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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-22201

Direxion Shares ETF Trust

(Exact name of registrant as specified in charter)

33 Whitehall Street, 10^th Floor
New York, NY 10004

(Address of principal executive offices) (Zip code)

Daniel O’ Neill
33 Whitehall Street, 10^th Floor
New York, NY 10004

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-866-476-7523

Date of fiscal year end: October 31

Date of reporting period: October 31, 2009

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Letter to Shareholders

Dear Shareholders,

This Annual Report for the Direxion Shares covers the period from November 5, 2008 to October 31, 2009, (the “Annual Period”). The first four months of the Annual Period was marked by severe distress in the economy and, in particular, the financial sector, with market volatility at perhaps its highest measured levels. Governments across the globe provided massive stimulus to keep the economy flowing and also became involved in the financial sector to an unprecedented extent. By the middle of the period, the markets had recovered much of their earlier losses and volatility had returned to more customary levels. Despite the market gains since March, the economy remains fragile and recovery is far from assured.

The discussion below relates to the performance of the Direxion Shares exchange traded funds (the “ETFs”) for the Annual Period. However, the ETFs seek to provide daily returns which are a multiple — positive or negative — of the daily return of a particular benchmark and the ETFs should not be held for long periods. The ETFs are not suitable for many investors and should be utilized only by sophisticated investors who understand leverage risk, the consequences of seeking daily leveraged investment results, understand the risk of shorting, and intend to actively monitor and manage their investments.

An ETF which meets its daily goals should have performance for the Annual Period similar to the performance indicated by models based on the daily returns of the relevant benchmark for the Annual Period. Direxion maintains models which indicate the expected performance of each ETF in light of the path of the relevant benchmark (the “Target Index”) and the fund’s expense ratios. The models, and a description of how they work, are available on the Direxion Shares website (www.direxionshares.com) under Tools/Tracking Center. The models do not take into account the size of a fund or any transaction fees associated with creating or maintaining a fund’s portfolio. A brief comparison of the actual returns versus the expected returns for each of the funds during the Annual Period is as follows below.

The Direxion Daily Large Cap Bull 3X Shares and the Direxion Daily Large Cap Bear 3X Shares seek to provide 300% and -300% of the daily return of the Russell 1000 Index, respectively. For the period, the Target Index returned 11.22%. The Direxion Daily Large Cap Bull 3X Shares returned -20.35% and Direxion Daily Large Cap Bear 3X Shares returned -62.87%. The model indicated an expected return of -17.89% for the Direxion Daily Large Cap Bull 3X Shares and an expected return of -63.18% for the Direxion Daily Large Cap Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Mid Cap Bull 3X Shares and the Direxion Daily Mid Cap Bear 3X Shares seek to provide 300% and -300% of the daily return of the Russell Midcap Index, respectively. For the period, the Target Index returned 18.73%. The Direxion Daily Mid Cap Bull 3X Shares returned 40.65% and the Direxion Daily Mid Cap Bear 3X Shares returned -71.23%. The model indicated an expected return of 43.47% for the Direxion Daily Mid Cap Bull 3X Shares and an expected return of -71.00% for the Direxion Daily Mid Cap Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Small Cap Bull 3X Shares and the Direxion Daily Small Cap Bear 3X Shares seek to provide 300% and -300% of the daily return of the Russell 2000 Index, respectively. For the period, the Target Index returned 6.46%. The Direxion Daily Small Cap Bull 3X Shares returned -39.50% and the Direxion Daily Small Cap Bear 3X Shares returned -76.18%. The model indicated an expected return of -40.23% for the Direxion Daily Small Cap Bull 3X Shares and an expected return of -75.69% for the Direxion Daily Small Cap Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Developed Markets Bull 3X Shares and the Direxion Daily Developed Markets Bear 3X Shares seek to provide 300% and -300% of the daily return of the MSCI EAFE Index, respectively. For the period, Target Index returned 23.66%. The Direxion Daily Developed Markets Bull 3X Shares returned 27.15% and the Direxion Daily Developed Markets Bear 3X Shares returned -69.57%. The model indicated an expected return of 29.05% for the Direxion Daily Developed Markets Bull 3X Shares and an expected return of -68.81% for the Direxion Daily Developed Markets Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Emerging Markets Bull 3X Shares and the Direxion Daily Emerging Markets Bear 3X Shares seek to provide 300% and -300% of the daily return of the MSCI Emerging Markets Index, respectively. For the period, the Target Index returned 51.05%. The Direxion Daily Emerging Markets Bull 3X Shares returned 97.28% and the Direxion Daily Emerging Markets Bear 3X Shares returned -87.78%. The model indicated an expected return of 92.63% for the Direxion Daily Emerging Markets Bull 3X Shares and an expected return of -87.46% for the Direxion Daily Emerging Markets Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Energy Bull 3X Shares and the Direxion Daily Energy Bear 3X Shares seek to provide 300% and -300% of the daily return of the Russell 1000 Energy Index, respectively. For the period, the Target Index returned 8.71%. The Direxion

4 DIREXION ANNUAL REPORT

Daily Energy Bull 3X Shares returned -29.75% and the Direxion Daily Energy Bear 3X Shares returned -78.95%. The model indicated an expected return of -30.94% for the Direxion Daily Energy Bull 3X Shares and an expected return of -78.13% for the Direxion Daily Energy Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Financial Bull 3X Shares and the Direxion Daily Financial Bear 3X Shares seek to provide 300% and -300% of the daily return of the Russell 1000 Financial Services Index, respectively. For the period, Target Index returned -1.95%. The Direxion Daily Financial Bull 3X Shares returned -77.36% and the Direxion Daily Financial Bear 3X Shares returned -96.17%. The model indicated an expected return of -77.45% for the Direxion Daily Financial Bull 3X Shares and an expected return of -96.03% for the Direxion Daily Financial Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Technology Bull 3X Shares and the Direxion Daily Technology Bear 3X Shares seek to provide 300% and -300% of the daily return of the Russell 1000 Technology Index, respectively. For the period, the Target Index returned 32.62%. The Direxion Daily Technology Bull 3X Shares returned 123.80% and the Direxion Daily Technology Bear 3X Shares returned -79.05%. The model indicated an expected return of 128.14% for the Direxion Daily Technology Bull 3X Shares and an expected return of -78.95% for the Direxion Daily Technology Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily Real Estate Bull 3X Shares and the Direxion Daily Real Estate Bear 3X Shares seek to provide 300% and -300% of the daily return of the MSCI US REIT Index, respectively. For the target index returned 0.31%. The Direxion Daily Real Estate Bull 3X Shares returned 78.71% and the Direxion Daily Real Estate Bear 3X Shares returned -64.88%. The model indicated an expected return of 74.09% for the Direxion Daily Real Estate Bull 3X Shares and an expected return of -63.28% for the Direxion Daily Real Estate Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily 10-Year Treasury Bull 3X Shares and the Direxion Daily 10-Year Treasury Bear 3X Shares seek to provide 300% and -300% of the daily return of the NYSE Current 10-Year U.S. Treasury Index, respectively. For the period, the Target Index returned -3.20%*. The Direxion Daily 10-Year Treasury Bull 3X Shares returned -13.85% and Direxion Daily 10-Year Treasury Bear 3X Shares returned 6.72%. The model indicated an expected return of -11.45% for the Direxion Daily 10-Year Treasury Bull 3X Shares and an expected return of 5.64% for the Direxion Daily 10-Year Treasury Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

The Direxion Daily 30-Year Treasury Bull 3X Shares and the Direxion Daily 30-Year Treasury 3X Shares seek to provide 300% and -300% of the daily return of the NYSE Current 30-Year U.S. Treasury Index, respectively. For the period, the Target Index returned -6.60%*. The Direxion Daily 30-Year Treasury Bull 3X Shares returned -28.43% and the Direxion Daily 30-Year Treasury Bear 3X Shares gained 8.15%. The model indicated an expected return of -24.60% for the Direxion Daily 30-Year Treasury Bull 3X Shares and an expected return of 5.89% for the Direxion Daily 30-Year Treasury Bear 3X Shares. Factors affecting each ETF’s performance are set forth in the Management Discussion & Analysis section.

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

Best Regards,

Daniel O’Neill
President

Past performance is not indicative of future results. Recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Carefully consider the investment objectives, risks, and charges and expenses of the Funds before investing. This and other information can be found in the Funds’ prospectus. To obtain a prospectus, please visit www.direxionshares.com or call 1-866-476-7523.

There is no guarantee the funds will achieve their objective. Investing in index funds may be more volatile than investing in broadly diversified funds. The use of leverage by a fund means the Funds are riskier than alternatives which do not use leverage. The Funds are not designed to track the underlying index over a longer period of time.

The risks associated with the funds are detailed in the prospectus which include: adverse market condition risk, adviser’s investment strategy risk, aggressive investment techniques risk, concentration risk, counterparty risk, credit and lower quality debt securities risk, equity securities risk, currency exchange risk, daily correlation risk, daily rebalancing and market volatility risk, depository receipt risk, foreign and emerging markets securities risk, sector securities risk, interest rate risk, inverse correlation risk, leverage risk, market risk, non-diversification risk, shorting

DIREXION ANNUAL REPORT 5

Management Discussion & Analysis

Investment Techniques and Policies:

Rafferty Asset Management, LLC (“Rafferty” or “Adviser”), the investment adviser to the Funds, uses a number of investment techniques in order to achieve the stated goal for each Fund. The Bull Funds magnify the returns of their respective indexes for a one-day period and the Bear Funds inversely magnify the returns of their respective indexes for a one-day period. Rafferty primarily uses statistical and quantitative analysis to determine the investments each Fund makes and the techniques it employs.

No Fund attempts, or should be expected to, provide returns which are a multiple of the return of the benchmark for periods other than a single day.

Factors Affecting Fund Performance:


•	Benchmark Performance – The daily performance of each Fund’s benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving Fund performance. Given the daily goals, the series of daily index returns are most important. The market conditions that affected the benchmark indexes during the past year are described below.

•	Leverage – Each Fund seeks daily investment results (before fees and expenses) of either 300% (for the Bull Funds) or -300% (for the Bear Funds) of the performance of its respective underlying index. The use of leverage magnifies a Fund’s gains or losses and increases the investment’s risk and volatility. The Bear Funds seek to achieve inverse magnified correlation to their respective underlying indexes.

•	Volatility and Compounding – The goal of leveraged ETFs is to provide a multiple of the daily returns of an underlying index. Over periods longer than a single day, a Fund should not be expected to provide 300% or -300% of the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the Funds over longer periods are greater or less than the Fund’s daily stated goal. Periods of high volatility that lack a clear trend hurt a Fund’s performance while trending, low volatility markets enhance a Fund’s performance. The past year saw some of the highest volatility on record.

•	Cost of Financing – In order to attain leveraged exposure, a Bull Fund incurs a cost of LIBOR plus a spread and a Bear Fund receives LIBOR minus a spread as applied to the borrowed portion of the Fund’s exposure. Because LIBOR is very low, financing costs create only a small drag on a Bull Fund’s performance while a Bear Fund receives a negligible amount, or in the case of hard-to-borrow shares, even pays to finance its short position.

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

•	Equity Dividends and Bond Interest – Equity Bull Funds are positively impacted by equity and index dividends as the Funds receive those payments. Equity Bear Funds are negatively impacted as they are obligated to pay the dividends. Treasury Bull Funds receive interest, accrued on a daily basis, to account for the Treasury’s semi-annual coupon payments while the Treasury Bear Funds pay interest, accrued on a daily basis.

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

Market Conditions Affecting Fund Performance:

Twenty-two (22) Funds were launched during the most recent fiscal year ending October 31st, 2009. A general review of economic conditions and market events, as well as index performance, is below for the period described.

DIREXION ANNUAL REPORT 7

Economy:

A violent collapse followed by a startling reversal defined this past year’s market environment. Credit markets seized, large institutions teetered on the brink of bankruptcy, and unemployment climbed to levels not seen in decades. Fear abated, and in March, the market turned around as signs of an economic recovery made headlines. The recovery continued through the end of the fiscal year with a strong and resilient upward trend.

Twelve months ago, the United States and the rest of the world were in the midst of a global financial crisis. Domestically, the Federal Reserve, led by Ben Bernanke, cut interest rates from 5.25% to near zero between September of 2007 and December of 2008 in order to inject liquidity into the markets. Rates in the U.S. have remained at this record low throughout the most recent year. Foreign leaders also understood the magnitude of the crisis and took measures to stabilize their economies. A flight to quality pushed up prices of Treasuries creating a phenomenon where an investment in a 3-month T-Bill temporarily returned a negative yield.

Credit conditions tightened so drastically that they froze during the heart of the crisis. Conditions have thawed since then and institutions have begun lending again with much more conservative measures in place. Housing prices plummeted about 25% on average and as much as 50% in certain parts of the country. Unemployment rose to its highest levels since the 1980’s as companies were forced to cut costs and lower capacity due to decreased demand for products. These combined factors created high default rates and foreclosures on mortgages. Fannie Mae and Freddie Mac were placed into a conservatorship by the United States government to preserve the vital agencies. Companies involved in mortgage backed securities lost billions of dollars causing Lehman Brothers to go bankrupt and Merrill Lynch, a long-standing and very well-branded American firm, to sell to Bank of America. Credit default swaps brought AIG to the edge of bankruptcy while consumer credit produced devastating losses for Citigroup; both were bailed out by the United States government in two of the largest bailouts in U.S. history. Decreased demand for consumer products, especially for “big-ticket” items, caused GM to file for Chapter 11 bankruptcy and Ford to raise capital to keep the company above water.

Implementation of the TARP program, deceleration of losses, and the anticipation of a bottom culminated in a turnaround in mid-March. Fear of a global collapse subsided and the S&P 500 rallied 55% from the low on March 9^th, 2009 to October 31^st, 2009 along with other broad market indexes. Though the Fed has kept rates at extremely low levels, there are no signs of inflation in our near future.

The government’s record-breaking spending brought the U.S. deficit to $170 billion at the end of October causing a strong and steady 10.9% decline in the U.S. Dollar relative to a basket of other currencies. Gold proved to be a safe haven for investors during the crisis and the Dollar’s decline as it rallied 42% over the past twelve months. Crude oil climbed to $80 a barrel again as demand for the commodity was expected to return with the economic recovery.

Index Performance:

Over the fiscal year, Rafferty managed Funds of four different categories of indices — broad market, sector, international and fixed-income. Index returns are calculated for the period beginning October 31, 2008 and ending October 31, 2009 for all indexes except the NYSE Treasury indexes, which were not created until February 27^th, 2009.

Domestic broad market indexes experienced negative returns until the bottom in March when broad market indexes turned around and rallied strongly through the Funds’ fiscal year end on October 31, 2009. The rally was powerful enough to overcome the downturn and produce positive returns for all broad market indexes during the period. Six of Direxion’s leveraged ETFs track broad market indexes; the index returns for the period are below. Due to the compounding associated with products which seek leveraged and inverse daily returns, the return of the Fund for the period bears little relationship to the return of the Index.


Russell 1000 Index			11.22%
Russell 2000 Index			6.46%
Russell Midcap Index			18.73%

While no sector proved safe during the financial crisis, certain sectors weathered the storm better than others and even provided respectable positive returns when looking at the fiscal year period as a whole. The Financial and Real Estate

8 DIREXION ANNUAL REPORT

sectors suffered the most during the financial crisis due to the sub-prime mortgage crisis and the credit crunch, and though both sectors rebounded impressively, their returns substantially lagged other sectors for the year ended October 31, 2009. Eight of Direxion’s leveraged ETFs track sector indexes; the index returns for the period are below. Due to the compounding associated with products which seek leveraged and inverse daily returns, the return of the Fund for the period bears little relationship to the return of the Index.


Russell 1000 Financial Services Index			-1.95%
Russell 1000 Energy Index			8.71%
Russell 1000 Technology Index			32.62%
MSCI U.S. REIT Index			0.31%

For the first part of the fiscal year, international equity markets experienced negative returns concomitantly with domestic markets, though to a lesser extent, and then rose vigorously to produce sizeable overall returns for the period. Rafferty managed four Funds benchmarked to international indexes; the returns for the benchmarks are below. Due to the compounding associated with products which seek leveraged and inverse daily returns, the return of the Fund for the period bears little relationship to the return of the Index.


iShares MSCI Emerging Markets Index Fund			50.65%
iShares MSCI EAFE Index Fund			23.52%

Prices of long-term Treasuries sank during the summer months due to a decreased demand for government debt and a weakening U.S. Dollar. As fear in the markets eased, investors fled the security of U.S. Treasuries and sought riskier assets in search of returns and as a result, prices of Treasuries dropped. The U.S. Dollar also steadily lost value relative to other major currencies lessening demand for dollar-denominated debt. Rafferty managed four Funds benchmarked to fixed-income indexes; the index returns for the period are below. Due to the compounding associated with products which seek leveraged and inverse daily returns, the return of the Fund for the period bears little relationship to the return of the Index.


NYSE Current 10-Year U.S. Treasury Index*			-1.17%
NYSE Current 30-Year U.S. Treasury Index*			-6.20%


*		Index was created on 2/27/09.

Index Volatility:

Market volatility reached extraordinary levels that U.S. equity markets have not seen since the crash of 1987 or perhaps the Great Depression of the early 1930’s. The VIX, a measure of market volatility, spiked to 80.86, its highest level on record, in November of 2008. Higher volatility negatively impacts a Fund’s performance as described in the previous section. The volatility of each Index used as a benchmark for Direxion’s Funds is below:


	One Year			Annualized
Benchmark	Return			Volatility

Russell 1000 Index		11.2	%		36.4	%
Russell 2000 Index		6.5	%		46.0	%
Russell Midcap Index		18.7	%		41.5	%
Russell 1000 Financial Services Index		-1.9	%		71.1	%
Russell 1000 Technology Index		32.6	%		36.2	%
Russell 1000 Energy Index		8.7	%		46.1	%
iShares MSCI Emerging Market Index Fund		51.1	%		54.7	%
iShares MSCI EAFE Index Fund		23.7	%		40.3	%
MSCI US REIT Index		0.3	%		87.5	%
NYSE Current 10-Year Treasury Index		-1.2	%		11.7	%
NYSE Current 30-Year Treasury Index		-6.2	%		21.5	%

Rafferty does not invest the assets of the Funds based on its view of the investment merit of a particular security, instrument or company. In addition, each Fund pursues its investment objective regardless of market conditions and does not take defensive positions.

DIREXION ANNUAL REPORT 9

Direxion Daily Large Cap Bull 3X Shares

November 5, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 5, 2008)
Direxion Daily Large Cap Bull 3X Shares		(20.35)% (NAV)/(20.63)% (Market Price)
Russell 1000 Index		7.24%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is 1.00%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

A Fund that meets its daily target over a period of time will not necessarily produce the returns that might be expected in light of the returns of its index or benchmark for that period. Differences may result from the compounding effect of market fluctuation, the use of leverage and the Bear Funds’ inverse correlation. The pursuit of daily goals may result in daily, leveraged compounding, which means that the return of an index over a period of time greater than one day multiplied by a fund’s specified multiple or inverse multiple (e.g., 300% or -300%) will not generally equal a fund’s performance over that same period.

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

Russell 1000 Index measures the large cap segment of the US equity universe. It consists of the largest 1,000 securities in the Russell 3000 Index based on market cap. The performance of the Russell 1000 Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

10 DIREXION ANNUAL REPORT

Direxion Daily Large Cap Bear 3X Shares

November 5, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 5, 2008)
Direxion Daily Large Cap Bear 3X Shares		(62.87)% (NAV)/(62.87)% (Market Price)
Russell 1000 Index		7.24%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is 1.02%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 11

Direxion Daily Mid Cap Bull 3X Shares

January 8, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (January 8, 2009)
Direxion Daily Mid Cap Bull 3X Shares		40.65% (NAV)/40.66% (Market Price)
Russell Midcap Index		24.36%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is 1.02%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe. The performance of the Russell Midcap Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

12 DIREXION ANNUAL REPORT

Direxion Daily Mid Cap Bear 3X Shares

January 8, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (January 8, 2009)
Direxion Daily Mid Cap Bear 3X Shares		(71.23)% (NAV)/(71.07)% (Market Price)
Russell Midcap Index		24.36%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is 1.05%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 13

Direxion Daily Small Cap Bull 3X Shares

November 5, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 5, 2008)
Direxion Daily Small Cap Bull 3X Shares		(39.50)% (NAV)/(39.53)% (Market Price)
Russell 2000 Index		4.80%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is 1.01 %. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Russell 2000 Index measures the small cap segment of the US equity universe and includes the smallest 2,000 securities in the Russell 3000 Index based on market cap. The performance of the Russell 2000 Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

14 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bear 3X Shares

November 5, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 5, 2008)
Direxion Daily Small Cap Bear 3X Shares		(76.18)% (NAV)/(76.20)% (Market Price)
Russell 2000 Index		4.80%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is 1.02%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 15

Direxion Daily Developed Markets Bull 3X Shares

December 17, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (December 17, 2008)
Direxion Daily Developed Markets Bull 3X Shares		27.15% (NAV)/28.83% (Market Price)
MSCI EAFE Index		20.65%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The performance of the MSCI EAFE Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

16 DIREXION ANNUAL REPORT

Direxion Daily Developed Markets Bear 3X Shares

December 17, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (December 17, 2008)
Direxion Daily Developed Markets Bear 3X Shares		(69.57)% (NAV)/(69.67)% (Market Price)
MSCI EAFE Index		20.65%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 17

Direxion Daily Emerging Markets Bull 3X Shares

December 17, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (December 17, 2008)
Direxion Daily Emerging Markets Bull 3X Shares		97.28% (NAV)/97.73% (Market Price)
MSCI Emerging Markets Index		45.46%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .94%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The MSCI Emerging Markets Index^SM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The performance of the MSCI Emerging Markets Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

18 DIREXION ANNUAL REPORT

Direxion Daily Emerging Markets Bear 3X Shares

December 17, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (December 17, 2008)
Direxion Daily Emerging Markets Bear 3X Shares		(87.78)% (NAV)/(87.82)% (Market Price)
MSCI Emerging Markets Index		45.46%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 19

Direxion Daily Energy Bull 3X Shares

November 6, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 6, 2008)

Direxion Daily Energy Bull 3X Shares		(29.75)% (NAV)/(29.79)% (Market Price)
Russell 1000 Energy Index		4.36%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Russell 1000 Energy Index measures the performance of all energy related securities in the Russell 1000 Index. The performance of the Russell 1000 Energy Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

20 DIREXION ANNUAL REPORT

Direxion Daily Energy Bear 3X Shares

November 6, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 6, 2008)
Direxion Daily Energy Bear 3X Shares		(78.95)% (NAV)/(78.87)% (Market Price)
Russell 1000 Energy Index		4.36%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Russell 1000 Energy Index – measures the performance of all energy related securities in the Russell 1000 Index. The performance of the Russell 1000 Energy Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 21

Direxion Daily Financial Bull 3X Shares

November 6, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 6, 2008)
Direxion Daily Financial Bull 3X Shares		(77.36)% (NAV)/(77.31)% (Market Price)
Russell 1000 Financial Services Index		(6.75)%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .94%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Russell 1000 Financial Services Index measures the performance of all financial services related securities in the Russell 1000 Index. The performance of the Russell 1000 Financial Services Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

22 DIREXION ANNUAL REPORT

Direxion Daily Financial Bear 3X Shares

November 6, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (November 6, 2008)
Direxion Daily Financial Bear 3X Shares		(96.17)% (NAV)/(96.18)% (Market Price)
Russell 1000 Financial Services Index		(6.75)%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .94%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Russell 1000 Financial Services Index measures the performance of all financial services related to securities in the Russell 1000 Index. The performance of the Russell 1000 Financial Services Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 23

Direxion Daily Technology Bull 3X Shares

December 17, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (December 17, 2008)
Direxion Daily Technology Bull 3X Shares		123.80% (NAV)/123.29% (Market Price)
Russell 1000 Technology Index		42.71%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .94%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The Russell 1000 Technology Index is a capitalization weighted index of companies that serve the electronics and computer industries or that manufacture products based on the latest applied science. The performance of the Russell 1000 Technology Index does not reflect the deduction of fees associated with the fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

24 DIREXION ANNUAL REPORT

Direxion Daily Technology Bear 3X Shares

December 17, 2008 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (December 17, 2008)
Direxion Daily Technology Bear 3X Shares		(79.05)% (NAV)/(79.05)% (Market Price)
Russell 1000 Technology Index		42.71%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 25

Direxion Daily Real Estate Bull 3X Shares

July 16, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (July 16, 2009)
Direxion Daily Real Estate Bull 3X Shares		78.71% (NAV)/78.59% (Market Price)
MSCI U.S. REIT Index		27.88%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The Real Estate Index is a free float market capitalization weighted index that is comprised of Equity REIT securities that belong to the MSCI US Investable Market 2500 Index. The performance of the MSCI US REIT Index does not reflect the deduction of fees associated with a mutual fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

26 DIREXION ANNUAL REPORT

Direxion Daily Real Estate Bear 3X Shares

July 16, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (July 16, 2009)
Direxion Daily Real Estate Bear 3X Shares		(64.88)% (NAV)/(64.70)% (Market Price)
MSCI U.S. REIT Index		27.88%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .96%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 27

Direxion Daily 10-Year Treasury Bull 3X Shares

April 16, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (April 16, 2009)
Direxion Daily 10-Year Treasury Bull 3X Shares		(13.85)% (NAV)/(14.21)% (Market Price)
NYSE Current 10-Year U.S. Treasury Index		(3.70)%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .97%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The NYSE Current 10 Year U.S. Treasury Index is a one-security index comprised of the most recently issued 10-Year Treasury Note. The performance of the NYSE Current 10-Year U.S. Treasury Index does not reflect the deduction of fees associated with a mutual fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

28 DIREXION ANNUAL REPORT

Direxion Daily 10-Year Treasury Bear 3X Shares

April 16, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (April 16, 2009)
Direxion Daily 10-Year Treasury Bear 3X Shares		6.72% (NAV)/7.00% (Market Price)
NYSE Current 10-Year U.S. Treasury Index		(3.70)%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .97%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 29

Direxion Daily 30-Year Treasury Bull 3X Shares

April 16, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (April 16, 2009)
Direxion Daily 30-Year Treasury Bull 3X Shares		(28.43)% (NAV)/(28.49)% (Market Price)
NYSE Current 30-Year U.S. Treasury Index		(7.62)%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .97%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

The NYSE Current 30 Year U.S. Treasury Index is a one-security index comprised of the most recently issued 30-Year Bond. The performance of the NYSE Current 30-Year U.S. Treasury Index does not reflect the deduction of fees associated with a mutual fund, such as investment management fees. Investors cannot invest directly in an index, although they can invest in its underlying securities.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		220%
Equities		80%

Total Exposure		300%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

30 DIREXION ANNUAL REPORT

Direxion Daily 30-Year Treasury Bear 3X Shares

April 16, 2009 - October 31, 2009

Since Inception at Net Asset Value


		Average Annual Total Return¹
		Since Inception (April 16, 2009)
Direxion Daily 30-Year Treasury Bear 3X Shares		8.15% (NAV)/8.19% (Market Price)
NYSE Current 30-Year U.S. Treasury Index		(7.62)%

The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate; an investor’s shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance quoted. Returns for performance under one year are cumulative, not annualized. As stated in the current prospectus, the Fund’s total annual operating expense ratio (gross) is .97%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the funds for other expense through March 1st, 2010 to the extent the Net Annual Operating Expenses exceed .95%. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance please visit www.direxionshares.com.

Market Exposure


	%
Investment Type	Net Assets

Swap Contracts		(300	)%

Total Exposure		(300	)%

“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.


¹	As of October 31, 2009.

DIREXION ANNUAL REPORT 31

Expense Examples

October 31, 2009 (Unaudited)

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2009 to October 31, 2009).

Actual expenses

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

Hypothetical example for comparison purposes

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

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

32 DIREXION ANNUAL REPORT

Expense Examples

October 31, 2009 (Unaudited)


	Annualized					Ending		Expenses
	Expense			Beginning		Account Value		Paid During
	Ratios			Account Value		(October 31, 2009)		Period

Direxion Daily Large Cap Bull 3X Shares
Based on actual fund return		0.95	%	$	1,000.00	$	1,595.30	$	6.21
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Large Cap Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		500.60		3.59
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Mid Cap Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,570.50		6.16
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Mid Cap Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		462.90		3.50
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Small Cap Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,404.20		5.76
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Small Cap Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		487.40		3.56
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Developed Markets Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,926.40		7.01
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Developed Markets Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		371.70		3.28
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Emerging Markets Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,960.80		7.09
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Emerging Markets Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		307.60		3.13
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Energy Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,579.70		6.18
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Energy Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		425.80		3.41
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Financial Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,649.10		6.34
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Financial Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		277.60		3.06
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Technology Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		1,786.20		6.67
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Technology Bear 3X Shares
Based on actual fund return		0.95	%		1,000.00		454.10		3.48
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Real Estate Bull 3X Shares*
Based on actual fund return		0.95	%		1,000.00		1,787.10		3.92
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily Real Estate Bear 3X Shares*
Based on actual fund return		0.95	%		1,000.00		351.20		1.90
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84
Direxion Daily 10-Year Treasury Bull 3X Shares
Based on actual fund return		0.95	%		1,000.00		939.70		4.64
Based on hypothetical 5% return		0.95	%		1,000.00		1,020.42		4.84

DIREXION ANNUAL REPORT 33

Premium/Discount Summary Table

(Unaudited)

The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund’s net asset value. Net asset value, or “NAV”, is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Closing Price” of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the shares of such Fund is listed for trading, as of the time that the Fund’s NAV is calculated. Each Fund’s Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand.

Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV.

The following information shows the frequency distributions of premiums and discounts for each of the Funds. The information show for each Fund is for the period from the inception date of such Fund through October 31, 2009.

Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.

Direxion Daily Large Cap Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		84		33.73	%		43		17.27	%
0.25% - 0.499%		53		21.29	%		17		6.83	%
0.50% - 0.749%		18		7.23	%		5		2.01	%
0.75% - 0.999%		10		4.02	%		9		3.61	%
1.00% or more		7		2.81	%		3		1.20	%

Direxion Daily Mid Cap Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		95		46.12	%		34		16.50	%
0.25% - 0.499%		42		20.39	%		12		5.83	%
0.50% - 0.749%		6		2.91	%		2		0.97	%
0.75% - 0.999%		4		1.94	%		2		0.97	%
1.00% or more		6		2.91	%		3		1.46	%

Direxion Daily Large Cap Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		72		28.92	%		77		30.92	%
0.25% - 0.499%		17		6.83	%		36		14.46	%
0.50% - 0.749%		14		5.62	%		11		4.42	%
0.75% - 0.999%		8		3.21	%		3		1.20	%
1.00% or more		6		2.41	%		5		2.01	%

Direxion Daily Mid Cap Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		42		20.39	%		71		34.47	%
0.25% - 0.499%		14		6.80	%		44		21.36	%
0.50% - 0.749%		8		3.88	%		19		9.22	%
0.75% - 0.999%		0		0.00	%		3		1.46	%
1.00% or more		3		1.45	%		2		0.97	%

DIREXION ANNUAL REPORT 35

Premium/Discount Summary Table

(Unaudited)

Direxion Daily Small Cap Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		44		17.67	%		32		12.85	%
0.25% - 0.499%		40		16.06	%		16		6.43	%
0.50% - 0.749%		24		9.64	%		21		8.43	%
0.75% - 0.999%		19		7.63	%		13		5.22	%
1.00% or more		29		11.65	%		11		4.42	%

Direxion Daily Small Cap Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		45		18.07	%		38		15.26	%
0.25% - 0.499%		26		10.44	%		43		17.27	%
0.50% - 0.749%		17		6.83	%		18		7.23	%
0.75% - 0.999%		14		5.62	%		11		4.42	%
1.00% or more		11		4.42	%		26		10.44	%

Direxion Daily Developed Markets Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		47		21.36	%		43		19.55	%
0.25% - 0.499%		39		17.73	%		23		10.45	%
0.50% - 0.749%		16		7.27	%		9		4.09	%
0.75% - 0.999%		10		4.55	%		4		1.82	%
1.00% or more		16		7.27	%		13		5.91	%

Direxion Daily Developed Markets Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		62		28.18	%		45		20.46	%
0.25% - 0.499%		31		14.09	%		38		17.27	%
0.50% - 0.749%		8		3.64	%		12		5.45	%
0.75% - 0.999%		6		2.73	%		5		2.27	%
1.00% or more		6		2.73	%		7		3.18	%

Direxion Daily Emerging Markets Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		63		28.63	%		41		18.64	%
0.25% - 0.499%		46		20.91	%		19		8.64	%
0.50% - 0.749%		17		7.73	%		12		5.45	%
0.75% - 0.999%		7		3.18	%		1		0.45	%
1.00% or more		6		2.73	%		8		3.64	%

Direxion Daily Emerging Markets Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		59		26.82	%		35		15.91	%
0.25% - 0.499%		42		19.09	%		36		16.37	%
0.50% - 0.749%		19		8.64	%		11		5.00	%
0.75% - 0.999%		1		0.45	%		5		2.27	%
1.00% or more		7		3.18	%		5		2.27	%

Direxion Daily Energy Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		66		26.61	%		43		17.34	%
0.25% - 0.499%		64		25.81	%		21		8.47	%
0.50% - 0.749%		15		6.05	%		12		4.84	%
0.75% - 0.999%		6		2.42	%		4		1.61	%
1.00% or more		9		3.63	%		8		3.22	%

Direxion Daily Energy Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		55		22.18	%		43		17.34	%
0.25% - 0.499%		34		13.71	%		51		20.56	%
0.50% - 0.749%		15		6.05	%		18		7.26	%
0.75% - 0.999%		2		0.81	%		13		5.24	%
1.00% or more		7		2.82	%		10		4.03	%

36 DIREXION ANNUAL REPORT

Premium/Discount Summary Table

(Unaudited)

Direxion Daily Financial Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		59		23.79	%		24		9.68	%
0.25% - 0.499%		25		10.08	%		19		7.66	%
0.50% - 0.749%		22		8.87	%		12		4.84	%
0.75% - 0.999%		8		3.23	%		9		3.63	%
1.00% or more		44		17.74	%		26		10.48	%

Direxion Daily Financial Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		47		18.95	%		43		17.34	%
0.25% - 0.499%		21		8.47	%		26		10.48	%
0.50% - 0.749%		18		7.26	%		10		4.03	%
0.75% - 0.999%		14		5.64	%		6		2.42	%
1.00% or more		30		12.10	%		33		13.31	%

Direxion Daily Technology Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		77		35.00	%		45		20.46	%
0.25% - 0.499%		42		19.09	%		18		8.18	%
0.50% - 0.749%		18		8.18	%		6		2.73	%
0.75% - 0.999%		6		2.73	%		1		0.45	%
1.00% or more		3		1.36	%		4		1.82	%

Direxion Daily Technology Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		71		32.27	%		50		22.73	%
0.25% - 0.499%		23		10.46	%		35		15.91	%
0.50% - 0.749%		7		3.18	%		20		9.09	%
0.75% - 0.999%		4		1.82	%		6		2.73	%
1.00% or more		1		0.45	%		3		1.36	%

Direxion Daily Real Estate Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		27		35.53	%		11		14.47	%
0.25% - 0.499%		18		23.68	%		11		14.47	%
0.50% - 0.749%		3		3.95	%		2		2.63	%
0.75% - 0.999%		1		1.32	%		2		2.63	%
1.00% or more		1		1.32	%		0		0.00	%

Direxion Daily Real Estate Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		17		22.37	%		23		30.27	%
0.25% - 0.499%		14		18.42	%		11		14.47	%
0.50% - 0.749%		2		2.63	%		9		11.84	%
0.75% - 0.999%		0		0.00	%		0		0.00	%
1.00% or more		0		0.00	%		0		0.00	%

Direxion Daily 10-Year Treasury Bull 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		55		39.57	%		59		42.44	%
0.25% - 0.499%		5		3.60	%		9		6.47	%
0.50% - 0.749%		2		1.44	%		0		0.00	%
0.75% - 0.999%		1		0.72	%		4		2.88	%
1.00% or more		1		0.72	%		3		2.16	%

Direxion Daily 10-Year Treasury Bear 3X Shares


	Days Closing					Days Closing
	Below NAV					Above NAV
	Number		% of			Number		% of
Premium/Discount Range	of Days		Total Days			of Days		Total Days

0.00% - 0.249%		46		33.09	%		69		49.64	%
0.25% - 0.499%		3		2.16	%		14		10.07	%
0.50% - 0.749%		3		2.16	%		0		0.00	%
0.75% - 0.999%		1		0.72	%		3		2.16	%
1.00% or more		0		0.00	%		0		0.00	%

DIREXION ANNUAL REPORT 37

Allocation of Portfolio Holdings

October 31, 2009 (Unaudited)


				Common			U.S. Treasury
	Cash*			Stocks			Obligations			Swaps			Total

Direxion Daily Large Cap Bull 3X Shares		20	%		78	%		—			2	%		100%
Direxion Daily Large Cap Bear 3X Shares		109	%		—			—			(9	)%		100%
Direxion Daily Mid Cap Bull 3X Shares		13	%		87	%		—			0	%**		100%
Direxion Daily Mid Cap Bear 3X Shares		98	%		—			—			2	%		100%
Direxion Daily Small Cap Bull 3X Shares		29	%		80	%		—			(9	)%		100%
Direxion Daily Small Cap Bear 3X Shares		91	%		—			—			9	%		100%
Direxion Daily Developed Markets Bull 3X Shares		14	%		83	%		—			3	%		100%
Direxion Daily Developed Markets Bear 3X Shares		96	%		—			—			4	%		100%
Direxion Daily Emerging Markets Bull 3X Shares		28	%		78	%		—			(6	)%		100%
Direxion Daily Emerging Markets Bear 3X Shares		97	%		—			—			3	%		100%
Direxion Daily Energy Bull 3X Shares		19	%		81	%		—			0	%**		100%
Direxion Daily Energy Bear 3X Shares		100	%		—			—			0	%**		100%
Direxion Daily Financial Bull 3X Shares		30	%		77	%		—			(7	)%		100%
Direxion Daily Financial Bear 3X Shares		93	%		—			—			7	%		100%
Direxion Daily Technology Bull 3X Shares		27	%		71	%		—			2	%		100%
Direxion Daily Technology Bear 3X Shares		111	%		—			—			(11	)%		100%
Direxion Daily Real Estate Bull 3X Shares		24	%		82	%		—			(6	)%		100%
Direxion Daily Real Estate Bear 3X Shares		93	%		—			—			7	%		100%
Direxion Daily 10-Year Treasury Bull 3X Shares		9	%		—			89	%		2	%		100%
Direxion Daily 10-Year Treasury Bear 3X Shares		103	%		—			—			(3	)%		100%
Direxion Daily 30-Year Treasury Bull 3X Shares		11	%		—			90	%		(1	)%		100%
Direxion Daily 30-Year Treasury Bear 3X Shares		102	%		—			—			(2	)%		100%


*		Cash, cash equivalents and other assets less liabilities
**		Percentage is less than 0.5%

DIREXION ANNUAL REPORT 39

Direxion Daily Large Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCK - 78.2%
Aerospace & Defense - 2.1%
	18,518	Boeing Co.	$	885,159
	11,874	General Dynamics Corp.		744,499
	10,221	Honeywell International, Inc.		366,832
	2,501	ITT Corp.		126,801
	1,602	L-3 Communications Holdings, Inc.		115,809
	6,176	Lockheed Martin Corp.		424,847
	4,445	Northrop Grumman Corp.		222,828
	1,925	Precision Castparts Corp.		183,895
	5,413	Raytheon Co.		245,101
	11,490	United Technologies Corp.		706,061

				4,021,832

Air Freight & Logistics - 0.5%
	2,328	C.H. Robinson Worldwide, Inc.		128,296
	2,916	Expeditors International of Washington, Inc.		93,954
	4,278	FedEx Corp.		310,968
	9,502	United Parcel Service, Inc. Class B		510,067

				1,043,285

Airlines - 0.2%
	29,810	Delta Air Lines, Inc.*		212,843
	18,420	Southwest Airlines Co.		154,728

				367,571

Auto Components - 0.1%
	11,803	Gentex Corp.		188,966

Automobiles - 0.2%
	42,927	Ford Motor Co.*		300,489

Beverages - 1.7%
	31,801	Coca-Cola Co.		1,695,311
	4,392	Molson Coors Brewing Co. Class B†		215,076
	21,385	PepsiCo, Inc.		1,294,862

				3,205,249

Biotechnology - 1.4%
	3,025	Abraxis Bioscience, Inc.*		94,441
	3,999	Alexion Pharmaceuticals, Inc.*		177,596
	21,527	Amgen, Inc.*		1,156,645
	11,024	Amylin Pharmaceuticals, Inc.*		121,705
	9,911	Biogen Idec, Inc.*		417,550
	2,893	Cephalon, Inc.*		157,900
	12,453	Gilead Sciences, Inc.*		529,875
	4,270	Myriad Genetics, Inc.*		103,676

				2,759,388

Capital Markets - 2.3%
	16,422	Bank of New York Mellon Corp.		437,811
	27,903	Charles Schwab Corp.		483,838
	2,069	Franklin Resources, Inc.		216,479
	6,914	Goldman Sachs Group, Inc.		1,176,555
	14,270	Invesco Ltd.		301,811
	2,017	Lazard Ltd. Class A		76,142
	17,476	Morgan Stanley		561,329
	8,278	Northern Trust Corp.		415,970
	6,784	State Street Corp.		284,792
	3,509	T. Rowe Price Group, Inc.		170,994
	4,528	TD Ameritrade Holding Corp.*		87,390
	5,657	Waddell & Reed Financial, Inc. Class A		158,735

				4,371,846

Chemicals - 1.8%
	2,883	Air Products & Chemicals, Inc.		222,366
	15,286	Dow Chemical Co.		358,915
	4,008	Eastman Chemical Co.		210,460
	3,248	Ecolab, Inc.		142,782
	12,413	E.I. du Pont de Nemours & Co.		394,982
	4,496	International Flavors & Fragrances, Inc.		171,253
	3,373	Lubrizol Corp.		224,507
	8,780	Monsanto Co.		589,840
	2,172	Mosaic Co.		101,498
	8,959	Nalco Holding Co.		189,483
	2,261	PPG Industries, Inc.		127,588
	6,882	Praxair, Inc.		546,706
	1,677	Sigma-Aldrich Corp.		87,087
	15,424	Valhi, Inc.		144,831

				3,512,298

Commercial Banks - 2.4%
	6,494	BancorpSouth, Inc.		146,635
	21,980	BB&T Corp.		525,542
	7,394	Comerica, Inc.		205,184
	24,336	Fulton Financial Corp.		201,015
	26,823	KeyCorp		144,576
	26,556	Marshall & Ilsley Corp.		141,278
	6,498	PNC Financial Services Group, Inc.		318,012
	11,919	SunTrust Banks, Inc.		227,772
	26,067	U.S. Bancorp		605,275
	11,734	Valley National Bancorp		155,828
	65,338	Wells Fargo & Co.		1,798,101
	9,615	Wilmington Trust Corp.		115,861

				4,585,079

Commercial Services & Supplies - 0.4%
	5,905	Avery Dennison Corp.		210,513
	3,350	Stericycle, Inc.*		175,440
	5,467	Waste Connections, Inc.*		171,828
	6,757	Waste Management, Inc.		201,899

				759,680

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

40 DIREXION ANNUAL REPORT

Direxion Daily Large Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Communications Equipment - 2.0%
	79,235	Cisco Systems, Inc.*	$	1,810,520
	1,554	CommScope, Inc.*		41,989
	4,388	F5 Networks, Inc.*		196,977
	5,701	Harris Corp.		237,846
	7,186	Juniper Networks, Inc.*		183,315
	31,494	Motorola, Inc.*		269,904
	22,735	QUALCOMM, Inc.		941,456
	24,749	Tellabs, Inc.*		148,989

				3,830,996

Computers & Peripherals - 4.1%
	12,254	Apple, Inc.*		2,309,879
	58,832	Dell, Inc.*		852,476
	27,654	EMC Corp.*		455,461
	32,851	Hewlett-Packard Co.		1,559,108
	18,153	International Business Machines Corp.		2,189,433
	4,571	NetApp, Inc.*		123,646
	3,116	SanDisk Corp.*		63,816
	6,750	Seagate Technology		94,163
	10,279	Sun Microsystems, Inc.*		84,082
	3,062	Western Digital Corp.*		103,128

				7,835,192

Construction & Engineering - 0.3%
	6,177	Fluor Corp.		274,382
	2,092	Jacobs Engineering Group, Inc.*		88,471
	3,462	URS Corp.*		134,533

				497,386

Construction Materials - 0.2%
	1,996	Martin Marietta Materials, Inc.		166,307
	4,046	Vulcan Materials Co.		186,237

				352,544

Consumer Finance - 0.6%
	13,938	American Express Co.		485,600
	15,513	Capital One Financial Corp.		567,776
	3,065	Student Loan Corp.		128,883

				1,182,259

Containers & Packaging - 0.2%
	3,962	Ball Corp.		195,445
	1,374	Bemis Co., Inc.		35,490
	8,346	Sealed Air Corp.		160,494

				391,429

Distributors - 0.1%
	5,522	Genuine Parts Co.		193,215

Diversified Consumer Services - 0.2%
	5,980	Career Education Corp.*		124,623
	1,685	ITT Educational Services, Inc.*		152,240
	24,560	Service Corp. International		168,727
	190	Strayer Education, Inc.		38,564

				484,154

Diversified Financial Services - 2.7%
	126,788	Bank of America Corp.		1,848,569
	75,735	Citigroup, Inc.*		309,756
	910	CME Group, Inc.		275,375
	8,106	Interactive Brokers Group, Inc. Class A*		129,777
	2,502	IntercontinentalExchange, Inc.*		250,675
	51,643	JPMorgan Chase & Co.		2,157,128
	4,364	Moody’s Corp.		103,340
	2,119	MSCI, Inc. Class A*		64,418

				5,139,038

Diversified Telecommunication - 2.1%
	81,052	AT&T, Inc.		2,080,605
	61,677	Verizon Communications, Inc.		1,825,022
	19,076	Windstream Corp.		183,893

				4,089,520

Electric Utilities - 1.1%
	17,683	Duke Energy Corp.		279,745
	6,735	Entergy Corp.		516,710
	9,052	Exelon Corp.		425,082
	4,187	FirstEnergy Corp.		181,213
	5,641	FPL Group, Inc.		276,973
	8,920	Great Plains Energy, Inc.		154,316
	10,749	Southern Co.		335,261

				2,169,300

Electrical Equipment - 0.3%
	10,322	Emerson Electric Co.		389,656
	1,765	First Solar, Inc.*		215,206

				604,862

Electronic Equipment & Instruments - 0.6%
	6,826	Agilent Technologies, Inc.*		168,875
	2,352	Amphenol Corp. Class A		94,362
	1,644	Arrow Electronics, Inc.*		41,659
	2,074	Avnet, Inc.*		51,394
	21,344	Corning, Inc.		311,837
	6,936	FLIR Systems, Inc.*		192,890
	9,141	Molex, Inc.		170,662
	7,171	Trimble Navigation Ltd.*		150,376

				1,182,055

Energy Equipment & Services - 1.4%
	5,491	Baker Hughes, Inc.		231,006
	4,012	BJ Services Co.		77,030
	4,781	FMC Technologies, Inc.*		251,481
	13,044	Helix Energy Solutions Group, Inc.*		179,094
	14,361	National Oilwell Varco, Inc.*		588,657
	7,421	Rowan Cos, Inc.*		172,538
	16,434	Schlumberger Ltd.		1,022,196
	7,531	Smith International, Inc.		208,835

				2,730,837

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

DIREXION ANNUAL REPORT 41

Direxion Daily Large Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Food & Staples Retailing - 1.8%
	4,098	BJ’s Wholesale Club, Inc.*	$	143,553
	5,962	Costco Wholesale Corp.		338,940
	19,999	CVS Caremark Corp.		705,965
	14,628	Safeway, Inc.		326,643
	13,625	Walgreen Co.		515,434
	30,373	Wal-Mart Stores, Inc.		1,508,930

				3,539,465

Food Products - 1.0%
	8,967	Archer-Daniels-Midland Co.		270,086
	1,676	Bunge Ltd.		95,633
	6,759	Campbell Soup Co.		214,598
	15,360	ConAgra Foods, Inc.		322,560
	5,105	Corn Products International, Inc.		143,859
	8,387	Dean Foods Co.*		152,895
	20,230	Kraft Foods, Inc. Class A		556,729
	5,101	McCormick & Co., Inc.†		178,586

				1,934,946

Gas Utilities - 0.1%
	5,976	Questar Corp.		238,084

Health Care Equipment & Suppliers - 2.0%
	8,310	Baxter International, Inc.		449,239
	7,609	Becton Dickinson and Co.		520,151
	51,735	Boston Scientific Corp.*		420,088
	6,182	CareFusion Corp.*		138,291
	3,409	C.R. Bard, Inc.		255,914
	2,425	Edwards Lifesciences Corp.*		186,580
	7,811	Hill-Rom Holdings, Inc.		153,017
	11,485	Hologic, Inc.*		169,748
	5,511	Hospira, Inc.*		246,011
	15,376	Medtronic, Inc.		548,924
	4,651	Stryker Corp.		213,946
	2,130	Varian Medical Systems, Inc.*		87,287
	7,389	Zimmer Holdings, Inc.*		388,440

				3,777,636

Health Care Providers & Services - 1.5%
	12,365	Cardinal Health, Inc.		350,424
	5,726	Community Health Systems, Inc.*		179,109
	8,512	Express Scripts, Inc.*		680,280
	3,659	Henry Schein, Inc.*		193,305
	3,720	Laboratory Corp. of America Holdings*		256,271
	3,729	McKesson Corp.		219,004
	6,627	Medco Health Solutions, Inc.*		371,907
	2,604	Quest Diagnostics, Inc.		145,642
	628	Universal Health Services, Inc. Class B		34,948
	9,229	WellPoint, Inc.*		431,548

				2,862,438

Hotels, Restaurants & Leisure - 1.4%
	15,046	Carnival Corp.		438,140
	4,589	International Speedway Corp. Class A		117,065
	10,184	Marriott International, Inc. Class A		255,211
	15,155	McDonald’s Corp.		888,235
	10,144	Royal Caribbean Cruises Ltd.*		205,213
	18,595	Starbucks Corp.*		352,933
	4,084	Wynn Resorts Ltd.		221,434
	6,341	Yum! Brands, Inc.		208,936

				2,687,167

Household Durables - 0.4%
	5,364	Fortune Brands, Inc.		208,928
	6,527	Garmin Ltd.		197,507
	16,474	Lennar Corp. Class A		207,572
	14,590	Newell Rubbermaid, Inc.		211,701

				825,708

Household Products - 2.5%
	4,777	Clorox Co.		282,942
	17,156	Colgate-Palmolive Co.		1,348,976
	14,227	Kimberly-Clark Corp.		870,123
	40,040	Procter & Gamble Co.		2,322,320

				4,824,361

Independent Power Producers & Energy Traders - 0.2%
	6,646	Constellation Energy Group, Inc.		205,494
	3,642	NRG Energy, Inc.*		83,730

				289,224

Industrial Conglomerates - 1.6%
	9,537	3M Co.		701,637
	5,361	Carlisle Cos, Inc.		166,405
	145,473	General Electric Co.		2,074,446
	4,403	Textron, Inc.		78,285

				3,020,773

Insurance - 2.3%
	6,419	Aflac, Inc.		266,324
	7,367	Allstate Corp.		217,842
	6,304	American Financial Group, Inc.		155,078
	3,466	American International Group, Inc.*		116,527
	1,665	American National Insurance Co.		139,011
	719	Arch Capital Group Ltd.*		48,439
	2,282	Arthur J. Gallagher & Co.		50,911
	6,131	Aspen Insurance Holdings Ltd.		158,180
	4,838	Chubb Corp.		234,740
	5,867	HCC Insurance Holdings, Inc.		154,830
	7,178	Marsh & Mclennan Cos, Inc.		168,396
	12,935	MetLife, Inc.		440,178
	10,210	OneBeacon Insurance Group Ltd. Class A		121,703

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

42 DIREXION ANNUAL REPORT

Direxion Daily Large Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Insurance (continued)
	10,671	Principal Financial Group, Inc.	$	267,202
	9,356	Progressive Corp.*		149,696
	13,159	Prudential Financial, Inc.		595,183
	4,159	Reinsurance Group of America, Inc.		191,730
	8,041	Travelers Cos, Inc.		400,361
	9,339	Unitrin, Inc.		183,044
	408	Wesco Financial Corp.		133,824
	623	White Mountains Insurance Group Ltd.		192,762

				4,385,961

Internet & Catalog Retail - 0.7%
	9,052	Amazon.com, Inc.*		1,075,468
	3,258	Netflix, Inc.*		174,140

				1,249,608

Internet Software & Services - 1.7%
	2,375	Akamai Technologies, Inc.*		52,250
	38,399	eBay, Inc.*		855,146
	519	Equinix, Inc.*		44,281
	3,289	Google, Inc. Class A*		1,763,298
	2,651	VeriSign, Inc.*		60,469
	3,835	WebMD Health Corp. Class A*		130,620
	16,315	Yahoo!, Inc.*		259,409

				3,165,473

IT Services - 1.4%
	1,247	Affiliated Computer Services, Inc. Class A*		64,956
	2,660	Amdocs Ltd.*		67,032
	6,892	Automatic Data Processing, Inc.		274,302
	8,646	Broadridge Financial Solutions, Inc.		179,923
	4,012	Cognizant Technology Solutions Corp. Class A*		155,064
	2,080	Computer Sciences Corp.*		105,477
	4,791	Hewitt Associates, Inc. Class A*		170,176
	1,169	MasterCard, Inc. Class A		256,034
	6,073	NeuStar, Inc. Class A*		140,286
	4,421	Paychex, Inc.		125,601
	10,476	Total System Services, Inc.		167,302
	6,173	Visa, Inc. Class A		467,666
	24,087	Western Union Co.		437,661

				2,611,480

Life Sciences Tools & Services - 0.4%
	1,686	Bio-Rad Laboratories, Inc. Class A*		150,712
	880	Covance, Inc.*		45,478
	6,273	Pharmaceutical Product Development, Inc.		135,183
	2,194	Techne Corp.		137,147
	3,530	Waters Corp.*		202,728

				671,248

Machinery - 1.3%
	8,268	Caterpillar, Inc.		455,236
	8,876	Danaher Corp.		605,609
	10,640	Deere & Co.		484,652
	6,167	Illinois Tool Works, Inc.		283,189
	3,355	Navistar International Corp.*		111,185
	4,991	PACCAR, Inc.		186,713
	5,923	Pall Corp.		187,996
	4,305	Stanley Works		194,715
	289	Valmont Industries, Inc.		20,886

				2,530,181

Media - 2.5%
	39,489	Comcast Corp. Class A		572,591
	11,349	DIRECTV Group, Inc.*		298,479
	5,332	Interactive Data Corp.		140,232
	7,120	Liberty Media Corp. - Entertainment Series A*		219,438
	31,279	News Corp. Class A		360,334
	9,645	Regal Entertainment Group Class A		121,623
	4,841	Time Warner Cable, Inc.		190,929
	30,684	Time Warner, Inc.		924,202
	7,456	Viacom, Inc. Class B*		205,711
	63,770	Walt Disney Co.		1,745,385

				4,778,924

Metals & Mining - 0.9%
	13,382	Alcoa, Inc.		166,204
	1,547	Commercial Metals Co.		22,957
	2,458	Compass Minerals International, Inc.		153,183
	5,658	Freeport-McMoRan Copper & Gold, Inc.		415,071
	6,576	Newmont Mining Corp.		285,793
	4,319	Nucor Corp.		172,112
	8,053	Southern Copper Corp.		253,670
	13,585	Titanium Metals Corp.		116,831
	1,968	United States Steel Corp.		67,876

				1,653,697

Multiline Retail - 0.4%
	4,185	Kohl’s Corp.*		239,466
	10,332	Target Corp.		500,378

				739,844

Multi-Utilities - 1.5%
	5,788	Alliant Energy Corp.		153,729
	14,620	CenterPoint Energy, Inc.		184,212
	12,184	CMS Energy Corp.		162,047
	20,262	Dominion Resources, Inc.		690,731
	2,249	DTE Energy Co.		83,168
	4,949	NSTAR		153,172
	5,061	PG&E Corp.		206,944
	17,377	Public Service Enterprise Group, Inc.		517,835
	5,084	SCANA Corp.		172,043
	4,289	Wisconsin Energy Corp.		187,301
	15,648	Xcel Energy, Inc.		295,121

				2,806,303

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

DIREXION ANNUAL REPORT 43

Direxion Daily Large Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Office Electronics - 0.1%
	5,530	Zebra Technologies Corp. Class A*	$	138,250

Oil, Gas & Consumable Fuels - 7.9%
	5,700	Alpha Natural Resources, Inc.*		193,629
	17,145	Anadarko Petroleum Corp.		1,044,645
	4,606	Apache Corp.		433,517
	5,100	Cabot Oil & Gas Corp.		196,197
	8,604	Chesapeake Energy Corp.		210,798
	27,540	Chevron Corp.		2,107,912
	5,043	Cimarex Energy Co.		197,484
	3,885	Comstock Resources, Inc.*		159,635
	20,355	ConocoPhillips		1,021,414
	6,202	Consol Energy, Inc.		265,508
	6,100	Devon Energy Corp.		394,731
	6,287	EOG Resources, Inc.		513,396
	67,035	Exxon Mobil Corp.		4,804,398
	8,765	Forest Oil Corp.*		171,794
	6,308	Hess Corp.		345,300
	9,725	Marathon Oil Corp.		310,908
	9,930	Mariner Energy, Inc.*		126,508
	5,831	Noble Energy, Inc.		382,689
	11,136	Occidental Petroleum Corp.		845,000
	5,834	Plains Exploration & Production Co.*		154,601
	4,721	Southwestern Energy Co.*		205,741
	22,152	Spectra Energy Corp.		423,546
	6,797	St. Mary Land & Exploration Co.		231,778
	7,968	Williams Cos, Inc.		150,197
	7,963	XTO Energy, Inc.		330,942

				15,222,268

Paper & Forest Products - 0.1%
	5,939	International Paper Co.		132,499
	2,903	Weyerhaeuser Co.		105,495

				237,994

Personal Products - 0.1%
	3,866	Mead Johnson Nutrition Co. Class A		162,527

Pharmaceuticals - 4.2%
	21,229	Abbott Laboratories		1,073,551
	27,213	Bristol-Myers Squibb Co.		593,243
	13,921	Eli Lilly & Co.		473,453
	10,358	Forest Laboratories, Inc.*		286,606
	37,854	Johnson & Johnson		2,235,279
	28,963	Merck & Co., Inc.		895,826
	12,784	Mylan, Inc.*		207,612
	92,700	Pfizer, Inc.		1,578,681
	22,422	Schering-Plough Corp.		632,300
	5,468	Valeant Pharmaceuticals International*		160,759

				8,137,310

Professional Services - 0.1%
	6,013	Equifax, Inc.		164,636
	2,860	FTI Consulting, Inc.*		116,717

				281,353

Real Estate Investment Trusts - 0.9%
	3,068	AvalonBay Communities, Inc.		211,017
	5,458	BRE Properties, Inc.		148,621
	4,345	Digital Realty Trust, Inc.		196,090
	14,478	Douglas Emmett, Inc.		170,840
	2,139	Essex Property Trust, Inc.		160,810
	1,629	Health Care REIT, Inc.		72,279
	11,129	Hospitality Properties Trust		214,901
	9,555	Kimco Realty Corp.		120,775
	2,209	Regency Centers Corp.		74,112
	3,265	Simon Property Group, Inc.		221,661
	1,283	SL Green Realty Corp.		49,729

				1,640,835

Road & Rail - 0.9%
	6,945	Burlington Northern Santa Fe Corp.		523,097
	6,690	CSX Corp.		282,184
	12,603	Norfolk Southern Corp.		587,553
	6,924	Union Pacific Corp.		381,789

				1,774,623

Semiconductors & Semiconductor Equipment - 1.8%
	10,758	Altera Corp.		212,901
	4,002	Analog Devices, Inc.		102,571
	18,262	Applied Materials, Inc.		222,796
	6,749	Broadcom Corp. Class A*		179,591
	76,723	Intel Corp.		1,466,178
	10,619	Intersil Corp. Class A		133,268
	2,334	KLA-Tencor Corp.		75,878
	8,019	Linear Technology Corp.		207,532
	7,074	Marvell Technology Group Ltd.*		97,055
	4,186	Maxim Integrated Products, Inc.		69,781
	3,070	MEMC Electronic Materials, Inc.*		38,129
	2,511	Microchip Technology, Inc.		60,164
	11,633	Micron Technology, Inc.*		78,988
	7,505	NVIDIA Corp.*		89,760
	17,494	Texas Instruments, Inc.		410,234
	3,767	Xilinx, Inc.		81,932

				3,526,758

Software - 3.4%
	7,672	Activision Blizzard, Inc.*		83,088
	10,892	Adobe Systems, Inc.*		358,782
	4,695	ANSYS, Inc.*		190,523
	8,615	Autodesk, Inc.*		214,772
	6,351	BMC Software, Inc.*		236,003
	5,396	CA, Inc.		112,884
	2,488	Citrix Systems, Inc.*		91,459
	4,438	Electronic Arts, Inc.*		80,949
	11,094	Intuit, Inc.*		322,503
	2,132	McAfee, Inc.*		89,288

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

44 DIREXION ANNUAL REPORT

Direxion Daily Large Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Software (continued)
	105,877	Microsoft Corp.	$	2,935,969
	29,063	Novell, Inc.*		118,868
	52,508	Oracle Corp.		1,107,919
	2,597	Red Hat, Inc.*		67,029
	1,489	Salesforce.com, Inc.*		84,501
	11,280	Symantec Corp.*		198,302
	7,770	Synopsys, Inc.*		170,940

				6,463,779

Specialty Retail - 1.5%
	10,757	CarMax, Inc.*		211,590
	23,303	Home Depot, Inc.		584,672
	20,250	Lowe’s Cos, Inc.		396,293
	4,764	O’Reilly Automotive, Inc.*		177,602
	4,522	Ross Stores, Inc.		199,013
	24,566	Staples, Inc.		533,082
	14,194	TJX Cos, Inc.		530,146
	7,066	Urban Outfitters, Inc.*		221,731

				2,854,129

Textiles, Apparel & Luxury Goods - 0.2%
	4,964	NIKE, Inc. Class B		308,662

Thrifts & Mortgage Finance - 0.3%
	16,067	Hudson City Bancorp, Inc.		211,120
	11,244	TFS Financial Corp.		131,105
	9,766	Washington Federal, Inc.		167,487

				509,712

Tobacco - 1.5%
	71,012	Altria Group, Inc.		1,286,027
	26,947	Philip Morris International, Inc.		1,276,210
	5,792	Reynolds American, Inc.		280,796

				2,843,033

Trading Companies & Distributors - 0.1%
	5,189	Fastenal Co.		179,021

Wireless Telecommunication Services - 0.5%
	13,657	American Tower Corp. Class A*		502,851
	3,997	Crown Castle International Corp.*		120,789
	8,028	NII Holdings, Inc.*		216,194
	69,548	Sprint Nextel Corp.*		205,862

				1,045,696

		TOTAL COMMON STOCKS (Cost $108,833,771)	$	149,716,941

SHORT TERM INVESTMENTS - 20.4%
MONEY MARKET FUNDS - 20.4%
	2,146	AIM Short Term Investment Treasury, 0.05% (a)		2,146
	39,033,501	Goldman Sachs Financial Square Government Fund, 0.01% (a)		39,033,501

		TOTAL SHORT TERM INVESTMENTS (Cost $39,035,647)	$	39,035,647

		TOTAL INVESTMENTS (Cost $147,869,418) - 98.6% (b)	$	188,752,588
		Other Assets in Excess of Liabilities - 1.4%		2,706,377

		TOTAL NET ASSETS - 100.0%	$	191,458,965

Percentages are stated as a percent of net assets.


(*)	Non - Income producing security.
(†)	Non - Voting Shares.
(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $183,738,196.

Direxion Daily Large Cap Bull 3X Shares

Swap Equity Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Morgan Stanley Capital Services	Russell 1000 Index		106,900	$	60,828,082		7/30/2010	$	(238,793	)
Credit Suisse Capital, LLC	Russell 1000 Index		448,100		245,631,762		1/27/2011		8,972,471
Merrill Lynch International	Russell 1000 Index		93,500		56,022,832		2/24/2011		(3,042,865	)
Deutsche Bank AG London	Russell 1000 Index		101,100		60,018,053		8/21/2014		(2,747,320	)

				$	422,500,729			$	2,943,493

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

DIREXION ANNUAL REPORT 45

Direxion Daily Large Cap Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 113.0%
MONEY MARKET FUNDS - 113.0%
	25,261,255	AIM Short Term Investment Treasury, 0.05% (a)	$	25,261,255
	382,776,681	Goldman Sachs Financial Square Government Fund, 0.01% (a)		382,776,681

		TOTAL SHORT TERM INVESTMENTS (COST $408,037,936)	$	408,037,936

		TOTAL INVESTMENTS (Cost $408,037,936) - 113.0% (b)	$	408,037,936
		Liabilities in Excess of Other Assets - (13.0%)		(47,068,808	)

		TOTAL NET ASSETS - 100.0%	$	360,969,128

Percentages are stated as a percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $261,637,819.

Direxion Daily Large Cap Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Credit Suisse Capital LLC	Russell 1000 Index		1,350,900	$	732,284,704		5/6/2010	$	(35,420,526	)
Deutsche Bank AG London	Russell 1000 Index		160,000		90,817,462		6/18/2010		72,948
Morgan Stanley Capital Services	Russell 1000 Index		181,900		101,994,039		7/30/2010		(221,125	)
Merrill Lynch International	Russell 1000 Index		218,500		127,734,618		2/24/2011		2,990,903

				$	1,052,830,823			$	(32,577,800	)

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

46 DIREXION ANNUAL REPORT

Direxion Daily Mid Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCKS - 86.8%
Aerospace & Defense - 1.7%
	1,146	BE Aerospace, Inc.*	$	20,319
	1,385	Goodrich Corp.		75,275
	2,036	ITT Corp.		103,225
	1,304	L-3 Communications Holdings, Inc.		94,266
	1,567	Precision Castparts Corp.		149,695
	1,772	Rockwell Collins, Inc.		89,273
	648	TransDigm Group, Inc.		25,389

				557,442

Air Freight & Logistics - 0.9%
	1,895	C.H. Robinson Worldwide, Inc.		104,433
	5,938	Expeditors International of Washington, Inc.		191,323

				295,756

Airlines - 0.3%
	3,454	AMR Corp.*		18,617
	8,286	Southwest Airlines Co.		69,602

				88,219

Auto Components - 0.1%
	2,106	WABCO Holdings, Inc.		49,954

Automobiles - 0.2%
	2,622	Harley-Davidson, Inc.		65,340

Beverages - 0.8%
	3,454	Coca-Cola Enterprises, Inc.		65,868
	2,839	Dr Pepper Snapple Group, Inc.*		77,391
	1,430	Molson Coors Brewing Co. Class B †		70,027
	1,583	PepsiAmericas, Inc.		46,287

				259,573

Biotechnology - 0.6%
	918	Alexion Pharmaceuticals, Inc.*		40,768
	1,576	Amylin Pharmaceuticals, Inc.*		17,399
	1,291	Dendreon Corp.*		32,624
	1,303	United Therapeutics Corp.*		55,430
	1,936	Vertex Pharmaceuticals, Inc.*		64,972

				211,193

Building Products - 0.1%
	4,019	Masco Corp.		47,223

Capital Markets - 2.7%
	3,542	Ameriprise Financial, Inc.		122,801
	1,304	Eaton Vance Corp.		37,021
	8,565	Invesco Ltd.		181,150
	4,509	Janus Capital Group, Inc.		59,158
	1,298	Jefferies Group, Inc.*		33,878
	1,575	Legg Mason, Inc.		45,848
	3,384	SEI Investments Co.		59,118
	6,712	T. Rowe Price Group, Inc.		327,076
	2,924	TD Ameritrade Holding Corp.*		56,433

				922,483

Chemicals - 2.4%
	910	Airgas, Inc.		40,368
	1,023	Albemarle Corp.		32,306
	829	Ashland, Inc.		28,634
	1,098	Cabot Corp.		24,079
	4,013	Celanese Corp. Class A		110,157
	984	Eastman Chemical Co.		51,670
	2,645	Ecolab, Inc.		116,274
	1,840	PPG Industries, Inc.		103,831
	1,436	RPM International, Inc.		25,302
	1,249	Scotts Miracle-Gro Co. Class A		50,734
	3,414	Sigma-Aldrich Corp.		177,289
	1,115	Terra Industries, Inc.		35,424
	1,121	Valspar Corp.		28,440

				824,508

Commercial Banks - 1.8%
	2,331	BancorpSouth, Inc.		52,634
	535	Bank of Hawaii Corp.		23,754
	8,344	CapitalSource, Inc.		29,705
	482	City National Corp.		18,157
	1,691	Comerica, Inc.		46,925
	6,454	Fifth Third Bancorp		57,699
	6,107	First Horizon National Corp.*		72,242
	12,144	Huntington Bancshares, Inc.		46,269
	2,007	M&T Bank Corp.		126,139
	2,981	Marshall & Ilsley Corp.		15,859
	4,997	SunTrust Banks, Inc.		95,493
	1,290	Zions Bancorporation		18,266

				603,142

Commercial Services & Supplies - 1.2%
	1,317	Brink’s Co.		31,252
	2,914	Cintas Corp.		80,689
	2,017	Iron Mountain, Inc.*		49,275
	3,602	Republic Services, Inc.		93,327
	4,209	R.R. Donnelley & Sons Co.		84,517
	950	Stericycle, Inc.*		49,752

				388,812

Communications Equipment - 0.4%
	929	CommScope, Inc.*		25,102
	4,970	JDS Uniphase Corp.*		27,782
	11,067	Tellabs, Inc.*		66,623

				119,507

Computers & Peripherals - 1.5%
	1,852	Diebold, Inc.		56,004
	3,722	NetApp, Inc.*		100,680
	1,329	QLogic Corp.*		23,311
	9,377	Seagate Technology		130,809
	8,367	Sun Microsystems, Inc.*		68,442
	4,829	Teradata Corp.*		134,633

				513,879

Construction & Engineering - 0.5%
	2,012	Fluor Corp.		89,373
	3,055	Quanta Services, Inc.*		64,766

				154,139

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

DIREXION ANNUAL REPORT 47

Direxion Daily Mid Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Construction Materials - 0.5%
	1,533	Eagle Materials, Inc.	$	38,095
	3,092	Vulcan Materials Co.		142,325

				180,420

Consumer Finance - 0.6%
	2,983	AmeriCredit Corp.*		52,650
	9,924	Discover Financial Services		140,325

				192,975

Containers & Packaging - 0.7%
	758	AptarGroup, Inc.		26,765
	1,790	Crown Holdings, Inc.*		47,703
	1,146	Packaging Corp. of America		20,949
	1,475	Pactiv Corp.*		34,058
	3,259	Sealed Air Corp.		62,670
	1,117	Sonoco Products Co.		29,880

				222,025

Distributors - 0.3%
	1,783	Genuine Parts Co.		62,387
	1,580	LKQ Corp.*		27,287

				89,674

Diversified Consumer Services - 1.1%
	1,484	Apollo Group, Inc. Class A*		84,736
	1,357	Brink’s Home Security Holdings, Inc.*		42,040
	2,048	Career Education Corp.*		42,680
	696	DeVry, Inc.		38,482
	827	ITT Educational Services, Inc.*		74,719
	5,665	Service Corp. International		38,919
	1,333	Weight Watchers International, Inc.		35,338

				356,914

Diversified Financial Services - 0.9%
	4,350	CIT Group, Inc.*		3,132
	2,076	Interactive Brokers Group, Inc. Class A*		33,237
	815	IntercontinentalExchange, Inc.*		81,655
	2,094	Leucadia National Corp.*		47,052
	2,099	Moody’s Corp.		49,704
	2,989	NYSE Euronext		77,266

				292,046

Diversified Telecommunication - 0.3%
	1,667	tw telecom, Inc.*		21,004
	10,025	Windstream Corp.		96,641

				117,645

Electric Utilities - 2.1%
	4,737	Allegheny Energy, Inc.		108,098
	3,243	DPL, Inc.		82,178
	3,645	Edison International		115,984
	4,897	Northeast Utilities		112,876
	2,883	Pepco Holdings, Inc.		43,043
	4,206	PPL Corp.		123,825
	3,121	Progress Energy, Inc.		117,131

				703,135

Electrical Equipment - 0.5%
	1,201	AMETEK, Inc.		41,903
	1,452	General Cable Corp.*		45,215
	1,586	Rockwell Automation, Inc.		64,947

				152,065

Electronic Equipment & Instruments - 1.3%
	5,375	Agilent Technologies, Inc.*		132,977
	1,916	Amphenol Corp. Class A		76,870
	1,338	Arrow Electronics, Inc.*		33,905
	1,690	Avnet, Inc.*		41,878
	586	Dolby Laboratories, Inc. Class A*		24,577
	1,811	Ingram Micro, Inc. Class A*		31,964
	442	Itron, Inc.*		26,538
	2,099	Jabil Circuit, Inc.		28,085
	1,337	Trimble Navigation Ltd.*		28,037

				424,831

Energy Equipment & Services - 2.6%
	8,167	BJ Services Co.		156,806
	2,427	Cameron International Corp.*		89,726
	1,367	Diamond Offshore Drilling, Inc.		130,207
	2,305	Dresser-Rand Group, Inc.*		67,928
	1,586	ENSCO International, Inc.		72,623
	2,241	Exterran Holdings, Inc.*		45,784
	1,383	FMC Technologies, Inc.*		72,746
	1,179	Helmerich & Payne, Inc.		44,826
	3,166	Nabors Industries Ltd.*		65,948
	1,941	Pride International, Inc.*		57,376
	1,265	Rowan Cos, Inc.		29,411
	121	Seahawk Drilling, Inc.*		3,267
	879	Tidewater, Inc.		36,628

				873,276

Food & Staples Retailing - 0.8%
	8,565	Safeway, Inc.		191,257
	2,105	Whole Foods Market, Inc.*		67,486

				258,743

Food Products - 3.3%
	1,365	Bunge Ltd.		77,887
	2,202	Campbell Soup Co.		69,914
	5,002	ConAgra Foods, Inc.		105,042
	2,085	Corn Products International, Inc.		58,755
	5,530	Del Monte Foods Co.		59,724
	3,520	H.J. Heinz Co.		141,645
	1,949	Hormel Foods Corp.		71,061
	3,312	J.M. Smucker Co.		174,642
	1,527	McCormick & Co., Inc.		53,460
	633	Ralcorp Holdings, Inc.*		33,992
	14,794	Sara Lee Corp.		167,024
	1,359	Smithfield Foods, Inc.*		18,129
	5,610	Tyson Foods, Inc. Class A		70,237

				1,101,512

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

48 DIREXION ANNUAL REPORT

Direxion Daily Mid Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Gas Utilities - 0.6%
	871	AGL Resources, Inc.	$	30,450
	1,464	EQT Corp.		61,283
	2,945	ONEOK, Inc.		106,639

				198,372

Health Care Equipment & Supplies - 2.1%
	813	Beckman Coulter, Inc.		52,300
	1,661	DENTSPLY International, Inc.		54,747
	1,164	Edwards Lifesciences Corp.*		89,558
	1,456	Gen-Probe, Inc.*		60,744
	4,487	Hospira, Inc.*		200,300
	661	IDEXX Laboratories, Inc.*		33,790
	423	Intuitive Surgical, Inc.*		104,206
	1,720	Kinetic Concepts, Inc.*		57,087
	1,402	Varian Medical Systems, Inc.*		57,454

				710,186

Health Care Providers & Services - 2.3%
	3,378	AmerisourceBergen Corp.		74,823
	3,051	CIGNA Corp.		84,940
	2,191	DaVita, Inc.*		116,189
	8,084	Health Management Associates, Inc. Class A*		49,312
	1,009	Henry Schein, Inc.*		53,305
	2,572	Humana, Inc.*		96,656
	1,211	Laboratory Corp. of America Holdings*		83,426
	3,312	Omnicare, Inc.		71,771
	1,738	Quest Diagnostics, Inc.		97,206
	5,368	Tenet Healthcare Corp.*		27,484
	511	Universal Health Services, Inc. Class B		28,437

				783,549

Health Care Technology - 0.3%
	2,390	Allscripts-Misys Healthcare Solutions, Inc.*		46,605
	751	Cerner Corp.*		57,106

				103,711

Hotels, Restaurants & Leisure - 2.2%
	3,570	Boyd Gaming Corp.*		26,275
	1,533	Darden Restaurants, Inc.		46,465
	6,913	Las Vegas Sands Corp.*		104,317
	3,330	Marriott International, Inc. Class A		83,445
	769	Panera Bread Co. Class A*		46,125
	3,658	Royal Caribbean Cruises Ltd.*		74,001
	2,117	Scientific Games Corp. Class A*		29,786
	5,220	Starwood Hotels & Resorts Worldwide, Inc.		151,694
	10,313	Wendy’s/Arby’s Group, Inc. Class A		40,736
	1,262	WMS Industries, Inc.*		50,455
	1,872	Wynn Resorts Ltd.*		101,500

				754,799

Household Durables - 2.1%
	1,680	Fortune Brands, Inc.		65,436
	1,988	Harman International Industries, Inc.		74,769
	4,384	Leggett & Platt, Inc.		84,743
	1,554	Mohawk Industries, Inc.*		66,558
	7,763	Newell Rubbermaid, Inc.		112,640
	142	NVR, Inc.*		94,042
	5,756	Pulte Homes, Inc.		51,862
	2,211	Stanley Works		100,004
	826	Whirlpool Corp.		59,133

				709,187

Household Products - 0.3%
	1,556	Clorox Co.		92,162

Independent Power Producers & Energy Traders - 0.7%
	2,223	Constellation Energy Group, Inc.		68,735
	16,734	Dynegy, Inc. Class A*		33,468
	2,605	Mirant Corp.*		36,418
	2,967	NRG Energy, Inc.*		68,211
	826	Ormat Technologies, Inc.		31,223

				238,055

Industrial Conglomerates - 0.7%
	6,390	McDermott International, Inc.*		142,050
	4,494	Textron, Inc.		79,903

				221,953

Insurance - 4.2%
	1,384	Allied World Assurance Co. Holdings Ltd.		61,948
	1,121	Arthur J. Gallagher & Co.		25,010
	3,054	Assurant, Inc.		91,406
	1,304	Brown & Brown, Inc.		23,954
	1,392	Endurance Specialty Holdings Ltd.		50,098
	1,002	Erie Indemnity Co. Class A		35,321
	1,849	First American Corp.		56,191
	1,430	Hanover Insurance Group, Inc.		60,160
	3,640	Hartford Financial Services Group, Inc.		89,253
	5,845	Marsh & McLennan Cos, Inc.		137,123
	6,752	MBIA, Inc.*		27,413
	298	Mercury General Corp.		10,865
	1,583	PartnerRe Ltd.		121,068
	3,661	Principal Financial Group, Inc.		91,671
	7,618	Progressive Corp.*		121,888
	2,035	Reinsurance Group of America, Inc.		93,814
	568	StanCorp Financial Group, Inc.		20,851
	926	Torchmark Corp.		37,596
	305	Transatlantic Holdings, Inc.		15,403
	3,705	Unum Group		73,915
	87	White Mountains Insurance Group Ltd.		26,919
	3,758	W.R. Berkley Corp.		92,898
	3,827	XL Capital Ltd. Class A		62,801

				1,427,566

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

DIREXION ANNUAL REPORT 49

Direxion Daily Mid Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Internet & Catalog Retail - 0.7%
	2,054	Expedia, Inc.*	$	46,564
	1,141	priceline.com, Inc.*		180,039

				226,603

Internet Software & Services - 0.9%
	4,833	Akamai Technologies, Inc.*		106,325
	1,061	Equinix, Inc.*		90,525
	3,051	IAC/InterActiveCorp*		57,786
	840	Sohu.com, Inc.*		46,704

				301,340

IT Services - 2.6%
	650	Alliance Data Systems Corp.*		35,737
	3,268	Cognizant Technology Solutions Corp. Class A*		126,308
	4,236	Computer Sciences Corp.*		214,808
	1,076	DST Systems, Inc.*		44,880
	5,349	Fidelity National Information Services, Inc.		116,394
	2,046	Fiserv, Inc.*		93,850
	899	Global Payments, Inc.		44,258
	1,136	Lender Processing Services, Inc.		45,213
	4,783	Paychex, Inc.		135,885

				857,333

Leisure Equipment & Products - 0.3%
	4,870	Mattel, Inc.		92,189

Life Sciences Tools & Services - 1.4%
	3,440	Illumina, Inc.*		110,424
	1,954	Life Technologies Corp.*		92,170
	942	Mettler-Toledo International, Inc.*		91,845
	3,260	PerkinElmer, Inc.		60,669
	2,938	Pharmaceutical Product Development, Inc.		63,314
	1,042	Techne Corp.		65,135

				483,557

Machinery - 3.6%
	1,034	AGCO Corp.*		29,066
	1,663	Crane Co.		46,315
	5,644	Cummins, Inc.		243,030
	2,159	Donaldson Co., Inc.		77,012
	5,202	Dover Corp.		196,011
	1,852	Eaton Corp.		111,953
	898	Harsco Corp.		28,278
	2,858	Joy Global, Inc.		144,072
	1,755	Navistar International Corp.*		58,161
	3,278	Parker Hannifin Corp.		173,603
	1,083	Timken Co.		23,858
	1,198	Toro Co.		44,350
	1,335	Wabtec Corp.		49,075

				1,224,784

Media - 2.0%
	2,623	Cablevision Systems Corp. Class A		60,224
	6,795	CBS Corp. Class B †		79,977
	3,146	Discovery Communications, Inc. Class C*		75,567
	5,061	Dish Network Corp. Class A*		88,061
	9,247	Gannett Co., Inc.		90,806
	1,445	Interactive Data Corp.		38,004
	6,434	Liberty Global, Inc. Class A*		132,090
	3,518	McGraw-Hill Cos, Inc.		101,248

				665,977

Metals & Mining - 0.7%
	1,711	Carpenter Technology Corp.		35,982
	3,146	Commercial Metals Co.		46,687
	1,382	Reliance Steel & Aluminum Co.		50,415
	404	Royal Gold, Inc.		17,845
	3,362	Steel Dynamics, Inc.		45,017
	1,603	United States Steel Corp.		55,288

				251,234

Multiline Retail - 0.9%
	2,488	J.C. Penney Co., Inc.		82,427
	4,705	Macy’s, Inc.		82,667
	1,845	Nordstrom, Inc.		58,634
	1,392	Sears Holdings Corp.*		94,462

				318,190

Multi-Utilities - 3.4%
	2,389	Ameren Corp.		58,148
	3,906	CenterPoint Energy, Inc.		49,216
	3,070	Consolidated Edison, Inc.		124,888
	1,833	DTE Energy Co.		67,784
	7,678	NiSource, Inc.		99,200
	2,987	NSTAR		92,448
	2,686	OGE Energy Corp.		89,229
	3,406	SCANA Corp.		115,259
	2,732	Sempra Energy		140,561
	1,308	Wisconsin Energy Corp.		57,120
	12,742	Xcel Energy, Inc.		240,314

				1,134,167

Oil, Gas & Consumable Fuels - 4.2%
	2,330	Cimarex Energy Co.		91,243
	1,193	CNX Gas Corp.*		33,237
	1,043	Comstock Resources, Inc.*		42,857
	1,669	Concho Resources, Inc.*		63,606
	7,841	El Paso Corp.		76,920
	1,475	Encore Acquisition Co.*		54,678
	2,134	Murphy Oil Corp.		130,473
	1,484	Newfield Exploration Co.*		60,874
	2,569	Noble Energy, Inc.		168,602
	935	Overseas Shipholding Group, Inc.		36,699
	3,082	Petrohawk Energy Corp.*		72,489
	3,358	Plains Exploration & Production Co.*		88,987
	3,719	Quicksilver Resources, Inc.*		45,372

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

50 DIREXION ANNUAL REPORT

Direxion Daily Mid Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Oil, Gas & Consumable Fuels (continued)
	1,751	Range Resources Corp.	$	87,638
	14,967	Spectra Energy Corp.		286,168
	698	St. Mary Land & Exploration Co.		23,802
	1,680	Teekay Corp.		34,860

				1,398,505

Paper & Forest Products - 1.1%
	12,086	International Paper Co.		269,638
	4,784	MeadWestvaco Corp.		109,219

				378,857

Personal Products - 0.7%
	7,310	Avon Products, Inc.		234,286

Pharmaceuticals - 0.8%
	5,715	Forest Laboratories, Inc.*		158,134
	761	Valeant Pharmaceuticals International*		22,373
	2,947	Watson Pharmaceuticals, Inc.*		101,436

				281,943

Professional Services - 1.2%
	1,487	Dun & Bradstreet Corp.		113,844
	1,412	Equifax, Inc.		38,661
	1,435	FTI Consulting, Inc.*		58,562
	1,189	IHS, Inc. Class A*		61,543
	1,757	Manpower, Inc.		83,299
	1,709	Robert Half International, Inc.		39,649

				395,558

Real Estate Investment Trusts - 4.6%
	1,140	Alexandria Real Estate Equities, Inc.		61,754
	1,635	AMB Property Corp.		35,937
	6,088	Annaly Capital Management, Inc.		102,948
	894	AvalonBay Communities, Inc.		61,489
	1,357	Boston Properties, Inc.		82,465
	4,900	Brandywine Realty Trust		46,844
	4,111	Douglas Emmett, Inc.		48,510
	5,524	Equity Residential		159,533
	768	Essex Property Trust, Inc.		57,738
	719	Federal Realty Investment Trust		42,443
	4,210	Kimco Realty Corp.		53,214
	875	Mack-Cali Realty Corp.		27,081
	1,151	Nationwide Health Properties, Inc.		37,120
	1,503	Public Storage		110,621
	2,209	Rayonier, Inc.		85,223
	1,043	Regency Centers Corp.		34,993
	954	SL Green Realty Corp.		36,977
	1,515	Taubman Centers, Inc.		46,223
	1,683	UDR, Inc.		24,202
	4,376	Ventas, Inc.		175,609
	2,682	Vornado Realty Trust		159,740
	2,960	Weingarten Realty Investors		54,760

				1,545,424

Real Estate Management & Services - 0.2%
	389	Jones Lang LaSalle, Inc.		18,225
	2,587	St. Joe Co.*		61,932

				80,157

Road & Rail - 0.2%
	2,444	J.B. Hunt Transport Services, Inc.		73,467

Semiconductors & Semiconductor Equipment - 3.2%
	3,258	Analog Devices, Inc.		83,503
	2,487	Cree, Inc.*		104,703
	3,228	Fairchild Semiconductor International, Inc.*		24,145
	4,044	Integrated Device Technology, Inc.*		23,779
	3,418	Intersil Corp. Class A		42,896
	1,900	KLA-Tencor Corp.		61,768
	1,414	Lam Research Corp.*		47,680
	2,500	MEMC Electronic Materials, Inc.*		31,050
	5,114	Microchip Technology, Inc.		122,531
	15,887	Micron Technology, Inc.*		107,873
	6,421	National Semiconductor Corp.		83,088
	2,730	Novellus Systems, Inc.*		56,183
	6,110	NVIDIA Corp.*		73,076
	6,229	PMC - Sierra, Inc.*		53,071
	1,168	Rambus, Inc.*		18,688
	3,541	Teradyne, Inc.*		29,638
	2,045	Varian Semiconductor Equipment Associates, Inc.*		58,058
	3,066	Xilinx, Inc.		66,685

				1,088,415

Software - 2.5%
	2,451	ANSYS, Inc.*		99,462
	4,808	Autodesk, Inc.*		119,863
	2,068	BMC Software, Inc.*		76,847
	2,024	Citrix Systems, Inc.*		74,402
	7,245	Electronic Arts, Inc.*		132,149
	3,613	Intuit, Inc.*		105,030
	900	MICROS Systems, Inc.*		24,228
	2,431	Nuance Communications, Inc.*		31,870
	2,114	Red Hat, Inc.*		54,562
	2,829	Rovi Corp.*		77,939
	930	Sybase, Inc.*		36,791

				833,143

Specialty Retail - 3.1%
	1,133	Advance Auto Parts, Inc.		42,216
	359	AutoZone, Inc.*		48,576
	2,918	Bed Bath & Beyond, Inc.*		102,743
	6,164	CarMax, Inc.*		121,246
	2,402	Dick’s Sporting Goods, Inc.*		54,501
	2,966	Limited Brands, Inc.		52,202
	3,524	PetSmart, Inc.		82,920
	1,417	Ross Stores, Inc.		62,362
	1,110	Sherwin-Williams Co.		63,314

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

DIREXION ANNUAL REPORT 51

Direxion Daily Mid Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Specialty Retail (continued)
	2,385	Signet Jewelers Ltd.*	$	60,126
	3,465	Tiffany & Co.		136,140
	4,623	TJX Cos, Inc.		172,669
	1,907	Williams-Sonoma, Inc.		35,813

				1,034,828

Textiles, Apparel & Luxury Goods - 1.0%
	3,553	Coach, Inc.		117,142
	1,208	Polo Ralph Lauren Corp.		89,899
	2,040	VF Corp.		144,922

				351,963

Thrifts & Mortgage Finance - 0.4%
	4,188	First Niagara Financial Group, Inc.		53,774
	6,673	Hudson City Bancorp, Inc.		87,683

				141,457

Tobacco - 0.4%
	1,881	Lorillard, Inc.		146,191

Trading Companies & Distributors - 0.2%
	681	GATX Corp.		18,510
	1,467	WESCO International, Inc.*		37,496

				56,006

Water Utilities - 0.1%
	1,961	American Water Works Co., Inc.*		37,200

Wireless Telecommunication Services - 0.7%
	3,254	Crown Castle International Corp.*		98,336
	1,649	Leap Wireless International, Inc.*		21,800
	3,659	NII Holdings, Inc.*		98,536
	772	US Cellular Corp.*		28,263

				246,935

		TOTAL COMMON STOCKS (Cost $24,395,806)	$	29,185,680

SHORT TERM INVESTMENTS - 16.3%
MONEY MARKET FUNDS - 16.3%
	5,465,706	Goldman Sachs Financial Square Government Fund, 0.01% (a)		5,465,706

		TOTAL SHORT TERM INVESTMENTS (Cost $5,465,706)	$	5,465,706

		TOTAL INVESTMENTS (Cost $29,861,512) - 103.1% (b)	$	34,651,386
		Liabilities in Excess of Other Assets - (3.1%)		(1,046,317	)

		TOTAL NET ASSETS - 100.0%	$	33,605,069

Percentages are stated as a percent of net assets.


(*)	Non - Income producing security.
(†)	Non - Voting Shares.
(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $31,269,460.

Direxion Daily Mid Cap Bull 3X Shares

Swap Equity Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Morgan Stanley Capital Services	Russell Midcap Index		9,800	$	7,571,895		8/3/2010	$	(324,846	)
Credit Suisse Capital, LLC	Russell Midcap Index		87,165		64,251,965		1/27/2011		308,534

				$	71,823,860			$	(16,312	)

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

52 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCKS - 79.9%
Aerospace & Defense - 1.5%
	37,970	AAR Corp.*	$	744,592
	5,166	Aerovironment, Inc.*		137,726
	15,771	Astronics Corp.*		130,742
	42,818	Curtiss-Wright Corp.		1,276,832
	7,316	HEICO Corp.		278,227
	30,554	Hexcel Corp.*		336,094
	13,463	Moog, Inc. Class A*		336,171
	17,857	Orbital Sciences Corp.*		229,998
	11,399	Teledyne Technologies, Inc.*		389,390
	5,274	Triumph Group, Inc.		246,876

				4,106,648

Air Freight & Logistics - 0.2%
	11,914	Dynamex, Inc.*		220,767
	76,542	Pacer International, Inc.		218,910

				439,677

Airlines - 0.6%
	4,852	Allegiant Travel Co.*		182,969
	64,836	Hawaiian Holdings, Inc.*		459,687
	72,879	JetBlue Airways Corp.*		361,480
	74,604	UAL Corp.*		485,672
	41,726	US Airways Group, Inc.*		127,682

				1,617,490

Auto Components - 0.5%
	16,660	Amerigon, Inc.*		107,124
	134,089	Dana Holding Corp.*		758,944
	14,097	Fuel Systems Solutions, Inc.*		461,536
	10,266	Spartan Motors, Inc.		51,227
	7,323	Superior Industries International, Inc.		97,249

				1,476,080

Biotechnology - 2.0%
	29,916	Alkermes, Inc.*		238,431
	7,511	Amag Pharmaceuticals, Inc.*		283,766
	113,357	AVI BioPharma, Inc.*		166,635
	7,770	Facet Biotech Corp.*		133,100
	41,249	Geron Corp.*		252,031
	51,089	Idenix Pharmaceuticals, Inc.*		113,418
	68,240	Incyte Corp. Ltd.*		401,934
	29,482	Isis Pharmaceuticals, Inc.*		373,537
	111,520	Ligand Pharmaceuticals, Inc. Class B*		189,584
	6,135	Metabolix, Inc.*		62,209
	33,063	Nanosphere, Inc.*		220,861
	46,611	NPS Pharmaceuticals, Inc.*		147,757
	17,991	Onyx Pharmaceuticals, Inc*		478,560
	88,613	Opko Health, Inc.*		192,290
	40,240	Orexigen Therapeutics, Inc.*		259,950
	21,335	Osiris Therapeutics, Inc.*		135,477
	77,405	OXiGENE, Inc.*		87,468
	71,851	PDL BioPharma, Inc.		604,266
	7,705	Pharmasset, Inc.*		144,700
	39,352	Poniard Pharmaceuticals, Inc.*		257,756
	19,949	Regeneron Pharmaceuticals, Inc.*		313,199
	36,016	Rigel Pharmaceuticals, Inc.*		230,863
	84,644	StemCells, Inc.*		96,494
	29,410	Vanda Pharmaceuticals, Inc.*		299,982
	11,860	Zymogenetics, Inc.*		55,149

				5,739,417

Building Products - 0.3%
	16,089	AAON, Inc.		289,763
	46,921	Builders FirstSource, Inc.*		182,523
	11,914	Quanex Building Products Corp.		177,161
	6,075	Universal Forest Products, Inc.		216,756

				866,203

Capital Markets - 1.4%
	68,193	American Capital Ltd.*		182,757
	45,011	Apollo Investment Corp.		405,099
	30,751	Ares Capital Corp.		321,040
	26,771	BlackRock Kelso Capital Corp.		195,696
	7,415	Cohen & Steers, Inc.		143,332
	3,297	Evercore Partners, Inc. Class A		107,614
	35,022	FBR Capital Markets Corp.*		213,634
	21,155	Fifth Street Finance Corp.		207,954
	2,257	GAMCO Investors, Inc. Class A		95,223
	40,525	GFI Group, Inc.		208,704
	11,177	Hercules Technology Growth Capital, Inc.		104,840
	29,419	Knight Capital Group, Inc. Class A*		495,710
	16,234	Kohlberg Capital Corp.		86,203
	58,126	MCG Capital Corp.*		231,923
	13,359	optionsXpress Holdings, Inc.		208,801
	6,180	Penson Worldwide, Inc.*		60,255
	35,066	Prospect Capital Corp.		348,205
	94	Teton Advisors, Inc. **(b)		0
	40,097	TradeStation Group, Inc.*		309,549

				3,926,539

Chemicals - 2.3%
	24,570	Arch Chemicals, Inc.		680,343
	17,995	Balchem Corp.		496,482
	15,380	H.B. Fuller Co.		293,912
	20,481	Innophos Holdings, Inc.		396,307
	20,052	Koppers Holdings, Inc.		523,758
	29,362	Landec Corp.*		192,027
	3,185	NewMarket Corp.		297,798
	58,593	PolyOne Corp.*		326,949
	14,287	Quaker Chemical Corp.		294,312
	20,826	Rockwood Holdings, Inc.*		414,021
	24,997	Sensient Technologies Corp.		632,174
	44,189	ShengdaTech, Inc.*		267,343
	17,585	Westlake Chemical Corp.		427,140
	40,467	W.R. Grace & Co.*		885,824
	25,841	Zep, Inc.		441,881

				6,570,271

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

54 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Commercial Banks - 3.8%
	1,299	Alliance Financial Corp.	$	33,826
	6,684	Bank of Marin Bancorp.		220,639
	30,869	Banner Corp.		94,768
	7,494	Camden National Corp.		230,291
	27,769	Cardinal Financial Corp.		226,317
	5,050	City Holding Co.		154,379
	19,787	Columbia Banking System, Inc.		290,869
	32,125	Community Bank System, Inc.		597,846
	11,910	Community Trust Bancorp, Inc.		293,224
	17,074	Danvers Bancorp, Inc.		234,426
	65,607	First BanCorp		123,997
	26,913	First Commonwealth Financial Corp.		141,293
	28,410	F.N.B. Corp.		201,143
	19,475	Glacier Bancorp, Inc.		254,928
	10,527	Great Southern Bancorp, Inc.		241,279
	11,910	Hampton Roads Bankshares, Inc.		24,416
	10,068	Hancock Holding Co.		365,166
	43,126	Harleysville National Corp.		248,406
	6,621	Independent Bank Corp.		140,829
	46,126	Investors Bancorp, Inc.*		500,006
	21,680	Lakeland Bancorp, Inc.		131,814
	56,611	National Penn Bancshares, Inc.		318,154
	12,275	NBT Bancorp, Inc.		267,595
	24,986	Old Second Bancorp, Inc.		133,675
	19,182	Oriental Financial Group, Inc.		204,288
	55,918	Pacific Capital Bancorp		72,134
	25,117	PacWest Bancorp		426,487
	10,787	Park National Corp.		626,509
	11,044	PrivateBancorp, Inc.		100,832
	14,593	Prosperity Bancshares, Inc.		522,283
	12,351	Suffolk Bancorp		345,334
	28,799	Sun Bancorp, Inc.*		116,924
	84,618	Susquehanna Bancshares, Inc.		466,245
	11,665	SVB Financial Group*		481,181
	3,627	S.Y. Bancorp, Inc.		81,063
	2,617	Tompkins Financial Corp.		113,499
	39,052	Trustmark Corp.		740,036
	17,832	United Bankshares, Inc.		318,301
	9,229	Westamerica Bancorporation		441,146
	7,590	Wintrust Financial Corp.		214,114

				10,739,662

Commercial Services & Supplies - 1.8%
	18,032	American Ecology Corp.		299,692
	33,319	American Reprographics Co.*		199,914
	19,293	Bowne & Co., Inc.		125,983
	15,292	Cenveo, Inc.*		108,267
	6,443	Clean Harbors, Inc.*		363,707
	10,641	Consolidated Graphics, Inc.*		213,458
	29,778	Deluxe Corp.		423,741
	23,894	EnergySolutions, Inc.		199,276
	13,697	Healthcare Services Group, Inc.		270,516
	52,774	Herman Miller, Inc.		815,358
	14,208	HNI Corp.		373,955
	15,526	Mine Safety Appliances Co.		395,758
	11,229	Mobile Mini, Inc.*		162,821
	15,071	Multi-Color Corp.		199,992
	11,290	Standard Parking Corp.*		198,704
	10,962	SYKES Enterprises, Inc.*		260,238
	5,967	Team, Inc.*		96,844
	19,061	Tetra Tech, Inc.*		490,440

				5,198,664

Communications Equipment - 2.8%
	122,637	3Com Corp.*		630,354
	38,126	Acme Packet, Inc.*		373,254
	31,279	ADC Telecommunications, Inc.*		203,001
	17,485	Adtran, Inc.		402,854
	31,067	Airvana, Inc.*		189,819
	10,702	Anaren, Inc.*		156,463
	26,451	Avocent Corp.*		657,836
	5,764	DG FastChannel, Inc.*		120,871
	109,654	Extreme Networks*		218,211
	8,858	Hughes Communications, Inc.*		206,569
	31,144	Ixia*		207,108
	4,423	KVH Industries, Inc.*		46,442
	33,738	NETGEAR, Inc.*		615,044
	26,408	Oplink Communications, Inc.*		391,631
	43,626	Palm, Inc.*		506,498
	55,003	Parkervision, Inc.*		152,358
	26,530	Polycom, Inc.*		569,599
	32,297	ShoreTel, Inc.*		212,191
	15,514	Starent Networks Corp.*		523,442
	65,310	Tekelec*		980,956
	20,826	ViaSat, Inc.*		607,078

				7,971,579

Computers & Peripherals - 0.5%
	47,727	Adaptec, Inc.*		152,249
	6,254	Compellent Technologies, Inc.*		114,698
	38,081	Immersion Corp.*		139,757
	29,663	Novatel Wireless, Inc.*		264,594
	38,368	Silicon Graphics International Corp.*		228,673
	26,594	Super Micro Computer, Inc.*		214,348
	10,863	Synaptics, Inc.*		244,418

				1,358,737

Construction & Engineering - 0.6%
	12,245	Comfort Systems USA, Inc.		133,471
	12,333	Dycom Industries, Inc.*		121,850
	20,827	EMCOR Group, Inc.*		491,933

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

DIREXION ANNUAL REPORT 55

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Construction & Engineering (continued)
	46,242	Furmanite Corp.*	$	165,546
	39,474	Great Lakes Dredge & Dock Corp.		241,976
	6,163	Layne Christensen Co.*		159,622
	2,487	Michael Baker Corp.*		88,786
	6,819	Orion Marine Group, Inc.*		129,834
	16,891	Pike Electric Corp.*		211,982

				1,745,000

Construction Materials - 0.0%†
	85,336	U.S. Concrete, Inc.*		137,391

Consumer Finance - 0.4%
	16,678	Cash America International, Inc.		504,676
	15,542	First Cash Financial Services, Inc.*		267,012
	8,052	Nelnet, Inc. Class A*		112,970
	5,982	World Acceptance Corp.*		150,088

				1,034,746

Containers & Packaging - 0.4%
	88,897	Boise, Inc.*		424,928
	21,893	Myers Industries, Inc.		192,002
	12,139	Rock-Tenn Co. Class A		531,687

				1,148,617

Distributors - 0.0%†
	4,476	Core-Mark Holding Co., Inc.*		122,508

Diversified Consumer Services - 1.1%
	5,744	American Public Education, Inc.*		183,234
	14,277	Capella Education Co.*		983,684
	25,338	Corinthian Colleges, Inc.*		401,861
	23,162	K12, Inc.*		371,518
	2,335	Pre-Paid Legal Services, Inc.*		92,326
	43,036	Regis Corp.		698,905
	21,206	Sotheby’s		336,327
	6,250	Universal Technical Institute, Inc.*		112,438

				3,180,293

Diversified Financial Services - 0.2%
	8,174	Financial Federal Corp.		166,913
	76,855	NewStar Financial, Inc.*		192,906
	5,967	Pico Holdings, Inc.*		202,520

				562,339

Diversified Telecommunication - 0.4%
	32,385	Alaska Communications Systems Group, Inc.		251,955
	2,835	Atlantic Tele-Network, Inc.		129,956
	19,383	Neutral Tandem, Inc.*		408,788
	104,139	PAETEC Holding Corp.*		337,411

				1,128,110

Electric Utilities - 1.6%
	59,258	Cleco Corp.		1,466,636
	44,084	El Paso Electric Co.*		826,575
	46,257	IDACORP, Inc.		1,299,359
	27,413	PNM Resources, Inc.		293,867
	34,171	Portland General Electric Co.		635,239

				4,521,676

Electrical Equipment - 1.8%
	12,947	Acuity Brands, Inc.		409,902
	13,744	American Superconductor Corp.*		460,699
	14,728	Baldor Electric Co.		380,719
	14,732	Belden, Inc.		338,099
	15,159	Brady Corp. Class A		410,506
	59,438	Evergreen Solar, Inc.*		86,185
	7,306	Franklin Electric Co., Inc.		199,308
	38,056	GrafTech International Ltd.*		513,756
	14,220	Harbin Electric, Inc.*		226,525
	24,429	II-VI, Inc.*		646,635
	22,198	Polypore International, Inc.*		243,290
	2,451	Powell Industries, Inc.*		90,148
	11,339	Regal-Beloit Corp.		531,572
	90,320	Valence Technology, Inc.*		116,513
	19,075	Woodward Governor Co.		448,453

				5,102,310

Electronic Equipment, Instruments - 1.4%
	19,290	Anixter International, Inc.*		807,287
	15,843	Brightpoint, Inc.*		116,763
	12,306	Checkpoint Systems, Inc.*		166,992
	12,544	Cognex Corp.		201,833
	17,904	Comverge, Inc.*		204,285
	8,645	Electro Scientific Industries, Inc.*		94,576
	5,301	FARO Technologies, Inc.*		81,953
	14,502	Insight Enterprises, Inc.*		152,561
	28,501	IPG Photonics Corp.*		389,324
	6,875	Littelfuse, Inc.*		189,475
	26,607	Maxwell Technologies, Inc.*		477,064
	29,381	PC Connection, Inc.*		172,760
	22,951	PC Mall, Inc.*		162,723
	28,365	Rofin-Sinar Technologies, Inc.*		608,429
	6,084	SYNNEX Corp.*		156,541

				3,982,566

Energy Equipment & Services - 1.7%
	9,220	Bristow Group, Inc.*		268,763
	59,580	Complete Production Services, Inc.*		567,798
	9,203	Dril-Quip, Inc.*		447,174
	14,574	Gulf Island Fabrication, Inc.		278,655
	9,919	Gulfmark Offshore, Inc.*		274,459
	27,864	Hercules Offshore, Inc.*		142,942
	22,491	Hornbeck Offshore Services, Inc.*		546,756
	8,108	Lufkin Industries, Inc.		462,561
	6,302	NATCO Group, Inc. Class A*		275,271
	8,107	OYO Geospace Corp.*		212,809
	83,539	Parker Drilling Co.*		434,403
	43,560	Pioneer Drilling Co.*		291,416

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

56 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Energy Equipment & Services (continued)
	27,622	RPC, Inc.	$	258,266
	3,981	T-3 Energy Services, Inc.*		79,700
	35,275	TGC Industries, Inc.*		153,446
	12,494	Willbros Group, Inc.*		164,171

				4,858,590

Food & Staples Retailing - 0.7%
	17,860	Andersons, Inc.		554,196
	16,081	Casey’s General Stores, Inc.		507,034
	14,034	Susser Holdings Corp.*		166,864
	13,585	United Natural Foods, Inc.*		327,534
	3,480	Weis Markets, Inc.		123,192
	18,900	Winn-Dixie Stores, Inc.*		209,601

				1,888,421

Food Products - 1.0%
	6,250	Alico, Inc.		181,750
	2,531	American Dairy, Inc.*		73,247
	26,028	Darling International, Inc.*		180,895
	5,274	Diamond Foods, Inc.		159,011
	33,763	Fresh Del Monte Produce, Inc.*		732,995
	15,740	Imperial Sugar Co.		196,593
	13,898	J & J Snack Foods Corp.		544,385
	6,078	Lancaster Colony Corp.		295,269
	6,431	Sanderson Farms, Inc.		235,310
	6,217	Zhongpin, Inc.*		82,748

				2,682,203

Gas Utilities - 1.1%
	6,731	Chesapeake Utilities Corp.		213,238
	22,573	New Jersey Resources Corp.		794,570
	40,827	Nicor, Inc.		1,513,865
	23,258	Piedmont Natural Gas Co., Inc.		541,446

				3,063,119

Health Care Equipment & Suppliers - 3.3%
	37,458	ABIOMED, Inc.*		338,995
	32,218	Align Technology, Inc.*		506,467
	7,920	Analogic Corp.		295,733
	29,948	Conceptus, Inc.*		525,288
	9,193	CONMED Corp.*		194,800
	32,423	CryoLife, Inc.*		194,538
	26,826	Cyberonics, Inc.*		387,904
	21,017	Cynosure, Inc. Class A*		210,590
	8,114	Haemonetics Corp.*		417,871
	9,990	ICU Medical, Inc.*		349,650
	29,129	Insulet Corp.*		323,332
	28,348	Invacare Corp.		635,845
	20,164	MAKO Surgical Corp.*		182,484
	12,828	Meridian Bioscience, Inc.		284,653
	29,918	Natus Medical, Inc.*		415,561
	11,530	NuVasive, Inc.*		418,424
	16,785	Orthofix International NV*		537,119
	19,938	Palomar Medical Technologies, Inc.*		202,570
	7,725	SonoSite, Inc.*		191,503
	41,891	Stereotaxis, Inc.*		151,227
	32,533	STERIS Corp.		951,915
	14,711	Synovis Life Technologies, Inc.*		177,415
	17,875	Thoratec Corp.*		469,398
	10,359	West Pharmaceutical Services, Inc.		408,870
	20,683	Zoll Medical Corp.*		401,664

				9,173,816

Health Care Providers & Services - 3.1%
	3,439	Air Methods Corp.*		105,027
	16,738	AMERIGROUP Corp.*		369,073
	22,737	AmSurg Corp.*		479,069
	11,599	Bio-Reference Labs, Inc.*		374,996
	43,742	Capital Senior Living Corp.*		231,395
	11,600	Catalyst Health Solutions, Inc.*		363,892
	6,921	Corvel Corp.*		197,249
	30,198	Cross Country Healthcare, Inc.*		249,435
	23,578	Emeritus Corp.*		439,965
	21,173	Hanger Orthopedic Group, Inc.*		293,034
	47,346	Health Grades, Inc.*		205,482
	27,942	HEALTHSOUTH Corp.*		408,233
	33,055	Healthways, Inc.*		531,524
	8,181	HMS Holdings Corp.*		351,210
	15,794	IPC The Hospitalist Co., Inc.*		478,558
	14,743	Kindred Healthcare, Inc.*		216,722
	3,410	MWI Veterinary Supply, Inc.*		120,714
	30,622	Owens & Minor, Inc.		1,252,134
	50,431	PSS World Medical, Inc.*		1,019,715
	17,796	Psychiatric Solutions, Inc.*		367,309
	5,878	RehabCare Group, Inc.*		110,213
	25,718	Skilled Healthcare Group, Inc. Class A*		206,773
	81,082	Sunrise Senior Living, Inc.*		337,301

				8,709,023

Health Care Technology - 0.4%
	17,780	Eclipsys Corp.*		333,375
	31,506	Omnicell, Inc.*		310,019
	29,163	Phase Forward, Inc.*		382,327

				1,025,721

Hotels Restaurants & Leisure - 2.2%
	8,105	Ameristar Casinos, Inc.		119,306
	17,239	Bally Technologies, Inc.*		679,044
	6,199	BJ’s Restaurants, Inc.*		98,936
	60,826	Bluegreen Corp.*		174,571
	16,557	Buffalo Wild Wings, Inc.*		679,003
	7,489	California Pizza Kitchen, Inc.*		97,282
	7,283	Cec Entertainment, Inc.*		212,736
	35,251	Cheesecake Factory, Inc.*		640,863
	3,003	Churchill Downs, Inc.		94,234
	29,384	Domino’s Pizza, Inc.*		215,679
	35,287	Dover Downs Gaming & Entertainment, Inc.		167,613

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

DIREXION ANNUAL REPORT 57

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Hotels Restaurants & Leisure (continued)
	48,555	Jack in The Box, Inc.*	$	910,892
	43,679	Morgans Hotel Group Co.*		145,014
	12,347	Peet’s Coffee & Tea, Inc.*		419,798
	7,501	P.F. Chang’s China Bistro, Inc.*		218,954
	55,035	Pinnacle Entertainment, Inc.*		465,046
	16,717	Ruby Tuesday, Inc.*		111,335
	19,212	Sonic Corp.*		179,632
	9,307	Vail Resorts, Inc.*		320,533
	53,571	Youbet.com, Inc.*		123,749

				6,074,220

Household Durables - 1.3%
	47,725	American Greetings Corp. Class A		970,727
	4,163	Blyth, Inc.		147,495
	58,378	Furniture Brands International, Inc.*		248,107
	9,438	Helen of Troy Ltd.*		215,564
	16,292	La-Z-Boy, Inc.		115,673
	9,912	Meritage Homes Corp.*		180,795
	1,516	National Presto Industries, Inc.		131,786
	103,610	Standard Pacific Corp.*		310,830
	23,698	Tempur-Pedic International, Inc.*		459,030
	19,822	Tupperware Brands Corp.		892,386

				3,672,393

Household Products - 0.1%
	8,886	Orchids Paper Products Co.*		159,059
	5,319	WD-40 Co.		167,496

				326,555

Industrial Conglomerates - 0.1%
	244	Seaboard Corp.		329,644

Insurance - 2.4%
	13,263	American Safety Insurance Holdings Ltd.*		196,558
	181,277	Conseco, Inc.*		944,452
	7,833	eHealth, Inc.*		111,464
	45,807	Employers Holdings, Inc.		678,860
	10,710	First Mercury Financial Corp.		136,017
	7,329	FPIC Insurance Group, Inc.*		247,940
	16,123	Greenlight Capital Re Ltd. Class A*		300,855
	38,896	Hilltop Holdings, Inc.*		460,529
	13,457	Infinity Property & Casualty Corp.		520,382
	6,396	Kansas City Life Insurance Co.		171,669
	15,801	Maiden Holdings Ltd.		109,501
	14,606	Max Capital Group Ltd.		301,614
	18,177	Meadowbrook Insurance Group, Inc.		122,331
	27,323	Montpelier Re Holdings Ltd.		441,540
	11,936	NYMAGIC, Inc.		170,565
	21,271	Seabright Insurance Holdings, Inc.*		237,810
	51,824	Selective Insurance Group		793,943
	12,794	Tower Group, Inc.		314,477
	35,543	United America Indemnity Ltd. Class A*		249,156
	21,731	United Fire & Casualty Co.		379,858

				6,889,521

Internet & Catalog Retail - 0.1%
	29,200	Gaiam, Inc. Class A*		190,676
	15,644	Orbitz Worldwide, Inc.*		81,818

				272,494

Internet Software & Services - 1.5%
	40,065	Art Technology Group, Inc.*		165,068
	7,583	Constant Contact, Inc.*		125,650
	12,084	Digital River, Inc.*		275,878
	102,335	EarthLink, Inc.		828,913
	24,593	GSI Commerce, Inc.*		466,529
	20,164	Liquidity Services, Inc.*		193,978
	47,507	Marchex, Inc. Class B		215,207
	8,171	MercadoLibre, Inc.*		292,440
	49,931	ModusLink Global Solutions, Inc.*		410,433
	37,587	NIC, Inc.		329,262
	15,594	Travelzoo, Inc.*		215,509
	27,525	ValueClick, Inc.*		270,846
	17,420	Vocus, Inc.*		315,302
	115,281	Zix Corp.*		210,964

				4,315,979

IT Services - 2.0%
	35,108	CIBER, Inc.*		113,048
	34,459	CSG Systems International, Inc.*		563,060
	21,865	CyberSource Corp.*		358,149
	15,394	Euronet Worldwide, Inc.*		364,068
	19,061	Exlservice Holdings, Inc.*		259,420
	18,749	Gartner, Inc.*		349,106
	11,854	Heartland Payment Systems, Inc.		145,686
	29,883	iGATE Corp.		263,867
	17,174	MAXIMUS, Inc.		794,470
	6,523	NCI, Inc. Class A*		175,534
	27,236	RightNow Technologies, Inc.*		415,621
	13,193	SRA International, Inc. Class A*		247,501
	22,845	StarTek, Inc.*		132,501
	10,269	TeleTech Holdings, Inc.*		183,712
	24,713	TNS, Inc.*		698,390
	22,427	Virtusa Corp.*		201,394
	12,139	Wright Express Corp.*		338,799

				5,604,326

Leisure Equipment & Products - 0.7%
	27,917	Brunswick Corp.		264,653
	84,882	Eastman Kodak Co.*		318,308
	32,878	Leapfrog Enterprises, Inc.*		108,497
	9,686	Polaris Industries, Inc.		407,490

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

58 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Leisure Equipment & Products (continued)
	15,305	Pool Corp.	$	299,672
	16,959	RC2 Corp.*		221,485
	20,485	Sport Supply Group, Inc.		211,405

				1,831,510

Life Sciences Tools & Services - 1.2%
	22,377	Affymetrix, Inc.*		117,032
	24,334	BioDelivery Sciences International, Inc.*		96,849
	5,599	Dionex Corp.*		380,060
	44,398	Enzo Biochem, Inc.*		244,633
	47,827	Harvard Bioscience, Inc.*		173,134
	22,004	Life Sciences Research, Inc.*		185,494
	53,493	PAREXEL International Corp.*		669,732
	27,790	Varian, Inc.*		1,422,848

				3,289,782

Machinery - 2.8%
	17,953	Actuant Corp. Class A		280,246
	29,869	Albany International Corp. Class A		497,618
	8,956	Ampco-Pittsburgh Corp.		240,916
	17,764	Astec Industries, Inc.*		408,572
	39,922	Blount International, Inc.*		360,895
	10,332	Cascade Corp.		256,647
	8,993	Chart Industries, Inc.*		177,792
	16,884	China Fire & Security Group, Inc.*		240,090
	24,161	Colfax Corp.*		262,872
	23,835	Columbus McKinnon Corp.*		394,469
	19,597	EnPro Industries, Inc.*		442,500
	22,138	Force Protection, Inc.*		97,407
	9,942	Greenbrier Cos, Inc.		88,285
	22,959	Kaydon Corp.		803,335
	3,900	Lindsay Corp.		128,037
	11,750	Mueller Industries, Inc.		278,005
	36,597	Mueller Water Products, Inc. Class A		163,955
	10,638	Nordson Corp.		561,367
	8,388	Robbins & Myers, Inc.		194,602
	27,238	Sauer-Danfoss, Inc.		196,114
	21,834	SmartHeat, Inc.*		195,196
	5,892	Tennant Co.		157,081
	39,622	Titan International, Inc.		332,825
	43,777	Trimas Corp.*		196,997
	3,824	Twin Disc, Inc.		35,907
	28,703	Watts Water Technologies, Inc. Class A		810,859

				7,802,589

Marine - 0.1%
	8,152	Genco Shipping & Trading Ltd.		162,143

Media - 1.2%
	8,381	Arbitron, Inc.		181,700
	104,762	Belo Corp. Class A		492,381
	25,047	Cinemark Holdings, Inc.		290,295
	18,384	CKX, Inc.*		117,658
	12,374	Fisher Communications, Inc.*		241,169
	25,917	Global Sources Ltd.*		160,426
	38,708	Harte-Hanks, Inc.		454,432
	26,454	Live Nation, Inc.*		176,184
	13,332	National CineMedia, Inc.		213,312
	31,678	RCN Corp.*		264,195
	11,916	Rentrak Corp.*		183,149
	7,129	Scholastic Corp.		177,298
	90,931	Sinclair Broadcast Group, Inc. Class A		358,268

				3,310,467

Metals & Mining - 0.5%
	15,242	Brush Engineered Materials, Inc.*		281,215
	14,383	Century Aluminum Co.*		124,701
	41,201	General Steel Holdings, Inc.*		153,268
	8,883	Olympic Steel, Inc.		224,740
	47,652	Worthington Industries, Inc.		526,554

				1,310,478

Multiline Retail - 0.1%
	14,826	99 Cents Only Stores*		168,572
	16,832	Tuesday Morning Corp.*		54,367

				222,939

Multi-Utilities - 0.5%
	53,613	Avista Corp.		1,016,503
	9,396	CH Energy Group, Inc.		389,088

				1,405,591

Oil, Gas & Consumable Fuels - 2.3%
	12,089	Arena Resources, Inc.*		450,436
	33,346	Atlas Energy, Inc.		872,997
	13,550	Berry Petroleum Co. Class A		343,628
	12,153	Bill Barrett Corp.*		376,500
	96,759	Brigham Exploration Co.*		919,210
	38,258	Clean Energy Fuels Corp.*		443,793
	3,827	Contango Oil & Gas Co.*		182,357
	53,345	Crosstex Energy, Inc.		299,799
	31,725	Golar LNG Ltd.		382,604
	13,355	Nordic American Tanker Shipping Ltd.		377,947
	62,679	Patriot Coal Corp.*		708,272
	14,597	Petroleum Development Corp.*		243,770
	3,919	PrimeEnergy Corp.*		120,901
	26,226	Toreador Resources Corp.*		223,708
	57,160	VAALCO Energy, Inc.*		243,502
	86,730	Warren Resources, Inc.*		187,337
	20,338	Westmoreland Coal Co.*		134,027

				6,510,788

Paper & Forest Products - 0.3%
	3,586	Clearwater Paper Corp.*		162,338
	13,141	Domtar Corp.*		550,477
	32,832	Louisiana-Pacific Corp.*		172,368

				885,183

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

DIREXION ANNUAL REPORT 59

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Personal Products - 0.7%
	66,516	American Oriental Bioengineering, Inc.*	$	263,403
	64,953	Bare Escentuals, Inc.*		820,357
	6,158	Chattem, Inc.*		390,232
	36,633	Revlon, Inc. Class A*		308,816
	5,412	USANA Health Sciences, Inc.*		155,974

				1,938,782

Pharmaceuticals - 1.3%
	13,941	Ardea Biosciences, Inc.*		188,204
	14,099	Auxilium Pharmaceuticals, Inc.*		443,555
	96,597	AVANIR Pharmaceuticals, Inc. Class A*		176,773
	30,904	Biodel, Inc.*		129,179
	18,453	Hi-Tech Pharmacal Co., Inc.*		336,583
	28,938	Matrixx Initiatives, Inc.*		130,221
	24,615	Medicis Pharmaceutical Corp. Class A		521,100
	90,811	Nektar Therapeutics*		737,384
	24,678	Obagi Medical Products, Inc.*		252,209
	38,284	Pain Therapeutics, Inc.*		194,100
	31,876	Questcor Pharmaceuticals, Inc.*		144,717
	3,211	Repros Therapeutics, Inc.*		2,986
	62,612	ViroPharma, Inc.*		472,094

				3,729,105

Professional Services - 0.9%
	15,196	Advisory Board Co.*		374,429
	42,441	Hill International, Inc.*		285,204
	8,279	Kelly Services, Inc. Class A		91,731
	35,774	Kforce, Inc.*		419,629
	14,151	Korn Ferry International*		225,850
	39,597	Navigant Consulting, Inc.*		563,862
	48,654	On Assignment, Inc.*		293,870
	13,871	TrueBlue, Inc.*		167,839
	2,876	VSE Corp.		125,940

				2,548,354

Real Estate Investment Trusts - 5.4%
	38,915	Acadia Realty Trust		618,749
	2,253	Agree Realty Corp.		52,562
	2,022	Alexander’s, Inc.*		535,668
	51,198	American Campus Communities, Inc.		1,383,371
	31,023	BioMed Realty Trust, Inc.		420,982
	65,433	CapLease, Inc.		224,435
	22,532	CBL & Associates Properties, Inc.		183,861
	42,357	Cogdell Spencer, Inc.		196,536
	55,729	DCT Industrial Trust, Inc.		252,452
	43,521	Developers Diversified Realty Corp.		373,845
	12,498	DuPont Fabros Technology, Inc.*		188,470
	42,824	Education Realty Trust, Inc.		214,548
	11,064	Entertainment Properties Trust		376,397
	32,082	Equity One, Inc.		478,663
	27,338	Extra Space Storage, Inc.		261,625
	18,698	Franklin Street Properties Corp.		201,564
	17,998	Getty Realty Corp.		441,131
	64,209	Glimcher Realty Trust		173,364
	35,503	Hatteras Financial Corp.		997,635
	72,204	Hersha Hospitality Trust		184,842
	12,794	Home Properties, Inc.		501,269
	41,948	Inland Real Estate Corp.		359,914
	58,034	Investors Real Estate Trust		485,745
	11,849	Kilroy Realty Corp.		327,269
	74,369	Lexington Realty Trust		311,606
	7,331	LTC Properties, Inc.		174,111
	25,368	Medical Properties Trust, Inc.		202,944
	70,487	MFA Financial, Inc.		523,014
	8,936	Mid-America Apartment Communities, Inc.		391,576
	60,966	National Retail Properties, Inc.		1,181,522
	26,075	OMEGA Healthcare Investors, Inc.		395,297
	36,431	Pennsylvania Real Estate Investment Trust		267,039
	14,036	Post Properties, Inc.		231,454
	12,584	Potlatch Corp.		351,219
	8,220	PS Business Parks, Inc.		402,533
	24,533	Redwood Trust, Inc.		341,990
	6,870	Saul Centers, Inc.		211,321
	6,455	Urstadt Biddle Properties, Inc Class A		95,340
	8,882	Walter Investment Management Corp.		115,644
	18,443	Washington Real Estate Investment Trust		492,428
	18,724	Winthrop Realty Trust		167,767

				15,291,702

Real Estate Management & Development - 0.1%
	1,716	Consolidated-Tomoka Land Co.		59,030
	12,390	Tejon Ranch Co.*		322,884

				381,914

Road & Rail - 1.1%
	8,953	AMERCO, Inc.*		378,443
	18,125	Arkansas Best Corp.		467,988
	23,835	Celadon Group, Inc.*		232,630
	15,239	Genesee & Wyoming, Inc. Class A*		442,083
	18,094	Knight Transportation, Inc.		290,228
	8,803	Old Dominion Freight Line, Inc.*		228,790
	16,740	Saia, Inc.*		245,408
	41,784	Werner Enterprises, Inc.		783,450

				3,069,020

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

60 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Semiconductors & Semiconductor Equipment - 3.5%
	8,267	Actel Corp.*	$	98,543
	37,158	Advanced Energy Industries, Inc.*		453,699
	20,854	Applied Micro Circuits Corp.*		163,078
	57,764	Atheros Communications, Inc.*		1,422,149
	30,767	ATMI, Inc.*		466,120
	22,969	Cabot Microelectronics Corp.*		734,549
	9,401	Cymer, Inc.*		321,890
	31,274	Diodes, Inc.*		512,268
	7,200	DSP Group, Inc.*		41,616
	31,843	FEI Co.*		758,182
	6,775	Hittite Microwave Corp.*		249,320
	6,736	Intellon Corp.*		46,276
	46,175	MEMSIC, Inc.*		156,995
	45,139	Micrel, Inc.		337,188
	25,692	Microsemi Corp.*		341,961
	75,443	Microtune, Inc.*		129,008
	60,411	MIPS Technologies, Inc.*		238,623
	5,721	Netlogic Microsystems, Inc.*		217,455
	49,111	OmniVision Technologies, Inc.*		602,101
	17,328	Power Integrations, Inc.		540,634
	24,387	Silicon Image, Inc.*		51,457
	52,996	Skyworks Solutions, Inc.*		552,748
	12,644	Supertex, Inc.*		306,617
	21,215	Techwell, Inc.*		220,212
	15,389	Tessera Technologies, Inc.*		340,251
	105,574	Trident Microsystems, Inc.*		198,479
	24,325	Volterra Semiconductor Corp.*		336,901

				9,838,320

Software - 4.2%
	14,144	Actuate Corp.*		70,861
	27,655	Ariba, Inc.*		326,882
	42,990	Blackbaud, Inc.		953,948
	10,016	Blackboard, Inc.*		355,268
	12,593	Concur Technologies, Inc.*		448,815
	35,595	Deltek, Inc.*		254,504
	6,844	Ebix, Inc.*		421,590
	10,896	ePlus, Inc.*		163,876
	28,141	GSE Systems, Inc.*		169,409
	60,980	Informatica Corp.*		1,294,605
	26,521	Jack Henry & Associates, Inc.		611,839
	43,519	Lawson Software, Inc.*		274,605
	31,183	Monotype Imaging Holdings, Inc.*		234,496
	56,469	Parametric Technology Corp.*		841,953
	4,744	Pegasystems, Inc.		136,010
	57,508	Phoenix Technologies Ltd.*		134,569
	39,147	Progress Software Corp.*		904,296
	10,584	QAD, Inc.		48,263
	64,312	Quest Software, Inc.*		1,078,512
	4,089	Renaissance Learning, Inc.		37,128
	22,551	S1 Corp.*		135,306
	25,001	Smith Micro Software, Inc.*		227,009
	22,003	Solera Holdings, Inc.		708,937
	7,008	Sourcefire, Inc.*		142,262
	25,422	Take-Two Interactive Software, Inc.*		278,879
	9,886	Taleo Corp. Class A*		214,922
	21,378	THQ, Inc.*		111,807
	134,325	TIBCO Software, Inc.*		1,175,344
	28,410	VASCO Data Security International, Inc.*		172,733

				11,928,628

Specialty Retail - 2.3%
	18,532	AnnTaylor Stores Corp.*		240,360
	6,811	Big 5 Sporting Goods Corp.		100,462
	12,635	Cabela’s, Inc.*		158,822
	28,170	Cato Corp. Class A		555,231
	23,408	Childrens Place Retail Stores, Inc.*		736,182
	4,637	Citi Trends, Inc.*		122,092
	20,282	Collective Brands, Inc.*		376,231
	14,339	Conn’s, Inc.*		90,479
	14,211	Dress Barn, Inc.*		256,509
	13,381	Finish Line, Inc. Class A		135,683
	24,294	Gander Mountain Co.*		121,227
	6,083	Genesco, Inc.*		158,584
	9,226	Gymboree Corp.*		392,751
	28,029	Hibbett Sports, Inc.*		525,263
	6,211	Lumber Liquidators, Inc.*		131,984
	28,635	Pier 1 Imports, Inc.*		100,795
	20,897	Rent-A-Center, Inc.*		383,669
	29,731	Sally Beauty Holdings, Inc.*		200,684
	14,375	Shoe Carnival, Inc.*		215,769
	19,512	Sonic Automotive, Inc. Class A*		174,437
	29,888	Talbots, Inc.		271,084
	11,362	Tractor Supply Co.*		507,881
	35,100	Tween Brands, Inc.*		297,648
	99,272	Wet Seal, Inc. Class A*		316,678

				6,570,505

Textiles, Apparel & Luxury Goods - 1.8%
	55,617	Carter’s, Inc.*		1,312,560
	11,276	Columbia Sportswear Co.		429,052
	69,328	Crocs, Inc.*		421,514
	4,149	Deckers Outdoor Corp.*		372,041
	5,971	Maidenform Brands, Inc.*		83,833
	4,941	Steven Madden Ltd.*		200,111
	13,778	Timberland Co. Class A*		222,928
	21,517	True Religion Apparel, Inc.*		554,493
	10,475	Under Armour, Inc. Class A*		281,254
	12,985	Volcom, Inc.*		215,681
	14,490	Warnaco Group, Inc.*		587,279
	15,570	Wolverine World Wide, Inc.		398,281

				5,079,027

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

DIREXION ANNUAL REPORT 61

Direxion Daily Small Cap Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Thrifts & Mortgage Finance - 1.5%
	8,104	Berkshire Hills Bancorp, Inc.	$	166,537
	57,913	Brookline Bancorp, Inc.		566,968
	25,339	Dime Community Bancshares		278,476
	68,467	Doral Financial Corp.*		194,446
	2,560	First Defiance Financial Corp.		36,915
	18,877	First Financial Holdings, Inc.		254,651
	23,264	First Financial Northwest, Inc.		137,723
	20,647	Meridian Interstate Bancorp, Inc.*		177,564
	39,594	MGIC Investment Corp.*		170,650
	6,824	NASB Financial, Inc.		167,870
	104,782	NewAlliance Bancshares, Inc.		1,160,984
	18,941	Provident Financial Services, Inc.		203,616
	79,844	Radian Group, Inc.		462,297
	13,468	Roma Financial Corp.		166,869
	16,122	United Financial Bancorp, Inc.		207,168

				4,352,734

Tobacco - 0.2%
	28,158	Alliance One International, Inc.*		124,177
	7,915	Universal Corp.		329,185

				453,362

Trading Companies & Distributors - 0.4%
	31,325	Aceto Corp.		173,541
	14,840	Aircastle Ltd.		117,533
	26,783	H&E Equipment Services, Inc.*		283,900
	5,588	Houston Wire & Cable Co.		67,559
	18,908	TAL International Group, Inc.		224,249
	7,552	Watsco, Inc.		386,812

				1,253,594

Water Utilities - 0.1%
	17,485	Cadiz, Inc.*		186,915
	12,027	Southwest Water Co.		66,990

				253,905

Wireless Telecommunication Services - 0.1%
	21,670	Syniverse Holdings, Inc.*		371,207

		TOTAL COMMON STOCK (Cost $198,229,024)	$	225,354,177

SHORT TERM INVESTMENTS - 24.0%
MONEY MARKET FUNDS - 24.0%
	7,256,314	AIM Short Term Investment Treasury, 0.05% (a)		7,256,314
	60,236,467	Goldman Sachs Financial Square Government Fund, 0.01% (a)		60,236,467

		TOTAL SHORT TERM INVESTMENTS (Cost $67,492,781)	$	67,492,781

RIGHTS - 0.0%**
	4,870	Winthrop Realty Trust - Rights (Cost $0)	$	0

		TOTAL INVESTMENTS (Cost $265,721,805) - 103.9% (c)	$	292,846,958
		Liabilities in Excess of Other Assets - (3.9%)		(11,107,509	)

		NET ASSETS - 100.0%	$	281,739,449

Percentages are stated as a percent of net assets.


(*)	Non - Income producing security.
(†)	Less than 0.05%.


(**)	Security is fair valued.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	This security is not segregated as collateral for swap contracts. Total value of securities segregated amounted to $269,300,542.


(c)	All or a portion of these securities have been segregated as collateral for swap contracts.

Direxion Daily Small Cap Bull 3X Shares

Swap Equity Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Morgan Stanley Capital Services	Russell 2000 Index		238,000	$	139,737,202		8/2/2010	$	(5,755,665	)
Merrill Lynch International	Russell 2000 Index		303,000		176,028,128		2/24/2011		(5,192,601	)
Credit Suisse Capital, LLC	Russell 2000 Index		233,100		139,276,371		2/25/2011		(7,978,685	)
Deutsche Bank AG London	Russell 2000 Index		323,200		189,255,253		8/22/2014		(7,175,002	)

				$	644,296,954			$	(26,101,953	)

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

62 DIREXION ANNUAL REPORT

Direxion Daily Small Cap Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 88.2%
MONEY MARKET FUNDS - 88.2%
	1,000,000	AIM Short Term Investment Treasury, 0.05% (a)	$	1,000,000
	420,312,546	Goldman Sachs Financial Square Government Fund, 0.01% (a)		420,312,546

		TOTAL SHORT TERM INVESTMENTS (Cost $421,312,546)	$	421,312,546

		TOTAL INVESTMENTS (Cost $421,312,546) - 88.2% (b)	$	421,312,546
		Other Assets in Excess of Liabilities - 11.8%		56,531,772

		NET ASSETS - 100.0%	$	477,844,318

Percentages are stated as a percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $292,796,685.

Direxion Daily Small Cap Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		Appreciation

Morgan Stanley Capital Services	Russell 2000 Index		293,000	$	175,230,787		4/27/2010	$	10,227,953
Deutsche Bank AG London	Russell 2000 Index		1,475,200		850,882,154		6/18/2010		18,726,456
Merrill Lynch International	Russell 2000 Index		10,000		6,007,398		8/2/2010		371,645
Credit Suisse Capital, LLC	Russell 2000 Index		766,600		446,238,764		1/10/2011		14,042,558

				$	1,478,359,103			$	43,368,612

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

DIREXION ANNUAL REPORT 63

Direxion Daily Developed Markets Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCK - 77.2%
Australia - 3.7%
	10,070	BHP Billiton Ltd. ADR	$	660,391
	1,556	Sims Metal Management Ltd. ADR		27,510

				687,901

Belgium - 0.8%
	2,325	Delhaize Group SA ADR		157,635

Bermuda - 0.3%
	2,741	Frontline Ltd.		63,948

Britain - 18.4%
	6,870	AstraZeneca PLC ADR		308,532
	2,582	Barclays PLC ADR		53,964
	5,566	BHP Billiton PLC ADR		301,677
	165	BP PLC ADR		9,342
	1,506	British American Tobacco PLC ADR		96,730
	12,487	British Sky Broadcasting Group PLC ADR		434,173
	10,191	BT Group PLC ADR		217,578
	13,408	Cadbury PLC ADR		678,981
	3,192	Carnival PLC ADR		98,888
	404	Diageo PLC ADR		26,268
	1,501	GlaxoSmithKline PLC ADR		61,781
	5,960	HSBC Holdings PLC ADR		330,124
	6,749	Intercontinental Hotels Group PLC ADR		85,780
	3,963	Lloyds Banking Group PLC ADR		22,074
	1,160	National Grid PLC ADR		57,548
	13,113	Pearson PLC ADR		178,468
	1,383	Prudential PLC ADR		25,018
	5,421	Reed Elsevier PLC ADR		163,497
	864	Rio Tinto PLC ADR		153,818
	428	Royal Bank of Scotland Group PLC ADR*		5,842
	1,603	Smith & Nephew PLC ADR		70,901
	1,068	Tomkins PLC ADR		11,620
	1,772	Unilever PLC ADR		52,859
	962	Vodafone Group PLC ADR		21,347

				3,466,810

Denmark - 2.3%
	7,012	Novo Nordisk A/S ADR		435,796

Finland - 0.2%
	3,257	Nokia OYJ ADR		41,071

France - 6.1%
	44,418	Alcatel-Lucent ADR*		163,902
	21,128	AXA SA ADR		523,974
	8,004	Cie Generale de Geophysique-Veritas ADR*		158,799
	4,494	France Telecom SA ADR		113,339
	1,883	Sanofi-Aventis SA ADR		69,520
	1,795	Total SA ADR		107,826
	321	Veolia Environnement ADR		10,471

				1,147,831

Germany - 5.6%
	5,570	Allianz SE ADR		63,220
	9,285	Daimler AG		447,816
	393	Deutsche Bank AG		28,151
	3,306	Deutsche Telekom AG ADR		44,763
	4,871	Fresenius Medical Care AG & Co KGaA ADR		235,562
	2,014	SAP AG ADR		91,174
	1,573	Siemens AG ADR		141,601

				1,052,287

Greece - 1.0%
	3,503	Coca Cola Hellenic Bottling Co. SA ADR		91,954
	8,599	Hellenic Telecommunications Organization SA ADR		72,920
	3,614	National Bank of Greece SA ADR*		26,274

				191,148

Hong Kong - 0.2%
	12,530	Hutchison Telecommunications International Ltd. ADR		37,089

Ireland - 3.6%
	34,017	Allied Irish Banks PLC ADR		190,155
	14,276	CRH PLC ADR		353,045
	18,561	Elan Corp. PLC ADR*		101,157
	3,160	Governor & Co. of the Bank of Ireland ADR*		32,516

				676,873

Italy - 1.1%
	2,604	ENI SpA ADR		129,106
	1,621	Luxottica Group SpA ADR*		39,552
	1,289	Telecom Italia SpA ADR		20,443
	872	Telecom Italia SpA ADR		9,601

				198,702

Japan - 9.7%
	2,116	Canon, Inc. ADR		79,689
	8,440	Hitachi Ltd. ADR		271,177
	3,454	Honda Motor Co. Ltd. ADR		106,971
	1,762	Kubota Corp. ADR		67,678
	561	Kyocera Corp. ADR		46,827
	6,239	Mitsubishi UFJ Financial Group, Inc. ADR		33,129
	85,012	Mizuho Financial Group, Inc. ADR		335,797
	694	Nippon Telegraph & Telephone Corp. ADR		14,255
	38,511	Nomura Holdings, Inc. ADR		270,347
	6,405	NTT DoCoMo, Inc. ADR		92,296
	2,976	ORIX Corp. ADR		96,125
	10,243	Panasonic Corp. ADR		146,168
	8,952	Sony Corp. ADR		263,099
	116	Toyota Motor Corp. ADR		9,151

				1,832,709

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

64 DIREXION ANNUAL REPORT

Direxion Daily Developed Markets Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Luxembourg - 0.7%
	1,393	ArcelorMittal	$	47,390
	598	Millicom International Cellular SA*		37,471
	1,472	Tenaris SA ADR		52,433

				137,294

Netherlands - 8.3%
	13,860	Aegon NV		97,713
	42,734	ASML Holding NV		1,151,255
	377	ING Groep NV ADR		4,863
	905	Koninklijke Royal Philips Electronics NV		22,706
	6,213	Reed Elsevier NV ADR		143,955
	1,371	Royal Dutch Shell PLC ADR		81,451
	611	Royal Dutch Shell PLC ADR		35,536
	662	Unilever NV		20,449

				1,557,928

New Zealand - 1.8%
	38,718	Telecom Corp. of New Zealand Ltd. ADR		346,913

Norway - 0.1%
	833	StatoilHydro ASA ADR		19,709

Portugal - 0.2%
	3,450	Portugal Telecom SGPS SA ADR		39,123

Spain - 4.3%
	2,084	Banco Bilbao Vizcaya Argentaria SA ADR		37,095
	12,866	Banco Santander SA ADR		206,628
	7,585	Repsol YPF SA ADR		201,761
	4,369	Telefonica SA ADR		366,690

				812,174

Sweden - 0.7%
	12,722	Telefonaktiebolaget LM Ericsson ADR		132,309

Switzerland - 5.6%
	34,029	ABB Ltd. ADR*		630,557
	3,301	Credit Suisse Group AG ADR		175,943
	2,822	Logitech International SA*		47,974
	814	Novartis AG ADR		42,287
	9,012	STMicroelectronics NV		71,736
	1,532	Syngenta AG ADR		72,510
	555	UBS AG*		9,207

				1,050,214

United States - 2.5%
	13,969	Carnival Corp.		406,777
	1,942	Thomson Reuters Corp.		61,464

				468,241

		TOTAL COMMON STOCK (Cost $11,836,779)	$	14,553,705

INVESTMENT COMPANY - 5.4%
United States - 5.4%
	270	iPath Dow Jones-UBS Commodity Index Total Return ETN*		10,776
	2,448	iPath GSCI Total Return Index ETN*		75,154
	23,414	iShares MSCI Germany Index Fund		493,801
	45,981	iShares MSCI Japan Index Fund		439,578

		TOTAL INVESTMENT COMPANY (Cost $893,323)	$	1,019,309

SHORT TERM INVESTMENTS - 23.4%
MONEY MARKET FUNDS - 23.4%
	769,519	AIM Short Term Investment Treasury, 0.05% (a)		769,519
	3,654,124	Goldman Sachs Financial Square Government Fund, 0.01% (a)		3,654,124

		TOTAL SHORT TERM INVESTMENTS (Cost $4,423,643)	$	4,423,643

		TOTAL INVESTMENTS (Cost $17,153,745) - 106.0% (b)	$	19,996,657
		Liabilities in Excess of Other Assets - (6.0%)		(1,131,473	)

		TOTAL NET ASSETS - 100.0%	$	18,865,184


Summary by Industry (unaudited)	Value		% of Net Assets

Automobiles	$	563,937		3.0	%
Beverages		118,222		0.6
Capital Markets		483,649		2.6
Chemicals		72,510		0.4
Commercial Banks		1,273,599		6.8
Communications Equipment		337,282		1.8
Computers & Peripherals		47,974		0.3
Construction Materials		353,045		1.9
Consumer Finance		96,125		0.5
Diversified Financial Services		4,863		0.0	†
Diversified Telecommunication		1,245,625		6.6
Electrical Equipment		630,557		3.3
Electronic Equipment & Instruments		318,004		1.7
Energy Equipment & Services		211,232		1.1
Food & Staples Retailing		157,635		0.8
Food Products		752,289		4.0
Health Care Equipment & Supplies		70,901		0.4
Health Care Providers & Services		235,562		1.2
Hotels, Restaurants & Leisure		591,445		3.1

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

DIREXION ANNUAL REPORT 65

Direxion Daily Developed Markets Bull 3X Shares

Schedule of Investments

October 31, 2009


Summary by Industry (unaudited)	Value			% of Net Assets

Household Durables	$	409,267			2.2
Industrial Conglomerates		175,928			0.9
Insurance		709,925			3.8
Machinery		67,678			0.4
Media		981,558			5.2
Metals & Mining		1,190,786			6.3
Multi-Utilities		68,019			0.4
Office Electronics		79,689			0.4
Oil, Gas & Consumable Fuels		648,678			3.4
Pharmaceuticals		1,019,074			5.4
Semiconductors & Semiconductor Equipment		1,222,989			6.5
Software		91,174			0.5
Textiles, Apparel & Luxury Goods		39,552			0.2
Tobacco		96,730			0.5
Wireless Telecommunication Services		188,202			1.0
Investment Company		1,019,309			5.4
Short Term Investments		4,423,643			23.4

Total Investments		19,996,657			106.0
Liabilities in Excess of Other Assets		(1,131,473	)		(6.0	)

Net Assets	$	18,865,184			100.0	%

Percentages are stated as percent of net assets.

ADR - American Depositary Receipts.

ETN - Exchange Traded Note.


(*)	Non - Income producing security.
(†)	Less than 0.05%.
(a)	Represents annualized seven-day yield at July 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contacts. Total value of securities segregated amounted to $17,420,760.

Direxion Daily Developed Markets Bull 3X Shares

Swap Equity Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Morgan Stanley Capital Services	iShares MSCI EAFE Index		213,100	$	10,969,034		8/9/2010	$	387,539
Credit Suisse Capital, LLC	iShares MSCI EAFE Index		552,800		29,305,790		3/1/2011		138,375
Merrill Lynch International	iShares MSCI EAFE Index		4,000		220,844		4/27/2011		(7,930	)

				$	40,495,668			$	517,984

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

66 DIREXION ANNUAL REPORT

Direxion Daily Developed Markets Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 95.5%
MONEY MARKET FUNDS - 95.5%
	159,997	AIM Short Term Investment Treasury, 0.05% (a)	$	159,997
	4,198,067	Goldman Sachs Financial Square Government Fund, 0.01% (a)		4,198,067

		TOTAL SHORT TERM INVESTMENTS (Cost $4,358,064)	$	4,358,064

		TOTAL INVESTMENTS (Cost $4,358,064) - 95.5% (b)	$	4,358,064
		Other Assets in Excess of Liabilities - 4.5%		207,437

		TOTAL NET ASSETS - 100.0%	$	4,565,501

Percentages are stated as percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $2,968,410.

Direxion Daily Developed Markets Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		Appreciation

Morgan Stanley Capital Services	iShares MSCI EAFE Index		33,200	$	1,779,864		8/3/2010	$	9,925
Credit Suisse Capital, LLC	iShares MSCI EAFE Index		198,400		10,630,870		1/10/2011		56,597
Merrill Lynch International	iShares MSCI EAFE Index		25,400		1,400,524		3/29/2011		46,575

				$	13,811,258			$	113,097

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

DIREXION ANNUAL REPORT 67

Direxion Daily Emerging Markets Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCKS - 70.6%
Argentina - 0.1%
	3,205	Banco Macro SA ADR	$	93,682
	9,831	Nortel Inversora SA ADR Class B*		137,241
	5,570	Telecom Argentina SA ADR*		94,133

				325,056

Bermuda - 0.0%†
	2,780	Central European Media Enterprises Ltd.*		69,889

Brazil - 22.9%
	18,465	Aracruz Celulose SA ADR*		343,818
	439,653	Banco Bradesco SA ADR		8,661,164
	24,754	Brasil Telecom Participacoes SA ADR*		1,245,869
	2,447	Brasil Telecom SA ADR*		63,010
	34,389	Braskem SA ADR*		451,184
	17,100	BRF Brasil Foods SA ADR*		827,127
	15,526	Centrais Eletricas Brasileiras SA ADR*		222,643
	13,402	Centrais Eletricas Brasileiras SA ADR *¹		170,607
	12,310	Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR Class A		744,632
	48,050	Cia de Bebidas das Americas ADR		4,328,344
	4,331	Cia de Saneamento Basico do Estado de Sao Paulo ADR		166,830
	106,737	Cia Energetica de Minas Gerais ADR		1,685,378
	30,322	Cia Paranaense de Energia ADR		533,667
	95,303	Cia Siderurgica Nacional SA ADR		3,160,247
	2,790	CPFL Energia SA ADR		145,861
	9,809	Empresa Brasileira de Aeronautica SA ADR*		198,632
	4,974	Gafisa SA ADR*		148,175
	39,139	Gerdau SA ADR		590,999
	14,145	Gol Linhas Aereas Inteligentes SA ADR*		145,269
	92,040	Itau Unibanco Holding SA ADR		1,761,646
	24,002	Net Servicos de Comunicacao SA ADR*		294,985
	156,465	Petroleo Brasileiro SA ADR		7,231,812
	290,986	Petroleo Brasileiro SA ADR		11,674,357
	21,897	Tam SA ADR*		312,470
	17,269	Tele Norte Leste Participacoes SA ADR		329,147
	3,206	Tim Participacoes SA ADR		75,630
	20,383	Ultrapar Participacoes SA ADR		898,483
	266,489	Vale SA-SP ADR		6,792,804
	5,981	Vivo Participacoes SA ADR*		145,039
	31,103	Votorantim Celulose e Papel SA ADR*		427,356

				53,777,185

Chile - 2.2%
	14,749	Banco Santander Chile ADR		776,387
	2,266	Cia Cervecerias Unidas SA ADR		80,262
	34,748	Empresa Nacional de Electricidad SA ADR		1,594,586
	82,941	Enersis SA ADR		1,466,397
	19,775	Lan Airlines SA ADR		265,183
	27,016	Sociedad Quimica y Minera SA ADR		992,838

				5,175,653

China - 11.7%
	33,515	Aluminum Corp. of China Ltd. ADR*		911,608
	118,446	China Life Insurance Co. Ltd. ADR		8,126,581
	42,935	China Petroleum & Chemical Corp. ADR		3,621,997
	38,073	China Telecom Corp. Ltd. ADR		1,674,451
	640,000	E-House China Holdings Ltd. ADR*		10,950,399
	1,810	Guangshen Railway Co. Ltd. ADR		36,291
	4,095	Huaneng Power International, Inc. ADR		104,463
	12,497	PetroChina Co. Ltd. ADR*		1,500,140
	1,387	Sinopec Shanghai Petrochemical Co. Ltd. ADR*		54,592
	36,971	Yanzhou Coal Mining Co. Ltd. ADR		565,656

				27,546,178

Colombia - 0.1%
	4,429	Bancolombia SA ADR		175,300

Hong Kong - 4.6%
	152,749	China Mobile Ltd. ADR		7,137,961
	177,411	China Unicom Hong Kong Ltd. ADR		2,244,249
	9,222	CNOOC Ltd. ADR		1,373,525

				10,755,735

Hungary - 0.1%
	6,343	Magyar Telekom Telecommunications PLC ADR		135,740

India - 6.5%
	6,716	Dr. Reddy’s Laboratories Ltd. ADR		145,939
	25,649	HDFC Bank Ltd. ADR		2,837,036
	116,092	ICICI Bank Ltd. ADR		3,651,093
	141,354	Infosys Technologies Ltd. ADR		6,502,284
	59,708	Sterlite Industries India Ltd. ADR		941,595
	1,824	Tata Communications Ltd. ADR		27,780
	11,669	Tata Motors Ltd. ADR		132,793
	57,211	Wipro Ltd. ADR		981,169

				15,219,689

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

68 DIREXION ANNUAL REPORT

Direxion Daily Emerging Markets Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

Indonesia - 0.3%
	3,656	PT Indosat ADR	$	96,884
	16,489	PT Telekomunikasi Indonesia ADR		559,142

				656,026

Israel - 1.5%
	3,351	Cellcom Israel Ltd.		100,832
	13,194	Check Point Software Technologies*		409,937
	1,875	Elbit Systems Ltd.		113,456
	3,903	Nice Systems Ltd. ADR*		120,876
	6,271	Partner Communications Co. Ltd. ADR		118,208
	54,082	Teva Pharmaceutical Industries Ltd. ADR		2,730,059

				3,593,368

Luxembourg - 1.0%
	68,146	Tenaris SA ADR		2,427,361

Mexico - 2.2%
	59,406	America Movil SAB de CV ADR Series L		2,621,587
	38,041	Cemex SAB de CV ADR*		394,865
	1,606	Coca-Cola Femsa SAB de CV ADR		86,628
	2,185	Desarrolladora Homex SAB de CV ADR*		77,699
	6,847	Empresas ICA SAB de CV ADR*		59,706
	14,555	Fomento Economico Mexicano SAB de CV ADR		630,377
	3,147	Grupo Aeroportuario del Pacifico SAB de CV ADR		80,217
	33,784	Grupo Televisa SA ADR		654,058
	20,329	Telefonos de Mexico SAB de CV ADR		337,665
	22,033	Telmex Internacional SAB de CV ADR		296,564

				5,239,366

Peru - 0.3%
	9,016	Cia de Minas Buenaventura SA ADR		302,667
	4,826	Credicorp Ltd.		333,139

				635,806

Philippines - 0.1%
	3,653	Philippine Long Distance Telephone Co. ADR		194,705

Russia - 1.4%
	50,479	Mechel ADR*		866,220
	17,682	Mobile Telesystems ADR*		800,995
	12,333	Rostelecom ADR		481,604
	52,787	Vimpel-Communications ADR*		946,471
	1,557	Wimm-Bill-Dann Foods ADR*		105,222

				3,200,512

South Africa - 1.0%
	12,889	AngloGold Ashanti Ltd. ADR		483,853
	31,891	Gold Fields Ltd. ADR		406,610
	16,285	Harmony Gold Mining Co. Ltd. ADR		162,199
	21,831	Sappi Ltd. ADR		79,247
	36,866	Sasol Ltd. ADR		1,378,420

				2,510,329

South Korea - 6.3%
	128,361	Korea Electric Power Corp. ADR*		1,781,651
	19,655	KT Corp. ADR		315,463
	97,016	LG Display Co. Ltd. ADR		1,154,490
	63,062	POSCO ADR		6,439,891
	49,616	Shinhan Financial Group Co. Ltd. ADR*		3,753,451
	27,441	SK Telecom Co. Ltd. ADR		458,539
	22,691	Woori Finance Holdings Co. Ltd. ADR*		893,798

				14,797,283

Taiwan - 7.6%
	234,144	Advanced Semiconductor Engineering, Inc. ADR		906,137
	187,400	AU Optronics Corp. ADR		1,654,742
	145,755	Chunghwa Telecom Co. Ltd. ADR		2,533,222
	180,586	Siliconware Precision Industries Co. ADR		1,215,344
	1,054,343	Taiwan Semiconductor Manufacturing Co. Ltd. ADR		10,058,431
	488,149	United Microelectronics Corp. ADR		1,606,010

				17,973,886

Turkey - 0.5%
	66,705	Turkcell Iletisim Hizmet AS ADR		1,095,963

United States - 0.2%
	18,063	Southern Copper Corp.		568,985

		TOTAL COMMON STOCKS (Cost $138,638,137)	$	166,074,015

INVESTMENT COMPANY - 4.8%
United States - 4.8%
	107,413	iShares MSCI South Korea Index Fund		4,605,869
	582,759	iShares MSCI Taiwan Index Fund		6,765,832

				11,371,701

		TOTAL INVESTMENT COMPANY (Cost $9,813,696)	$	11,371,701

PREFERRED SHARES - 2.8%
Brazil - 2.8%
	287,773	Vale SA-SP ADR¹		6,647,556

		TOTAL PREFERRED SHARES (Cost $4,667,073)	$	6,647,556

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

DIREXION ANNUAL REPORT 69

Direxion Daily Emerging Markets Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS
MONEY MARKET FUNDS - 29.4%
	4,285,139	AIM Short Term Investment Treasury, 0.05% (a)	$	4,285,139
	64,738,945	Goldman Sachs Financial Square Government Fund, 0.01% (a)		64,738,945

		TOTAL SHORT TERM INVESTMENTS (Cost $69,024,084)	$	69,024,084

		TOTAL INVESTMENTS (Cost $222,142,990) - 107.6% (b)		253,117,356
		Liabilities in Excess of Other Assets - (7.6%)		(17,966,583	)

		TOTAL NET ASSETS - 100.0%	$	235,150,773


Summary by Industry (unaudited)	Value			% of Net Assets

Aerospace & Defense	$	312,089			0.1	%
Airlines		722,922			0.3
Beverages		5,125,610			2.2
Chemicals		1,498,614			0.6
Commercial Banks		22,936,696			9.7
Construction & Engineering		59,706			0.0	†
Construction Materials		394,866			0.2
Diversified Telecommunication		11,421,749			4.8
Electric Utilities		6,006,204			2.6
Electronic Equipment, Instruments		2,809,232			1.2
Energy Equipment & Services		2,427,361			1.0
Food & Staples Retailing		744,632			0.3
Food Products		932,349			0.4
Household Durables		225,874			0.1
Independent Power Producers & Energy Traders		1,699,049			0.7
Insurance		8,126,580			3.5
Investment Company		11,371,701			4.8
IT Services		7,483,453			3.2
Machinery		132,793			0.1
Media		1,018,932			0.4
Metals & Mining		28,275,235			12.0
Oil, Gas & Consumable Fuels		28,244,390			12.0
Paper & Forest Products		850,420			0.4
Pharmaceuticals		2,875,998			1.2
Real Estate Management & Development		10,950,400			4.7
Road & Rail		36,291			0.0	†
Semiconductors & Semiconductor Equipment		13,785,924			5.9
Software		530,813			0.2
Transportation Infrastructure		80,217			0.0	†
Water Utilities		166,830			0.1
Wireless Telecommunication Services		12,846,342			5.5
Short Term Investments		69,024,084			29.4

Total Investments		253,117,356			107.6
Liabilities in Excess of Other Assets		(17,966,583	)		(7.6	)

Total Net Assets	$	235,150,773			100.0	%

Percentages are stated as a percent of net assets.

ADR - American Depository Receipts.


(*)	Non - Income producing security.
(†)	Less than 0.05%.
(1)	Preferred shares.
(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $223,524,415.

Direxion Daily Emerging Markets Bull 3X Shares

Swap Equity Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Deutsche Bank AG London	iShares MSCI Emerging Market Index		3,944,300	$	157,758,902		6/30/2010	$	(9,683,517	)
Morgan Stanley Capital Services	iShares MSCI Emerging Market Index		3,326,800		130,364,064		8/10/2010		(5,426,809	)
Credit Suisse Capital, LLC	iShares MSCI Emerging Market Index		4,774,000		175,701,447		2/7/2011		3,441,410
Merrill Lynch International	iShares MSCI Emerging Market Index		1,837,950		72,554,775		2/24/2011		(3,536,560	)

				$	536,379,188			$	(15,205,476	)

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

70 DIREXION ANNUAL REPORT

Direxion Daily Emerging Markets Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 93.2%
MONEY MARKET FUNDS - 93.2%
	20,301,646	AIM Short Term Investment Treasury, 0.05% (a)	$	20,301,646
	76,324,787	Goldman Sachs Financial Square Government Fund, 0.01% (a)		76,324,787

		TOTAL SHORT TERM INVESTMENTS (Cost $96,626,433)	$	96,626,433

		TOTAL INVESTMENTS (Cost $96,626,433) - 93.2% (b)	$	96,626,433
		Other Assets in Excess of Liabilities - 6.8%		7,036,909

		TOTAL NET ASSETS - 100.0%	$	103,663,342

Percentages are stated as a percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $60,149,943.

Direxion Daily Emerging Markets Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Credit Suisse Capital, LLC	iShares MSCI Emerging Market Index		1,732,930	$	65,806,313		5/6/2010	$	724,805
Deutsche Bank AG London	iShares MSCI Emerging Market Index		1,103,300		41,465,856		6/25/2010		(76,312	)
Morgan Stanley Capital Services	iShares MSCI Emerging Market Index		1,616,800		58,032,699		8/10/2010		(2,699,134	)
Merrill Lynch International	iShares MSCI Emerging Market Index		3,832,600		148,724,110		2/24/2011		4,764,300

				$	314,028,978			$	2,713,659

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

DIREXION ANNUAL REPORT 71

Direxion Daily Energy Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCKS - 81.1%
Electrical Equipment - 0.1%
	660	First Solar, Inc.*	$	80,474

Energy Equipment & Services - 12.1%
	5,515	Atwood Oceanics, Inc.*		195,727
	28,999	Baker Hughes, Inc.		1,219,988
	21,941	BJ Services Co.		421,267
	351	Diamond Offshore Drilling, Inc.		33,433
	1,849	Dresser-Rand Group, Inc.*		54,490
	53,653	Halliburton Co.		1,567,204
	4,295	Nabors Industries Ltd.*		89,465
	45,937	National Oilwell Varco, Inc.*		1,882,958
	6,943	Oil States International, Inc.*		239,117
	19,277	Patterson-UTI Energy, Inc.		300,336
	22,295	Pride International, Inc.*		659,040
	37,588	Rowan Cos, Inc.		873,921
	57,509	Schlumberger Ltd.		3,577,060
	51,789	SEACOR Holdings, Inc.*		4,208,892
	1,487	Seahawk Drilling, Inc.*		40,149
	14,984	Superior Energy Services, Inc.*		323,804
	15,554	Unit Corp.*		607,850

				16,294,701

Gas Utilities - 6.7%
	215,153	EQT Corp.		9,006,305

Oil, Gas & Consumable Fuels - 62.2%
	6,790	Alpha Natural Resources, Inc.*		230,656
	21,831	Anadarko Petroleum Corp.		1,330,163
	69	Apache Corp.		6,494
	12,088	Arch Coal, Inc.		261,826
	19,307	Chesapeake Energy Corp.		473,022
	190,294	Chevron Corp.		14,565,102
	24,413	Cimarex Energy Co.		956,013
	17,932	CNX Gas Corp.*		499,586
	3,894	Comstock Resources, Inc.*		160,004
	30,841	Concho Resources, Inc*		1,175,351
	242,111	ConocoPhillips		12,149,130
	10,005	Consol Energy, Inc.		428,314
	5,253	Continental Resources, Inc.*		195,464
	12,991	Denbury Resources, Inc.*		189,669
	6,553	Devon Energy Corp.		424,045
	85,160	El Paso Corp.		835,420
	274	Encore Acquisition Co.*		10,157
	33,286	EOG Resources, Inc.		2,718,135
	11,510	EXCO Resources, Inc.		179,786
	295,282	Exxon Mobil Corp.		21,162,860
	5,354	Frontier Oil Corp.		74,206
	24,248	Hess Corp.		1,327,336
	16,194	Holly Corp.		469,788
	13,366	Marathon Oil Corp.		427,311
	37,736	Murphy Oil Corp.		2,307,179
	3,716	Newfield Exploration Co.*		152,430
	37,316	Noble Energy, Inc.		2,449,049
	66,560	Occidental Petroleum Corp.		5,050,573
	10,449	Peabody Energy Corp.		413,676
	10,274	PetroHawk Energy Corp.*		241,644
	5,813	Plains Exploration & Production Co.*		154,045
	33,044	Range Resources Corp.		1,653,852
	8,083	Southwestern Energy Co.*		352,257
	273,775	Spectra Energy Corp.		5,234,578
	84,335	Sunoco, Inc.		2,597,518
	16,724	Tesoro Corp.		236,477
	29,005	Valero Energy Corp.		524,991
	29,630	Williams Cos, Inc.		558,526
	26,896	XTO Energy, Inc.		1,117,798

				83,294,431

		TOTAL COMMON STOCK (Cost $91,678,774)	$	108,675,911

SHORT TERM INVESTMENTS - 16.3%
MONEY MARKET FUNDS - 16.3%
	21,773,121	Goldman Sachs Financial Square Government Fund, 0.01% (a)		21,773,121

		TOTAL SHORT TERM INVESTMENTS (Cost $21,773,121)	$	21,773,121

		TOTAL INVESTMENTS (Cost $113,451,895) - 97.4% (b)	$	130,449,032
		Other Assets in Excess of Liabilities - 2.6%		3,467,801

		TOTAL NET ASSETS - 100.0%	$	133,916,833

Percentages are stated as a percent of net assets.


(*)	Non - Income producing security.
(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $113,908,703.

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

72 DIREXION ANNUAL REPORT

Direxion Daily Financial Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCK - 77.0%
Capital Markets - 14.0%
	25,630	Affiliated Managers Group, Inc.*	$	1,627,249
	158,398	Ameriprise Financial, Inc.		5,491,659
	742,383	Bank of New York Mellon Corp.		19,791,931
	12,496	BlackRock, Inc.		2,705,259
	589,636	Charles Schwab Corp.		10,224,288
	72,379	Eaton Vance Corp.		2,054,840
	54,812	Federated Investors, Inc. Class B		1,438,815
	93,561	Franklin Resources, Inc.		9,789,287
	118,068	GLG Partners, Inc.*		309,338
	312,628	Goldman Sachs Group, Inc.		53,199,907
	12,720	Greenhill & Co., Inc.		1,096,846
	258,069	Invesco Ltd.		5,458,159
	26,947	Investment Technology Group, Inc.*		581,247
	113,096	Janus Capital Group, Inc.		1,483,820
	72,034	Jefferies Group, Inc.*		1,880,087
	47,518	Lazard Ltd. Class A		1,793,805
	99,430	Legg Mason, Inc.		2,894,407
	844,072	Morgan Stanley		27,111,593
	149,634	Northern Trust Corp.		7,519,108
	60,790	Raymond James Financial, Inc.		1,435,252
	75,155	SEI Investments Co.		1,312,958
	306,643	State Street Corp.		12,872,873
	158,653	T. Rowe Price Group, Inc.		7,731,161
	162,325	TD Ameritrade Holding Corp.*		3,132,873
	53,446	Waddell & Reed Financial, Inc.		1,499,695

				184,436,457

Commercial Banks - 13.4%
	79,405	Associated Banc-Corp.		1,017,178
	51,753	Bancorpsouth, Inc.		1,168,583
	29,694	Bank of Hawaii Corp.		1,318,414
	426,378	BB&T Corp.		10,194,698
	12,550	BOK Financial Corp.		539,273
	152,047	CapitalSource, Inc.		541,287
	26,750	City National Corp.		1,007,672
	93,849	Comerica, Inc.		2,604,310
	37,356	Commerce Bancshares, Inc.		1,432,976
	32,116	Cullen/Frost Bankers, Inc.		1,502,708
	493,896	Fifth Third Bancorp		4,415,430
	3,748	First Citizens BancShares, Inc.		558,452
	135,602	First Horizon National Corp.*		1,604,172
	109,044	Fulton Financial Corp.		900,703
	443,588	Huntington Bancshares, Inc.		1,690,070
	545,581	KeyCorp		2,940,682
	47,317	M&T Bank Corp.		2,973,873
	322,642	Marshall & Ilsley Corp.		1,716,455
	285,733	PNC Financial Services Group, Inc.		13,983,773
	397,155	Popular, Inc.		857,855
	717,282	Regions Financial Corp.		3,471,645
	309,746	SunTrust Banks, Inc.		5,919,246
	235,369	Synovus Financial Corp.		522,519
	79,550	TCF Financial Corp.		941,077
	1,178,406	U.S. Bancorp		27,362,587
	88,052	Valley National Bancorp		1,169,331
	2,953,543	Wells Fargo & Co.		81,281,503
	59,592	Whitney Holding Corp.		478,524
	43,042	Wilmington Trust Corp.		518,656
	84,468	Zions Bancorporation		1,196,067

				175,829,719

Consumer Finance - 3.1%
	630,117	American Express Co.		21,953,276
	55,836	AmeriCredit Corp.*		985,505
	280,482	Capital One Financial Corp.		10,265,641
	332,672	Discover Financial Services		4,703,982
	290,312	SLM Corp.*		2,816,026
	2,483	Student Loan Corp.		104,410

				40,828,840

Diversified Financial Services - 18.6%
	5,372,600	Bank of America Corp.		78,332,508
	241,505	CIT Group, Inc.		173,884
	9,431,821	Citigroup, Inc.		38,576,148
	41,211	CME Group, Inc.		12,470,861
	25,213	Interactive Brokers Group, Inc. Class A*		403,660
	45,231	IntercontinentalExchange, Inc.*		4,531,694
	2,334,457	JPMorgan Chase & Co.		97,510,269
	116,269	Leucadia National Corp.*		2,612,564
	116,514	Moody’s Corp.		2,759,052
	62,166	MSCI, Inc. Class A*		1,889,846
	84,100	NASDAQ OMX Group, Inc.*		1,518,846
	161,459	NYSE Euronext		4,173,715

				244,953,047

Insurance - 13.9%
	290,285	Aflac, Inc.		12,043,925
	3,451	Alleghany Corp.*		862,750
	30,757	Allied World Assurance Co. Holdings Ltd.		1,376,683
	333,087	Allstate Corp.		9,849,382
	53,405	American Financial Group, Inc.		1,313,763
	75,111	American International Group, Inc.*		2,525,232
	9,891	American National Insurance Co.		825,800
	171,892	AON Corp.		6,619,561
	32,491	Arch Capital Group Ltd.*		2,188,919
	62,250	Arthur J. Gallagher & Co.		1,388,797
	51,498	Aspen Insurance Holdings Ltd.		1,328,648
	73,127	Assurant, Inc.		2,188,691
	88,433	Axis Capital Holdings Ltd.		2,554,829

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

DIREXION ANNUAL REPORT 75

Direxion Daily Financial Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares				Value

	Insurance (continued	)
	72,424		Brown & Brown, Inc.	$	1,330,429
	218,665		Chubb Corp.		10,609,626
	89,846		Cincinnati Financial Corp.		2,278,495
	16,705		CNA Financial Corp.*		363,668
	30,697		Endurance Specialty Holdings Ltd.		1,104,785
	18,328		Erie Indemnity Co.		646,062
	38,218		Everest Re Group Ltd.		3,343,693
	145,825		Fidelity National Financial, Inc. Class A		1,978,845
	57,894		First American Corp.		1,759,399
	303,382		Genworth Financial, Inc.*		3,221,917
	31,750		Hanover Insurance Group, Inc.		1,335,722
	202,093		Hartford Financial Services Group, Inc.		4,955,320
	69,675		HCC Insurance Holdings, Inc.		1,838,723
	187,601		Lincoln National Corp.		4,470,532
	203,498		Loews Corp.		6,735,784
	6,092		Markel Corp.*		1,965,888
	324,495		Marsh & McLennan Cos, Inc.		7,612,653
	81,833		MBIA, Inc.*		332,242
	16,567		Mercury General Corp.		604,033
	358,348		MetLife, Inc.		12,194,582
	149,385		Old Republic International Corp.		1,595,432
	14,411		OneBeacon Insurance Group Ltd.		171,779
	35,143		PartnerRe Ltd.		2,687,737
	192,934		Principal Financial Group, Inc.		4,831,067
	422,915		Progressive Corp.*		6,766,640
	53,148		Protective Life Corp.		1,023,099
	286,091		Prudential Financial, Inc.		12,939,896
	45,182		Reinsurance Group of America, Inc.		2,082,890
	38,705		RenaissanceRe Holdings Ltd.		2,032,012
	30,439		StanCorp Financial Group, Inc.		1,117,416
	51,377		Torchmark Corp.		2,085,906
	16,938		Transatlantic Holdings, Inc.		855,369
	340,096		Travelers Cos, Inc.		16,933,380
	26,137		Unitrin, Inc.		512,285
	205,719		Unum Group		4,104,094
	58,523		Validus Holdings Ltd.		1,480,632
	835		Wesco Financial Corp.		273,880
	4,853		White Mountains Insurance Group Ltd.		1,501,567
	83,455		W.R. Berkley Corp.		2,063,008
	212,445		XL Capital Ltd. Class A		3,486,222

					182,293,689

IT Services - 3.9%
	33,003		Alliance Data Systems Corp.*		1,814,505
	87,113		Broadridge Financial Solutions, Inc.		1,812,822
	204,129		Fidelity National Information Services, Inc.		4,441,847
	96,628		Fiserv, Inc.*		4,432,326
	49,926		Global Payments, Inc.		2,457,857
	59,337		Lender Processing Services, Inc.		2,361,613
	52,866		Mastercard, Inc. Class A		11,578,711
	100,520		Total System Services, Inc.		1,605,304
	279,038		Visa, Inc. Class A		21,139,919

					51,644,904

Media - 0.1%
	22,549		Interactive Data Corp.		593,039
	12,137		Morningstar, Inc.*		619,230

					1,212,269

Professional Services - 0.4%
	33,021		Dun & Bradstreet Corp.		2,528,088
	78,392		Equifax, Inc.		2,146,373

					4,674,461

Real Estate Investment Trusts - 8.1%
	24,454		Alexandria Real Estate Equities, Inc.		1,324,673
	90,806		AMB Property Corp.		1,995,916
	338,041		Annaly Capital Management, Inc.		5,716,273
	72,719		Apartment Investment & Management Co.		898,080
	49,620		AvalonBay Communities, Inc.		3,412,864
	86,039		Boston Properties, Inc.		5,228,590
	79,835		Brandywine Realty Trust		763,223
	31,826		BRE Properties, Inc.		866,622
	41,411		Camden Property Trust		1,501,149
	416,272		Chimera Investment Corp.		1,452,789
	35,625		Corporate Office Properties Trust		1,182,394
	47,265		Digital Realty Trust, Inc.		2,133,069
	75,329		Douglas Emmett, Inc.		888,882
	138,998		Duke Realty Corp.		1,562,338
	170,061		Equity Residential		4,911,362
	17,045		Essex Property Trust, Inc.		1,281,443
	36,701		Federal Realty Investment Trust		2,166,460
	182,019		HCP, Inc.		5,385,942
	74,454		Health Care REIT, Inc.		3,303,524
	75,844		Hospitality Properties Trust		1,464,548
	373,965		Host Hotels & Resorts, Inc.*		3,780,786
	138,911		HRPT Properties Trust		976,544
	233,717		Kimco Realty Corp.		2,954,183
	69,337		Liberty Property Trust		2,036,428
	58,553		Macerich Co.		1,744,879
	48,582		Mack-Cali Realty Corp.		1,503,613

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

76 DIREXION ANNUAL REPORT

Direxion Daily Financial Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares				Value

	Real Estate Investment Trusts (continued	)
	63,927		Nationwide Health Properties, Inc.	$	2,061,646
	101,102		Plum Creek Timber Co., Inc.		3,163,482
	274,869		ProLogis		3,114,266
	83,469		Public Storage		6,143,318
	49,058		Rayonier, Inc.		1,892,658
	64,780		Realty Income Corp.		1,501,600
	49,694		Regency Centers Corp.		1,667,234
	78,848		Senior Housing Properties Trust		1,520,189
	148,564		Simon Property Group, Inc.		10,086,010
	47,706		SL Green Realty Corp.		1,849,085
	32,990		Taubman, Centers Inc.		1,006,525
	93,435		UDR, Inc.		1,343,595
	97,194		Ventas, Inc.		3,900,395
	95,159		Vornado Realty Trust		5,667,670
	64,838		Weingarten Realty Investors		1,199,503

					106,553,750

Real Estate Management & Services - 0.4%
	146,661		CB Richard Ellis Group, Inc. Class A*		1,517,941
	68,085		Forest City Enterprises, Inc. Class A*		593,701
	25,942		Jones Lang Lasalle, Inc.		1,215,383
	57,434		St. Joe Co.*		1,374,969

					4,701,994

Software - 0.1%
	25,908		Factset Research Systems, Inc.		1,659,407

Thrifts & Mortgage Finance - 1.0%
	12,418		Capitol Federal Financial		376,638
	116,055		First Niagara Financial Group, Inc.		1,490,146
	290,494		Hudson City Bancorp, Inc.		3,817,091
	214,375		New York Community Bancorp, Inc.		2,313,106
	214,424		People’s United Financial Inc.		3,437,217
	51,489		TFS Financial Corp.		600,362
	69,702		Washington Federal, Inc.		1,195,389

					13,229,949

			TOTAL COMMON STOCK (Cost $727,888,625)	$	1,012,018,486

SHORT TERM INVESTMENTS - 21.1%
MONEY MARKET FUNDS - 21.1%
	101,651,681		Aim Short Term Investment Treasury, 0.05% (a)		101,651,681
	175,495,052		Goldman Sachs Financial Square Government Fund, 0.01% (a)		175,495,052

			TOTAL SHORT TERM INVESTMENTS (Cost $277,146,733)	$	277,146,733

			TOTAL INVESTMENTS (Cost $1,005,035,358) - 98.1% (b)	$	1,289,165,219
			Other Asset in Excess of Liabilities - 1.9%		25,053,298

			TOTAL NET ASSETS - 100.0%	$	1,314,218,517

Percentages are stated as percentage of net assets.


(*)	Non - Income producing security.
(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,228,309,742.

Direxion Daily Financial Bull 3X Shares

Swap Equity Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		Depreciation

Morgan Stanley Capital Services	Russell 1000 Financial Services Index		445,000	$	353,945,275		7/30/2010	$	(24,227,014	)
Credit Suisse Capital, LLC	Russell 1000 Financial Services Index		2,358,800		1,781,551,826		2/7/2011		(31,013,155	)
Merrill Lynch International	Russell 1000 Financial Services Index		679,000		523,936,676		2/24/2011		(20,812,712	)
Deutsche Bank AG London	Russell 1000 Financial Services Index		473,000		363,665,549		7/17/2014		(13,262,601	)

				$	3,023,099,326			$	(89,315,482	)

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

DIREXION ANNUAL REPORT 77

Direxion Daily Financial Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 100.1%
MONEY MARKET FUNDS - 100.1%
	79,222,165	AIM Short Term Investment Treasury, 0.05% (a)	$	79,222,165
	1,137,640,030	Goldman Sachs Financial Square Government Fund, 0.01% (a)		1,137,640,030

		TOTAL SHORT TERM INVESTMENTS (Cost $1,216,862,195)	$	1,216,862,195

		TOTAL INVESTMENTS (Cost $1,216,862,195) - 100.1% (b)	$	1,216,862,195
		Liabilities in Excess of Other Assets - (0.1%)		(798,733	)

		TOTAL NET ASSETS - 100.0%	$	1,216,063,462

Percentages are stated as percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $774,068,535.

Direxion Daily Financial Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		Appreciation

Morgan Stanley Capital Services	Russell 1000 Financial Services Index		360,000	$	268,517,486		8/17/2010	$	1,725,814
Credit Suisse Capital, LLC	Russell 1000 Financial Services Index		2,285,600		1,731,377,566		1/10/2011		34,724,435
Merrill Lynch International	Russell 1000 Financial Services Index		669,000		514,963,680		2/24/2011		18,839,135
Deutsche Bank AG London	Russell 1000 Financial Services Index		1,608,000		1,226,998,132		6/25/2014		34,812,416

				$	3,741,856,864			$	90,101,800

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

78 DIREXION ANNUAL REPORT

Direxion Daily Technology Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCKS - 71.3%
Communications Equipment - 10.3%
	19,344	Brocade Communications Systems, Inc.*	$	165,972
	4,188	Ciena Corp.*		49,125
	266,406	Cisco Systems, Inc.*		6,087,377
	4,323	CommScope, Inc.*		116,807
	1,751	EchoStar Corp. Class A*		31,798
	3,629	F5 Networks, Inc.*		162,906
	6,115	Harris Corp.		255,118
	9,738	JDS Uniphase Corp.*		54,435
	24,164	Juniper Networks, Inc.*		616,424
	105,881	Motorola, Inc.		907,400
	76,442	QUALCOMM, Inc.		3,165,463
	18,280	Tellabs, Inc.*		110,046

				11,722,871

Computers & Peripherals - 22.0%
	41,205	Apple, Inc.*		7,767,142
	79,121	Dell, Inc.*		1,146,463
	3,060	Diebold, Inc.		92,534
	92,976	EMC Corp.*		1,531,315
	110,455	Hewlett-Packard Co.		5,242,194
	61,032	International Business Machines Corp.		7,361,070
	7,325	NCR Corp.*		74,349
	15,370	NetApp, Inc.*		415,759
	5,489	QLogic Corp.*		96,277
	10,478	SanDisk Corp.*		214,589
	22,700	Seagate Technology		316,665
	34,552	Sun Microsystems, Inc.*		282,635
	7,977	Teradata Corp.*		222,399
	10,295	Western Digital Corp.*		346,736

				25,110,127

Electronic Equipment, Instruments - 2.2%
	7,911	Amphenol Corp. Class A		317,389
	5,524	Arrow Electronics, Inc.*		139,978
	6,977	Avnet, Inc.*		172,890
	2,250	AVX Corp.		25,470
	71,770	Corning, Inc.		1,048,559
	2,423	Dolby Laboratories, Inc. Class A*		101,621
	6,939	FLIR Systems, Inc.*		192,974
	7,477	Ingram Micro, Inc. Class A*		131,969
	8,669	Jabil Circuit, Inc.		115,991
	6,083	Molex, Inc.		113,570
	5,521	Trimble Navigation Ltd.*		115,775
	8,616	Vishay Intertechnology, Inc.*		53,678

				2,529,864

Internet Software & Services - 6.5%
	7,983	Akamai Technologies, Inc.*		175,626
	1,753	Equinix, Inc.*		149,566
	11,061	Google, Inc. Class A*		5,930,024
	1,387	Sohu.com, Inc.*		77,117
	8,906	VeriSign, Inc.*		203,146
	54,857	Yahoo!, Inc.*		872,226

				7,407,705

IT Services - 1.4%
	4,201	Affiliated Computer Services, Inc. Class A*		218,830
	8,939	Amdocs Ltd.*		225,263
	13,492	Cognizant Technology Solutions Corp. Class A*		521,465
	6,997	Computer Sciences Corp.*		354,818
	1,777	DST Systems, Inc.*		74,119
	3,338	Neustar, Inc. Class A*		77,108
	9,599	SAIC, Inc.*		169,998

				1,641,601

Professional Services - 0.1%
	2,206	IHS, Inc. Class A*		114,183

Semiconductors & Semiconductor Equipment - 10.8%
	25,798	Advanced Micro Devices, Inc.*		118,671
	13,553	Altera Corp.		268,214
	13,452	Analog Devices, Inc.		344,775
	61,400	Applied Materials, Inc.		749,080
	20,822	Atmel Corp.*		77,458
	22,692	Broadcom Corp. Class A*		603,834
	4,769	Cree, Inc.*		200,775
	7,155	Cypress Semiconductor Corp.*		60,317
	5,720	Fairchild Semiconductor International, Inc.*		42,786
	7,635	Integrated Device Technology, Inc.*		44,894
	257,959	Intel Corp.		4,929,595
	3,314	International Rectifier Corp.*		60,580
	5,645	Intersil Corp. Class A		70,845
	7,847	KLA-Tencor Corp.		255,106
	5,838	Lam Research Corp.*		196,857
	10,266	Linear Technology Corp.		265,684
	29,971	LSI Corp.*		153,452
	23,786	Marvell Technology Group Ltd.*		326,344
	14,078	Maxim Integrated Products, Inc.		234,680
	10,323	MEMC Electronic Materials, Inc.*		128,212
	8,446	Microchip Technology, Inc.		202,366
	39,111	Micron Technology, Inc.*		265,564
	10,605	National Semiconductor Corp.		137,229
	4,510	Novellus Systems, Inc.*		92,816
	25,228	NVIDIA Corp.*		301,727
	19,415	ON Semiconductor Corp.*		129,886
	10,287	PMC - Sierra, Inc.*		87,645
	4,825	Rambus, Inc.*		77,200
	2,064	Silicon Laboratories, Inc.*		86,482
	7,996	Teradyne, Inc.*		66,927
	58,818	Texas Instruments, Inc.		1,379,281
	3,378	Varian Semiconductor Equipment Associates, Inc.*		95,901
	12,660	Xilinx, Inc.		275,355

				12,330,538

Software - 16.9%
	25,794	Activision Blizzard, Inc.*		279,349
	24,190	Adobe Systems, Inc.*		796,819
	4,048	ANSYS, Inc.*		164,268
	10,538	Autodesk, Inc.*		262,712

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

DIREXION ANNUAL REPORT 79

Direxion Daily Technology Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares				Value

	Software (continued	)
	8,542		BMC Software, Inc.*	$	317,421
	18,141		CA, Inc.		379,510
	12,171		Cadence Design Systems, Inc.*		74,365
	8,358		Citrix Systems, Inc.*		307,240
	11,176		Compuware Corp.*		78,903
	14,917		Electronic Arts, Inc.*		272,086
	14,922		Intuit, Inc.*		433,783
	7,177		McAfee, Inc.*		300,573
	3,714		Micros Systems, Inc.*		99,981
	355,977		Microsoft Corp.		9,871,241
	15,907		Novell, Inc.*		65,060
	10,036		Nuance Communications, Inc.*		131,572
	176,543		Oracle Corp.		3,725,056
	8,728		Red Hat, Inc.*		225,270
	4,672		Rovi Corp.*		128,714
	5,003		Salesforce.com, Inc.*		283,920
	3,841		Sybase, Inc.*		151,950
	37,919		Symantec Corp.*		666,616
	6,657		Synopsys, Inc.*		146,454
	2,372		VMware, Inc. Class A*		91,156

					19,254,019

Wireless Telecommunication Services - 1.1%
	18,369		American Tower Corp. Class A*		676,347
	13,433		Crown Castle International Corp.*		405,945
	5,377		SBA Communications Corp. Class A*		151,685

					1,233,977

			TOTAL COMMON STOCKS (Cost $61,541,548)	$	81,344,885

SHORT TERM INVESTMENTS - 17.5%
MONEY MARKET FUNDS - 17.5%
	152		AIM Short Term Investment Treasury, 0.05% (a)		152
	19,959,112		Goldman Sachs Financial Square Government Fund, 0.01% (a)		19,959,112

			TOTAL SHORT TERM INVESTMENTS (Cost $19,959,264)	$	19,959,264

			TOTAL INVESTMENTS (Cost $81,500,812) - 88.8% (b)	$	101,304,149
			Other Assets in Excess of Liabilities - 11.2%		12,760,750

			TOTAL NET ASSETS - 100.0%	$	114,064,899

Percentages are stated as a percent of net assets.


(*)	Non - Income producing security.
(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $86,035,094.

Direxion Daily Technology Bull 3X Shares

Swap Equity Contracts

October 31, 2009


									Unrealized
			Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity		Contracts		Amount		Date		(Depreciation)

Deutsche Bank AG London		Russell 1000 Technology Index		55,250	$	53,546,520		6/30/2010	$	(1,006,682	)
Morgan Stanley Capital Services		Russell 1000 Technology Index		58,700		56,891,674		10/18/2010		(1,049,601	)
Merrill Lynch International		Russell 1000 Technology Index		48,500		44,224,146		2/24/2011		1,897,657
Credit Suisse Capital, LLC		Russell 1000 Technology Index		111,700		103,674,186		3/1/2011		2,550,325

					$	258,336,526			$	2,391,699

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

80 DIREXION ANNUAL REPORT

Direxion Daily Technology Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 110.7%
MONEY MARKET FUNDS - 110.7%
	8,910,351	AIM Short Term Investment Treasury, 0.05% (a)	$	8,910,351
	36,989,071	Goldman Sachs Financial Square Government Fund, 0.01% (a)		36,989,071

		TOTAL SHORT TERM INVESTMENTS (Cost $45,899,422)	$	45,899,422

		TOTAL INVESTMENTS (Cost $45,899,422) - 110.7% (b)	$	45,899,422
		Liabilities in Excess of Other Assets - (10.7%)		(4,421,828	)

		TOTAL NET ASSETS - 100.0%	$	41,477,594

Percentages are stated as a percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $33,539,133.

Direxion Daily Technology Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		Depreciation

Credit Suisse Capital, LLC	Russell 1000 Technology Index		22,600	$	20,911,816		5/6/2010	$	(599,267	)
Deutsche Bank AG London	Russell 1000 Technology Index		38,050		34,563,890		6/30/2010		(1,698,922	)
Morgan Stanley Capital	Russell 1000 Technology Index		34,550		32,422,999		10/18/2010		(450,483	)
Merrill Lynch International	Russell 1000 Technology Index		35,600		32,275,363		2/24/2011		(1,629,744	)

				$	120,174,068			$	(4,378,416	)

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

DIREXION ANNUAL REPORT 81

Direxion Daily Real Estate Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

COMMON STOCKS - 81.5%
Real Estate Investment Trusts - 81.5%
	16,863	Acadia Realty Trust	$	268,122
	915	Alexander’s, Inc.*		242,402
	19,438	Alexandria Real Estate Equities, Inc.		1,052,956
	65,443	AMB Property Corp.		1,438,437
	22,785	American Campus Communities, Inc.		615,651
	52,413	Apartment Investment & Management Co. Class A		647,301
	38,460	Ashford Hospitality Trust, Inc.*		147,686
	35,752	AvalonBay Communities, Inc.		2,459,023
	43,876	BioMed Realty Trust, Inc.		595,397
	60,997	Boston Properties, Inc.		3,706,788
	55,192	Brandywine Realty Trust		527,636
	22,935	BRE Properties, Inc.		624,520
	29,239	Camden Property Trust		1,059,914
	21,450	CapLease, Inc.		73,574
	55,085	CBL & Associates Properties, Inc.		449,494
	20,169	Cedar Shopping Centers, Inc.		122,426
	27,515	Colonial Properties Trust		289,733
	25,679	Corporate Office Properties Trust		852,286
	37,449	Cousins Properties, Inc.		274,127
	89,755	DCT Industrial Trust, Inc.		406,590
	60,778	Developers Diversified Realty Corp.		522,083
	48,325	DiamondRock Hospitality Co.*		367,753
	32,363	Digital Realty Trust, Inc.		1,460,542
	43,433	Douglas Emmett, Inc.		512,509
	100,180	Duke Realty Corp.		1,126,023
	18,136	Dupont Fabros Technology, Inc.*		273,491
	11,284	EastGroup Properties, Inc.		415,364
	23,732	Education Realty Trust, Inc.		118,897
	15,644	Entertainment Properties Trust		532,209
	12,719	Equity Lifestyle Properties, Inc.		590,798
	19,314	Equity One, Inc.		288,165
	122,565	Equity Residential		3,539,677
	12,288	Essex Property Trust, Inc.		923,812
	36,729	Extra Space Storage, Inc.		351,497
	26,455	Federal Realty Investment Trust		1,561,639
	28,954	FelCor Lodging Trust, Inc.*		91,205
	24,892	First Industrial Realty Trust, Inc.		108,280
	12,289	First Potomac Realty Trust		139,480
	31,613	Franklin Street Properties Corp.		340,788
	8,313	Getty Realty Corp.		203,752
	28,960	Glimcher Realty Trust		78,192
	18,975	Gramercy Capital Corp.*		59,582
	130,143	HCP, Inc.		3,850,931
	53,611	Health Care REIT, Inc.		2,378,720
	26,545	Healthcare Realty Trust, Inc.		552,932
	22,086	Hersha Hospitality Trust		56,540
	31,295	Highwoods Properties, Inc.		861,238
	14,729	Home Properties, Inc.		577,082
	54,661	Hospitality Properties Trust		1,055,504
	265,143	Host Hotels & Resorts, Inc.		2,680,596
	100,116	HRPT Properties Trust		703,815
	33,872	Inland Real Estate Corp.		290,622
	32,130	Investors Real Estate Trust		268,928
	18,724	Kilroy Realty Corp.		517,157
	160,024	Kimco Realty Corp.		2,022,703
	26,501	Kite Realty Group Trust		98,319
	28,374	Lasalle Hotel Properties		486,898
	42,061	Lexington Realty Trust		176,236
	46,073	Liberty Property Trust		1,353,164
	9,336	LTC Properties, Inc.		221,730
	41,547	Macerich Co.		1,238,101
	34,344	Mack-Cali Realty Corp.		1,062,947
	35,870	Medical Properties Trust, Inc.		286,960
	12,631	Mid-America Apartment Communities, Inc.		553,490
	10,494	National Health Investors, Inc.		314,820
	35,773	National Retail Properties, Inc.		693,281
	46,076	Nationwide Health Properties, Inc.		1,485,951
	36,885	Omega Healthcare Investors, Inc.		559,177
	9,678	Parkway Properties, Inc.		170,817
	17,093	Pennsylvania REIT		125,292
	21,446	Post Properties, Inc.		353,645
	198,102	ProLogis		2,244,496
	8,550	PS Business Parks, Inc.		418,694
	56,510	Public Storage		4,159,135
	13,074	Ramco-Gershenson Properties Trust		115,574
	46,690	Realty Income Corp.		1,082,274
	35,816	Regency Centers Corp.		1,201,627
	6,004	Saul Centers, Inc.		184,683
	56,825	Senior Housing Properties Trust		1,095,586
	126,538	Simon Property Group, Inc.		8,590,664
	33,240	SL Green Realty Corp.		1,288,382
	12,070	Sovran Self Storage, Inc.		363,307
	33,552	Strategic Hotels & Resorts, Inc.*		59,387
	7,917	Sun Communities, Inc.		138,072
	42,591	Sunstone Hotel Investors, Inc.*		321,562
	17,819	Tanger Factory Outlet Centers, Inc.		678,369
	23,777	Taubman Centers, Inc.		725,436
	67,343	UDR, Inc.		968,392
	5,047	Universal Health Realty Income Trust		160,242
	7,760	Urstadt Biddle Properties		114,615
	1,464	Urstadt Biddle Properties Class A		20,935
	35,712	U-Store-It Trust		203,558
	70,050	Ventas, Inc.		2,811,107
	70,980	Vornado Realty Trust		4,227,568
	26,071	Washington Real Estate Investment Trust		696,096
	50,855	Weingarten Realty Investors		940,818
	6,019	Winthrop Realty Trust		53,930

		TOTAL COMMON STOCKS (Cost $83,820,375)	$	87,321,906

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

82 DIREXION ANNUAL REPORT

Direxion Daily Real Estate Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 19.6%
MONEY MARKET FUNDS - 19.6%
	6,414,292	Aim Short Term Investment Treasury, 0.05% (a)	$	6,414,292
	14,530,489	Goldman Sachs Financial Square Government Fund, 0.01% (a)		14,530,489

		TOTAL SHORT TERM INVESTMENTS (Cost $20,944,781)	$	20,944,781

RIGHTS - 0.0%**
	2,802	Winthrop Realty Trust - Rights (Cost $0)		0

		TOTAL INVESTMENTS (Cost $104,765,156) - 101.1% (b)	$	108,266,687
		Liabilities in Excess of Other Assets - (1.1%)		(1,148,881	)

		TOTAL NET ASSETS - 100.0%	$	107,117,806

Percentages are stated as a percent of net assets.


(*)	Non - Income producing security.


(**)	Security is fair valued.


(a)	Represents annualized seven-day yield at October 31, 2009.
(b)	All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $95,615,290.

Direxion Daily Real Estate Bull 3X Shares

Swap Equity Contracts

October 31, 2009


								Unrealized
		Number of		Notional		Termination		Appreciation
Counterparty	Reference Entity	Contracts		Amount		Date		(Depreciation)

Credit Suisse Capital, LLC	MSCI US REIT Index		189,800	$	102,722,891		2/7/2011	$	857,382
Merrill Lynch International	MSCI US REIT Index		206,400		118,769,614		2/24/2011		(6,281,465	)
Deutsche Bank AG London	MSCI US REIT Index		34,085		19,446,259		7/17/2014		(927,004	)

				$	240,938,764			$	(6,351,087	)

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

DIREXION ANNUAL REPORT 83

Direxion Daily Real Estate Bear 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

SHORT TERM INVESTMENTS - 119.0%
MONEY MARKET FUNDS - 119.0%
	5,960,128	AIM Short Term Investment Treasury, 0.05% (a)	$	5,960,128
	50,472,500	Goldman Sachs Financial Square Government Fund, 0.01% (a)		50,472,500

		TOTAL SHORT TERM INVESTMENTS (Cost $56,432,628)	$	56,432,628

		TOTAL INVESTMENTS (Cost $56,432,628) - 119.0% (b)	$	56,432,628
		Liabilities in Excess of Other Assets - (19.0%)		(9,016,304	)

		TOTAL NET ASSETS - 100.0%	$	47,416,324

Percentages are stated as a percent of net assets.


(a)		Represents annualized seven-day yield at October 31, 2009.


(b)		All or a portion of these securities has been segregated as collateral for swap contracts. Total value of securities segregated amounted to $33,725,430.

Direxion Daily Real Estate Bear 3X Shares

Short Equity Swap Contracts

October 31, 2009


		Number of		Notional		Termination		Unrealized
Counterparty	Reference Entity	Contracts		Amount		Date		Appreciation

Credit Suisse Capital, LLC	MSCI US REIT Index		107,500	$	60,737,439		2/22/2011	$	2,087,556
Merrill Lynch International	MSCI US REIT Index		45,200		25,517,521		2/24/2011		904,439
Deutsche Bank AG London	MSCI US REIT Index		108,925		60,161,691		7/17/2014		862,177

				$	146,416,651			$	3,854,172

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

84 DIREXION ANNUAL REPORT

Direxion Daily 10-Year Treasury Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

U.S. TREASURY OBLIGATIONS - 89.4%
U.S. TREASURY BONDS - 89.4%
	9,000,000	US Treasury Bond 3.625% 8/15/2019 (Cost $9,133,074) (b)	$	9,167,344

		TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,133,074)	$	9,167,344

SHORT TERM INVESTMENTS 8.4%
MONEY MARKET FUNDS 8.4%
	856,707	Goldman Sachs Financial Square Government Fund, 0.01% (a)		856,707

		TOTAL SHORT TERM INVESTMENTS (Cost $856,707)	$	856,707

		TOTAL INVESTMENTS (Cost $9,989,781) - 97.8%	$	10,024,051
		Other Assets in Excess of Liabilities - 2.2%		224,287

		TOTAL NET ASSETS - 100.0%	$	10,248,338

Percentages are stated as a percent of net assets.


(a)	Represents annualized seven-day yield at October 31, 2009.

(b)	All or a portion of this security has been segregated as collateral for swap contracts. Total value of securities segregated amounted to $4,587,188.

Direxion Daily 10-Year Treasury Bull 3X Shares

Swap Equity Contracts

October 31, 2009

Number of

Notional

Termination

Unrealized

Counterparty

Reference Entity

Contracts

Amount

Date

Appreciation

Credit Suisse Capital, LLC

NYSE Current 10-Year U.S. Treasury Index

21,835

21,379,765

5/6/2010

177,882

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

DIREXION ANNUAL REPORT 85

Direxion Daily 30-Year Treasury Bull 3X Shares

Schedule of Investments

October 31, 2009


Shares			Value

U.S. TREASURY OBLIGATIONS - 90.0%
U.S. TREASURY BONDS - 90.0%
	11,000,000	U.S. Treasury Bond 4.5% 8/15/2039 (Cost $11,599,874)	$	11,485,547

		TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,599,874)	$	11,485,547

SHORT TERM INVESTMENTS 10.9%
MONEY MARKET FUNDS 10.9%
	1,396,517	Goldman Sachs Financial Square Government Fund, 0.01% (a)		1,396,517

		TOTAL SHORT TERM INVESTMENTS (Cost $1,396,517)	$	1,396,517

		TOTAL INVESTMENTS (Cost $12,996,391) - 100.9% (b)	$	12,882,064
		Liabilities in Excess of Other Assets - (0.9%)		(113,980	)

		TOTAL NET ASSETS - 100.0%	$	12,768,084

Percentages are stated as percent of net assets.


(a)		Represents annualized seven-day yield at October 31, 2009.


(b)		All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $5,749,229.

Direxion Daily 30-Year Treasury Bull 3X Shares

Swap Equity Contracts

October 31, 2009

Number of

Notional

Termination

Unrealized

Counterparty

Reference Entity

Contracts

Amount

Date

Depreciation

Credit Suisse Capital, LLC

NYSE Current 30-Year U.S. Treasury Index

28,600

26,990,908

2/28/2011

(189,998

)

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

DIREXION ANNUAL REPORT 87

Statements of Assets and Liabilities

October 31, 2009


	Direxion			Direxion			Direxion		Direxion
	Daily Large			Daily Large			Daily Mid		Daily Mid
	Cap Bull			Cap Bear			Cap Bull		Cap Bear
	3X Shares			3X Shares			3X Shares		3X Shares

Assets:
Investments, at value (Note 2)	$	188,752,588		$	408,037,936		$	34,651,386	$	16,286,300
Cash		7,667,917			—			1,699,723		—
Deposits for collateral		—			—			122,929		—
Receivable for Fund shares sold		—			—			—		—
Receivable for investments sold		13,242,815			—			—		—
Due from investment adviser		—			—			—		—
Dividend and interest receivable		204,756			22,766			21,427		733
Due from broker for swaps		1,217,998			—			—		—
Unrealized appreciation on swaps		8,972,471			3,063,851			308,534		877,375
Prepaid expense and other assets		14,670			20,563			4,675		2,845

Total Assets		220,073,215			411,145,116			36,808,674		17,167,253

Liabilities:
Payable for fund shares redeemed		2,580,624			14,112,786			—		—
Payable for investments purchased		—			—			—		—
Unrealized depreciation on swaps		6,028,978			35,641,651			324,846		574,074
Due to investment adviser		177,156			162,779			17,205		3,538
Due to broker for swaps		19,665,289			—			2,820,481		170,000
Payable to custodian		—			500			—		500
Accrued expenses and other liabilities		162,203			258,272			41,073		23,097

Total Liabilities		28,614,250			50,175,988			3,203,605		771,209

Net Assets	$	191,458,965		$	360,969,128		$	33,605,069	$	16,396,044

Net Assets Consist Of:
Capital stock	$	169,063,582		$	678,804,725		$	21,349,040	$	30,820,919
Undistributed net investment income (loss)		(60,186	)		(60,107	)		5,935		—
Realized gain (loss) on investments, swaps and options		(21,371,094	)		(285,197,690	)		7,476,532		(14,728,176	)
Net unrealized appreciation (depreciation) on investments and swaps		43,826,663			(32,577,800	)		4,773,562		303,301

Net Assets	$	191,458,965		$	360,969,128		$	33,605,069	$	16,396,044

Calculation of Net Asset Value Per Share:
Net assets	$	191,458,965		$	360,969,128		$	33,605,069	$	16,396,044
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		4,050,417			16,200,417			400,000		474,970
Net assets value, redemption price and offering price per share	$	47.27		$	22.28		$	84.01	$	34.52

Cost of Investments	$	147,869,418		$	408,037,936		$	29,861,512	$	16,286,300

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

DIREXION ANNUAL REPORT 89

Statements of Assets and Liabilities

October 31, 2009


	Direxion			Direxion			Direxion			Direxion
	Daily Small			Daily Small			Daily Developed			Daily Developed
	Cap Bull			Cap Bear			Markets Bull			Markets Bear
	3X Shares			3X Shares			3X Shares			3X Shares

Assets:
Investments, at value (Note 2)	$	292,846,958		$	421,312,546		$	19,996,657		$	4,358,064
Cash		—			16,199,925			1,249,842			59,695
Deposits for collateral		16,671			—			468			—
Receivable for Fund shares sold		25,742,381			27,012,554			—			—
Receivable for investments sold		18,481,851			—			—			—
Due from investment adviser		—			—			11,517			24,623
Dividend and interest receivable		97,228			24,044			15,194			242
Due from broker for swaps		—			—			—			—
Unrealized appreciation on swaps		—			43,368,612			525,914			113,097
Prepaid expense and other assets		14,017			17,207			32,928			30,124

Total Assets		337,199,106			507,934,888			21,832,520			4,585,845

Liabilities:
Payable for fund shares redeemed		—			19,245,156			—			—
Payable for investments purchased		27,501,078			—			—			—
Unrealized depreciation on swaps		26,101,953			—			7,930			—
Due to investment adviser		155,549			186,186			—			—
Due to broker for swaps		1,495,379			10,390,000			2,935,273			—
Payable to custodian		25,368			—			—			—
Accrued expenses and other liabilities		180,330			269,228			24,133			20,344

Total Liabilities		55,459,657			30,090,570			2,967,336			20,344

Net Assets	$	281,739,449		$	477,844,318		$	18,865,184		$	4,565,501

Net Assets Consist Of:
Capital stock	$	285,732,093		$	716,151,058		$	12,508,294		$	10,875,019
Undistributed net investment income (loss)		28,680			(25,966	)		(2,476	)		—
Realized gain (loss) on investments, swaps and options		(5,044,524	)		(281,649,386	)		2,998,470			(6,422,615	)
Net unrealized appreciation (depreciation) on investments and swaps		1,023,200			43,368,612			3,360,896			113,097

Net Assets	$	281,739,449		$	477,844,318		$	18,865,184		$	4,565,501

Calculation of Net Asset Value Per Share:
Net assets	$	281,739,449		$	477,844,318		$	18,865,184		$	4,565,501
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		7,800,017			33,450,017			250,000			250,000
Net assets value, redemption price and offering price per share	$	36.12		$	14.29		$	75.46		$	18.26

Cost of Investments	$	265,721,805		$	421,312,546		$	17,153,745		$	4,358,064

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

90 DIREXION ANNUAL REPORT

Statements of Assets and Liabilities

October 31, 2009


	Direxion Daily		Direxion Daily
	Emerging		Emerging			Direxion Daily			Direxion Daily
	Markets Bull		Markets Bear			Energy Bull			Energy Bear
	3X Shares		3X Shares			3X Shares			3X Shares

Assets:
Investments, at value (Note 2)	$	253,117,356	$	96,626,433		$	130,449,032		$	70,327,363
Cash		8,680,653		—			5,854,888			1,172
Deposits for collateral		13,837		—			17,533			30,202
Receivable for Fund shares sold		5,879,052		8,792,484			10,594,347			1,248,084
Receivable for investments sold		—		—			9,592,426			—
Due from investment adviser		—		—			—			—
Dividend and interest receivable		389,624		4,845			125,723			3,794
Due from broker for swaps		—		—			36,786			—
Unrealized appreciation on swaps		3,441,410		5,489,105			3,363,408			287,111
Prepaid expense and other assets		15,455		9,935			10,681			9,116

Total Assets		271,537,387		110,922,802			160,044,824			71,906,842

Liabilities:
Payable for fund shares redeemed		—		4,446,228			—			—
Payable for investments purchased		—		—			11,373,124			—
Unrealized depreciation on swaps		18,646,886		2,775,446			3,834,642			490,833
Due to investment adviser		130,157		19,519			79,151			28,072
Due to broker for swaps		17,556,992		—			10,740,000			729
Payable to custodian		—		—			—			—
Accrued expenses and other liabilities		52,579		18,267			101,074			48,619

Total Liabilities		36,386,614		7,259,460			26,127,991			568,253

Net Assets	$	235,150,773	$	103,663,342		$	133,916,833		$	71,338,589

Net Assets Consist Of:
Capital stock	$	191,532,639	$	171,230,217		$	111,491,956		$	100,706,967
Undistributed net investment income (loss)		—		—			(11,002	)		(5,927	)
Realized gain (loss) on investments, swaps and options		27,849,244		(70,280,534	)		5,909,976			(29,158,729	)
Net unrealized appreciation (depreciation) on investments and swaps		15,768,890		2,713,659			16,525,903			(203,722	)

Net Assets	$	235,150,773	$	103,663,342		$	133,916,833		$	71,338,589

Calculation of Net Asset Value Per Share:
Net assets	$	235,150,773	$	103,663,342		$	133,916,833		$	71,338,589
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		2,000,000		14,150,000			3,200,017			5,650,017
Net assets value, redemption price and offering price per share	$	117.58	$	7.33		$	41.85		$	12.63

Cost of Investments	$	222,142,990	$	96,626,433		$	113,451,895		$	70,327,363

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

DIREXION ANNUAL REPORT 91

Statements of Assets and Liabilities

October 31, 2009


	Direxion Daily			Direxion Daily			Direxion Daily		Direxion Daily
	Financial Bull			Financial Bear			Technology Bull		Technology Bear
	3X Shares			3X Shares			3X Shares		3X Shares

Assets:
Investments, at value (Note 2)	$	1,289,165,219		$	1,216,862,195		$	101,304,149	$	45,899,422
Cash		12,467,009			3,844			1,849,717		—
Deposits for collateral		—			—			27,878		—
Receivable for Fund shares sold		236,329,264			27,446,621			—		—
Receivable for investments sold		30,732,409			—			13,743,615		—
Due from investment adviser		—			—			—		—
Dividend and interest receivable		618,959			74,297			19,933		2,443
Due from broker for swaps		—			—			71,785		—
Unrealized appreciation on swaps		—			90,101,800			4,447,982		—
Prepaid expense and other assets		47,040			62,946			9,260		7,736

Total Assets		1,569,359,900			1,334,551,703			121,474,319		45,909,601

Liabilities:
Payable for fund shares redeemed		50,333,426			117,426,370			—		—
Payable for investments purchased		107,278,638			—			—		—
Unrealized depreciation on swaps		89,315,482			—			2,056,283		4,378,416
Due to investment adviser		715,106			407,402			67,870		16,354
Due to broker for swaps		7,067,468			—			5,225,000		—
Payable to custodian		—			—			—		—
Accrued expenses and other liabilities		431,263			654,469			60,267		37,237

Total Liabilities		255,141,383			118,488,241			7,409,420		4,432,007

Net Assets	$	1,314,218,517		$	1,216,063,462		$	114,064,899	$	41,477,594

Net Assets Consist Of:
Capital stock	$	1,329,255,596		$	3,374,244,218		$	64,386,782	$	71,638,951
Undistributed net investment income (loss)		137,689			(37,366	)		—		(1,843	)
Realized gain (loss) on investments, swaps and options		(209,989,147	)		(2,248,245,190	)		27,483,081		(25,781,098	)
Net unrealized appreciation (depreciation) on investments and swaps		194,814,379			90,101,800			22,195,036		(4,378,416	)

Net Assets	$	1,314,218,517		$	1,216,063,462		$	114,064,899	$	41,477,594

Calculation of Net Asset Value Per Share:
Net assets	$	1,314,218,517		$	1,216,063,462		$	114,064,899		41,477,594
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		19,498,935			52,972,694			850,000		3,300,000
Net assets value, redemption price and offering price per share	$	67.40		$	22.96		$	134.19	$	12.57

Cost of Investments	$	1,005,035,358		$	1,216,862,195		$	81,500,812	$	45,899,422

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

92 DIREXION ANNUAL REPORT

Statements of Assets and Liabilities

October 31, 2009


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Real Estate Bull			Real Estate Bear			10-Year Treasury			10-Year Treasury
	3X Shares			3X Shares			Bull 3X Shares			Bear 3X Shares

Assets:
Investments, at value (Note 2)	$	108,266,687		$	56,432,628		$	10,024,051		$	19,921,216
Cash		3,539,700			211,489			—			—
Deposits for collateral		18,478			—			—			—
Receivable for Fund shares sold		—			—			—			—
Receivable for investments sold		14,082,664			—			—			—
Due from investment adviser		—			—			8,591			5,246
Dividend and interest receivable		121,409			2,045			69,180			629
Due from broker for swaps		—			385,339			—			—
Unrealized appreciation on swaps		857,382			3,854,172			177,882			—
Prepaid expense and other assets		8,911			13,417			2,246			2,358

Total Assets		126,895,231			60,899,090			10,281,950			19,929,449

Liabilities:
Payable for fund shares redeemed		11,360,702			9,811,002			—			—
Payable for investments purchased		5,922			—			—			—
Unrealized depreciation on swaps		7,208,469			—			—			661,160
Due to investment adviser		92,780			24,358			—			—
Due to broker for swaps		1,080,000			3,620,000			—			23,876
Payable to custodian		—			—			—			—
Accrued expenses and other liabilities		29,552			27,406			33,612			34,677

Total Liabilities		19,777,425			13,482,766			33,612			719,713

Net Assets	$	107,117,806		$	47,416,324		$	10,248,338		$	19,209,736

Net Assets Consist Of:
Capital stock	$	112,197,777		$	51,545,718		$	11,002,401		$	19,210,648
Undistributed net investment income (loss)		154,580			—			21,027			—
Realized gain (loss) on investments, swaps and options		(2,384,995	)		(7,983,566	)		(987,242	)		660,248
Net unrealized appreciation (depreciation) on investments and swaps		(2,849,556	)		3,854,172			212,152			(661,160	)

Net Assets	$	107,117,806		$	47,416,324		$	10,248,338		$	19,209,736

Calculation of Net Asset Value Per Share:
Net assets	$	107,117,806		$	47,416,324		$	10,248,338		$	19,209,736
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		1,000,000			2,250,000			200,000			300,000
Net assets value, redemption price and offering price per share	$	107.12		$	21.07		$	51.24		$	64.03

Cost of Investments	$	104,765,156		$	56,432,628		$	9,989,781		$	19,921,216

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

DIREXION ANNUAL REPORT 93

Statements of Assets and Liabilities

October 31, 2009


	Direxion Daily			Direxion Daily
	30-Year Treasury			30-Year Treasury
	Bull 3X Shares			Bear 3X Shares

Assets:
Investments, at value (Note 2)	$	12,882,064		$	93,646,843
Cash		—			—
Deposits for collateral		—			1,000
Receivable for Fund shares sold		—			—
Receivable for investments sold		—			—
Due from investment adviser		3,887			—
Dividend and interest receivable		105,012			5,185
Due from broker for swaps		—			—
Unrealized appreciation on swaps		—			—
Prepaid expense and other assets		2,660			4,464

Total Assets		12,993,623			93,657,492

Liabilities:
Payable for fund shares redeemed		—			—
Payable for investments purchased		—			—
Unrealized depreciation on swaps		189,998			1,573,476
Due to investment adviser		—			44,553
Due to broker for swaps		—			1,134,494
Payable to custodian		—			—
Accrued expenses and other liabilities		35,541			53,417

Total Liabilities		225,539			2,805,940

Net Assets	$	12,768,084		$	90,851,552

Net Assets Consist Of:
Capital stock	$	12,618,611		$	103,599,209
Undistributed net investment income (loss)		38,135			—
Realized gain (loss) on investments, swaps and options		415,663			(11,174,181	)
Net unrealized appreciation (depreciation) on investments and swaps		(304,325	)		(1,573,476	)

Net Assets	$	12,768,084		$	90,851,552

Calculation of Net Asset Value Per Share:
Net assets	$	12,768,084		$	90,851,552
Shares outstanding (unlimited shares of beneficial interest authorized, par value)		300,000			1,400,000
Net assets value, redemption price and offering price per share	$	42.56		$	64.89

Cost of Investments	$	12,996,391		$	93,646,843

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

94 DIREXION ANNUAL REPORT

Statements of Operations

Period Ended October 31, 2009


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Large Cap Bull			Large Cap Bear			Mid Cap Bull			Mid Cap Bear
	3X Shares			3X Shares			3X Shares			3X Shares

Investment income:
Dividend income	$	5,600,210		$	—		$	274,904		$	—
Interest income		58,728			252,121			2,354			8,027

Total Investment Income		5,658,938			252,121			277,258			8,027

Expenses:
Investment advisory fees		1,909,616			1,852,077			130,889			62,824
Licensing fees		338,873			318,905			20,186			8,744
Administration and accounting fees		167,989			151,159			19,970			5,129
Organization and offering fees		137,008			96,779			3,741			3,920
Professional fees		123,493			104,557			19,125			17,333
Report to shareholders		72,848			53,959			3,156			2,530
Custody fees		71,379			18,961			19,114			1,847
Insurance fees		27,251			16,460			(203	)		(307	)
Compliance fees		24,608			22,721			993			615
Transfer agent fees		12,000			12,000			10,000			19,000
Pricing fees		9,863			9,863			8,082			8,082
Trustees’ fees and expenses		6,944			6,983			500			294
Exchange listing fees		1,973			1,973			1,616			1,616
Other		13,932			47,315			2,358			2,416

Total expenses before reimbursement		2,917,777			2,713,712			239,527			134,043
Less: Reimbursement of expenses from Adviser		.(494,106	)		(366,856	)		(73,234	)		(54,465	)

Total expenses		2,423,671			2,346,856			166,293			79,578

Net investment income (loss)		3,235,267			(2,094,735	)		110,965			(71,551	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(7,051,745	)		—			(962,379	)		—
In-kind redemption		—			—			—			—
Swaps		84,264,998			(282,578,954	)		10,058,122			(14,728,176	)
Options		—			—			—			—

Net realized gain (loss) on investments, in-kind redemptions, swaps, and options		77,213,253			(282,578,954	)		9,095,743			(14,728,176	)

Change in unrealized appreciation (depreciation) on:
Investment securities		40,883,170			—			4,789,874			—
Swaps		2,943,493			(32,577,800	)		(16,312	)		303,301

Change in unrealized appreciation (depreciation) on investment securities and swaps		43,826,663			(32,577,800	)		4,773,562			303,301

Net realized and unrealized gain (loss) on investment securities, in-kind redemptions, swaps and options		121,039,916			(315,156,754	)		13,869,305			(14,424,875	)

Net increase (decrease) in net assets resulting from operations	$	124,275,183		$	(317,251,489	)	$	13,980,270		$	(14,496,426	)

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

DIREXION ANNUAL REPORT 95

Statements of Operations

Period Ended October 31, 2009


							Direxion Daily			Direxion Daily
	Direxion Daily			Direxion Daily			Developed			Developed
	Small Cap Bull			Small Cap Bear			Markets Bull			Markets Bear
	3X Shares			3X Shares			3X Shares			3X Shares

Investment income:
Dividend income (net of foreign withholding tax of $–, $–, $18,247, and $–, respectively)	$	2,852,667		$	—		$	220,205		$	—
Interest income		35,775			188,656			1,616			5,891

Total Investment Income		2,888,442			188,656			221,821			5,891

Expenses:
Investment advisory fees		1,497,342			1,503,191			71,689			40,947
Licensing fees		260,637			255,556			58,680			59,362
Administration and accounting fees		150,208			121,631			9,065			3,458
Organization and offering fees		55,949			52,715			10,155			10,601
Professional fees		99,281			87,685			17,180			16,753
Report to shareholders		46,623			37,589			1,592			1,603
Custody fees		83,319			15,628			8,407			1,772
Insurance fees		14,073			10,318			856			952
Compliance fees		14,962			16,205			592			448
Transfer agent fees		12,000			12,000			11,000			11,000
Pricing fees		9,863			9,863			8,794			8,795
Trustees’ fees and expenses		5,302			5,572			305			210
Exchange listing fees		1,973			1,973			1,759			1,759
Other		11,218			50,215			1,711			1,371

Total expenses before reimbursement		2,262,750			2,180,141			201,785			159,031
Less: Reimbursement of expenses from Adviser		(363,194	)		(275,349	)		(110,686	)		(107,147	)

Total expenses		1,899,556			1,904,792			91,099			51,884

Net investment income (loss)		988,886			(1,716,136	)		130,722			(45,993	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(491,857	)		—			(1,213,032	)		—
In-kind redemption		6,492,884			—			—			—
Swaps		89,704,279			(281,649,386	)		4,212,026			(6,422,615	)
Options		—			—			—			—

Net realized gain (loss) on investments, in-kind redemptions, swaps, and options		95,705,306			(281,649,386	)		2,998,994			(6,422,615	)

Change in unrealized appreciation (depreciation) on:
Investment securities		27,125,153			—			2,842,912			—
Swaps		(26,101,953	)		43,368,612			517,984			113,097

Change in unrealized appreciation (depreciation) on investment securities and swaps		1,023,200			43,368,612			3,360,896			113,097

Net realized and unrealized gain (loss) on investment securities, in-kind redemptions, swaps and options		96,728,506			(238,280,774	)		6,359,890			(6,309,518	)

Net increase (decrease) in net assets resulting from operations	$	97,717,392		$	(239,996,910	)	$	6,490,612		$	(6,355,511	)

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

96 DIREXION ANNUAL REPORT

Statements of Operations

Period Ended October 31, 2009


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Emerging Markets			Emerging Markets			Energy			Energy
	Bull 3X Shares			Bear 3X Shares			Bull 3X Shares			Bear 3X Shares

Investment income:
Dividend income (net of foreign withholding tax of $196,369, $–, $–, and $–, respectively)	$	2,096,896		$	—		$	2,225,099		$	—
Interest income		11,922			27,655			18,062			34,900

Total Investment Income		2,108,818			27,655			2,243,161			34,900

Expenses:
Investment advisory fees		707,040			262,124			957,906			293,558
Licensing fees		105,188			67,240			100,269			27,447
Administration and accounting fees		59,572			21,053			80,954			23,701
Organization and offering fees		10,883			11,066			31,126			19,719
Professional fees		34,993			23,025			73,824			25,501
Report to shareholders		13,043			4,870			31,166			8,572
Custody fees		16,876			4,211			23,405			5,895
Insurance fees		1,767			1,414			6,786			1,680
Compliance fees		4,995			1,812			9,349			3,918
Transfer agent fees		11,000			11,000			12,000			12,000
Pricing fees		8,795			8,795			9,808			9,808
Trustees’ fees and expenses		2,391			1,033			3,373			1,153
Exchange listing fees		1,759			1,759			1,962			1,962
Other		9,028			13,525			5,357			7,310

Total expenses before reimbursement		987,330			432,927			1,347,285			442,224
Less: Reimbursement of expenses from Adviser		(89,274	)		(100,867	)		(132,992	)		(69,846	)

Total expenses		898,056			332,060			1,214,293			372,378

Net investment income (loss)		1,210,762			(304,405	)		1,028,868			(337,478	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(5,771,800	)		—			5,596,150			—
In-kind redemption		—			—			—			—
Swaps		74,646,093			(70,280,534	)		55,513,155			(29,158,729	)
Options		—			—			—			—

Net realized gain (loss) on investments, in-kind redemptions, swaps, and options		68,874,293			(70,280,534	)		61,109,305			(29,158,729	)

Change in unrealized appreciation (depreciation) on:
Investment securities		30,974,366			—			16,997,137			—
Swaps		(15,205,476	)		2,713,659			(471,234	)		(203,722	)

Change in unrealized appreciation (depreciation) on investment securities and swaps		15,768,890			2,713,659			16,525,903			(203,722	)

Net realized and unrealized gain (loss) on investment securities, in-kind redemptions, swaps and options		84,643,183			(67,566,875	)		77,635,208			(29,362,451	)

Net increase (decrease) in net assets resulting from operations	$	85,853,945		$	(67,871,280	)	$	78,664,076		$	(29,699,929	)

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

DIREXION ANNUAL REPORT 97

Statements of Operations

Period Ended October 31, 2009


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Financial Bull			Financial Bear			Technology Bull			Technology Bear
	3X Shares			3X Shares			3X Shares			3X Shares

Investment income:
Dividend income	$	15,816,193		$	—		$	367,977		$	—
Interest income		176,316			707,571			5,617			15,256

Total Investment Income		15,992,509			707,571			373,594			15,256

Expenses:
Investment advisory fees		6,859,028			5,873,823			388,873			149,961
Licensing fees		700,302			594,968			37,335			13,706
Administration and accounting fees		559,374			469,030			34,321			11,993
Organization and offering fees		75,557			74,329			10,890			10,494
Professional fees		280,651			230,506			26,367			19,557
Report to shareholders		186,118			175,840			7,516			2,959
Custody fees		107,140			57,124			15,270			2,758
Insurance fees		26,162			20,288			1,443			1,023
Compliance fees		59,344			55,909			2,537			1,454
Transfer agent fees		20,250			20,250			11,000			11,000
Pricing fees		9,808			9,808			8,795			8,795
Trustees’ fees and expenses		21,779			20,670			1,309			614
Exchange listing fees		1,962			1,962			1,759			1,759
Other		17,596			232,207			5,796			5,241

Total expenses before reimbursement		8,925,071			7,836,714			553,211			241,314
Less: Reimbursement of expenses from Adviser		(224,739	)		(423,467	)		(58,525	)		(51,370	)

Total expenses		8,700,332			7,413,247			494,686			189,944

Net investment income (loss)		7,292,177			(6,705,676	)		(121,092	)		(174,688	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(35,189,946	)		—			(1,092,581	)		—
In-kind redemption		154,008,112			—			—			—
Swaps		1,103,136,370			(2,248,240,477	)		44,349,769			(25,781,098	)
Options		—			(4,713	)		—			—

Net realized gain (loss) on investments, in-kind redemptions, swaps, and options		1,221,954,536			(2,248,245,190	)		43,257,188			(25,781,098	)

Change in unrealized appreciation (depreciation) on:
Investment securities		284,129,861			—			19,803,337			—
Swaps		(89,315,482	)		90,101,800			2,391,699			(4,378,416	)

Change in unrealized appreciation (depreciation) on investment securities and swaps		194,814,379			90,101,800			22,195,036			(4,378,416	)

Net realized and unrealized gain (loss) on investment securities, in-kind redemptions, swaps and options		1,416,768,915			(2,158,143,390	)		65,452,224			(30,159,514	)

Net increase (decrease) in net assets resulting from operations	$	1,424,061,092		$	(2,164,849,066	)	$	65,331,132		$	(30,334,202	)

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

98 DIREXION ANNUAL REPORT

Statements of Operations

Period Ended October 31, 2009


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Real Estate Bull			Real Estate Bear			10-Year Treasury			10-Year Treasury
	3X Shares			3X Shares			Bull 3X Shares			Bear 3X Shares

Investment income:
Dividend income	$	666,146		$	—		$	—		$	—
Interest income		204			863			85,699			3,098

Total Investment Income		666,350			863			85,699			3,098

Expenses:
Investment advisory fees		147,756			41,888			21,286			36,200
Licensing fees		10,705			11,421			27,260			27,260
Administration and accounting fees		12,041			3,293			2,048			3,422
Organization and offering fees		3,921			3,921			6,277			6,336
Professional fees		21,054			19,262			15,697			16,068
Report to shareholders		662			276			857			1,155
Custody fees		4,811			791			816			1,048
Insurance fees		351			165			63			84
Compliance fees		195			92			211			311
Transfer agent fees		4,000			4,000			7,000			7,000
Pricing fees		2,932			2,932			5,425			5,425
Trustees’ fees and expenses		326			86			73			125
Exchange listing fees		586			586			1,085			1,085
Other		8,845			3,345			1,017			1,211

Total expenses before reimbursement		218,185			92,058			89,115			106,730
Less: Reimbursement of expenses from Adviser		(30,016	)		(38,955	)		(62,153	)		(60,856	)

Total expenses		188,169			53,103			26,962			45,874

Net investment income (loss)		478,181			(52,240	)		58,737			(42,776	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		(4,226,107	)		—			(315,725	)		—
In-kind redemption		—			—			—			—
Swaps		6,432,400			(7,744,988	)		(671,517	)		697,246
Options		—			—			—			—

Net realized gain (loss) on investments, in-kind redemptions, swaps, and options		2,206,293			(7,744,988	)		(987,242	)		697,246

Change in unrealized appreciation (depreciation) on:
Investment securities		3,501,531			—			34,270			—
Swaps		(6,351,087	)		3,854,172			177,882			(661,160	)

Change in unrealized appreciation (depreciation) on investment securities and swaps		(2,849,556	)		3,854,172			212,152			(661,160	)

Net realized and unrealized gain (loss) on investment securities, in-kind redemptions, swaps and options		(643,263	)		(3,890,816	)		(775,090	)		36,086

Net increase (decrease) in net assets resulting from operations	$	(165,082	)	$	(3,943,056	)	$	(716,353	)	$	(6,690	)

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

DIREXION ANNUAL REPORT 99

Statements of Operations

Period Ended October 31, 2009


	Direxion Daily			Direxion Daily
	30-Year Treasury			30-Year Treasury
	Bull 3X Shares			Bear 3X Shares

Investment income:
Dividend income	$	—		$	—
Interest income		219,857			18,472

Total Investment Income		219,857			18,472

Expenses:
Investment advisory fees		43,542			231,788
Licensing fees		27,260			27,260
Administration and accounting fees		4,125			21,677
Organization and offering fees		6,242			6,370
Professional fees		16,281			20,807
Report to shareholders		1,068			4,342
Custody fees		1,128			2,893
Insurance fees		77			323
Compliance fees		327			1,418
Transfer agent fees		7,000			7,000
Pricing fees		5,425			5,425
Trustees’ fees and expenses		155			801
Exchange listing fees		1,085			1,085
Other		1,401			7,427

Total expenses before reimbursement		115,116			338,616
Less: Reimbursement of expenses from Adviser		(59,927	)		(44,875	)

Total expenses		55,189			293,741

Net investment income (loss)		164,668			(275,269	)

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment securities		164,768			—
In-kind redemption		—			—
Swaps		552,576			(10,217,683	)
Options		—			—

Net realized gain (loss) on investments, in-kind redemptions, swaps, and options		717,344			(10,217,683	)

Change in unrealized appreciation (depreciation) on:
Investment securities		(114,327	)		—
Swaps		(189,998	)		(1,573,476	)

Change in unrealized appreciation (depreciation) on investment securities and swaps		(304,325	)		(1,573,476	)

Net realized and unrealized gain (loss) on investment securities, in-kind redemptions, swaps and options		413,019			(11,791,159	)

Net increase (decrease) in net assets resulting from operations	$	577,687		$	(12,066,428	)

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

100 DIREXION ANNUAL REPORT

Statements of Changes in Net Assets


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Large Cap			Large Cap			Mid Cap			Mid Cap Bear
	Bull 3X Shares			Bear 3X Shares			Bull 3X Shares			3X Shares
	For the Period			For the Period			For the Period			For the Period
	November 5, 2008¹			November 5, 2008¹			January 8, 2009¹			January 8, 2009^1,2
	Through			Through			Through			Through
	October 31, 2009			October 31, 2009			October 31, 2009			October 31, 2009

Operations:
Net investment income (loss)	$	3,235,267		$	(2,094,735	)	$	110,965		$	(71,551	)
Net realized gain (loss) on investments, in-kind redemptions, swaps and options		77,213,253			(282,578,954	)		9,095,743			(14,728,176	)
Net unrealized appreciation (depreciation) on investment securities and swaps		43,826,663			(32,577,800	)		4,773,562			303,301

Net increase (decrease) in net assets resulting from operations		124,275,183			(317,251,489	)		13,980,270			(14,496,426	)

Distribution to shareholders:
Net investment income		(3,209,344	)		—			(93,752	)		—

Total distributions		(3,209,344	)		—			(93,752	)		—

Capital share transactions:
Proceeds from shares sold		867,221,785			987,766,533			27,501,265			30,890,712
Cost of shares redeemed		(797,330,979	)		(309,882,111	)		(7,791,714	)		(1,942	)
Transaction fees		477,307			311,183			9,000			3,700

Net increase in net assets resulting from capital transactions		70,368,113			678,195,605			19,718,551			30,892,470

Total increase in net assets		191,433,952			360,944,116			33,605,069			16,396,044
Net assets:
Beginning of period		25,013			25,012			—			—

End of period	$	191,458,965		$	360,969,128		$	33,605,069		$	16,396,044

Undistributed net investment income (loss) at end of period	$	(60,186	)	$	(60,107	)	$	5,935		$	—

Changes in shares outstanding:
Shares outstanding, beginning of period		417			417			—			—
Shares sold		28,700,000			23,250,000			550,000			475,000
Shares repurchased		(24,650,000	)		(7,050,000	)		(150,000	)		(30	)

Shares outstanding, end of period		4,050,417			16,200,417			400,000			474,970


¹		Commencement of Investment Operations.
²		On June 25, 2009, there was a 1 for 2 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 2 reverse stock split on a retroactive basis.
³		On July 9, 2009, there was a 1 for 5 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 5 reverse stock split on a retroactive basis.
⁴		On July 9, 2009, there was a 1 for 10 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 10 reverse stock split on a retroactive basis.

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

DIREXION ANNUAL REPORT 101

Statements of Changes in Net Assets


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Small Cap			Small Cap			Developed Markets			Developed Markets
	Bull 3X Shares			Bear 3X Shares			Bull 3X Shares			Bear 3X Shares
	For the Period			For the Period			For the Period			For the Period
	November 5, 2008¹			November 5, 2008¹			December 17, 2008¹			December 17, 2008¹
	Through			Through			Through			Through
	October 31, 2009			October 31, 2009			October 31, 2009			October 31, 2009

Operations:
Net investment income (loss)	$	988,886		$	(1,716,136	)	$	130,722		$	(45,993	)
Net realized gain (loss) on investments, in-kind redemptions, swaps and options		95,705,306			(281,649,386	)		2,998,994			(6,422,615	)
Net unrealized appreciation (depreciation) on investment securities and swaps		1,023,200			43,368,612			3,360,896			113,097

Net increase (decrease) in net assets resulting from operations		97,717,392			(239,996,910	)		6,490,612			(6,355,511	)

Distribution to shareholders:
Net investment income		(994,078	)		—			(140,353	)		—

Total distributions		(994,078	)		—			(140,353	)		—

Capital share transactions:
Proceeds from shares sold		784,439,396			1,044,779,097			12,512,965			11,996,219
Cost of shares redeemed		(599,781,527	)		(327,219,914	)		—			(1,076,007	)
Transaction fees		357,266			281,045			1,960			800

Net increase in net assets resulting from capital transactions		185,015,135			717,840,228			12,514,925			10,921,012

Total increase in net assets		281,738,449			477,843,318			18,865,184			4,565,501
Net assets:
Beginning of period		1,000			1,000			—			—

End of period	$	281,739,449		$	477,844,318		$	18,865,184		$	4,565,501

Undistributed net investment income (loss) at end of period	$	28,680		$	(25,966	)	$	(2,476	)	$	—

Changes in shares outstanding:
Shares outstanding, beginning of period		17			17			—			—
Shares sold		28,650,000			44,900,000			250,000			300,000
Shares repurchased		(20,850,000	)		(11,450,000	)		—			(50,000	)

Shares outstanding, end of period		7,800,017			33,450,017			250,000			250,000


¹		Commencement of Investment Operations.
²		On June 25, 2009, there was a 1 for 2 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 2 reverse stock split on a retroactive basis.
³		On July 9, 2009, there was a 1 for 5 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 5 reverse stock split on a retroactive basis.
⁴		On July 9, 2009, there was a 1 for 10 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 10 reverse stock split on a retroactive basis.

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

102 DIREXION ANNUAL REPORT

Statements of Changes in Net Assets


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Emerging Markets			Emerging Markets			Energy			Energy
	Bull 3X Shares			Bear 3X Shares			Bull 3X Shares			Bear 3X Shares
	For the Period			For the Period			For the Period			For the Period
	December 17, 2008¹			December 17, 2008¹			November 6, 2008¹			November 6, 2008¹
	Through			Through			Through			Through
	October 31, 2009			October 31, 2009			October 31, 2009			October 31, 2009

Operations:
Net investment income (loss)	$	1,210,762		$	(304,405	)	$	1,028,868		$	(337,478	)
Net realized gain (loss) on investments, in-kind redemptions, swaps and options		68,874,293			(70,280,534	)		61,109,305			(29,158,729	)
Net unrealized appreciation (depreciation) on investment securities and swaps		15,768,890			2,713,659			16,525,903			(203,722	)

Net increase (decrease) in net assets resulting from operations		85,853,945			(67,871,280	)		78,664,076			(29,699,929	)

Distribution to shareholders:
Net investment income		(1,205,849	)		—			(1,076,389	)		—

Total distributions		(1,205,849	)		—			(1,076,389	)		—

Capital share transactions:
Proceeds from shares sold		300,899,538			186,271,079			498,615,687			232,707,689
Cost of shares redeemed		(150,486,351	)		(14,756,132	)		(442,530,910	)		(131,769,705	)
Transaction fees		89,490			19,675			243,369			99,534

Net increase in net assets resulting from capital transactions		150,502,677			171,534,622			56,328,146			101,037,518

Total increase in net assets		235,150,773			103,663,342			133,915,833			71,337,589
Net assets:
Beginning of period		—			—			1,000			1,000

End of period	$	235,150,773		$	103,663,342		$	133,916,833		$	71,338,589

Undistributed net investment income (loss) at end of period	$	—		$	—		$	(11,002	)	$	(5,927	)

Changes in shares outstanding:
Shares outstanding, beginning of period		—			—			17			17
Shares sold		3,350,000			15,500,000			16,800,000			11,250,000
Shares repurchased		(1,350,000	)		(1,350,000	)		(13,600,000	)		(5,600,000	)

Shares outstanding, end of period		2,000,000			14,150,000			3,200,017			5,650,017


¹		Commencement of Investment Operations.
²		On June 25, 2009, there was a 1 for 2 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 2 reverse stock split on a retroactive basis.
³		On July 9, 2009, there was a 1 for 5 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 5 reverse stock split on a retroactive basis.
⁴		On July 9, 2009, there was a 1 for 10 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 10 reverse stock split on a retroactive basis.

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

DIREXION ANNUAL REPORT 103

Statements of Changes in Net Assets


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Financial Bull			Financial Bear			Technology Bull			Technology Bear
	3X Shares			3X Shares			3X Shares			3X Shares
	For the Period			For the Period			For the Period			For the Period
	November 6, 2008^1,3			November 6, 2008^1,4			December 17, 2008¹			December 17, 2008¹
	Through			Through			Through			Through
	October 31, 2009			October 31, 2009			October 31, 2009			October 31, 2009

Operations:
Net investment income (loss)	$	7,292,177		$	(6,705,676	)	$	(121,092	)	$	(174,688	)
Net realized gain (loss) on investments, in-kind redemptions, swaps and options		1,221,954,536			(2,248,245,190	)		43,257,188			(25,781,098	)
Net unrealized appreciation (depreciation) on investment securities and swaps		194,814,379			90,101,800			22,195,036			(4,378,416	)

Net increase (decrease) in net assets resulting from operations		1,424,061,092			(2,164,849,066	)		65,331,132			(30,334,202	)

Distribution to shareholders:
Net investment income		(7,324,266	)		—			(33,303	)		—

Total distributions		(7,324,266	)		—			(33,303	)		—

Capital share transactions:
Proceeds from shares sold		7,265,760,714			7,320,425,308			120,301,462			79,967,011
Cost of shares redeemed		(7,371,473,562	)		(3,941,893,925	)		(71,572,992	)		(8,169,715	)
Transaction fees		3,169,526			2,356,133			38,600			14,500

Net increase (decrease) in net assets resulting from capital transactions		(102,543,322	)		3,380,887,516			48,767,070			71,811,796

Total increase in net assets		1,314,193,504			1,216,038,450			114,064,899			41,477,594
Net assets:
Beginning of period		25,013			25,012			—			—

End of period	$	1,314,218,517		$	1,216,063,462		$	114,064,899		$	41,477,594

Undistributed net investment income (loss) at end of period	$	137,689		$	(37,366	)	$	—		$	(1,843	)

Changes in shares outstanding:
Shares outstanding, beginning of period		84			42			—			—
Shares sold		166,990,001			127,410,000			1,600,000			3,400,000
Shares repurchased		(147,491,150	)		(74,437,348	)		(750,000	)		(100,000	)

Shares outstanding, end of period		19,498,935			52,972,694			850,000			3,300,000


¹		Commencement of Investment Operations.
²		On June 25, 2009, there was a 1 for 2 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 2 reverse stock split on a retroactive basis.
³		On July 9, 2009, there was a 1 for 5 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 5 reverse stock split on a retroactive basis.
⁴		On July 9, 2009, there was a 1 for 10 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 10 reverse stock split on a retroactive basis.

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

104 DIREXION ANNUAL REPORT

Statements of Changes in Net Assets


	Direxion Daily			Direxion Daily			Direxion Daily			Direxion Daily
	Real Estate Bull			Real Estate Bear			10-Year Treasury			10-Year Treasury
	3X Shares			3X Shares			Bull 3X Shares			Bear 3X Shares
	For the Period			For the Period			For the Period			For the Period
	July 16, 2009¹			July 16, 2009¹			April 16, 2009¹			April 16, 2009¹
	Through			Through			Through			Through
	October 31, 2009			October 31, 2009			October 31, 2009			October 31, 2009

Operations:
Net investment income (loss)	$	478,181		$	(52,240	)	$	58,737		$	(42,776	)
Net realized gain (loss) on investments, in-kind redemptions, swaps and options		2,206,293			(7,744,988	)		(987,242	)		697,246
Net unrealized appreciation (depreciation) on investment securities and swaps		(2,849,556	)		3,854,172			212,152			(661,160	)

Net increase (decrease) in net assets resulting from operations		(165,082	)		(3,943,056	)		(716,353	)		(6,690	)

Distribution to shareholders:
Net investment income		(113,010	)		—			(43,434	)		—

Total distributions		(113,010	)		—			(43,434	)		—

Capital share transactions:
Proceeds from shares sold		158,888,295			62,823,181			11,008,125			19,216,426
Cost of shares redeemed		(51,507,797	)		(11,467,201	)		—			—
Transaction fees		15,400			3,400			—			—

Net increase in net assets resulting from capital transactions		107,395,898			51,359,380			11,008,125			19,216,426

Total increase in net assets		107,117,806			47,416,324			10,248,338			19,209,736
Net assets:
Beginning of period		—			—			—			—

End of period	$	107,117,806		$	47,416,324		$	10,248,338		$	19,209,736

Undistributed net investment income (loss) at end of period	$	154,580		$	—		$	21,027		$	—

Changes in shares outstanding:
Shares outstanding, beginning of period		—			—			—			—
Shares sold		1,450,000			2,750,000			200,000			300,000
Shares repurchased		(450,000	)		(500,000	)		—			—

Shares outstanding, end of period		1,000,000			2,250,000			200,000			300,000


¹		Commencement of Investment Operations.
²		On June 25, 2009, there was a 1 for 2 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 2 reverse stock split on a retroactive basis.
³		On July 9, 2009, there was a 1 for 5 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 5 reverse stock split on a retroactive basis.
⁴		On July 9, 2009, there was a 1 for 10 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 10 reverse stock split on a retroactive basis.

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

DIREXION ANNUAL REPORT 105

Statements of Changes in Net Assets


	Direxion Daily			Direxion Daily
	30-Year Treasury			30-Year Treasury
	Bull 3X Shares			Bear 3X Shares
	For the Period			For the Period
	April 16, 2009¹			April 16, 2009¹
	Through			Through
	October 31, 2009			October 31, 2009

Operations:
Net investment income (loss)	$	164,668		$	(275,269	)
Net realized gain (loss) on investments, in-kind redemptions, swaps and options		717,344			(10,217,683	)
Net unrealized appreciation (depreciation) on investment securities and swaps		(304,325	)		(1,573,476	)

Net increase (decrease) in net assets resulting from operations		577,687			(12,066,428	)

Distribution to shareholders:
Net investment income		(117,943	)		—

Total distributions		(117,943	)		—

Capital share transactions:
Proceeds from shares sold		21,102,938			109,533,876
Cost of shares redeemed		(8,798,298	)		(6,626,096	)
Transaction fees		3,700			10,200

Net increase in net assets resulting from capital transactions		12,308,340			102,917,980

Total increase in net assets		12,768,084			90,851,552
Net assets:
Beginning of period		—			—

End of period	$	12,768,084		$	90,851,552

Undistributed net investment income (loss) at end of period	$	38,135		$	—

Changes in shares outstanding:
Shares outstanding, beginning of period		—			—
Shares sold		500,000			1,500,000
Shares repurchased		(200,000	)		(100,000	)

Shares outstanding, end of period		300,000			1,400,000


¹		Commencement of Investment Operations.
²		On June 25, 2009, there was a 1 for 2 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 2 reverse stock split on a retroactive basis.
³		On July 9, 2009, there was a 1 for 5 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 5 reverse stock split on a retroactive basis.
⁴		On July 9, 2009, there was a 1 for 10 reverse stock split. Historical share amounts have been adjusted to reflect the 1 for 10 reverse stock split on a retroactive basis.

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

106 DIREXION ANNUAL REPORT

Financial Highlights

October 31, 2009


																									Ratios to Average Net Assets
						Net Realized			Net Increase											Net Assets,								Net
	Net Asset		Net			and			(Decrease) in			Dividends			Net Asset					End of								Investment
	Value,		Investment			Unrealized			Net Asset Value			from Net			Value,					Period								Income (Loss)			Portfolio
	Beginning		Income			Gain (Loss)			Resulting form			Investment			End of		Total			(000’s		Net			Total			After Expense			Turnover
	of Period		(Loss)²			on Investments			Operations			Income			Period		Return³			ommitted)		Expenses⁴			Expenses^4,5			Reimbursement⁴			Rate⁶


Direxion Daily Large Cap Bull 3X Shares
For the Period November 5, 2008^1,7 Through October 31, 2009	$	60.00	$	0.39		$	(12.74	)	$	(12.35	)	$	(0.38	)	$	47.27		(20.35	)%	$	191,459		0.95	%		1.15	%		1.27	%		368	%
Direxion Daily Large Cap Bear 3X Shares
For the Period November 5, 2008¹ Through October 31, 2009	$	60.00		(0.26	)		(37.46	)		(37.72	)		—		$	22.28		(62.87	)%		360,969		0.95	%		1.10	%		(0.85	)%		0	%
Direxion Daily Mid Cap Bull 3X Shares
For the Period January 8, 2009¹ Through October 31, 2009	$	60.00		0.34			23.93			24.27			(0.26	)	$	84.01		40.65	%		33,605		0.95	%		1.37	%		0.64	%		180	%
Direxion Daily Mid Cap Bear 3X Shares
For the Period January 8, 2009^1,8 Through October 31, 2009	$	120.00		(0.34	)		(85.14	)		(85.48	)		—		$	34.52		(71.23	)%		16,396		0.95	%		1.60	%		(0.85	)%		0	%
Direxion Daily Small Cap Bull 3X Shares
For the Period November 5, 2008^1,7 Through October 31, 2009	$	60.00		0.13			(23.86	)		(23.73	)		(0.15	)	$	36.12		(39.50	)%		281,739		0.95	%		1.13	%		0.50	%		303	%
Direxion Daily Small Cap Bear 3X Shares
For the Period November 5, 2008¹ Through October 31, 2009	$	60.00		(0.14	)		(45.57	)		(45.71	)		—		$	14.29		(76.18	)%		477,844		0.95	%		1.09	%		(0.86	)%		0	%
Direxion Daily Developed Markets Bull 3X Shares
For the Period December 17, 2008¹ Through October 31, 2009	$	60.00		0.70			15.36			16.06			(0.60	)	$	75.46		27.15	%		18,865		0.95	%		2.11	%		1.37	%		100	%
Direxion Daily Developed Markets Bear 3X Shares
For the Period December 17, 2008¹ Through October 31, 2009	$	60.00		(0.27	)		(41.47	)		(41.74	)		—		$	18.26		(69.57	)%		4,566		0.95	%		2.91	%		(0.84	)%		0	%
Direxion Daily Emerging Markets Bull 3X Shares
For the Period December 17, 2008¹ Through October 31, 2009	$	60.00		0.99			57.29			58.28			(0.70	)	$	117.58		97.28	%		235,151		0.95	%		1.05	%		1.28	%		160	%
Direxion Daily Emerging Markets Bear 3X Shares
For the Period December 17, 2008¹ Through October 31, 2009	$	60.00		(0.07	)		(52.60	)		(52.67	)		—		$	7.33		(87.78	)		103,663		0.95	%		1.24	%		(0.87	)%		0	%
Direxion Daily Energy Bull 3X Shares
For the Period November 6, 2008^1,7 Through October 31, 2009	$	60.00		0.26			(18.18	)		(17.92	)		(0.23	)	$	41.85		(29.75	)%		133,917		0.95	%		1.05	%		0.81	%		518	%
Direxion Daily Energy Bear 3X Shares
For the Period November 6, 2008¹ Through October 31, 2009	$	60.00		(0.15	)		(47.22	)		(47.37	)		—		$	12.63		(78.95	)%		71,339		0.95	%		1.13	%		(0.86	)%		0	%
Direxion Daily Financial Bull 3X Shares
For the Period November 6, 2008^1,7,9 Through October 31, 2009	$	300.00		0.37			(232.44	)		(232.07	)		(0.53	)	$	67.40		(77.36	)%		1,314,219		0.95	%		0.98	%		0.80	%		365	%
Direxion Daily Financial Bear 3X Shares
For the Period November 6, 2008^1,10 Through October 31, 2009	$	600.00		(0.29	)		(576.75	)		(577.04	)		—		$	22.96		(96.17	)%		1,216,063		0.95	%		1.00	%		(0.86	)%		0	%
Direxion Daily Technology Bull 3X Shares
For the Period December 17, 2008¹ Through October 31, 2009	$	60.00		(0.19	)		74.43			74.24			(0.05	)	$	134.19		123.80	%		114,065		0.95	%		1.07	%		(0.23	)%		206	%
Direxion Daily Technology Bear 3X Shares
For the Period December 17, 2008¹ Through October 31, 2009	$	60.00		(0.12	)		(47.31	)		(47.43	)		—		$	12.57		(79.05	)%		41,478		0.95	%		1.21	%		(0.87	)%		0	%
Direxion Daily Real Estate Bull 3X Shares
For the Period July 16, 2009^1,7 Through October 31, 2009	$	60.00		0.77			46.50			47.27			(0.15	)	$	107.12		78.71	%		107,118		0.96	%		1.11	%		2.43	%		132	%
Direxion Daily Real Estate Bear 3X Shares
For the Period July 16, 2009¹ Through October 31, 2009	$	60.00		(0.05	)		(38.88	)		(38.93	)		—		$	21.07		(64.88	)%		47,416		0.95	%		1.65	%		(0.94	)%		0	%
Direxion Daily 10-Year Treasury Bull 3X Shares
For the Period April 16, 2009¹ Through October 31, 2009	$	60.00		0.51			(8.84	)		(8.33	)		(0.43	)	$	51.24		(13.85	)%		10,248		0.95	%		3.14	%		2.07	%		176	%
Direxion Daily 10-Year Treasury Bear 3X Shares
For the Period April 16, 2009¹ Through October 31, 2009	$	60.00		(0.29	)		4.32			4.03			—		$	64.03		6.72	%		19,210		0.95	%		2.21	%		(0.89	)%		0	%
Direxion Daily 30-Year Treasury Bull 3X Shares
For the Period April 16, 2009^1,7 Through October 31, 2009	$	60.00		0.64			(17.70	)		(17.06	)		(0.38	)	$	42.56		(28.43	)%		12,768		0.95	%		1.98	%		2.84	%		215	%
Direxion Daily 30-Year Treasury Bear 3X Shares
For the Period April 16, 2009^1,7 Through October 31, 2009	$	60.00		(0.32	)		5.21			4.89			—		$	64.89		8.15	%		90,852		0.95	%		1.10	%		(0.89	)%		0	%


¹		Commencement of investment operations.
²		Based on average shares outstanding.
³		Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been reimbursed/waived by the Adviser.
⁴		Annualized.
⁵		Net expenses include interest on short positions which may cause a Fund to exceed its expense cap.
⁶		Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.
⁷		Due to the timing of sales and redemptions of capital shares, the net realized and unrealized gain (loss) per share is not in accord with the Fund’s change in net realized and unrealized gain (loss) on investment securities, in-kind transactions, swaps and options for the period.
⁸		On June 25, 2009, the Direxion Daily Mid Cap Bear 3X Shares had a 1:2 reverse stock spilt. Per share data for the period prior to June 25, 2009 has been adjusted to give effect to 1:2 reverse stock spilt.
⁹		On July 9, 2009, the Direxion Daily Financial Bull 3X Shares had a 1:5 reverse stock spilt. Per share data for the period prior to July 9, 2009 has been adjusted to give effect to 1:5 reverse stock spilt.


¹⁰		On July 9, 2009, the Direxion Daily Financial Bear 3X Shares had a 1:10 reverse stock spilt. Per share data for the period prior to July 9, 2009 has been adjusted to give effect to 1:10 reverse stock spilt.

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

DIREXION ANNUAL REPORT 107

Direxion Shares ETF Trust

NOTES TO THE FINANCIAL STATEMENTS

October 31, 2009


1.	ORGANIZATION

The Direxion Shares ETF Trust (the “Trust”) is a Delaware statutory trust formed on April 23, 2008 and is registered with the Securities and Exchange Commission (“SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is a registered investment company that offers 40 Funds (each, a “Fund” and together the “Funds”) of which 22 are included in this report:


Direxion Daily Large Cap Bull 3X Shares		Direxion Daily Large Cap Bear 3X Shares
Direxion Daily Mid Cap Bull 3X Shares		Direxion Daily Mid Cap Bear 3X Shares
Direxion Daily Small Cap Bull 3X Shares		Direxion Daily Small Cap Bear 3X Shares,
Direxion Daily Developed Markets Bull 3X Shares		Direxion Daily Developed Markets Bear 3X Shares
Direxion Daily Emerging Markets Bull 3X Shares		Direxion Daily Emerging Markets Bear 3X Shares
Direxion Daily Energy Bull 3X Shares		Direxion Daily Energy Bear 3X Shares
Direxion Daily Financial Bull 3X Shares		Direxion Daily Financial Bear 3X Shares
Direxion Daily Technology Bull 3X Shares		Direxion Daily Technology Bear 3X Shares
Direxion Daily Real Estate Bull 3X Shares		Direxion Daily Real Estate Bear 3X Shares
Direxion Daily 10-Year Treasury Bull 3X Shares		Direxion Daily 10-Year Treasury Bear 3X Shares
Direxion Daily 30-Year Treasury Bull 3X Shares		Direxion Daily 30-Year Treasury Bear 3X Shares

The Funds investment objective is seeks daily investment results, before fees and expenses, that correspond to the performance of a particular index or benchmark. The Funds with the word “Bull” in their name attempt to provide investment results that correlate positively to the return of an index or benchmark. The Funds with the word “Bear” in their name attempt to provide investment results that correlate negatively to the return of an index or benchmark.


Funds	Index or Benchmark	Daily Target

Direxion Daily Large Cap Bull 3X Shares			300	%
Direxion Daily Large Cap Bear 3X Shares	Russell 1000 Index		-300	%
Direxion Daily Mid Cap Bull 3X Shares			300	%
Direxion Daily Mid Cap Bear 3X Shares	Russell Midcap Index		-300	%
Direxion Daily Small Cap Bull 3X Shares			300	%
Direxion Daily Small Cap Bear 3X Shares	Russell 2000 Index		-300	%
Direxion Daily Developed Markets Bull 3X Shares			300	%
Direxion Daily Developed Markets Bear 3X Shares	MSCI EAFE Index		-300	%
Direxion Daily Emerging Markets Bull 3X Shares			300	%
Direxion Daily Emerging Markets Bear 3X Shares	MSCI Emerging Markets Index^SM		-300	%
Direxion Daily Energy Bull 3X Shares			300	%
Direxion Daily Energy Bear 3X Shares	Russell 1000 Energy Index		-300	%
Direxion Daily Financial Bull 3X Shares			300	%
Direxion Daily Financial Bear 3X Shares	Russell 1000 Financial Services Index		-300	%
Direxion Daily Technology Bull 3X Shares			300	%
Direxion Daily Technology Bear 3X Shares	Russell 1000 Technology Index		-300	%
Direxion Daily Real Estate Bull 3X Shares			300	%
Direxion Daily Real Estate Bear 3X Shares	MSCI U.S. REIT Index		-300	%
Direxion Daily 10-Year Treasury Bull 3X Shares			300	%
Direxion Daily 10-Year Treasury Bear 3X Shares	NYSE Current 10-Year U.S. Treasury Index		-300	%
Direxion Daily 30-Year Treasury Bull 3X Shares			300	%
Direxion Daily 30-Year Treasury Bear 3X Shares	NYSE Current 30-Year U.S. Treasury Index		-300	%

108 DIREXION ANNUAL REPORT


2.	SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements:

a) Investment Valuation – The Net Asset Value (“NAV”) per share of each Fund is determined daily, as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally at 4:00 p.m. Eastern time), each day the NYSE is open for business. On days that the Securities Industry and Financial Markets Association (“SIFMA”) recommends that the bond markets close all day, the Funds do not calculate their NAVs, even if the NYSE is open for business. Similarly, on days that SIFMA recommends that the bond markets close early each of the Funds calculate its NAV as of the time of the recommended close, usually 2:00pm Eastern time, rather than the close of regular trading on the NYSE. A security listed or traded on an exchange, domestic or foreign, is valued at its last sales price on the principal exchange on which it is traded prior to the time when assets are valued. If no sale is reported at that time, the mean of the last bid and asked prices is used. Securities primarily traded on the NASDAQ Global Market^® (“NASDAQ^®”) for which market quotations are readily available shall be valued using the NASDAQ^® Official Closing Price (“NOCP”) provided by NASDAQ^® each business day. OTC securities held by a Fund will be valued at the last sales price or, if no sales price is reported, the mean of the last bid and asked price is used. The portfolio securities of a Fund that are listed on national exchanges are valued at the last sales price of such securities; if no sales price is reported, the mean of the last bid and asked price is used. Securities for which reliable market quotations are not readily available, the Funds’ pricing service does not provide a valuation for such securities, the Fund’s pricing service provides valuation that in the judgment of Rafferty Asset Management, LLC (the “Adviser”) does not represent fair value, or the Fund or Adviser believes the market price is stale will be fair valued as determined by the Adviser under the supervision of the Board of Trustees.

b) Swap Contracts – Each Fund may enter into equity swap contracts. Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a “notional amount” (i.e. the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index or industry sector). The Fund’s obligations are accrued daily and offset by any amounts owed to the Fund.

In a “long” equity swap agreement, the counterparty will generally agree to pay the Funds the amount, if any, by which the notional amount of swap contract would have increased in value if the Fund had been invested in the particular securities, plus dividends that would have been received on those securities. The Fund will agree to pay the counterparty a floating rate of interest on the notional amount of the swap contract plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such securities, plus, in certain instances, commissions or trading spreads on the notional amounts. Thus, the return on the swap contract should be the gain or loss on the notional amount plus dividends on the securities less the interest and commissions paid by the Fund on the notional amount. Payments may be made at the conclusion of the contract or periodically during its term. These swap contracts do not include the delivery by the Funds to the counterparty of securities or other underlying securities. The net amount of the excess, if any, of the Fund’s obligations owed over the obligations owed to the Fund with respect to each swap is accrued on a daily basis, and an amount of cash or liquid assets having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by the Fund’s custodian. Until a swap contract is settled in cash, the gain or loss on the notional amount plus dividends on the securities less the interest paid by the Fund on the notional amount are recorded as “unrealized gains or losses on swaps and futures” and when cash is exchanged, the gain or loss is recorded as “realized gains or losses on swaps and futures”.

The Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in securities or to hedge a position. Index swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, a Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a “long” swap agreement, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments.

DIREXION ANNUAL REPORT 109

The Fund will agree to pay to the counterparty an amount equal to a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions or trading spreads on the notional amount. Therefore, the return to the Fund on a long swap agreement should be the gain or loss on the notional amount plus dividends or interest on the instruments less the interest and commissions paid by the Fund on the notional amount. These swap agreements do not involve the delivery of securities or other underlying instruments.

Pursuant to valuation procedures approved by the Board, the net amount of the excess, if any, of a Fund’s obligations owed over the obligations owed to the Fund with respect to each swap is accrued on a daily basis, and an amount of cash or liquid assets having an aggregate net asset value (“NAV”) at least equal to such accrued excess is maintained in a segregated account by the Fund’s custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount plus dividends or interest on the underlying instruments less the interest payable by the Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements”.

The Funds may also enter into swap agreements that provide the opposite return of their benchmark index or security (“short” the index or security). Their operations are similar to that of the “long” swaps discussed above, except that the counterparty makes the payments ascribed above to the Fund, and the Fund makes the payments ascribed above to the counterparty. These amounts are netted with any unrealized gain or loss to determine the value of the swap.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of the Fund. The primary risks associated with the use of swap agreements are imperfect correlation between the price of the swap contract and the price of the underlying investments, and the inability of counterparties to perform. A 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 swap agreement counterparty to the extent that posted collateral is insufficient. A Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Adviser.

The Funds collateralize swap agreements with cash and certain securities as indicated on the Schedule of Investments of each of the Funds, respectively. Such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. The Funds do not net collateral. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs exercising their rights with respect to the collateral. Amounts expected to be owed to the Funds are regularly collateralized either directly with the Funds or in a segregated account at the Custodian.

c) Risks of Investing in Foreign Securities – Investments in foreign securities involve greater risks than investing in domestic securities. As a result, the Fund’s returns and net asset values may be affected to a large degree by fluctuations in currency exchange rates, political, diplomatic or economic conditions and regulatory requirements in other countries. The laws 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. Investments in foreign emerging markets present a greater risk than investing in foreign issuers in general. The risk of political or social upheaval is greater in emerging markets. In addition, there may be risks of an economy’s dependence on revenues from particular commodities, currency transfer restrictions, a limited number of potential buyers for such securities and delays and disruption in securities settlement procedures.

d) Security Transactions – Investment transactions are recorded on the trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the identified cost, which is the same basis used for federal income tax purposes, with the net sales proceeds.

e) Federal Income Taxes – Each Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to make the requisite distributions of income and capital gains to its shareholders sufficient to relieve it from all or substantially all federal income and excise taxes.

110 DIREXION ANNUAL REPORT

f) Income and Expenses – Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and discount, is recognized on an accrual basis. The Funds are charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs. Expenses that are not directly attributable to a series are generally allocated among the Trust’s series in proportion to their respective net assets.

g) Distributions to Shareholders – Each Fund generally pays dividends from substantially all of its net investment income and distributes net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. Certain Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction. Distributions to shareholders are recorded on the ex-dividend date.

At October 31, 2009, the aggregate gross unrealized appreciation and depreciation of investments for Federal income tax purposes were as follows:


								Net
			Gross		Gross			Unrealized
			Unrealized		Unrealized			Appreciation
Funds	Cost		Appreciation		Depreciation			(Depreciation)

Direxion Daily Large Cap Bull 3X Shares	$	202,552,230	$	—	$	(13,799,642	)	$	(13,799,642	)
Direxion Daily Large Cap Bear 3X Shares		693,235,626		—		(285,197,690	)		(285,197,690	)
Direxion Daily Mid Cap Bull 3X Shares		32,736,889		2,163,730		(249,233	)		1,914,497
Direxion Daily Mid Cap Bear 3X Shares		25,270,698		—		(8,984,398	)		(8,984,398	)
Direxion Daily Small Cap Bull 3X Shares		304,360,802		—		(11,513,844	)		(11,513,844	)
Direxion Daily Small Cap Bear 3X Shares		661,806,345		—		(240,493,799	)		(240,493,799	)
Direxion Daily Developed Markets Bull 3X Shares		18,825,569		1,238,460		(67,372	)		1,171,088
Direxion Daily Developed Markets Bear 3X Shares		7,798,144		—		(3,440,080	)		(3,440,080	)
Direxion Daily Emerging Markets Bull 3X Shares		240,747,313		12,827,147		(457,104	)		12,370,043
Direxion Daily Emerging Markets Bear 3X Shares		142,518,413		—		(45,891,980	)		(45,891,980	)
Direxion Daily Energy Bull 3X Shares		123,997,563		6,503,350		(51,881	)		6,451,469
Direxion Daily Energy Bear 3X Shares		73,544,030		—		(3,216,667	)		(3,216,667	)
Direxion Daily Financial Bull 3X Shares		1,214,855,008		75,435,791		(1,125,580	)		74,310,211
Direxion Daily Financial Bear 3X Shares		2,631,370,936		—		(1,414,508,741	)		(1,414,508,741	)
Direxion Daily Technology Bull 3X Shares		84,789,346		16,542,476		(27,673	)		16,514,803
Direxion Daily Technology Bear 3X Shares		58,037,978		—		(12,138,556	)		(12,138,556	)
Direxion Daily Real Estate Bull 3X Shares		114,557,873		—		(6,291,186	)		(6,291,186	)
Direxion Daily Real Estate Bear 3X Shares		64,813,093		—		(8,380,465	)		(8,380,465	)
Direxion Daily 10-Year Treasury Bull 3X Shares		10,593,838		—		(569,787	)		(569,787	)
Direxion Daily 10-Year Treasury Bear 3X Shares		20,889,320		—		(968,104	)		(968,104	)
Direxion Daily 30-Year Treasury Bull 3X Shares		13,823,760		—		(941,696	)		(941,696	)
Direxion Daily 30-Year Treasury Bear 3X Shares		114,286,908		—		(20,640,065	)		(20,640,065	)

DIREXION ANNUAL REPORT 111

The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales, mark to market of unrealized gains on PFICs and basis adjustments on investments in REITs. At October 31, 2009, the components of accumulated earnings/loss on a tax-basis were as follows:


							Net
	Undistributed			Undistributed			Unrealized			Total
	Ordinary			Capital and			Appreciation			Accumulated
Funds	Income/Loss			Other Losses			(Depreciation)			Earnings/(Losses)

Direxion Daily Large Cap Bull 3X Shares	$	33,242,698		$	8,834		$	(10,856,149	)	$	22,395,383
Direxion Daily Large Cap Bear 3X Shares		(60,107	)		—			(317,775,490	)		(317,835,597	)
Direxion Daily Mid Cap Bull 3X Shares		10,349,893			7,951			1,898,185			12,256,029
Direxion Daily Mid Cap Bear 3X Shares		—			(5,743,778	)		(8,681,097	)		(14,424,875	)
Direxion Daily Small Cap Bull 3X Shares		33,545,782			77,371			(37,615,797	)		(3,992,644	)
Direxion Daily Small Cap Bear 3X Shares		(25,966	)		(41,155,587	)		(197,125,187	)		(238,306,740	)
Direxion Daily Developed Markets Bull 3X Shares		4,667,818			—			1,689,072			6,356,890
Direxion Daily Developed Markets Bear 3X Shares		—			(2,982,535	)		(3,326,983	)		(6,309,518	)
Direxion Daily Emerging Markets Bull 3X Shares		46,453,567			—			(2,835,433	)		43,618,134
Direxion Daily Emerging Markets Bear 3X Shares		—			(24,388,554	)		(43,178,321	)		(67,566,875	)
Direxion Daily Energy Bull 3X Shares		16,444,642			—			5,980,235			22,424,877
Direxion Daily Energy Bear 3X Shares		(5,927	)		(25,942,062	)		(3,420,389	)		(29,368,378	)
Direxion Daily Financial Bull 3X Shares		(31,808	)		—			(15,005,271	)		(15,037,079	)
Direxion Daily Financial Bear 3X Shares		(37,366	)		(833,736,449	)		(1,324,406,941	)		(2,158,180,756	)
Direxion Daily Technology Bull 3X Shares		30,771,615			—			18,906,502			49,678,117
Direxion Daily Technology Bear 3X Shares		(1,843	)		(13,642,542	)		(16,516,972	)		(30,161,357	)
Direxion Daily Real Estate Bull 3X Shares		7,492,247			70,055			(12,642,273	)		(5,079,971	)
Direxion Daily Real Estate Bear 3X Shares		396,899			—			(4,526,293	)		(4,129,394	)
Direxion Daily 10-Year Treasury Bull 3X Shares		21,027			(383,185	)		(391,905	)		(754,063	)
Direxion Daily 10-Year Treasury Bear 3X Shares		1,628,352			—			(1,629,264	)		(912	)
Direxion Daily 30-Year Treasury Bull 3X Shares		1,281,167			—			(1,131,694	)		149,473
Direxion Daily 30-Year Treasury Bear 3X Shares		9,465,884			—			(22,213,541	)		(12,747,657	)

The tax character of distributions paid during the period end October 31, 2009 were as follows:


			Distributions
	Distributions Paid		Paid From
	From Ordinary		Long Term
Funds	Income		Capital Gain

Direxion Daily Large Cap Bull 3X Shares	$	3,209,344	$	—
Direxion Daily Large Cap Bear 3X Shares		—		—
Direxion Daily Mid Cap Bull 3X Shares		93,752		—
Direxion Daily Mid Cap Bear 3X Shares		—		—
Direxion Daily Small Cap Bull 3X Shares		994,078		—
Direxion Daily Small Cap Bear 3X Shares		—		—
Direxion Daily Developed Markets Bull 3X Shares		140,353		—
Direxion Daily Developed Markets Bear 3X Shares		—		—
Direxion Daily Emerging Markets Bull 3X Shares		1,205,849		—
Direxion Daily Emerging Markets Bear 3X Shares		—		—
Direxion Daily Energy Bull 3X Shares		1,076,389		—
Direxion Daily Energy Bear 3X Shares		—		—
Direxion Daily Financial Bull 3X Shares		7,324,266		—
Direxion Daily Financial Bear 3X Shares		—		—
Direxion Daily Technology Bull 3X Shares		33,303		—
Direxion Daily Technology Bear 3X Shares		—		—
Direxion Daily Real Estate Bull 3X Shares		113,010		—
Direxion Daily Real Estate Bear 3X Shares		—		—
Direxion Daily 10-Year Treasury Bull 3X Shares		43,434		—
Direxion Daily 10-Year Treasury Bear 3X Shares		—		—
Direxion Daily 30-Year Treasury Bull 3X Shares		117,943		—
Direxion Daily 30-Year Treasury Bear 3X Shares		—		—

At October 31, 2009, for Federal income tax purposes, the Funds have capital loss carryforwards available to offset future capital gains through the year indicated. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders.

112 DIREXION ANNUAL REPORT


	Capital Loss
	Available
Fund	Through 2017

Direxion Daily Large Cap Bull 3X Shares	$	—
Direxion Daily Large Cap Bear 3X Shares		—
Direxion Daily Mid Cap Bull 3X Shares		—
Direxion Daily Mid Cap Bear 3X Shares		5,743,778
Direxion Daily Small Cap Bull 3X Shares		—
Direxion Daily Small Cap Bear 3X Shares		41,155,587
Direxion Daily Developed Markets Bull 3X Shares		—
Direxion Daily Developed Markets Bear 3X Shares		2,982,535
Direxion Daily Emerging Markets Bull 3X Shares		—
Direxion Daily Emerging Markets Bear 3X Shares		24,388,554
Direxion Daily Energy Bull 3X Shares		—
Direxion Daily Energy Bear 3X Shares		25,942,062
Direxion Daily Financial Bull 3X Shares		—
Direxion Daily Financial Bear 3X Shares		833,736,449
Direxion Daily Technology Bull 3X Shares		—
Direxion Daily Technology Bear 3X Shares		13,642,542
Direxion Daily Real Estate Bull 3X Shares		—
Direxion Daily Real Estate Bear 3X Shares		—
Direxion Daily 10-Year Treasury Bull 3X Shares		383,185
Direxion Daily 10-Year Treasury Bear 3X Shares		—
Direxion Daily 30-Year Treasury Bull 3X Shares		—
Direxion Daily 30-Year Treasury Bear 3X Shares		—

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to tax treatment of redemptions in-kind, net operating losses, distribution reclasses, sale of REITs and PFICs, and utilization of earnings and profits distributed to shareholders on redemption of shares. Results of operations and net assets were not affected by these reclassifications. At October 31, 2009, the effect of permanent book/tax reclassifications resulted in increases (decreases) to the components of net assets as follows:


				Accumulated
	Undistributed			Net realized
	Net Investment			Gain/(Losses)
Funds	Income/Loss			on Investments			Paid-in Capital

Direxion Daily Large Cap Bull 3X Shares	$	(86,109	)	$	(98,584,347	)	$	98,670,456
Direxion Daily Large Cap Bear 3X Shares		2,034,628			(2,618,736	)		584,108
Direxion Daily Mid Cap Bull 3X Shares		(11,278	)		(1,619,211	)		1,630,489
Direxion Daily Mid Cap Bear 3X Shares		71,551			—			(71,551	)
Direxion Daily Small Cap Bull 3X Shares		33,872			(100,749,830	)		100,715,958
Direxion Daily Small Cap Bear 3X Shares		1,690,170			—			(1,690,170	)
Direxion Daily Developed Markets Bull 3X Shares		7,155			(524	)		(6,631	)
Direxion Daily Developed Markets Bear 3X Shares		45,993			—			(45,993	)
Direxion Daily Emerging Markets Bull 3X Shares		(4,913	)		(41,025,049	)		41,029,962
Direxion Daily Emerging Markets Bear 3X Shares		304,405			—			(304,405	)
Direxion Daily Energy Bull 3X Shares		36,519			(55,199,329	)		55,162,810
Direxion Daily Energy Bear 3X Shares		331,551			—			(331,551	)
Direxion Daily Financial Bull 3X Shares		169,778			(1,431,943,683	)		1,431,773,905
Direxion Daily Financial Bear 3X Shares		6,668,310			—			(6,668,310	)
Direxion Daily Technology Bull 3X Shares		154,395			(15,774,107	)		15,619,712
Direxion Daily Technology Bear 3X Shares		172,845			—			(172,845	)
Direxion Daily Real Estate Bull 3X Shares		(210,591	)		(4,591,288	)		4,801,879
Direxion Daily Real Estate Bear 3X Shares		52,240			(238,578	)		186,338
Direxion Daily 10-Year Treasury Bull 3X Shares		5,724			—			(5,724	)
Direxion Daily 10-Year Treasury Bear 3X Shares		42,776			(36,998	)		(5,778	)
Direxion Daily 30-Year Treasury Bull 3X Shares		(8,590	)		(301,681	)		310,271
Direxion Daily 30-Year Treasury Bear 3X Shares		275,269			(956,498	)		681,229

DIREXION ANNUAL REPORT 113

Financial reporting rules prescribe a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which it invests. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded. If applicable, the Funds will recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other” expense on the Statements of Operations. Management has determined that there is no impact resulting from the application of this to the Funds’ financial statements.

Financial reporting rules require management of the Funds to analyze all open tax years as defined by IRS statute of limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of and during the period ended October 31, 2009, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. As of October 31, 2009, open Federal and state income tax years include the tax year ended October 31, 2009. The Funds have no examinations in progress.

h) Indemnification – The Trust Instrument disclaims liability of the shareholders of the officers of the Trust for acts or obligations of the Trust which are binding only on the assets and property of the Trust. The Trust Instrument provides for indemnification from the Trust’s property for all loss and expense of any Fund shareholder held personally liable for the obligations of the Trust. The risk of a Trust shareholder incurring financial loss on account of shareholder liability is limited to circumstances in which the Funds would not be able to meet the Trust’s obligations and this risk, thus, should be considered remote.

i) Use of Estimates – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

j) Equalization – Commencing May 1, 2009, the Funds discontinued the practice of equalization accounting for book purposes (but retained equalization for tax purposes) and reclassified amounts from net income equalization to

114 DIREXION ANNUAL REPORT

proceeds from shares sold and cost of shares redeemed for each fund as indicated below:


	Net Income
Funds	Equalization

Direxion Daily Large Cap Bull 3X Shares	$	694,746
Direxion Daily Large Cap Bear 3X Shares		(14,377,119	)
Direxion Daily Mid Cap Bull 3X Shares		14,663
Direxion Daily Mid Cap Bear 3X Shares		(143,718	)
Direxion Daily Small Cap Bull 3X Shares		1,999,495
Direxion Daily Small Cap Bear 3X Shares		(9,880,016	)
Direxion Daily Developed Markets Bull 3X Shares		81,620
Direxion Daily Developed Markets Bear 3X Shares		—
Direxion Daily Emerging Markets Bull 3X Shares		1,676,028
Direxion Daily Emerging Markets Bear 3X Shares		(2,619,702	)
Direxion Daily Energy Bull 3X Shares		3,099,449
Direxion Daily Energy Bear 3X Shares		(981,767	)
Direxion Daily Financial Bull 3X Shares		111,829,585
Direxion Daily Financial Bear 3X Shares		(504,881,916	)
Direxion Daily Technology Bull 3X Shares		109,977
Direxion Daily Technology Bear 3X Shares		(138,300	)
Direxion Daily Real Estate Bull 3X Shares		N/A
Direxion Daily Real Estate Bear 3X Shares		N/A
Direxion Daily 10-Year Treasury Bull 3X Shares		—
Direxion Daily 10-Year Treasury Bear 3X Shares		—
Direxion Daily 30-Year Treasury Bull 3X Shares		—
Direxion Daily 30-Year Treasury Bear 3X Shares		—

This change in accounting did not impact any calculation of net asset value per share nor did it change the Funds’ policies with respect to distributing taxable income.


3.	CREATION AND REDEMPTION TRANSACTIONS AND TRANSACTION FEES

Each Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares called “Creation Units.” A Creation Unit consists of 50,000 Shares. Creation Units of the Bull Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index. Creation Units of the Bear Funds are issued and redeemed for cash. Investors such as market makers, large investors and institutions who wish to deal in Creation Units directly with a Fund must have entered into an authorized participant agreement with the principal underwriter and the transfer agent, or purchase through a dealer that has entered into such an agreement. Transactions in shares for each Fund are disclosed in detail in the Statement of Changes in Net Assets.

Transaction Fees payable to the Trust are imposed to compensate the Trust for the transfer and other transaction costs of a Fund associated with the issuance and redemption of Creation Units of Shares. There is a fixed and a variable component to the total Transaction Fee. A fixed Transaction Fee is applicable to each creation or redemption transaction, regardless of the number of Creation Units purchased or redeemed. In addition, a variable Transaction Fee equal to a percentage of the value of each Creation Unit purchased or redeemed is applicable to each creation or redemption transaction.


4.	INVESTMENT TRANSACTIONS

During the period ended October 31, 2009, the aggregate purchases and sales of investments (excluding cost of in-kind transactions, proceeds from in-kind sales, short-term investments, and swaps contracts) were:

DIREXION ANNUAL REPORT 115


Funds	Purchases		Sales

Direxion Daily Large Cap Bull 3X Shares	$	894,368,656	$	795,522,667
Direxion Daily Large Cap Bear 3X Shares		—		—
Direxion Daily Mid Cap Bull 3X Shares		58,708,990		33,351,915
Direxion Daily Mid Cap Bear 3X Shares		—		—
Direxion Daily Small Cap Bull 3X Shares		707,955,389		531,479,334
Direxion Daily Small Cap Bear 3X Shares		—		—
Direxion Daily Developed Markets Bull 3X Shares		23,218,859		9,276,056
Direxion Daily Developed Markets Bear 3X Shares		—		—
Direxion Daily Emerging Markets Bull 3X Shares		304,514,563		145,620,202
Direxion Daily Emerging Markets Bear 3X Shares		—		—
Direxion Daily Energy Bull 3X Shares		614,496,232		559,583,247
Direxion Daily Energy Bear 3X Shares		—		—
Direxion Daily Financial Bull 3X Shares		3,491,583,000		2,916,759,353
Direxion Daily Financial Bear 3X Shares		—		—
Direxion Daily Technology Bull 3X Shares		164,295,993		101,661,864
Direxion Daily Technology Bear 3X Shares		—		—
Direxion Daily Real Estate Bull 3X Shares		165,011,535		76,987,823
Direxion Daily Real Estate Bear 3X Shares		—		—
Direxion Daily 10-Year Treasury Bull 3X Shares		18,817,032		9,370,828
Direxion Daily 10-Year Treasury Bear 3X Shares		—		—
Direxion Daily 30-Year Treasury Bull 3X Shares		32,693,485		21,256,688
Direxion Daily 30-Year Treasury Bear 3X Shares		—		—

For the period ended October 31, 2009, the cost of in-kind transactions and proceeds from in-kind sales were as follows:


	Purchases
Funds	Received		Sales

Direxion Daily Large Cap Bull 3X Shares	$	17,039,526	$	—
Direxion Daily Large Cap Bear 3X Shares		—		—
Direxion Daily Mid Cap Bull 3X Shares		1,110		—
Direxion Daily Mid Cap Bear 3X Shares		—		—
Direxion Daily Small Cap Bull 3X Shares		32,420,786		16,668,844
Direxion Daily Small Cap Bear 3X Shares		—		—
Direxion Daily Developed Markets Bull 3X Shares		332		—
Direxion Daily Developed Markets Bear 3X Shares		—		—
Direxion Daily Emerging Markets Bull 3X Shares		—		—
Direxion Daily Emerging Markets Bear 3X Shares		—		—
Direxion Daily Energy Bull 3X Shares		31,169,638		—
Direxion Daily Energy Bear 3X Shares		—		—
Direxion Daily Financial Bull 3X Shares		397,293,618		363,046,806
Direxion Daily Financial Bear 3X Shares		—		—
Direxion Daily Technology Bull 3X Shares		—		—
Direxion Daily Technology Bear 3X Shares		—		—
Direxion Daily Real Estate Bull 3X Shares		22,770		—
Direxion Daily Real Estate Bear 3X Shares		—		—
Direxion Daily 10-Year Treasury Bull 3X Shares		—		—
Direxion Daily 10-Year Treasury Bear 3X Shares		—		—
Direxion Daily 30-Year Treasury Bull 3X Shares		—		—
Direxion Daily 30-Year Treasury Bear 3X Shares		—		—


5.	INVESTMENT ADVISORY AND OTHER AGREEMENTS

Under an Investment Advisory Agreement between the Trust, on behalf of each Fund, the Adviser provides a continuous investment program for each Fund’s assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of a Fund, subject to the supervision of the Trustees. Pursuant to the

116 DIREXION ANNUAL REPORT

Advisory Agreement, each Fund pays the Adviser 0.75% at an annual rate based on its average daily net assets. Each Fund is responsible for its own operating expenses.

The Adviser has contractually agreed to waive its fees and/or reimburse the Funds’ operating expenses through March 1, 2010, to the extent that they exceed 0.95% of daily net assets. Any expense waiver is subject to reimbursement by the Funds, as applicable, within the following three years if overall expenses fall below these percentage limitations.

For the period ended October 31, 2009, the Adviser reimbursed expenses as follows:


	Expense
Funds	Reimbursed

Direxion Daily Large Cap Bull 3X Shares	$	494,106
Direxion Daily Large Cap Bear 3X Shares		366,856
Direxion Daily Mid Cap Bull 3X Shares		73,234
Direxion Daily Mid Cap Bear 3X Shares		54,465
Direxion Daily Small Cap Bull 3X Shares		363,194
Direxion Daily Small Cap Bear 3X Shares		275,349
Direxion Daily Developed Markets Bull 3X Shares		110,686
Direxion Daily Developed Markets Bear 3X Shares		107,147
Direxion Daily Emerging Markets Bull 3X Shares		89,274
Direxion Daily Emerging Markets Bear 3X Shares		100,867
Direxion Daily Energy Bull 3X Shares		132,992
Direxion Daily Energy Bear 3X Shares		69,846
Direxion Daily Financial Bull 3X Shares		224,739
Direxion Daily Financial Bear 3X Shares		423,467
Direxion Daily Technology Bull 3X Shares		58,525
Direxion Daily Technology Bear 3X Shares		51,370
Direxion Daily Real Estate Bull 3X Shares		30,016
Direxion Daily Real Estate Bear 3X Shares		38,955
Direxion Daily 10-Year Treasury Bull 3X Shares		62,153
Direxion Daily 10-Year Treasury Bear 3X Shares		60,856
Direxion Daily 30-Year Treasury Bull 3X Shares		59,927
Direxion Daily 30-Year Treasury Bear 3X Shares		44,875

The Board of Trustees of the Trust has adopted a Distribution and Service Plan (the “Plan”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. In accordance with the Plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities and shareholder services. No 12b-1 fees are currently being charged to any Fund, and there are currently no plans to impose these fees.


6.	SUMMARY OF FAIR VALUE DISCLOSURE

The Funds utilized various inputs in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels as follows:


	Level 1 – Quoted prices in active markets for identical securities

	Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

	Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments at October 31, 2009:

DIREXION ANNUAL REPORT 117


	Direxion Daily Large Cap										Direxion Daily Large Cap
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	146,793,730	$	—		$	—	$	146,793,730		$	—	$	—		$	—	$	—
Foreign Stocks		2,923,211		—			—		2,923,211			—		—			—		—
Short-Term Investments		39,035,647		—			—		39,035,647			408,037,936		—			—		408,037,936
Other Financial Instruments*		—		2,943,493			—		2,943,493			—		(32,577,800	)		—		(32,577,800	)


	Direxion Daily Mid Cap										Direxion Daily Mid Cap
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	28,122,935	$	—		$	—	$	28,122,935		$	—	$	—		$	—	$	—
Foreign Stocks		1,062,745		—			—		1,062,745			—		—			—		—
Short-Term Investments		5,465,706		—			—		5,465,706			16,286,300		—			—		16,286,300
Other Financial Instruments*		—		(16,312	)		—		(16,312	)		—		303,301			—		303,301


	Direxion Daily Small Cap										Direxion Daily Small Cap
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	220,740,337	$	—		$	—	$	220,740,337		$	—	$	—		$	—	$	—
Foreign Stocks		4,613,840		—			—		4,613,840			—		—			—		—
Short-Term Investments		67,492,781		—			—		67,492,781			421,312,546		—			—		421,312,546
Other Financial Instruments*		—		(26,101,953	)		—		(26,101,953	)		—		43,368,612			—		43,368,612

Direxion Daily Small Cap Bull 3X Shares

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:


	Common
	Stocks

Balance as of November 5, 2009†	$	—
Transferred into Level 3		3
Change in unrealized appreciation (depreciation)		(3	)
Net purchase (sales)		—

Balance as of October 31, 2009	$	—


†	Inception date.

118 DIREXION ANNUAL REPORT


	Direxion Daily Developed										Direxion Daily Developed
	Markets										Markets
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	26,274	$	—		$	—	$	26,274		$	—	$	—		$	—	$	—
Foreign Stocks		14,527,431		—			—		14,527,431			—		—			—		—
Investment Companies		1,019,309		—			—		1,019,309			—		—			—		—
Short-Term Investments		4,423,643		—			—		4,423,643			4,358,064		—			—		4,358,064
Other Financial Instruments*				517,984			—		517,984			—		113,097			—		113,097


	Direxion Daily Emerging										Direxion Daily Emerging
	Markets										Markets
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	568,985	$	—		$	—	$	568,985		$	—	$	—		$	—	$	—
Foreign Stocks		165,505,030		—			—		165,505,030			—		—			—		—
Investment Companies		11,371,701		—			—		11,371,701			—		—			—		—
Preferred Shares		6,647,556		—			—		6,647,556			—		—			—		—
Short-Term Investments		69,024,084		—			—		69,024,084			96,626,433		—			—		96,626,433
Other Financial Instruments*				(15,205,476	)		—		(15,205,476	)		—		2,713,659			—		2,713,659


	Direxion Daily Energy										Direxion Daily Energy
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	105,009,386	$	—		$	—	$	105,009,386		$	—	$	—		$	—	$	—
Foreign Stocks		3,666,525		—			—		3,666,525			—		—			—		—
Short-Term Investments		21,773,121		—			—		21,773,121			70,327,363		—			—		70,327,363
Other Financial Instruments*		—		(471,234	)		—		(471,234	)		—		(203,722	)		—		(203,722	)


	Direxion Daily Financial										Direxion Daily Financial
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	983,010,583	$	—		$	—	$	983,010,583		$	—	$	—		$	—	$	—
Foreign Stocks		29,007,903		—			—		29,007,903			—		—			—		—
Short-Term Investments		277,146,733		—			—		277,146,733			1,216,862,195		—			—		1,216,862,195
Other Financial Instruments*		—		(89,315,482	)		—		(89,315,482	)		—		90,101,800			—		90,101,800


	Direxion Daily Technology										Direxion Daily Technology
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	80,476,613	$	—		$	—	$	80,476,613		$	—	$	—		$	—	$	—
Foreign Stocks		868,272		—			—		868,272			—		—			—		—
Short-Term Investments		19,959,264		—			—		19,959,264			45,899,422		—			—		45,899,422
Other Financial Instruments*		—		2,391,699			—		2,391,699			—		(4,378,416	)		—		(4,378,416	)


	Direxion Daily Real Estate										Direxion Daily Real Estate
	Bull 3X Shares										Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Common Stocks	$	87,321,906	$	—		$	—	$	87,321,906		$	—	$	—		$	—	$	—
Foreign Stocks		—		—			—		—			—		—			—		—
Short-Term Investments		20,944,781		—			—		20,944,781			56,432,628		—			—		56,432,628
Other Financial Instruments*		—		(6,351,087	)		—		(6,351,087	)		—		3,854,172			—		3,854,172


	Direxion Daily 10-Year										Direxion Daily 10-Year
	Treasury Bull 3X Shares										Treasury Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Treasury Bonds	$	—	$	9,167,344		$	—	$	9,167,344		$	—	$	—		$	—	$	—
Short-Term Investments		856,707		—			—		856,707			19,921,216		—			—		19,921,216
Other Financial Instruments*		—		177,882			—		177,882			—		(661,160	)		—		(661,160	)

DIREXION ANNUAL REPORT 119


	Direxion Daily 30-Year										Direxion Daily 30-Year
	Treasury Bull 3X Shares										Treasury Bear 3X Shares
	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total

Treasury Bonds	$	—	$	11,485,547		$	—	$	11,485,547		$	—	$	—		$	—	$	—
Short-Term Investments		1,396,517		—			—		1,396,517			93,646,843		—			—		93,646,843
Other Financial Instruments*		—		(189,998	)		—		(189,998	)		—		(1,573,476	)		—		(1,573,476	)


*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts. Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.


7.	ADDITIONAL DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS

Each Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of October 31, 2009, the Funds were invested in swap contracts.

At October 31, 2009, the fair value of derivative instruments were as follows:


	Asset derivatives¹
			Foreign
	Interest		exchange		Credit
	rate risk		risk		risk		Equity risk		Total

Direxion Daily Large Cap Bull 3X Shares	$	—	$	—	$	—	$	8,972,471	$	8,972,471
Direxion Daily Large Cap Bear 3X Shares		—		—		—		3,063,851		3,063,851
Direxion Daily Mid Cap Bull 3X Shares		—		—		—		308,534		308,534
Direxion Daily Mid Cap Bear 3X Shares		—		—		—		877,375		877,375
Direxion Daily Small Cap Bull 3X Shares		—		—		—		—		—
Direxion Daily Small Cap Bear 3X Shares		—		—		—		43,368,612		43,368,612
Direxion Daily Developed Markets Bull 3X Shares		—		—		—		525,914		525,914
Direxion Daily Developed Markets Bear 3X Shares		—		—		—		113,097		113,097
Direxion Daily Emerging Markets Bull 3X Shares		—		—		—		3,441,410		3,441,410
Direxion Daily Emerging Markets Bear 3X Shares		—		—		—		5,489,105		5,489,105
Direxion Daily Energy Bull 3X Shares		—		—		—		3,363,408		3,363,408
Direxion Daily Energy Bear 3X Shares		—		—		—		287,111		287,111
Direxion Daily Financial Bull 3X Shares		—		—		—		—		—
Direxion Daily Financial Bear 3X Shares		—		—		—		90,101,800		90,101,800
Direxion Daily Technology Bull 3X Shares		—		—		—		4,447,982		4,447,982
Direxion Daily Technology Bear 3X Shares		—		—		—		—		—
Direxion Daily Real Estate Bull 3X Shares		—		—		—		857,382		857,382
Direxion Daily Real Estate Bear 3X Shares		—		—		—		3,854,172		3,854,172
Direxion Daily 10-Year Treasury Bull 3X Shares		—		—		—		177,882		177,882
Direxion Daily 10-Year Treasury Bear 3X Shares		—		—		—		—		—
Direxion Daily 30-Year Treasury Bull 3X Shares		—		—		—		—		—
Direxion Daily 30-Year Treasury Bear 3X Shares		—		—		—		—		—


¹		Statement of Assets and Liabilities location: Unrealized appreciation on swaps.

120 DIREXION ANNUAL REPORT


	Liability derivatives¹
			Foreign
	Interest		exchange		Credit
	rate risk		risk		risk		Equity risk		Total

Direxion Daily Large Cap Bull 3X Shares	$	—	$	—	$	—	$	6,028,978	$	6,028,978
Direxion Daily Large Cap Bear 3X Shares		—		—		—		35,641,651		35,641,651
Direxion Daily Mid Cap Bull 3X Shares		—		—		—		324,846		324,846
Direxion Daily Mid Cap Bear 3X Shares		—		—		—		574,074		574,074
Direxion Daily Small Cap Bull 3X Shares		—		—		—		26,101,953		26,101,953
Direxion Daily Small Cap Bear 3X Shares		—		—		—		—		—
Direxion Daily Developed Markets Bull 3X Shares		—		—		—		7,930		7,930
Direxion Daily Developed Markets Bear 3X Shares		—		—		—		—		—
Direxion Daily Emerging Markets Bull 3X Shares		—		—		—		18,646,886		18,646,886
Direxion Daily Emerging Markets Bear 3X Shares		—		—		—		2,775,446		2,775,446
Direxion Daily Energy Bull 3X Shares		—		—		—		3,834,642		3,834,642
Direxion Daily Energy Bear 3X Shares		—		—		—		490,833		490,833
Direxion Daily Financial Bull 3X Shares		—		—		—		89,315,482		89,315,482
Direxion Daily Financial Bear 3X Shares		—		—		—		—		—
Direxion Daily Technology Bull 3X Shares		—		—		—		2,056,283		2,056,283
Direxion Daily Technology Bear 3X Shares		—		—		—		4,378,416		4,378,416
Direxion Daily Real Estate Bull 3X Shares		—		—		—		7,208,469		7,208,469
Direxion Daily Real Estate Bear 3X Shares		—		—		—		—		—
Direxion Daily 10-Year Treasury Bull 3X Shares		—		—		—		—		—
Direxion Daily 10-Year Treasury Bear 3X Shares		—		—		—		661,160		661,160
Direxion Daily 30-Year Treasury Bull 3X Shares		—		—		—		189,998		189,998
Direxion Daily 30-Year Treasury Bear 3X Shares		—		—		—		1,573,476		1,573,476


¹		Statement of Assets and Liabilities location: Unrealized depreciation on swaps.

Transactions in derivative instruments during the period ended October 31,2009, were as follows:


		Equity
		risk			Total
Direxion Daily Large Cap Bull 3X Shares	Realized gain (loss)¹
	Swap contracts	$	84,264,998


	Total realized gain (loss)		84,264,998		$	84,264,998


	Unrealized appreciation (depreciation)²
	Swap contracts		2,943,493


	Total unrealized appreciation (depreciation)		2,943,493			2,943,493


Direxion Daily Large Cap Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(282,578,954	)


	Total realized gain (loss)		(282,578,954	)		(282,578,954	)


	Unrealized appreciation (depreciation)²
	Swap contracts		(32,577,800	)


	Total unrealized appreciation (depreciation)		(32,577,800	)		(32,577,800	)


Direxion Daily Mid Cap Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		10,058,122


	Total realized gain (loss)		10,058,122			10,058,122


	Unrealized appreciation (depreciation)²
	Swap contracts		(16,312	)


	Total unrealized appreciation (depreciation)		(16,312	)		(16,312	)

DIREXION ANNUAL REPORT 121


		Equity
		risk			Total
Direxion Daily Mid Cap Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(14,728,176	)


	Total realized gain (loss)		(14,728,176	)		(14,728,176	)


	Unrealized appreciation (depreciation)²
	Swap contracts		303,301


	Total unrealized appreciation (depreciation)		303,301			303,301


Direxion Daily Small Cap Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		89,704,279


	Total realized gain (loss)		89,704,279			89,704,279


	Unrealized appreciation (depreciation)²
	Swap contracts		(26,101,953	)


	Total unrealized appreciation (depreciation)		(26,101,953	)		(26,101,953	)


Direxion Daily Small Cap Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(281,649,386	)


	Total realized gain (loss)		(281,649,386	)		(281,649,386	)


	Unrealized appreciation (depreciation)²
	Swap contracts		43,368,612


	Total unrealized appreciation (depreciation)		43,368,612			43,368,612


Direxion Daily Developed Markets Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		4,212,026


	Total realized gain (loss)		4,212,026			4,212,026


	Unrealized appreciation (depreciation)²
	Swap contracts		517,984


	Total unrealized appreciation (depreciation)		517,984			517,984


Direxion Daily Developed Markets Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(6,422,615	)


	Total realized gain (loss)		(6,422,615	)		(6,422,615	)


	Unrealized appreciation (depreciation)²
	Swap contracts		113,097


	Total unrealized appreciation (depreciation)		113,097			113,097


Direxion Daily Emerging Markets Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		74,646,093


	Total realized gain (loss)		74,646,093			74,646,093


	Unrealized appreciation (depreciation)²
	Swap contracts		(15,205,476	)


	Total unrealized appreciation (depreciation)		(15,205,476	)		(15,205,476	)


Direxion Daily Emerging Markets Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(70,280,534	)


	Total realized gain (loss)		(70,280,534	)		(70,280,534	)


	Unrealized appreciation (depreciation)²
	Swap contracts		2,713,659


	Total unrealized appreciation (depreciation)		2,713,659			2,713,659


Direxion Daily Energy Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		55,513,155


	Total realized gain (loss)		55,513,155			55,513,155


	Unrealized appreciation (depreciation)²
	Swap contracts		(471,234	)


	Total unrealized appreciation (depreciation)		(471,234	)		(471,234	)

122 DIREXION ANNUAL REPORT


		Equity
		risk			Total
Direxion Daily Energy Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(29,158,729	)


	Total realized gain (loss)		(29,158,729	)		(29,158,729	)


	Unrealized appreciation (depreciation)²
	Swap contracts		(203,722	)


	Total unrealized appreciation (depreciation)		(203,722	)		(203,722	)


Direxion Daily Financial Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		1,103,136,370


	Total realized gain (loss)		1,103,136,370			1,103,136,370


	Unrealized appreciation (depreciation)²
	Swap contracts		(89,315,482	)


	Total unrealized appreciation (depreciation)		(89,315,482	)		(89,315,482	)


Direxion Daily Financial Bear 3X Shares	Realized gain (loss)¹
	Options		(4,713	)
	Swap contracts		(2,248,240,477	)


	Total realized gain (loss)		(2,248,245,190	)		(2,248,245,190	)


	Unrealized appreciation (depreciation)²
	Swap contracts		90,101,800


	Total unrealized appreciation (depreciation)		90,101,800			90,101,800


Direxion Daily Technology Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		44,349,769


	Total realized gain (loss)		44,349,769			44,349,769


	Unrealized appreciation (depreciation)²
	Swap contracts		2,391,699


	Total unrealized appreciation (depreciation)		2,391,699			2,391,699


Direxion Daily Technology Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(25,781,098	)


	Total realized gain (loss)		(25,781,098	)		(25,781,098	)


	Unrealized appreciation (depreciation)²
	Swap contracts		(4,378,416	)


	Total unrealized appreciation (depreciation)		(4,378,416	)		(4,378,416	)


Direxion Daily Real Estate Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		6,432,400


	Total realized gain (loss)		6,432,400			6,432,400


	Unrealized appreciation (depreciation)²
	Swap contracts		(6,351,087	)


	Total unrealized appreciation (depreciation)		(6,351,087	)		(6,351,087	)


Direxion Daily Real Estate Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(7,744,988	)


	Total realized gain (loss)		(7,744,988	)		(7,744,988	)


	Unrealized appreciation (depreciation)²
	Swap contracts		3,854,172


	Total unrealized appreciation (depreciation)		3,854,172			3,854,172

DIREXION ANNUAL REPORT 123


		Equity
		risk			Total
Direxion Daily 10-Year Treasury Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		(671,517	)


	Total realized gain (loss)		(671,517	)		(671,517	)


	Unrealized appreciation (depreciation)²
	Swap contracts		177,882


	Total unrealized appreciation (depreciation)		177,882			177,882


Direxion Daily 10-Year Treasury Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		697,246


	Total realized gain (loss)		697,246			697,246


	Unrealized appreciation (depreciation)²
	Swap contracts		(661,160	)


	Total unrealized appreciation (depreciation)		(661,160	)		(661,160	)


Direxion Daily 30-Year Treasury Bull 3X Shares	Realized gain (loss)¹
	Swap contracts		552,576


	Total realized gain (loss)		552,576			552,576


	Unrealized appreciation (depreciation)²
	Swap contracts		(189,998	)


	Total unrealized appreciation (depreciation)		(189,998	)		(189,998	)


Direxion Daily 30-Year Treasury Bear 3X Shares	Realized gain (loss)¹
	Swap contracts		(10,217,683	)


	Total realized gain (loss)		(10,217,683	)		(10,217,683	)


	Unrealized appreciation (depreciation)²
	Swap contracts		(1,573,476	)


	Total unrealized appreciation (depreciation)		(1,573,476	)		(1,573,476	)


1	Statement of Operations location: Net realized gain (loss) on swaps and options.

2	Statement of Operations location: Change in unrealized appreciation (depreciation) on swaps.

124 DIREXION ANNUAL REPORT

For the fiscal year ended October 31, 2009, the quarterly average gross notional amounts of the derivatives held by the Funds were as follows:


	Long Equity		Short Equity
	Swap Contracts		Swap Contracts

Direxion Daily Large Cap Bull 3X Shares	$	554,205,134	$	—
Direxion Daily Large Cap Bear 3X Shares		—		865,071,483
Direxion Daily Mid Cap Bull 3X Shares		45,497,374		—
Direxion Daily Mid Cap Bear 3X Shares		—		31,504,089
Direxion Daily Small Cap Bull 3X Shares		504,137,832		—
Direxion Daily Small Cap Bear 3X Shares		—		792,754,960
Direxion Daily Developed Markets Bull 3X Shares		24,206,426		—
Direxion Daily Developed Markets Bear 3X Shares		—		17,064,495
Direxion Daily Emerging Markets Bull 3X Shares		268,447,090		—
Direxion Daily Emerging Markets Bear 3X Shares		—		152,813,039
Direxion Daily Energy Bull 3X Shares		283,689,563		—
Direxion Daily Energy Bear 3X Shares		—		149,301,283
Direxion Daily Financial Bull 3X Shares		2,044,352,459		—
Direxion Daily Financial Bear 3X Shares		—		2,884,678,309
Direxion Daily Technology Bull 3X Shares		140,305,428		—
Direxion Daily Technology Bear 3X Shares		—		78,078,253
Direxion Daily Real Estate Bull 3X Shares		137,026,061		—
Direxion Daily Real Estate Bear 3X Shares		—		79,066,452
Direxion Daily 10-Year Treasury Bull 3X Shares		14,643,415		—
Direxion Daily 10-Year Treasury Bear 3X Shares		—		35,576,079
Direxion Daily 30-Year Treasury Bull 3X Shares		21,379,967		—
Direxion Daily 30-Year Treasury Bear 3X Shares		—		152,792,422


8.	RISK

Below are some of the principal risks of investing in the ETFs. Please refer to the ETFs’ prospectus for a full discussion.

Counterparty Risk – A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund. The Funds’ counterparties are generally required to post collateral to the Funds to the extent of the Funds’ daily exposure to such counterparties. However, to the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described in this paragraph. In addition, there may be a delay associated with realization by the Funds of the collateral posted by such counterparties in the event of counterparty default or bankruptcy. A Fund may be negatively impacted if counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding, and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Concentration Risk – The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.

Correlation Risk – A number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund’s correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards, and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding

DIREXION ANNUAL REPORT 125

annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds’ ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.

Certain Funds are “leveraged” funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds’ use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.

Leverage Risk – Leverage offers a means of magnifying market movements into larger changes in an investment’s value and provides greater investment exposure than an unleveraged investment. Swap agreements may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.

Liquidity Risk – In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of the Adviser. Additionally, certain counterparties may have the ability to demand repayment at any time, thereby exposing the Fund to the risk that it may be required to liquidate investments at an inopportune time. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its underlying index.


9.	ADDITIONAL INFORMATION

The Direxion Daily Mid Cap Bear 3X Shares ETF conducted a 1-for-2 reverse split with a record date of Wednesday, June 24, 2009 and an effective date of Thursday, June 25, 2009, when shares began trading on a split-adjusted basis. As a result of the reverse split, every two shares of the Fund were exchanged for one share (excluding fractional shares, which were redeemed in cash).

The Direxion Daily Financial Bull 3X Shares conducted a 1-for-5 reverse split with a record date of Wednesday, July 8, 2009 and an effective date of Thursday, July 9, 2009, when shares began trading on a split-adjusted basis. As a result of the reverse split, every five shares of the Fund will be exchanged for one share (excluding fractional shares, which will be redeemed in cash).

The Direxion Daily Financial Bear 3X Shares conducted a 1-for-10 reverse split with a record date of Wednesday, July 8, 2009 and an effective date of Thursday, July 9, 2009, when shares began trading on a split-adjusted basis. As a result of the reverse split, every ten shares of the Fund will be exchanged for one share (excluding fractional shares, which will be redeemed in cash).

126 DIREXION ANNUAL REPORT


10.	SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Fund’s financial statements through December 28, 2009.

On November 19, 2009, the Funds declared capital gains dividend distribution with an ex-date of November 20, 2009 and payable date of November 30, 2009. The capital gains distribution per share for each Fund was as follows:


	Per Share Short		Per Share Long Term
Funds	Term Capital Gains		Capital Gains

Direxion Daily Large Cap Bull 3X Shares	$	6.51448	$	0.00176
Direxion Daily Mid Cap Bull 3X Shares		13.42807		0.01996
Direxion Daily Small Cap Bull 3X Shares		4.65634		0.01032
Direxion Daily Developed Markets Bull 3X Shares		12.00000		—
Direxion Daily Emerging Markets Bull 3X Shares		21.95122		—
Direxion Daily Energy Bull 3X Shares		4.64923		—
Direxion Daily Technology Bull 3X Shares		23.01790		—
Direxion Daily Real Estate Bull 3X Shares		9.36576		0.07869
Direxion Daily 10-Year Treasury Bear 3X Shares		5.16667		—
Direxion Daily 30-Year Treasury Bull 3X Shares		4.19652		—
Direxion Daily 30-Year Treasury Bear 3X Shares		7.34870		—

On December 21, 2009, the Funds declared income dividends with an ex-date of December 22, 2009 and payable date of December 30, 2009. The income dividends per share for each Fund was as follows:


	Per Share Income
Fund	Dividend

Direxion Daily Large Cap Bull 3X Shares	$	0.07954
Direxion Daily Mid Cap Bull 3X Shares		0.11752
Direxion Daily Developed Markets Bull 3X Shares		0.15724
Direxion Daily 10-Year Treasury Bull 3X Shares		0.28393
Direxion Daily 30-Year Treasury Bull 3X Shares		0.28201

DIREXION ANNUAL REPORT 127

Direxion Shares

Report of Independent Registered Public Accounting Firm

The Board of Trustees and

Shareholders of Direxion Shares ETF Trust:

We have audited the accompanying statements of assets and liabilities of Direxion Daily Large Cap Bull 3X Shares, Direxion Daily Large Cap Bear 3X Shares, Direxion Daily Mid Cap Bull 3X Shares, Direxion Daily Mid Cap Bear 3X Shares, Direxion Daily Small Cap Bull 3X Shares, Direxion Daily Small Cap Bear 3X Shares, Direxion Daily Developed Markets Bull 3X Shares, Direxion Daily Developed Markets Bear 3X Shares, Direxion Daily Emerging Markets Bull 3X Shares, Direxion Daily Emerging Markets Bear 3X Shares, Direxion Daily Energy Bull 3X Shares, Direxion Daily Energy Bear 3X Shares, Direxion Daily Financial Bull 3X Shares, Direxion Daily Financial Bear 3X Shares, Direxion Daily Technology Bull 3X Shares, Direxion Daily Technology Bear 3X Shares, Direxion Daily Real Estate Bull 3X Shares, Direxion Daily Real Estate Bear 3X Shares, Direxion Daily 10-Year Treasury Bull 3X Shares, Direxion Daily 10-Year Treasury Bear 3X Shares, Direxion Daily 30-Year Treasury Bull 3X Shares, Direxion Daily 30-Year Treasury Bear 3X Shares (the investment funds constituting the Direxion Shares ETF Trust (the “Trust”) and collectively referred to as the “Funds”), including the schedules of investments, as of October 31, 2009, and the related statements of operations, the changes in net assets and financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2009, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds at October 31, 2009, the results of their operations, the changes in their net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

New York, New York

December 28, 2009

128 DIREXION ANNUAL REPORT

Direxion Shares ETF Trust

SUPPLEMENTAL INFORMATION (Unaudited)

Federal Tax Status of Dividends Declared during the Tax Year

For Federal income tax purposes, dividends from short-term capital gains are classified as ordinary income. The percentage of ordinary income distribution designated as qualifying for the corporate dividend received deduction (“DRD”), and the individual qualified dividend rate (“QDI”) is presented below.


Funds	DRD			QDI

Direxion Daily Large Cap Bull 3X Shares		3.77	%		3.45%
Direxion Daily Large Cap Bear 3X Shares		0.00	%		0.00%
Direxion Daily Mid Cap Bull 3X Shares		2.09	%		1.73%
Direxion Daily Mid Cap Bear 3X Shares		0.00	%		0.00%
Direxion Daily Small Cap Bull 3X Shares		2.03	%		1.37%
Direxion Daily Small Cap Bear 3X Shares		0.00	%		0.00%
Direxion Daily Developed Markets Bull 3X Shares		3.94	%		2.38%
Direxion Daily Developed Markets Bear 3X Shares		0.00	%		0.00%
Direxion Daily Emerging Markets Bull 3X Shares		2.23	%		0.95%
Direxion Daily Emerging Markets Bear 3X Shares		0.00	%		0.00%
Direxion Daily Energy Bull 3X Shares		2.44	%		2.27%
Direxion Daily Energy Bear 3X Shares		0.00	%		0.00%
Direxion Daily Financial Bull 3X Shares		0.94	%		0.64%
Direxion Daily Financial Bear 3X Shares		0.00	%		0.00%
Direxion Daily Technology Bull 3X Shares		0.74	%		0.69%
Direxion Daily Technology Bear 3X Shares		0.00	%		0.00%
Direxion Daily Real Estate Bull 3X Shares		4.29	%		0.37%
Direxion Daily Real Estate Bear 3X Shares		0.00	%		0.00%
Direxion Daily 10-Year Treasury Bull 3X Shares		0.00	%		0.00%
Direxion Daily 10-Year Treasury Bear 3X Shares		0.00	%		0.00%
Direxion Daily 30-Year Treasury Bull 3X Shares		0.00	%		0.00%
Direxion Daily 30-Year Treasury Bear 3X Shares		0.00	%		0.00%

Special 2009 Tax Information

The Direxion Developed Markets Bull 3X Shares and Direxion Daily Emerging Markets Bull 3X Shares in accordance with Section 853 of the Internal Revenue Code intends to elect to pass through to its shareholders the credit for taxes paid in foreign countries during its fiscal year ended October 31, 2009. In accordance with the current tax laws, the foreign income and foreign tax per share (for a share outstanding as of October 31, 2009) is as follows:


	Gross
	Foreign		Foreign
Funds	Income		Taxes Paid

Direxion Daily Developed Markets Bull 3X Shares	$	0.89885	$	0.06098
Direxion Daily Emerging Markets Bull 3X Shares		1.13820		0.09818

DIREXION ANNUAL REPORT 129

Direxion Funds

TRUSTEES AND OFFICERS

The business affairs of each Fund are managed by or under the direction of the Board of Trustees. Information pertaining to the Trustees and Officers of the Funds is set forth below. The SAI includes additional information about the Funds’ Trustee and Officers and is available without charge, upon request by calling 1-800-851-0511.

Interested Trustees

# of Portfolios

in Direxion

Position(s)

Term of Office

Complex

Other Trusteeships/

Held with

and Length of

Principal Occupations(s)

Overseen by

Directorships Held

Name, Address and Age

Fund

Time Served

During Past Five Years

Trustee⁽²⁾

by Trustee

Daniel D. O’Neill⁽¹⁾

Age: 41

President, Chairman of the Board of Trustees

Since 2008

Managing Director of Rafferty, 1999-present.

None

Non-Interested Trustees

# of Portfolios

in Direxion

Position(s)

Term of Office

Complex

Other Trusteeships/

Held with

and Length of

Principal Occupations(s)

Overseen by

Directorships Held

Name, Address and Age

Fund

Time Served

During Past Five Years

Trustee⁽²⁾

by Trustee

Daniel J. Byrne

Age: 65

Trustees

Lifetime or Trust until removal or resignation; Since 2008

President and Chief Executive Officer of Byrne Securities Inc., 1992-present.

Trustee, The Opening Word Program, Wyandanch, NY

Gerald E. Shanley III

Age: 66

Trustees

Lifetime or Trust until removal or resignation; Since 2008

Business Consultant, 1985-present; Trustee of Trust Under Will of Charles S. Payson, 1987-present; C.P.A. 1979-present.

None

John Weisser

Age: 68

Trustees

Lifetime or Trust until removal or resignation; Since 2008

Retired, Since 1995; Salomon Brothers, Inc, 1971-1995, most recently as Managing Director.

Director, Mainstay VP Fund Series; Director, ICAP Fund, Inc.; Director The MainStay Funds; Director, Eclipse Funds, Inc.

130 DIREXION ANNUAL REPORT

Direxion Shares

TRUSTEES AND OFFICERS

Officers

# of Portfolios

in Direxion

Position(s)

Term of Office

Complex

Other Trusteeships/

Held with

and Length of

Principal Occupations(s)

Overseen by

Directorships Held

Name, Address and Age

Fund

Time Served

During Past Five Years

Trustee⁽²⁾

by Trustee

Daniel D. O’Neill⁽¹⁾

Age: 41

President, Chairman of the Board of Trustees

Since 2008

Managing Director of Rafferty, 1999-present.

N/A

Guy F. Talarico

Age: 54

Principal Financial Officer and Treasurer

Since 2008

CEO, Alaric Compliance Services, LLC, 2006-present; Co-CEO EOS Compliance Services, LLC, 2004-2006; Senior Director, Investors Bank and Trust Co., 2001-2004; Division Executive, JP Morgan-Chase Bank, 1986-2001; Group Product Manager, Lever Brothers Company, 1977-1986.

N/A

William Franca

Age: 52

Executive Vice President- Head of Distribution

Since 2008

Senior Vice President – Rafferty since 2006; Massachusetts Financial Services/SunLife Financial Distributors, 2002-2004; Executive Vice President, Distribution, SunLife, 2001-2002.

N/A

Bernard “Bob” Frize

Age: 41

Chief Compliance Officer

Since 2008

Director, Alaric Compliance Services, LLC September 2007 to present; Business Consultant, BusinessEdge Solutions January 2007 – June 2007; Associate Vice President, Pershing Adviser Solutions April 1996 – January 2007.

N/A


⁽¹⁾		Mr. O’Neill is affiliated with Rafferty. Mr. O’Neill is the Managing Director of Rafferty and owns a beneficial interest in Rafferty.

⁽²⁾		The Direxion Complex consists of the Direxion Funds which currently offers for sale to the public 34 portfolios, the Direxion Insurance Trust which currently offers for sale 3 portfolios and the Direxion ETF Trust which currently offers for sale to the public 22 of the 40 funds currently registered with the SEC.

		The address for all trustees and is 33 Whitehall St., New York, NY 10004.

DIREXION ANNUAL REPORT 131

ANNUAL REPORT OCTOBER 31, 2009

33 Whitehall Street, 10th Floor New York, New York 10004 www.direxionshares.com

Investment Adviser

Rafferty Asset Management, LLC

33 Whitehall St. 10th Floor

New York, NY 10004

Administrator, Transfer Agent, & Custodian

The Bank of New York Mellon

One Wall Street

New York, New York 10286

Independent Registered Public Accounting Firm

Ernst & Young LLP

Times Square

New York, NY 10036

Distributor

Foreside Fund Services, LLC

Three Canal Plaza, Suite 100

Portland, Maine 04101

www.foreside.com

You may obtain a description of the Direxion Shares ETF Trust proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30 (available by August 31) without charge, upon request, by calling 1-866-476-7523 or by accessing the SEC’s website at www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-866-476-7523, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Item 2. Code of Ethics.

a). The Registrant has adopted a code of ethics that applies to the Registrant’s Principal Executive Officer, Principal Financial Officer or persons performing similar functions.

b). There have not been any changes to the Code of Ethics.

c). Not Applicable

d). During the period, Registrant granted no waivers from the provisions of its code of ethics that applies to the Registrant’s Principal Executive Officer, Principal Financial Officer or persons performing similar functions.

e). Not Applicable

f). Attached

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has one audit committee financial expert serving on its audit committee, an “independent” Trustee, Gerald E. Shanley III. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services.

a). Audit Fees: the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the audit are as follows:

2009: $350,500
2008: N/A

b). Audit-Related Fees: the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this item are as follows:

2009: $4,000
2008: N/A

c). Tax Fees, the aggregate fees billed in each of the previous last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are as follows:

2009: $149,690
2008: N/A

d). All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) and (c) of this Item are as follows:

2009: $0
2008: N/A

e) Audit Committee Pre-Approval Policies and Procedures.

(i) Per Rule 2-01(c)(7)(A), the Audit Committee pre-approves all of the Audit, Audit-Related, Tax and Other Fees of the Registrant.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f) No response required.

(g) The aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Funds, the Advisor or any entity controlling, controlled by, or under common control with the Advisor that provides ongoing services to the Registrant (except for any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) that directly impacted the Funds for the last two fiscal years is as following:

2009: $153,690
2008: N/A

(h) Not Applicable

Item 5. Audit Committee of Listed Registrants.

(a) The Fund has a designated Audit Committee in accordance with Section 3(a)(58)(A) of the Securities and Exchange Act of 1934 (the “Exchange Act”) and all independent Trustees are members of such committee.

(b) Not applicable.

Item 6. Schedule of Investments.

(a)

Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b)

Not Applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not Applicable.



Bull Funds		Bear Funds

Domestic Equity Index Funds

Direxion Daily Large Cap Bull 3X Shares Direxion Daily Mid Cap Bull 3X Shares Direxion Daily Small Cap Bull 3X Shares		Direxion Daily Large Cap Bear 3X Shares Direxion Daily Mid Cap Bear 3X Shares Direxion Daily Small Cap Bear 3X Shares

International Funds

Direxion Daily Developed Markets Bull 3X Shares Direxion Daily Emerging Markets Bull 3X Shares		Direxion Daily Developed Markets Bear 3X Shares Direxion Daily Emerging Markets Bear 3X Shares

Specialty Funds

Direxion Daily Energy Bull 3X Shares Direxion Daily Financial Bull 3X Shares Direxion Daily Technology Bull 3X Shares Direxion Daily Real Estate Bull 3X Shares		Direxion Daily Energy Bear 3X Shares Direxion Daily Financial Bear 3X Shares Direxion Daily Technology Bear 3X Shares Direxion Daily Real Estate Bear 3X Shares

Fixed Income Funds

Direxion Daily 10-Year Treasury Bull 3X Shares Direxion Daily 30-Year Treasury Bull 3X Shares		Direxion Daily 10-Year Treasury Bear 3X Shares Direxion Daily 30-Year Treasury Bear 3X Shares



Letter to Shareholders			4

Management Discussion & Analysis			7

Expense Examples			32

Premium/Discount Summary Table			35

Allocation of Portfolio Holdings			39

Schedules of Investments			40

Statements of Assets and Liabilities			89

Statements of Operations			95

Statements of Changes in Net Assets			101

Financial Highlights			107

Notes to the Financial Statements			108

Report of Independent Registered Public Accounting Firm			128

Supplemental Information			129

Board of Trustees and Officers			130
EX-99.ETH CODE
EX-99.CERT
EX-99.906CERT


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*		The Fund commenced operations on July 16, 2009. Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 108 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one half year period).


Shares			Value

SHORT TERM INVESTMENTS - 99.3%
MONEY MARKET FUNDS - 99.3%
	16,286,300	Goldman Sachs Financial Square Government Fund, 0.01% (a)(b)	$	16,286,300

		TOTAL SHORT TERM INVESTMENTS (Cost $16,286,300)	$	16,286,300

		TOTAL INVESTMENTS (Cost $16,286,300) - 99.3%	$	16,286,300
		Other Assets in Excess of Liabilities - 0.7%		109,744

		TOTAL NET ASSETS - 100.0%	$	16,396,044


Shares			Value

SHORT TERM INVESTMENTS - 98.6%
MONEY MARKET FUNDS - 98.6%
	70,327,363	Goldman Sachs Financial Square Government Fund, 0.01% (a)(b)	$	70,327,363

		TOTAL SHORT TERM INVESTMENTS (Cost $70,327,363)	$	70,327,363

		TOTAL INVESTMENTS (Cost $70,327,363) - 98.6%	$	70,327,363
		Other Assets in Excess of Liabilities - (1.4%)		1,011,226

		TOTAL NET ASSETS - 100.0%	$	71,338,589


Shares			Value

SHORT TERM INVESTMENTS - 103.7%
MONEY MARKET FUNDS - 103.7%
	19,921,216	Goldman Sachs Financial Square Government Fund, 0.01% (a)(b)	$	19,921,216

		TOTAL SHORT TERM INVESTMENTS (Cost $19,921,216)	$	19,921,216

		TOTAL INVESTMENTS (Cost $19,921,216) - 103.7%	$	19,921,216
		Liabilities in Excess of Other Assets - (3.7%)		(711,480	)

		TOTAL NET ASSETS - 100.0%	$	19,209,736


Shares			Value

SHORT TERM INVESTMENTS - 103.1%
MONEY MARKET FUNDS - 103.1%
	93,646,843	Goldman Sachs Financial Square Government Fund, 0.01% (a)(b)	$	93,646,843

		TOTAL SHORT TERM INVESTMENTS (Cost $93,646,843)	$	93,646,843

		TOTAL INVESTMENTS (Cost $93,646,843) - 103.1%	$	93,646,843
		Liabilities in Excess of Other Assets - (3.1%)		(2,795,291	)

		TOTAL NET ASSETS - 100.0%	$	90,851,552


Item 1.	Reports to Stockholders.