discretionary process with no predetermined criteria except that components should be established U.S. companies that are leaders in their industries, have an excellent reputation, demonstrate sustained growth, are of interest to a large number of investors and accurately represent the sectors covered by the average. The Index is not limited to traditionally defined industrial stocks, instead, the Index serves as a measure of the entire U.S. market, covering such diverse industries as financial services, technology, retail, entertainment and consumer goods. Composition changes are rare, and generally occur only after corporate acquisitions or other dramatic shifts in a component’s core business. When such an event necessitates that one component be replaced, the entire Index is reviewed. As of September 30, 2012, the Index included companies with capitalizations between $9 billion and $422 billion. The average capitalization of the companies comprising the Index was approximately $136 billion. The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide exposure to those securities. The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements during the day will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Fund’s exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Fund’s exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover. Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from 300% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Index’s volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Index’s performance increases. Additionally, because a significant portion of the assets of the Fund may come from investors using “asset allocation” and “market timing” investment strategies, the Fund may further need to engage in frequent trading. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated. The Fund seeks daily investment results, before fees and expenses, of 300% of the inverse (or opposite) of the performance of the MSCI Europe Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds. The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with shorting and the use of leverage, and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios. Fees and Expenses of the Fund This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (“Shares”). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker. The Fund, under normal circumstances, creates short positions by investing at least 80% of its assets in: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments that, in combination, provide leveraged and unleveraged exposure to the Dow Jones Industrial Average® (“Index”). The Fund invests the remainder of its assets in short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements. The Fund does not invest in equity securities. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large cap, “blue-chip” U.S. stocks, excluding utility and transportation companies. Components are selected through a discretionary process with no predetermined criteria except that components should be established U.S. companies that are leaders in their industries, have an excellent reputation, demonstrate sustained growth, are of interest to a large number of investors and accurately represent the sectors covered by the average. The Index is not limited to traditionally defined industrial stocks, instead, the Index serves as a measure of the entire U.S. market, covering such diverse industries as financial services, technology, retail, entertainment and consumer goods. Composition changes are rare, and generally occur only after corporate acquisitions or other dramatic shifts in a component’s core business. When such an event necessitates that one component be replaced, the entire Index is reviewed. As of September 30, 2012, the Index included companies with capitalizations between $9 billion and $422 billion. The average capitalization of the companies comprising the Index was approximately $136 billion. The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure by investing in a combination of financial instruments that, in combination, provide exposure to the underlying securities of the Index. The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements during the day will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has fallen on a given day, net assets of the Fund should rise, meaning that the Fund’s exposure will need to be increased. Conversely, if the Index has risen on a given day, net assets of the Fund should fall, meaning the Fund’s exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover. Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from -200% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Index's volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Index's performance decreases. Additionally, because a significant portion of the assets of the Fund may come from investors using “asset allocation” and “market timing” investment strategies, the Fund may further need to engage in frequent trading. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated. ANNUAL FUND OPERATING EXPENSES (expenses that you pay each year as a percentage of the value of your investment) 0.0075 0 0.0025 0.0004 0.0104 -0.0005 0.0099 March 1, 2014 Expense Example This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 101 326 Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Fund’s performance. Principal Investment Strategies Principal Risks Principal Risks An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and exchange-traded funds. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Adverse Market Conditions Risk Because the Fund magnifies the inverse performance of the Index, its performance will suffer during conditions in which the Index rises. Adviser’s Investment Strategy Risk The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Fund’s performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective. Cash Transaction Risk Unlike most ETFs, the Fund currently intends to effect creations and redemptions principally for cash, rather than principally for in-kind securities, because of the nature of the financial instruments held by the Fund. As such, investments in Shares may be less tax efficient than investments in conventional ETFs. Counterparty Risk The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. Daily Correlation Risk There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily target. The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs and costs associated with the use of leveraged investment techniques and/or a temporary lack of liquidity in the markets for the securities held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The 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 Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Index’s movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Fund’s ability to meet its daily investment objective on that day. Derivatives Risk The Fund uses investment techniques, including investments in derivatives such as futures and forward contracts, options and swaps, which may be considered aggressive. Investments in such derivatives are subject to market risks that may cause their prices to fluctuate over time and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk and the risk that the derivatives may become illiquid. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Fund’s NAV, the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund’s daily investment objective. This may prevent the Fund from achieving its daily investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. In addition, the Fund’s investments in derivatives currently are subject to the following risks: <blockquote>Futures and Forward Contracts. 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. Forward currency transactions include the risks associated with fluctuations in currency. Hedging Risk. If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, the hedge might be unsuccessful, reduce the Fund’s investment return, or create a loss. Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices) hedged or used for cover which may cause a given hedge not to achieve its objective. Swap Agreements. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves. </blockquote> Early Close/Trading Halt Risk An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses. Effects of Compounding and Market Volatility Risk The Fund 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. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Fund’s daily target (-200%) generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Fund’s use of leverage will cause the Fund to underperform the return of two times its benchmark in a trendless or flat market. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility. The Index’s volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Fund’s performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. As shown below, this Fund, or any other 2X Bear Fund, would be expected to lose 17.1% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Index’s annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 81.5%. At higher ranges of volatility, there is a chance of a near complete loss of value even if the Index is flat. For instance, if the Index’s annualized volatility is 100%, the Fund would be expected to lose approximately 95% of its value, even if the cumulative Index return for the year was only 0%. <center>Table 1</center><table cellspacing="0" cellpadding="0" width="100%" border="0" style="BORDER-COLLAPSE:COLLAPSE" align="center"> <tr> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">-200% One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="18" align="center" style="border-bottom:1px solid #000000">Volatility Rate</td> <td valign="bottom"> </td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">10%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">25%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">50%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">75%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">100%</td> <td valign="bottom"> </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">506.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">418.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">195.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">15.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-68.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">100</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">288.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">231.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">88.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-26.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-80.1</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">80</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">169.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">130.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">31.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-48.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-86.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">60</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">98.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">69.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-3.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-62.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.8</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">51.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">29.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-26.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-71.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-92.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">20</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">19.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">2.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-41.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-77.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.9</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-3.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-17.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-52.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-81.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-95.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-20</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-19.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-31.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-61.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-84.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-95.9</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-32.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-42.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-67.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-87.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-60</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-42.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-72.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-97.1</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-80</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-50.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-57.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-75.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-90.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-97.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-100</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-56.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-63.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-79.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-91.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-97.8</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-62.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-67.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-81.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-92.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> </table> The Index’s annualized historical volatility rate for the five-year period ended December 30, 2011 is 24%. The Index’s highest volatility rate for any one calendar year during the five-year period is 38% and volatility for a shorter period of time may have been substantially higher. The Index’s annualized performance for the five-year period ended December 30, 2011 is 2.36%. Historical Index volatility and performance are not indications of what the Index volatility and performance will be in the future. For additional graphs and charts demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see “Additional Information Regarding Investment Techniques and Policies” and “Negative Implications of Daily Goals in Volatile Markets” in the Fund’s statutory prospectus, and “Special Note Regarding the Correlation Risks of the Funds” in the Fund’s Statement of Additional Information. Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios. To fully understand the risks of market volatility on the Fund, see “Negative Implications of Daily Goals in Volatile Markets” found in the statutory prospectus. Gain Limitation Risk If the Fund’s benchmark moves more than 50% on a given trading day in a direction adverse to the Fund, you would lose all of your money. Rafferty will attempt to position the Fund’s portfolio to ensure that the Fund does not lose more than 90% of its net asset value on a given day. The cost of such downside protection will be limitations on the Fund’s gains. As a consequence, the Fund’s portfolio may not be responsive to Index losses beyond 45% in a given day. For example, if the Index were to lose 50%, the Fund might be limited to a daily gain of 90% rather than 100%, which is -200% of the Index loss of 50%. High Portfolio Turnover Risk Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most exchange-traded funds. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased capital gains, including short-term and/or long-term capital gains that will be taxable to shareholders as ordinary income. The Fund calculates portfolio turnover without including the short term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments is reflected, the calculated portfolio turnover rate would be significantly higher. Intra-Day Investment Risk The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. The Fund’s gains occur as its market exposure declines and its losses are accompanied by increases in market exposure. If the Index declines, the Fund’s net assets will rise by an amount equal to the decline in the Fund’s exposure. Conversely, if the Index rises the Fund’s net assets will decline by the same amount as the increase in the Fund’s exposure. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek -$200 of exposure to the next trading day’s Index performance. If the Index declined by 1% by noon the following trading day, the exposure of the Fund will fall by 1% to -$198 and the net assets will rise by $2 to $102. With net assets of $102 and exposure of -$198, a purchaser at that point would be receiving -194% exposure of her investment instead of -200% Inverse Correlation Risk Shareholders should lose money when the Fund’s target index rises, which is a result that is the opposite from traditional funds. Leverage Risk If you invest in the Fund, you are exposed to the risk that an increase in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 2% for every 1% daily increase, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index increase of more than 50%. Further, purchasing shares during a day may result in greater than -200% exposure to the performance of the Index if the Index rises between the close of the markets on one trading day and before the close of the markets on the next trading day. To fully understand the risks of using leverage in the Fund, see “Effects of Compounding and Market Volatility Risk” above. Liquidity Risk Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Rafferty’s judgment of the security’s true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index. Market Risk The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. Market Timing Risk Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of “asset allocation” and “market timing” investment strategies. These strategies often call for frequent trading which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased capital gains, including short-term and/or long-term capital gain that will be taxable to shareholders as ordinary income. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Regulatory Risk The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Fund’s operations and/or change the competitive landscape. Risks of Investing in Other Investment Companies (including ETFs) Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. If the investment company or ETF fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance. Shorting Risk The Fund may engage in short sales designed to earn the Fund a profit from the decline in the price of particular securities, baskets of securities or indices. However, there is a risk that the Fund will experience a loss as a result of engaging in these short sales. Tax and Distribution Risk The Fund has extremely high portfolio turnover which causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is generally treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely generates long-term capital gain or loss. The Fund will generally need to distribute this income in order to satisfy certain tax requirements. As a result of the Fund’s high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Fund’s asset level changes frequently, these distributions could comprise a substantial portion or even all of the Fund’s net assets if the Fund distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors and these investors may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for such shareholders. Potential investors are urged to consult their own tax advisers for more detailed information. Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives are not entirely clear. Because the Fund’s status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Fund’s treatment of certain transactions involving derivatives, the Fund’s ability to engage in these transactions may be limited. Tracking Error Risk The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs, and/or a temporary lack of liquidity in the markets for the securities held by the Fund. A failure to achieve a daily target may cause the Fund to provide returns for a longer period that are worse than expected. In addition, even though the Fund may meet its daily target for a period of time, this will not necessarily produce the returns that might be expected in light of the returns of the Index or the Fund’s benchmark for that period. Special Risks of Exchange-Traded Funds Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at net asset value (“NAV”) only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit. Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time. Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Fund’s investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund. Fund Performance The Fund, under normal circumstances, creates short positions by investing at least 80% of its assets in: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments that, in combination, provide leveraged and unleveraged exposure to the MSCI Europe Index (“Index”). The Fund invests the remainder of its assets in short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements. The Fund does not invest in equity securities. The Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of the developed markets in Europe. The Index includes large and mid-cap components and provides exhaustive coverage of these size segments by targeting around 85% of free float-adjusted market capitalization in the region. As of November 8, 2012, the Index consisted of the following 16 developed market countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and United Kingdom. As of November 8, 2012, the Index had an average market capitalization of $21 billion and a median market capitalization of $9 billion. As of November 8, 2012, the Index included companies with capitalizations between $1.4 billion and $220 billion. The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure by investing in a combination of financial instruments that, in combination, provide exposure to the underlying securities of the Index. The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements during the day will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has fallen on a given day, net assets of the Fund should rise, meaning that the Fund’s exposure will need to be increased. Conversely, if the Index has risen on a given day, net assets of the Fund should fall, meaning the Fund’s exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover. Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from -300% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Index’s volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Index’s performance decreases. Additionally, because a significant portion of the assets of the Fund may come from investors using “asset allocation” and “market timing” investment strategies, the Fund may further need to engage in frequent trading. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated. The Fund has not yet commenced operations; therefore, performance information is not yet available. In the future, performance information for the Fund will be presented in this section. Performance information also will be available on the Fund’s website at http://direxionshares.com/etfs?performance or by calling the Fund toll free at 1-866-476-7523. Principal Risks There is the risk that you could lose all or a portion of your money invested in the Fund. Fund Performance Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. The Fund has not yet commenced operations; therefore, performance information is not yet available. In the future, performance information for the Fund will be presented in this section. Performance information also will be available on the Fund’s website at http://direxionshares.com/etfs?performance or by calling the Fund toll free at 1-866-476-7523. The Fund has not yet commenced operations; therefore, performance information is not yet available. 1-866-476-7523 http://direxionshares.com/etfs?performance There is the risk that you could lose all or a portion of your money invested in the Fund. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. The Fund has not yet commenced operations; therefore, performance information is not yet available. 1-866-476-7523 http://direxionshares.com/etfs?performance <div style="display:none">~ http://www.direxionshares.com/role/ScheduleAnnualFundOperatingExpensesDirexionDailyDow30Bull3XShares column period compact * ~</div> <div style="display:none">~ http://www.direxionshares.com/role/ScheduleExpenseExampleTransposedDirexionDailyDow30Bull3XShares column period compact * ~</div> DIREXION DAILY DOW 30 BEAR 3X SHARES Investment Objective The Fund seeks daily investment results, before fees and expenses, of 300% of the inverse (or opposite) of the performance of the Dow Jones Industrial Average®. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds. The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with shorting and the use of leverage, and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios. Fees and Expenses of the Fund This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (“Shares”). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker. ANNUAL FUND OPERATING EXPENSES (expenses that you pay each year as a percentage of the value of your investment) March 1, 2014 Expense Example This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Fund’s performance. Principal Investment Strategies The Fund, under normal circumstances, creates short positions by investing at least 80% of its assets in: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments that, in combination, provide leveraged and unleveraged exposure to the Dow Jones Industrial Average® (“Index”). The Fund invests the remainder of its assets in short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements. The Fund does not invest in equity securities. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large cap, “blue-chip” U.S. stocks, excluding utility and transportation companies. Components are selected through a discretionary process with no predetermined criteria except that components should be established U.S. companies that are leaders in their industries, have an excellent reputation, demonstrate sustained growth, are of interest to a large number of investors and accurately represent the sectors covered by the average. The Index is not limited to traditionally defined industrial stocks, instead, the Index serves as a measure of the entire U.S. market, covering such diverse industries as financial services, technology, retail, entertainment and consumer goods. Composition changes are rare, and generally occur only after corporate acquisitions or other dramatic shifts in a component’s core business. When such an event necessitates that one component be replaced, the entire Index is reviewed. As of September 30, 2012, the Index included companies with capitalizations between $9 billion and $422 billion. The average capitalization of the companies comprising the Index was approximately $136 billion. The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure by investing in a combination of financial instruments that, in combination, provide exposure to the underlying securities of the Index. The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements during the day will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has fallen on a given day, net assets of the Fund should rise, meaning that the Fund’s exposure will need to be increased. Conversely, if the Index has risen on a given day, net assets of the Fund should fall, meaning the Fund’s exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover. Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from -300% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Index’s volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Index’s performance decreases. Additionally, because a significant portion of the assets of the Fund may come from investors using “asset allocation” and “market timing” investment strategies, the Fund may further need to engage in frequent trading. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated. Principal Risks <div style="display:none">~ http://www.direxionshares.com/role/ScheduleAnnualFundOperatingExpensesDirexionDailyDow30Bear2XShares column period compact * ~</div> Fund Performance The Fund has not yet commenced operations; therefore, performance information is not yet available. In the future, performance information for the Fund will be presented in this section. Performance information also will be available on the Fund’s website at http://direxionshares.com/etfs?performance or by calling the Fund toll free at 1-866-476-7523. The Fund has not yet commenced operations; therefore, performance information is not yet available. 1-866-476-7523 http://direxionshares.com/etfs?performance <div style="display:none">~ http://www.direxionshares.com/role/ScheduleExpenseExampleTransposedDirexionDailyDow30Bear2XShares column period compact * ~</div> 0.0075 0 0.0025 0.01 -0.0005 0.0095 97 313 An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and exchange-traded funds. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Adverse Market Conditions Risk Because the Fund magnifies the inverse performance of the Index, its performance will suffer during conditions in which the Index rises. Adviser’s Investment Strategy Risk The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Fund’s performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective. Cash Transaction Risk Unlike most ETFs, the Fund currently intends to effect creations and redemptions principally for cash, rather than principally for in-kind securities, because of the nature of the financial instruments held by the Fund. As such, investments in Shares may be less tax efficient than investments in conventional ETFs. Counterparty Risk The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. Currency Exchange Rate Risk Changes in foreign currency exchange rates will affect the value of what the Fund owns and the Fund’s share price. 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. Currency markets generally are not as regulated as securities markets. Daily Correlation Risk There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily target. The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs and costs associated with the use of leveraged investment techniques and/or a temporary lack of liquidity in the markets for the securities held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The 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 Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Index’s movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Fund’s ability to meet its daily investment objective on that day. Derivatives Risk The Fund uses investment techniques, including investments in derivatives such as futures and forward contracts, options and swaps, which may be considered aggressive. Investments in such derivatives are subject to market risks that may cause their prices to fluctuate over time and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk and the risk that the derivatives may become illiquid. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Fund’s NAV, the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund’s daily investment objective. This may prevent the Fund from achieving its daily investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. In addition, the Fund’s investments in derivatives currently are subject to the following risks:<blockquote>Futures and Forward Contracts. 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. Forward currency transactions include the risks associated with fluctuations in currency. Hedging Risk. If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, the hedge might be unsuccessful, reduce the Fund’s investment return, or create a loss. Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices) hedged or used for cover which may cause a given hedge not to achieve its objective. Swap Agreements. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.</blockquote>Early Close/Trading Halt Risk An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses. Effects of Compounding and Market Volatility Risk The Fund 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. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Fund’s daily target (-300%) generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Fund’s use of leverage will cause the Fund to underperform the return of three times its benchmark in a trendless or flat market. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility. The Index’s volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Fund’s performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. As shown below, this Fund, or any other 3X Bear Fund, would be expected to lose 31.3% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Index’s annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 96.6%. At higher ranges of volatility, there is a chance of a near complete loss of value even if the Index is flat. For instance, if the Index’s annualized volatility is 100%, the Fund would be expected to lose approximately 100% of its value, even if the cumulative Index return for the year was only 0%. <center>Table 1</center><table cellspacing="0" cellpadding="0" width="100%" border="0" style="BORDER-COLLAPSE:COLLAPSE" align="center"> <tr> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">-300% One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="18" align="center" style="border-bottom:1px solid #000000">Volatility Rate</td> <td valign="bottom"> </td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">10%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">25%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">50%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">75%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">100%</td> <td valign="bottom"> </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">1371.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">973.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">248.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-46.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">150</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">653.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">449.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">78.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-72.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-98.0</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">336.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">218.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">3.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-84.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">90</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">174.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">100.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-34.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.3</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">83.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">34.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-56.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-93.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">29.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-5.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-69.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-95.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.7</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-5.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-31.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-77.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-29.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-48.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-83.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-97.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.8</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-45.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-87.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-57.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-68.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-98.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.9</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-65.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-75.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-91.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-150</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-72.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-79.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.0</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.9</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-77.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-83.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-94.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> </table> The Index’s annualized historical volatility rate for the five-year period ended December 30, 2011 is 30%. The Index’s highest volatility rate for any one calendar year during the five-year period is 42% and volatility for a shorter period of time may have been substantially higher. The Index’s annualized performance for the five-year period ended December 30, 2011 is -5.20%. Historical Index volatility and performance are not indications of what the Index volatility and performance will be in the future. For additional graphs and charts demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see “Additional Information Regarding Investment Techniques and Policies” and “Negative Implications of Daily Goals in Volatile Markets” in the Fund’s statutory prospectus, and “Special Note Regarding the Correlation Risks of the Funds” in the Fund’s Statement of Additional Information. Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios. To fully understand the risks of market volatility on the Fund, see “Negative Implications of Daily Goals in Volatile Markets” found in the statutory prospectus. European Economic Risk The Economic and Monetary Union of the European Union (the “EU”) requires member countries to comply with restrictions on inflation rates, deficits, interest rates, debt levels and fiscal and monetary controls, each of which may significantly affect every country in Europe. Decreasing imports or exports, changes in governmental or EU regulations on trade, changes in the exchange rate of the euro, the default or threat of default by an EU member country on its sovereign debt, and/or an economic recession in an EU member country may have a significant adverse effect on the economies of EU member countries and their trading partners, including some or all of the European countries in which the Fund invests. The European financial markets have recently experienced volatility and have been adversely affected by concerns about economic downturns, credit rating downgrades, rising government debt levels and possible default on or restructuring of government debt in several European countries, including Greece, Ireland, Italy, Portugal and Spain. A default or debt restructuring by any European country would adversely impact holders of that country’s debt and economy. These concerns have adversely affected the value and exchange rate of the euro and may continue to significantly affect the economies of every country in Europe, including EU member countries that do not use the euro and non-EU member countries. Foreign Securities Risk Indirectly investing in foreign instruments may involve greater risks than investing in domestic instruments. As a result, the Fund’s returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, interest rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws and accounting, auditing, and financial reporting standards in foreign countries typically are not as strict as they are in the U.S., and there may be less public information available about foreign companies. Gain Limitation Risk If the Fund’s benchmark moves more than 33% on a given trading day in a direction adverse to the Fund, you would lose all of your money. Rafferty will attempt to position the Fund’s portfolio to ensure that the Fund does not lose more than 90% of its net asset value on a given day. The cost of such downside protection will be limitations on the Fund’s gains. As a consequence, the Fund’s portfolio may not be responsive to Index losses beyond 30% in a given day. For example, if the Index were to lose 35%, the Fund might be limited to a daily gain of 90% rather than 105%, which is -300% of the Index loss of 35%. Geographic Concentration Risk Investments in a particular country or geographic region may be particularly susceptible to political, diplomatic or economic conditions and regulatory requirements. As a result, the Fund may be more volatile than a more geographically diversified fund. High Portfolio Turnover Risk Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most exchange-traded funds. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased capital gains, including short-term and/or long-term capital gains that will be taxable to shareholders as ordinary income. The Fund calculates portfolio turnover without including the short term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments is reflected, the calculated portfolio turnover rate would be significantly higher. Intra-Day Investment Risk The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. The Fund’s gains occur as its market exposure declines and its losses are accompanied by increases in market exposure. If the Index declines, the Fund’s net assets will rise by an amount equal to the decline in the Fund’s exposure. Conversely, if the Index rises the Fund’s net assets will decline by the same amount as the increase in the Fund’s exposure. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek -$300 of exposure to the next trading day’s Index performance. If the Index declined by 1% by noon the following trading day, the exposure of the Fund will fall by 1% to -$297 and the net assets will rise by $3 to $103. With net assets of $103 and exposure of -$297, a purchaser at that point would be receiving -288% exposure of her investment instead of -300% Inverse Correlation Risk Shareholders should lose money when the Fund’s target index rises, which is a result that is the opposite from traditional funds. Leverage Risk If you invest in the Fund, you are exposed to the risk that an increase in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 3% for every 1% daily increase, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index increase of more than 33%. Further, purchasing shares during a day may result in greater than -300% exposure to the performance of the Index if the Index rises between the close of the markets on one trading day and before the close of the markets on the next trading day. To fully understand the risks of using leverage in the Fund, see “Effects of Compounding and Market Volatility Risk” above. Liquidity Risk Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Rafferty’s judgment of the security’s true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index. Market Risk The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. Market Timing Risk Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of “asset allocation” and “market timing” investment strategies. These strategies often call for frequent trading which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased capital gains, including short-term and/or long-term capital gain that will be taxable to shareholders as ordinary income. Mid Capitalization Company Risk Investing in the securities of mid capitalization companies, and securities that provide exposure to mid capitalization companies, involves greater risks and the possibility of greater price volatility than investing in more-established, larger capitalization companies. Mid capitalization companies often have narrower markets for their goods and/or services and more limited managerial and financial resources than larger, more established companies. Furthermore, those companies often have limited product lines, services, markets, financial resources or are dependent on a small management group. In addition, because these stocks are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information concerning these securities compared to what is available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental analysis, can decrease the value and liquidity of securities held by the Fund. As a result, their performance can be more volatile and they face greater risk of business failure, which could increase the volatility of the Fund’s portfolio. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Regulatory Risk The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Fund’s operations and/or change the competitive landscape. Risks of Investing in Other Investment Companies (including ETFs) Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. If the investment company or ETF fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance. Shorting Risk The Fund may engage in short sales designed to earn the Fund a profit from the decline in the price of particular securities, baskets of securities or indices. However, there is a risk that the Fund will experience a loss as a result of engaging in these short sales. Tax and Distribution Risk The Fund has extremely high portfolio turnover which causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is generally treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely generates long-term capital gain or loss. The Fund will generally need to distribute this income in order to satisfy certain tax requirements. As a result of the Fund’s high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Fund’s asset level changes frequently, these distributions could comprise a substantial portion or even all of the Fund’s net assets if the Fund distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors and these investors may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for such shareholders. Potential investors are urged to consult their own tax advisers for more detailed information. Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives are not entirely clear. Because the Fund’s status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Fund’s treatment of certain transactions involving derivatives, the Fund’s ability to engage in these transactions may be limited. Tracking Error Risk The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs, and/or a temporary lack of liquidity in the markets for the securities held by the Fund. A failure to achieve a daily target may cause the Fund to provide returns for a longer period that are worse than expected. In addition, even though the Fund may meet its daily target for a period of time, this will not necessarily produce the returns that might be expected in light of the returns of the Index or the Fund’s benchmark for that period. Valuation Time Risk The Fund values its portfolio as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 P.M. Eastern time). In some cases, foreign market indices close before the NYSE opens or may not be open for business on the same calendar days as the Fund. As a result, the daily performance of the Fund can vary from the performance of the Index. Special Risks of Exchange-Traded Funds Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at net asset value (“NAV”) only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit. Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time. Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Fund’s investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund. <div style="display:none">~ http://www.direxionshares.com/role/ScheduleAnnualFundOperatingExpensesDirexionDailyDow30Bear3XShares column period compact * ~</div> There is the risk that you could lose all or a portion of your money invested in the Fund. <div style="display:none">~ http://www.direxionshares.com/role/ScheduleExpenseExampleTransposedDirexionDailyDow30Bear3XShares column period compact * ~</div> Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Fund Performance The Fund has not yet commenced operations; therefore, performance information is not yet available. In the future, performance information for the Fund will be presented in this section. Performance information also will be available on the Fund’s website at http://direxionshares.com/etfs?performance or by calling the Fund toll free at 1-866-476-7523. The Fund has not yet commenced operations; therefore, performance information is not yet available. 1-866-476-7523 http://direxionshares.com/etfs?performance <div style="display:none">~ http://www.direxionshares.com/role/ScheduleAnnualFundOperatingExpensesDirexionDailyEuropeanBear3XShares column period compact * ~</div> <div style="display:none">~ http://www.direxionshares.com/role/ScheduleExpenseExampleTransposedDirexionDailyEuropeanBear3XShares column period compact * ~</div> DIREXION DAILY EUROPEAN BULL 3X SHARES Investment Objective The Fund seeks daily investment results, before fees and expenses, of 300% of the performance of the MSCI Europe Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds. The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios. Fees and Expenses of the Fund This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (“Shares”). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker. ANNUAL FUND OPERATING EXPENSES (expenses that you pay each year as a percentage of the value of your investment) 0.0075 0 0.0025 0.0004 0.0104 -0.0005 0.0099 <div style="display:none">~ http://www.direxionshares.com/role/ScheduleAnnualFundOperatingExpensesDirexionDailyDow30Bull2XShares column period compact * ~</div> Expense Example This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 101 326 <div style="display:none">~ http://www.direxionshares.com/role/ScheduleExpenseExampleTransposedDirexionDailyDow30Bull2XShares column period compact * ~</div> Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Fund’s performance. Principal Investment Strategies The Fund, under normal circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the MSCI Europe Index (“Index”) and/or financial instruments that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments. On a day-to-day basis, the Fund also may hold short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements. The Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of the developed markets in Europe. The Index includes large- and mid-cap components and provides exhaustive coverage of these size segments by targeting around 85% of free float-adjusted market capitalization in the region. As of November 8, 2012, the Index consisted of the following 16 developed market countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and United Kingdom. As of November 8, 2012, the Index had an average market capitalization of $21 billion and a median market capitalization of $9 billion. As of November 8, 2012, the Index included companies with capitalizations between $1.4 billion and $220 billion. The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide exposure to those securities. The Fund seeks to remain fully invested at all times consistent with its stated goal. At the close of the markets each trading day, Rafferty positions the Fund’s portfolio so that its exposure to the Index is consistent with the Fund’s investment objective. The impact of the Index’s movements during the day will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Fund’s exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Fund’s exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover. Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from 300% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Index’s volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Index’s performance increases. Additionally, because a significant portion of the assets of the Fund may come from investors using “asset allocation” and “market timing” investment strategies, the Fund may further need to engage in frequent trading. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated. Principal Risks Fund Performance The Fund has not yet commenced operations; therefore, performance information is not yet available. In the future, performance information for the Fund will be presented in this section. Performance information also will be available on the Fund’s website at http://direxionshares.com/etfs?performance or by calling the Fund toll free at 1-866-476-7523. The Fund has not yet commenced operations; therefore, performance information is not yet available. 1-866-476-7523 http://direxionshares.com/etfs?performance Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. There is the risk that you could lose all or a portion of your money invested in the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. March 1, 2014 <div style="display:none">~ http://www.direxionshares.com/role/ScheduleShareholderFeesDirexionDailyEuropeanBull3XShares column period compact * ~</div> <div style="display:none">~ http://www.direxionshares.com/role/ScheduleAnnualFundOperatingExpensesDirexionDailyEuropeanBull3XShares column period compact * ~</div> An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and exchange-traded funds. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Adverse Market Conditions Risk Because the Fund magnifies the inverse performance of the Index, its performance will suffer during conditions in which the Index rises. Adviser’s Investment Strategy Risk The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Fund’s performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective. Cash Transaction Risk Unlike most ETFs, the Fund currently intends to effect creations and redemptions principally for cash, rather than principally for in-kind securities, because of the nature of the financial instruments held by the Fund. As such, investments in Shares may be less tax efficient than investments in conventional ETFs. Counterparty Risk The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. Daily Correlation Risk There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily target. The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs and costs associated with the use of leveraged investment techniques and/or a temporary lack of liquidity in the markets for the securities held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The 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 Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Index’s movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Fund’s ability to meet its daily investment objective on that day. Derivatives Risk The Fund uses investment techniques, including investments in derivatives such as futures and forward contracts, options and swaps, which may be considered aggressive. Investments in such derivatives are subject to market risks that may cause their prices to fluctuate over time and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk and the risk that the derivatives may become illiquid. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Fund’s NAV, the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund’s daily investment objective. This may prevent the Fund from achieving its daily investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. In addition, the Fund’s investments in derivatives currently are subject to the following risks: <blockquote>Futures and Forward Contracts. 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. Forward currency transactions include the risks associated with fluctuations in currency. Hedging Risk. If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, the hedge might be unsuccessful, reduce the Fund’s investment return, or create a loss. Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices) hedged or used for cover which may cause a given hedge not to achieve its objective. Swap Agreements. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.</blockquote>Early Close/Trading Halt Risk An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses. Effects of Compounding and Market Volatility Risk The Fund 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. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Fund’s daily target (-300%) generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Fund’s use of leverage will cause the Fund to underperform the return of three times its benchmark in a trendless or flat market. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility. The Index’s volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Fund’s performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. As shown below, this Fund, or any other 3X Bear Fund, would be expected to lose 31.3% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Index’s annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 96.6%. At higher ranges of volatility, there is a chance of a near complete loss of value even if the Index is flat. For instance, if the Index’s annualized volatility is 100%, the Fund would be expected to lose approximately 100% of its value, even if the cumulative Index return for the year was only 0%. <center>Table 1</center><table cellspacing="0" cellpadding="0" width="100%" border="0" style="BORDER-COLLAPSE:COLLAPSE" align="center"> <tr> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">-300% One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="18" align="center" style="border-bottom:1px solid #000000">Volatility Rate</td> <td valign="bottom"> </td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">10%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">25%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">50%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">75%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">100%</td> <td valign="bottom"> </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">1371.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">973.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">248.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-46.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">150 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">653.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">449.8 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">78.5 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-72.6 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-98.0 </td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">120 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">336.0 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">218.2 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">3.3 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-84.2 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.9 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">90 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">174.6 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">100.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-34.9 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90.0 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.3 </td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-20 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">83.9 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">34.2 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-56.4 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-93.3 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.5 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">29.2 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-5.7 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-69.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-95.3 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.7 </td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-5.8 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-31.3 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-77.7 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.6 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.8 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-29.2 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-48.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-83.2 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-97.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.8 </td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">20 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-45.5 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60.2 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-87.1 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.0 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.9 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-57.1 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-68.7 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.8 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-98.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.9 </td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-120 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-65.7 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-75.0 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-91.9 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.8 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.9 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">50 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-150 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-72.1 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-79.6 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.4 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.0 </td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.9 </td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-180 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-77.0 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-83.2 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-94.6 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.2 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.9 </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> </table> The Index’s annualized historical volatility rate for the five-year period ended December 30, 2011 is 24%. The Index’s highest volatility rate for any one calendar year during the five-year period is 38% and volatility for a shorter period of time may have been substantially higher. The Index’s annualized performance for the five-year period ended December 30, 2011 is 2.36%. Historical Index volatility and performance are not indications of what the Index volatility and performance will be in the future. For additional graphs and charts demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see “Additional Information Regarding Investment Techniques and Policies” and “Negative Implications of Daily Goals in Volatile Markets” in the Fund’s statutory prospectus, and “Special Note Regarding the Correlation Risks of the Funds” in the Fund’s Statement of Additional Information. Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios. To fully understand the risks of market volatility on the Fund, see “Negative Implications of Daily Goals in Volatile Markets” found in the statutory prospectus. Gain Limitation Risk If the Fund’s benchmark moves more than 33% on a given trading day in a direction adverse to the Fund, you would lose all of your money. Rafferty will attempt to position the Fund’s portfolio to ensure that the Fund does not lose more than 90% of its net asset value on a given day. The cost of such downside protection will be limitations on the Fund’s gains. As a consequence, the Fund’s portfolio may not be responsive to Index losses beyond 30% in a given day. For example, if the Index were to lose 35%, the Fund might be limited to a daily gain of 90% rather than 105%, which is -300% of the Index loss of 35%. High Portfolio Turnover Risk Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most exchange-traded funds. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased capital gains, including short-term and/or long-term capital gains that will be taxable to shareholders as ordinary income. The Fund calculates portfolio turnover without including the short term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments is reflected, the calculated portfolio turnover rate would be significantly higher. Intra-Day Investment Risk The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. The Fund’s gains occur as its market exposure declines and its losses are accompanied by increases in market exposure. If the Index declines, the Fund’s net assets will rise by an amount equal to the decline in the Fund’s exposure. Conversely, if the Index rises the Fund’s net assets will decline by the same amount as the increase in the Fund’s exposure. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek -$300 of exposure to the next trading day’s Index performance. If the Index declined by 1% by noon the following trading day, the exposure of the Fund will fall by 1% to -$297 and the net assets will rise by $3 to $103. With net assets of $103 and exposure of -$297, a purchaser at that point would be receiving -288% exposure of her investment instead of -300% Inverse Correlation Risk Shareholders should lose money when the Fund’s target index rises, which is a result that is the opposite from traditional funds. Leverage Risk If you invest in the Fund, you are exposed to the risk that an increase in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 3% for every 1% daily increase, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index increase of more than 33%. Further, purchasing shares during a day may result in greater than -300% exposure to the performance of the Index if the Index rises between the close of the markets on one trading day and before the close of the markets on the next trading day. To fully understand the risks of using leverage in the Fund, see “Effects of Compounding and Market Volatility Risk” above. Liquidity Risk Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Rafferty’s judgment of the security’s true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index. Market Risk The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. Market Timing Risk Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of “asset allocation” and “market timing” investment strategies. These strategies often call for frequent trading which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased capital gains, including short-term and/or long-term capital gain that will be taxable to shareholders as ordinary income. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Regulatory Risk The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Fund’s operations and/or change the competitive landscape. Risks of Investing in Other Investment Companies (including ETFs) Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. If the investment company or ETF fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance. Shorting Risk The Fund may engage in short sales designed to earn the Fund a profit from the decline in the price of particular securities, baskets of securities or indices. However, there is a risk that the Fund will experience a loss as a result of engaging in these short sales. Tax and Distribution Risk The Fund has extremely high portfolio turnover which causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is generally treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely generates long-term capital gain or loss. The Fund will generally need to distribute this income in order to satisfy certain tax requirements. As a result of the Fund’s high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Fund’s asset level changes frequently, these distributions could comprise a substantial portion or even all of the Fund’s net assets if the Fund distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors and these investors may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for such shareholders. Potential investors are urged to consult their own tax advisers for more detailed information. Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives are not entirely clear. Because the Fund’s status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Fund’s treatment of certain transactions involving derivatives, the Fund’s ability to engage in these transactions may be limited. Tracking Error Risk The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs, and/or a temporary lack of liquidity in the markets for the securities held by the Fund. A failure to achieve a daily target may cause the Fund to provide returns for a longer period that are worse than expected. In addition, even though the Fund may meet its daily target for a period of time, this will not necessarily produce the returns that might be expected in light of the returns of the Index or the Fund’s benchmark for that period. Special Risks of Exchange-Traded Funds Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at net asset value (“NAV”) only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit. Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time. Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Fund’s investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund. An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and exchange-traded funds. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Adverse Market Conditions Risk Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines. Adviser’s Investment Strategy Risk The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Fund’s performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective. Counterparty Risk The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. Daily Correlation Risk There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily target. The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs and costs associated with the use of leveraged investment techniques and/or a temporary lack of liquidity in the markets for the securities held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The 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 Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Index’s movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Fund’s ability to meet its daily investment objective on that day. Derivatives Risk The Fund uses investment techniques, including investments in derivatives such as futures and forward contracts, options and swaps, which may be considered aggressive. Investments in such derivatives are subject to market risks that may cause their prices to fluctuate over time and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk and the risk that the derivatives may become illiquid. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Fund’s NAV, the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund’s daily investment objective. This may prevent the Fund from achieving its daily investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. In addition, the Fund’s investments in derivatives currently are subject to the following risks: <blockquote>Futures and Forward Contracts. 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. Forward currency transactions include the risks associated with fluctuations in currency. Hedging Risk. If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, the hedge might be unsuccessful, reduce the Fund’s investment return, or create a loss. Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices) hedged or used for cover which may cause a given hedge not to achieve its objective. Swap Agreements. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.</blockquote>Early Close/Trading Halt Risk An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses. Effects of Compounding and Market Volatility Risk The Fund 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. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Fund’s daily target (300%) generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Fund’s use of leverage will cause the Fund to underperform the return of three times its benchmark in a trendless or flat market. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility. The Index’s volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Fund’s performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. As shown below, this Fund, or any other 3X Bull Fund, would be expected to lose 17.1% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Index’s annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 81.5%. At higher ranges of volatility, there is a chance of a near complete loss of value even if the Index is flat. For instance, if the Index’s annualized volatility is 100%, the Fund would be expected to lose 95% of its value, even if the cumulative Index return for the year was only 0%. <center>Table 1</center><table cellspacing="0" cellpadding="0" width="100%" border="0" style="BORDER-COLLAPSE:COLLAPSE" align="center"> <tr> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">300% One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="18" align="center" style="border-bottom:1px solid #000000">Volatility Rate</td> <td valign="bottom"> </td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">10%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">25%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">50%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">75%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">100%</td> <td valign="bottom"> </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-93.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-94.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-97.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-150</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-87.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-94.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-97.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.4</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-79.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-82.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-89.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-66.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-71.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-83.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-98.3</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-50.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-57.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-75.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-90.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-97.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-29.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-39.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-65.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-86.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-96.4</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-3.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-17.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-52.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-81.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-95.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">29.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-37.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-75.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.4</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">67.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">43.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-18.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-68.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-91.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">90</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">113.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">82.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">3.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-59.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.1</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">166.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">127.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">29.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-49.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-86.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">150</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">227.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">179.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">59.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-37.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-83.2</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">297.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">239.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">93.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-24.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-79.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> </table> The Index’s annualized historical volatility rate for the five-year period ended December 30, 2011 is 24%. The Index’s highest volatility rate for any one calendar year during the five-year period is 38% and volatility for a shorter period of time may have been substantially higher. The Index’s annualized performance for the five-year period ended December 30, 2011 is 2.37%. Historical Index volatility and performance are not indications of what the Index volatility and performance will be in the future. For additional graphs and charts demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see “Additional Information Regarding Investment Techniques and Policies” and “Negative Implications of Daily Goals in Volatile Markets” in the Fund’s statutory prospectus, and “Special Note Regarding the Correlation Risks of the Funds” in the Fund’s Statement of Additional Information. Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios. To fully understand the risks of market volatility on the Fund, see “Negative Implications of Daily Goals in Volatile Markets” found in the statutory prospectus. Equity Securities Risk Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the net asset value (“NAV”) of the Fund to fluctuate. Gain Limitation Risk If the Fund’s benchmark moves more than 33% on a given trading day in a direction adverse to the Fund, you would lose all of your money. Rafferty will attempt to position the Fund’s portfolio to ensure that the Fund does not lose more than 90% of its net asset value on a given day. The cost of such downside protection will be limitations on the Fund’s gains. As a consequence, the Fund’s portfolio may not be responsive to Index gains beyond 30% in a given day. For example, if the Index were to gain 35%, the Fund might be limited to a daily gain of 90% rather than 105%, which is 300% of the Index gain of 35%. High Portfolio Turnover Risk Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most exchange-traded funds. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased capital gains, including short-term and/or long-term capital gains that will be taxable to shareholders as ordinary income. The Fund calculates portfolio turnover without including the short term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments is reflected, the calculated portfolio turnover rate would be significantly higher. Intra-Day Investment Risk The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Fund’s net assets will rise by the same amount as the Fund’s exposure. Conversely, if the Index declines, the Fund’s net assets will decline by the same amount as the Fund’s exposure. Since a Fund starts each trading day with exposure which is 300% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $300 of exposure to the next trading day’s Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $303 and the net assets will have risen by that $3 gain to $103. With net assets of $103 and exposure of $303, a purchaser at that point would be receiving 294% exposure of her investment instead of 300%. Leverage Risk If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 3% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 33%. Further, purchasing shares during a day may result in greater than 300% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day. To fully understand the risks of using leverage in the Fund, see “Effects of Compounding and Market Volatility Risk” above. Liquidity Risk Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Rafferty’s judgment of the security’s true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index. Market Risk The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. Market Timing Risk Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of “asset allocation” and “market timing” investment strategies. These strategies often call for frequent trading which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased capital gains, including short-term and/or long-term capital gain that will be taxable to shareholders as ordinary income. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Regulatory Risk The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Fund’s operations and/or change the competitive landscape. Risks of Investing in Other Investment Companies (including ETFs) Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. If the investment company or ETF fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance. Tax and Distribution Risk The Fund has extremely high portfolio turnover which causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is generally treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely generates long-term capital gain or loss. The Fund will generally need to distribute this income in order to satisfy certain tax requirements. As a result of the Fund’s high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Fund’s asset level changes frequently, these distributions could comprise a substantial portion or even all of the Fund’s net assets if the Fund distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors and these investors may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for such shareholders. Potential investors are urged to consult their own tax advisers for more detailed information. Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives are not entirely clear. Because the Fund’s status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Fund’s treatment of certain transactions involving derivatives, the Fund’s ability to engage in these transactions may be limited. Tracking Error Risk The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs, and/or a temporary lack of liquidity in the markets for the securities held by the Fund. A failure to achieve a daily target may cause the Fund to provide returns for a longer period that are worse than expected. In addition, even though the Fund may meet its daily target for a period of time, this will not necessarily produce the returns that might be expected in light of the returns of the Index or the Fund’s benchmark for that period. Special Risks of Exchange-Traded Funds Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit. Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time. Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Fund’s investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund. An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and exchange-traded funds. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund. Adverse Market Conditions Risk Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines. Adviser’s Investment Strategy Risk The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Fund’s performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective. Counterparty Risk The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. Currency Exchange Rate Risk Changes in foreign currency exchange rates will affect the value of what the Fund owns and the Fund’s share price. 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. Currency markets generally are not as regulated as securities markets. Daily Correlation Risk There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily target. The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs and costs associated with the use of leveraged investment techniques and/or a temporary lack of liquidity in the markets for the securities held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The 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 Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Index’s movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Fund’s ability to meet its daily investment objective on that day. Depositary Receipt Risk To the extent the Fund seeks exposure to foreign companies, the Fund’s investments may be in the form of depositary receipts or other securities convertible into securities of foreign issuers, including American Depositary Receipts (“ADRs”), European Depositary Receipts (“EDRs”), and Global Depositary Receipts (“GDRs”). While the use of ADRs, EDRs and GDRs, which are traded on exchanges and represent and ownership in a foreign security, provide an alternative to directly purchasing the underlying foreign securities in their respective national markets and currencies, investments in ADRs, EDRs, and GDRs continue to be subject to certain of the risks associated with investing directly in foreign securities. Derivatives Risk The Fund uses investment techniques, including investments in derivatives such as futures and forward contracts, options and swaps, which may be considered aggressive. Investments in such derivatives are subject to market risks that may cause their prices to fluctuate over time and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives, such as counterparty risk and the risk that the derivatives may become illiquid. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Fund’s NAV, the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund’s daily investment objective. This may prevent the Fund from achieving its daily investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. In addition, the Fund’s investments in derivatives currently are subject to the following risks:<blockquote>Futures and Forward Contracts. 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. Forward currency transactions include the risks associated with fluctuations in currency. Hedging Risk. If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, the hedge might be unsuccessful, reduce the Fund’s investment return, or create a loss. Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices) hedged or used for cover which may cause a given hedge not to achieve its objective. Swap Agreements. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.</blockquote>Early Close/Trading Halt Risk An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses. Effects of Compounding and Market Volatility Risk The Fund 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. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Fund’s daily target (300%) generally will not equal the Fund’s performance over that same period. As a result, over time, the cumulative percentage increase or decrease in the value of the Fund’s portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Fund’s underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Fund’s use of leverage will cause the Fund to underperform the return of three times its benchmark in a trendless or flat market. The effect of compounding becomes more pronounced on the Fund’s performance as the Index experiences volatility. The Index’s volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Fund’s performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. As shown below, this Fund, or any other 3X Bull Fund, would be expected to lose 17.1% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Index’s annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 81.5%. At higher ranges of volatility, there is a chance of a near complete loss of value even if the Index is flat. For instance, if the Index’s annualized volatility is 100%, the Fund would be expected to lose 95% of its value, even if the cumulative Index return for the year was only 0%. <center>Table 1</center><table cellspacing="0" cellpadding="0" width="100%" border="0" style="BORDER-COLLAPSE:COLLAPSE" align="center"> <tr> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">300% One Year Index</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="18" align="center" style="border-bottom:1px solid #000000">Volatility Rate</td> <td valign="bottom"> </td></tr> <tr> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">Return</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">10%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">25%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">50%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">75%</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="2" align="center" style="border-bottom:1px solid #000000">100%</td> <td valign="bottom"> </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-93.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-94.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-97.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-99.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-150</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-87.9</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-94.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-97.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-99.4</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-79.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-82.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-89.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-96.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-98.9</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-90</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-66.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-71.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-83.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.7</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-98.3</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-50.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-57.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-75.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-90.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-97.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-29.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-39.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-65.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-86.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-96.4</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-3.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-17.1</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-52.8</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-81.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-95.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">29.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">10.3</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-37.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-75.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-93.4</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">20</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">67.7</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">43.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-18.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-68.0</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-91.4</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">30</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">90</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">113.2</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">82.1</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">3.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-59.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-89.1</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">40</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">120</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">166.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">127.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">29.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-49.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-86.3</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">50</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">150</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">227.5</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">179.8</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">59.4</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-37.6</td> <td nowrap="nowrap" valign="bottom">% </td> <td valign="bottom"> </td> <td nowrap="nowrap" valign="bottom"> </td> <td nowrap="nowrap" valign="bottom" align="right">-83.2</td> <td nowrap="nowrap" valign="bottom">% </td></tr> <tr> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">60</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">180</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">297.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">239.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">93.5</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-24.2</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td> <td valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff"> </td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff" align="right">-79.6</td> <td nowrap="nowrap" valign="bottom" bgcolor="#cceeff">% </td></tr> </table> The Index’s annualized historical volatility rate for the five-year period ended December 30, 2011 is 30%. The Index’s highest volatility rate for any one calendar year during the five-year period is 42% and volatility for a shorter period of time may have been substantially higher. The Index’s annualized performance for the five-year period ended December 30, 2011 is -5.20%. Historical Index volatility and performance are not indications of what the Index volatility and performance will be in the future. For additional graphs and charts demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see “Additional Information Regarding Investment Techniques and Policies” and “Negative Implications of Daily Goals in Volatile Markets” in the Fund’s statutory prospectus, and “Special Note Regarding the Correlation Risks of the Funds” in the Fund’s Statement of Additional Information. Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios. To fully understand the risks of market volatility on the Fund, see “Negative Implications of Daily Goals in Volatile Markets” found in the statutory prospectus. Equity Securities Risk Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the net asset value (“NAV”) of the Fund to fluctuate. European Economic Risk The Economic and Monetary Union of the European Union (the “EU”) requires member countries to comply with restrictions on inflation rates, deficits, interest rates, debt levels and fiscal and monetary controls, each of which may significantly affect every country in Europe. Decreasing imports or exports, changes in governmental or EU regulations on trade, changes in the exchange rate of the euro, the default or threat of default by an EU member country on its sovereign debt, and/or an economic recession in an EU member country may have a significant adverse effect on the economies of EU member countries and their trading partners, including some or all of the European countries in which the Fund invests. The European financial markets have recently experienced volatility and have been adversely affected by concerns about economic downturns, credit rating downgrades, rising government debt levels and possible default on or restructuring of government debt in several European countries, including Greece, Ireland, Italy, Portugal and Spain. A default or debt restructuring by any European country would adversely impact holders of that country’s debt and economy. These concerns have adversely affected the value and exchange rate of the euro and may continue to significantly affect the economies of every country in Europe, including EU member countries that do not use the euro and non-EU member countries. Foreign Securities Risk Indirectly investing in foreign instruments may involve greater risks than investing in domestic instruments. As a result, the Fund’s returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, interest rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws and accounting, auditing, and financial reporting standards in foreign countries typically are not as strict as they are in the U.S., and there may be less public information available about foreign companies. Gain Limitation Risk If the Fund’s benchmark moves more than 33% on a given trading day in a direction adverse to the Fund, you would lose all of your money. Rafferty will attempt to position the Fund’s portfolio to ensure that the Fund does not lose more than 90% of its net asset value on a given day. The cost of such downside protection will be limitations on the Fund’s gains. As a consequence, the Fund’s portfolio may not be responsive to Index gains beyond 30% in a given day. For example, if the Index were to gain 35%, the Fund might be limited to a daily gain of 90% rather than 105%, which is 300% of the Index gain of 35%. Geographic Concentration Risk Investments in a particular country or geographic region may be particularly susceptible to political, diplomatic or economic conditions and regulatory requirements. As a result, the Fund may be more volatile than a more geographically diversified fund. High Portfolio Turnover Risk Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most exchange-traded funds. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased capital gains, including short-term and/or long-term capital gains that will be taxable to shareholders as ordinary income. The Fund calculates portfolio turnover without including the short term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments is reflected, the calculated portfolio turnover rate would be significantly higher. Intra-Day Investment Risk The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Fund’s net assets will rise by the same amount as the Fund’s exposure. Conversely, if the Index declines, the Fund’s net assets will decline by the same amount as the Fund’s exposure. Since a Fund starts each trading day with exposure which is 300% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $300 of exposure to the next trading day’s Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $303 and the net assets will have risen by that $3 gain to $103. With net assets of $103 and exposure of $303, a purchaser at that point would be receiving 294% exposure of her investment instead of 300%. Leverage Risk If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 3% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 33%. Further, purchasing shares during a day may result in greater than 300% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day. To fully understand the risks of using leverage in the Fund, see “Effects of Compounding and Market Volatility Risk” above. Liquidity Risk Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Rafferty’s judgment of the security’s true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index. Market Risk The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market. Market Timing Risk Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of “asset allocation” and “market timing” investment strategies. These strategies often call for frequent trading which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased capital gains, including short-term and/or long-term capital gain that will be taxable to shareholders as ordinary income. Mid Capitalization Company Risk Investing in the securities of mid capitalization companies, and securities that provide exposure to mid capitalization companies, involves greater risks and the possibility of greater price volatility than investing in more-established, larger capitalization companies. Mid capitalization companies often have narrower markets for their goods and/or services and more limited managerial and financial resources than larger, more established companies. Furthermore, those companies often have limited product lines, services, markets, financial resources or are dependent on a small management group. In addition, because these stocks are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information concerning these securities compared to what is available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental analysis, can decrease the value and liquidity of securities held by the Fund. As a result, their performance can be more volatile and they face greater risk of business failure, which could increase the volatility of the Fund’s portfolio. Non-Diversification Risk The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified fund’s net asset values and total returns may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund. Regulatory Risk The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Fund’s operations and/or change the competitive landscape. Risks of Investing in Other Investment Companies (including ETFs) Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. If the investment company or ETF fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance. Tax and Distribution Risk The Fund has extremely high portfolio turnover which causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is generally treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely generates long-term capital gain or loss. The Fund will generally need to distribute this income in order to satisfy certain tax requirements. As a result of the Fund’s high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Fund’s asset level changes frequently, these distributions could comprise a substantial portion or even all of the Fund’s net assets if the Fund distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors and these investors may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for such shareholders. Potential investors are urged to consult their own tax advisers for more detailed information. Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives are not entirely clear. Because the Fund’s status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Fund’s treatment of certain transactions involving derivatives, the Fund’s ability to engage in these transactions may be limited. Tracking Error Risk The Fund may have difficulty achieving its daily target due to fees and expenses, high portfolio turnover, transaction costs, and/or a temporary lack of liquidity in the markets for the securities held by the Fund. A failure to achieve a daily target may cause the Fund to provide returns for a longer period that are worse than expected. In addition, even though the Fund may meet its daily target for a period of time, this will not necessarily produce the returns that might be expected in light of the returns of the Index or the Fund’s benchmark for that period. Valuation Time Risk The Fund values its portfolio as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 P.M. Eastern time). In some cases, foreign market indices close before the NYSE opens or may not be open for business on the same calendar days as the Fund. As a result, the daily performance of the Fund can vary from the performance of the Index. Special Risks of Exchange-Traded Funds Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit. Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time. Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Fund’s investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund. <div style="display:none">~ http://www.direxionshares.com/role/ScheduleExpenseExampleTransposedDirexionDailyEuropeanBull3XShares column period compact * ~</div> The Fund has not yet commenced operations; therefore, performance information is not yet available. In the future, performance information for the Fund will be presented in this section. Performance information also will be available on the Fund’s website at http://direxionshares.com/etfs?performance or by calling the Fund toll free at 1-866-476-7523. The Fund's adviser, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") has contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through March 1, 2014, to the extent that the Fund's Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, leverage interest, Acquired Fund Fees and Expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund only within the following three years if overall expenses fall below these percentage limitations. This agreement may be terminated or revised at any time with the consent of the Board of Trustees. The Fund's adviser, Rafferty Asset Management, LLC ("Rafferty" or the "Adviser") has contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through March 1, 2014, to the extent that the Fund's Total Annual Operating Expenses exceed 0.95% (excluding, as applicable, among other expenses, taxes, leverage interest, Acquired Fund Fees and Expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund only within the following three years if overall expenses fall below these percentage limitations. This agreement may be terminated or revised at any time with the consent of the Board of Trustees. 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Document - Risk/Return Summary {Unlabeled} - Direxion Daily Dow 30 Bear 3X Shares link:presentationLink link:calculationLink link:definitionLink 000042 - Schedule - Shareholder Fees {- Direxion Daily Dow 30 Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000043 - Schedule - Annual Fund Operating Expenses {- Direxion Daily Dow 30 Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000044 - Schedule - Expense Example {Transposed} {- Direxion Daily Dow 30 Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000045 - Schedule - Expense Example, No Redemption {Transposed} {- Direxion Daily Dow 30 Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000046 - Schedule - Annual Total Returns - Direxion Daily Dow 30 Bear 3X Shares [BarChart] link:presentationLink link:calculationLink link:definitionLink 000047 - Schedule - Average Annual Total Returns {Transposed} {- Direxion Daily Dow 30 Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000048 - 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Schedule - Annual Total Returns - Direxion Daily European Bull 3X Shares [BarChart] link:presentationLink link:calculationLink link:definitionLink 000057 - Schedule - Average Annual Total Returns {Transposed} {- Direxion Daily European Bull 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000058 - Document - Risk/Return Detail {Unlabeled} - Direxion Daily European Bull 3X Shares link:presentationLink link:calculationLink link:definitionLink 000059 - Disclosure - Risk/Return Detail Data {Elements} - Direxion Daily European Bull 3X Shares link:presentationLink link:calculationLink link:definitionLink 000061 - Document - Risk/Return Summary {Unlabeled} - Direxion Daily European Bear 3X Shares link:presentationLink link:calculationLink link:definitionLink 000062 - Schedule - Shareholder Fees {- Direxion Daily European Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000063 - Schedule - Annual Fund Operating Expenses {- Direxion Daily European Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000064 - Schedule - Expense Example {Transposed} {- Direxion Daily European Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000065 - Schedule - Expense Example, No Redemption {Transposed} {- Direxion Daily European Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000066 - Schedule - Annual Total Returns - Direxion Daily European Bear 3X Shares [BarChart] link:presentationLink link:calculationLink link:definitionLink 000067 - Schedule - Average Annual Total Returns {Transposed} {- Direxion Daily European Bear 3X Shares} link:presentationLink link:calculationLink link:definitionLink 000068 - Document - Risk/Return Detail {Unlabeled} - Direxion Daily European Bear 3X Shares link:presentationLink link:calculationLink link:definitionLink 000069 - Disclosure - Risk/Return Detail Data {Elements} - Direxion Daily European Bear 3X Shares link:presentationLink link:calculationLink link:definitionLink EX-101.CAL 4 dset3-20121130_cal.xml XBRL TAXONOMY EXTENSION CALCULATION LINKBASE EX-101.DEF 5 dset3-20121130_def.xml XBRL TAXONOMY EXTENSION DEFINITION LINKBASE