N-CSR 1 d605845dncsr.htm N-CSR N-CSR

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22201

 

 

Direxion Shares ETF Trust

(Exact name of registrant as specified in charter)

 

 

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

New York, NY 10019

(Address of principal executive offices) (Zip code)

 

 

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

New York, NY 10019

(Name and address of agent for service)

 

 

646-572-3390

Registrant’s telephone number, including area code

Date of fiscal year end: October 31, 2013

Date of reporting period: October 31, 2013

 

 

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

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

 

 

 


Item 1. Report to Stockholders.

 


LOGO

 

DIREXION SHARES ETF TRUST

ANNUAL REPORT OCTOBER 31, 2013

1301 Avenue of the Americas (6th Ave.), 35th Floor New  York, New York 10019 www.direxionshares.com

 

Direxion All Cap Insider Sentiment Shares

Direxion S&P 500® DRRC Index Volatility Response Shares

Direxion NASDAQ-100® Equal Weighted Index Shares

1X BEAR FUNDS

SECTOR FUNDS

Direxion Daily Total Market Bear 1X Shares

FIXED INCOME FUNDS

Direxion Daily 7-10 Year Treasury Bear 1X Shares

Direxion Daily 20+ Year Treasury Bear 1X Shares

Direxion Daily Total Bond Market Bear 1X Shares


Table of Contents

 

Letter to Shareholders

     1   

Performance Summary

     1   

Expense Example

     8   

Allocation of Portfolio Holdings

     9   

Schedules of Investments

     10   

Statements of Assets and Liabilities

     25   

Statements of Operations

     27   

Statements of Changes in Net Assets

     29   

Financial Highlights

     33   

Notes to the Financial Statements

     34   

Report of Independent Registered Public Accounting Firm

     45   

Supplemental Information

     46   

Trustees and Officers

     47   

Board Review of Investment Advisory Agreements

     50   


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LETTER TO SHAREHOLDERS

Dear Shareholders,

This Annual Report for the Direxion Shares exchange traded funds (the “ETFs”) includes the Direxion All Cap Insider Sentiment Shares, Direxion S&P 500® DRRC Index Volatility Response Shares and the Direxion NASDAQ-100® Equal Weighted Index Shares (collectively, the “Non-Leveraged ETFs”). In addition, this report includes the Direxion Daily Total Market Bear 1X Shares, Direxion Daily 7-10 Year Treasury Bear 1X Shares, Direxion Daily 20+ Year Treasury Bear 1X Shares and the Direxion Daily Total Bond Market Bear 1X Shares (collectively, the “Bear ETFs”). This report covers the period from November 1, 2012 to October 31, 2013, (the “Annual Period”).

Market Review:

The domestic equity markets enjoyed strong gains during the Annual Period, with the S&P 500 Index appreciating 27%. While the markets moved in a rather sideways fashion in November and December, they started their upward journey with the turn of the New Year. Experiencing strong performance into February, the markets saw a slight drop at the end of the month relating to the uncertainty over the Federal Reserve’s future tapering of Quantitative Easing. Subsequent comments from Federal Reserve Chairman Ben Bernanke allayed any short-term investor doubt regarding continued Quantitative Easing, spurring a record high in May. Not surprisingly, the continued theme of potential Quantitative Easing tapering drove a larger market correction in June. With the strong corporate earnings and economic data fueling optimism, as well as an improving jobs market, the S&P 500 moved higher into the late summer months. The S&P 500 experienced bouts of weakness along the way, but it ultimately attained new record levels in mid-September. The end of the Annual Period was characterized by U.S. debt-limit concerns and a U.S. government shutdown, with lawmakers deadlocked over an extension that would have avoided a U.S. default on obligations. A mid-October deal put government workers back to their jobs, lifting the debt limit and driving strong market performance into the end of the Annual Period.

The Federal Reserve and the anticipation of its action was the dominant theme in fixed income markets over the Annual Period. Domestic fixed income markets increasingly priced in the notion of the Federal Reserve’s deceleration of asset purchases, leading to the rise of the 10-Year Treasury yield to a high of 3% in September. During the Annual Period, fixed income markets saw a boost in demand for treasuries due to the taper failing to materialize, geopolitical risk in Syria and the risk of the U.S. government shutting down. High yield corporate bonds produced strong returns throughout the Annual Period, producing a total return of 7.33% (as measured by the iShares iBoxx HY Index) due to high credit sensitivity and lower interest rate sensitivity having resulted in this environment. Recent jobs reports and GDP figures highlighted the fact the U.S. economic activities expanded at a faster-than-forecasted pace, further weakening the case for the Federal Reserve to maintain stimulus.

Factors Affecting Performance of Non-Leverage ETFs:

 

 

Benchmark Performance – The performance of each ETF’s benchmark index, and the factors and market conditions implicitly affecting that index, are the primary factors driving ETF performance. The market conditions that affected the benchmark indexes during the past year are described in the Market Review section above.

 

 

Optimized Baskets – The Direxion S&P 500® DRRC Index Volatility Response Shares holds a basket of equities designed to provide returns that track its underlying index. In order to decrease transaction costs, this ETF may hold only a representative sample, or optimized basket, that tracks closely over time but deviates from its underlying index in the short-term.

 

 

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

 

 
1    DIREXION ANNUAL REPORT


 

Volatility – In periods of high volatility, the Direxion S&P 500® DRRC Index Volatility Response Shares will rebalance its portfolio and decrease exposure to equity securities and increase the amount of the portfolio held in U.S. Treasury Bills. This decreased exposure to equity securities means this ETF would not be expected to gain the full benefit of a rising equity market if such a market occurred during a period of high volatility.

Non-Leveraged ETFs Performance Review:

The following discussion relates to the performance of the Non-Leveraged ETFs for the Annual Period. These ETFs seek to match, after expenses, the return of a benchmark through time. For these ETFs, the benchmark performance for the period is the standard against which they should be evaluated. The performance of the ETFs for the Annual Period is important primarily for understanding whether the ETFs meet their investment goals.

The Direxion All Cap Insider Sentiment Shares seeks to match, after expenses, the return of the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index. The Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index is a quantitatively-weighted index comprised of 100 of the top publicly traded companies in the S&P 1500® Index. The Index reflects positive sentiment among those “insiders” closest to a company’s financials and business prospects, such as top management, directors, large institutional holders, and the Wall Street research analysts who follow the company. For the Annual Period, the Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index returned 29.73%, while the Direxion All Cap Insider Sentiment Shares returned 31.35%.

The Direxion S&P 500® DRRC Index Volatility Response Shares seeks to match, after expenses, the return of the S&P 500® Dynamic Rebalancing Risk Control Index. The S&P 500® Dynamic Rebalancing Risk Control Index is designed to respond to the volatility of the S&P 500® Index. (the “Stock Component”). The S&P 500 Index measures the large capitalization segment of the domestic equity market, composed of stocks of the 500 domestic companies with the largest capitalization. The Index employs a sophisticated methodology designed to control the Index’s risk level by establishing a specific volatility level target that adjusts the Index’s components among an allocation to the stock component and fixed income securities, including U.S. Treasury Bills (the “Cash Component”). Through the use of an exponential volatility equation, the Index adjusts based upon realized exponentially-weighted historical volatility of the S&P 500® Index. As volatility increases, exposure to the Stock Component will decrease and exposure to the Cash Component will increase. As volatility decreases, exposure to the Stock Component will increase and exposure to the Cash Component will decrease. The Index is reviewed daily with a minimum rebalance period of one month. However, if at any time the target volatility level passes the methodologies threshold parameters, the index has the flexibility to readjust as necessary. For the Annual Period, the S&P 500® Dynamic Rebalancing Risk Control Index returned 26.68%, while the Direxion S&P 500® DRRC Index Volatility Response Shares returned 25.95%.

The Direxion NASDAQ-100® Equal Weighted Index Shares seeks to match, after expenses, the return of the NASDAQ-100® Equal Weighted Index. The NASDAQ-100® Equal Weighted Index includes 100 of the largest non-financial securities listed on NASDAQ®, but instead of being weighted by market capitalization, each of the constituents is initially set at 1.00%. The Index is reviewed and adjusted annually in December, but replacements may be made any time throughout the year. The Index is rebalanced quarterly in March, June, September and December. For the Annual Period, the NASDAQ-100® Equal Weighted Index returned 37.86%, while the Direxion NASDAQ-100® Equal Weighted Index Shares returned 38.72%.

Factors Affecting Performance of Bear ETFs:

 

 

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

 

 

Volatility and Compounding – The goal of the Bear ETFs is to provide the inverse of the daily returns of an underlying index. Over periods longer than a single day, a ETF should not be expected to provide the inverse of

 

 
DIREXION ANNUAL REPORT   2


 

the return of the underlying index. Due to the effects of compounding, a universal mathematical concept that applies to all investments, returns of the ETFs over longer periods are greater or less than the ETF’s daily stated goal. Periods of high volatility that lack a clear trend hurt a ETF’s performance while trending, low volatility markets enhance a ETF’s performance.

 

 

Cost of Financing – In order to attain inverse exposure, a Bear ETF receives LIBOR minus a spread as applied to the borrowed portion of the ETF’s exposure. Because LIBOR is very low, a Bear ETF receives a negligible amount of financing, or in the case of hard-to-borrow shares, might pay to finance its short position.

 

 

Equity Dividends and Bond Interest – The Bear ETFs are negatively impacted by bond interest as they are obligated to pay interest, accrued on a daily basis.

 

 

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

Bear ETFs Performance Review:

The next discussion relates to the performance of the Bear ETFs for the Annual Period. The Bear ETFs seek daily investment results, before fees and expenses, of -100% of the performance of a particular benchmark, meaning that the Bear ETFs attempt to move in the opposite or inverse of the benchmark.

In seeking to achieve each Bear ETFs daily investment results, Rafferty Asset Management, LLC (“Rafferty” or the “Adviser”) relies upon a pre-determined investment model to generate orders resulting in repositioning each Bear ETF’s investment in accordance with its daily investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent with a Bear ETF’s objective. As a consequence, if a Bear ETF is performing as designed, the return of the benchmark will dictate the return of that ETF. Each Bear ETF pursues its investment objectives regardless of market conditions and does not take defensive positions.

The Bear ETFs should not be held by investors for long periods and should be used as short-term trading vehicles. These products are not suitable for all investors, and should be utilized only by sophisticated investors who understand the risks associated with the inverse ETFs and intend to actively monitor and manage their investments.

The ETFs may use certain investment techniques, including investments in derivatives, which may be considered aggressive. Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Additionally, such instruments may experience potentially dramatic price changes (losses) and imperfect correlations between the price of the contract and the underlying security or index which will increase the volatility of the ETFs and may involve a small investment of cash relative to the magnitude of the risk assumed. The use of derivatives may expose the ETFs to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case.

Because each Bear ETF seeks daily investment results of its relevant benchmark, a comparison of the annual return of the Bear ETF to the relevant benchmark tells you little about whether a Bear ETF has met its investment objective. To determine if the Bear ETFs have met their daily investment goals, Direxion maintains models which indicate the expected performance of each ETF in light of the path of the relevant underlying index. 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 Bear ETF, the Bear ETF’s expense ratio or any transaction or trading fees associated with creating or maintaining a Bear ETF’s portfolio. A brief comparison of the actual returns versus the expected returns for each of the Bear ETFs during the Annual Period follows below.

The Direxion Daily Total Market Bear 1X Shares seeks to provide -100% of the daily return of the MSCI U.S. Broad Market Index. The MSCI U.S. Broad Market Index represents the universe of companies in the U.S. equity market,

 

 
3    DIREXION ANNUAL REPORT


including large, mid, small and micro cap companies. This index targets for inclusion 99.5% of the capitalization of the U.S. equity market. The MSCI U.S. Broad Market Index is the aggregation of the MSCI U.S. Investable Market 2500, which targets for inclusion 2,500 companies representing the investable universe of the U.S. Equity market, and the MSCI U.S. Micro Cap Index, which targets for inclusion approximately the bottom 1.5% of the U.S. Equity market capitalization. For the Annual Period, the MSCI U.S. Broad Market Index returned 28.98%. The Direxion Daily Total Market Bear 1X Shares returned -24.21%. The model indicated an expected return of -21.96% for the Direxion Daily Total Market Bear 1X Shares.

The Direxion Daily 7-10 Year Treasury Bear 1X Shares seeks to provide -100% of the daily return of the NYSE 7-10 Year Treasury Index. The NYSE 7-10 Year Treasury Bond Index is a multiple-security fixed income index that aims to track the total returns of the intermediate 7 to 10 year maturity range of the U.S. Treasury bond market. The index constituent bonds are weighted by their relative amounts outstanding. For the Annual Period, the NYSE 7-10 Year Treasury Bond Index returned -2.99%. The Direxion Daily 7-10 Year Treasury Bear 1X Shares returned 1.77%. The model indicated an expected return of 2.73% for the Direxion Daily 7-10 Year Treasury Bear 1X Shares.

The Direxion Daily 20+ Year Treasury Bear 1X Shares seeks to provide -100% of the daily return of the NYSE 20 Year Plus Treasury Index. The NYSE 20+ Year Treasury Bond Index is a multiple-security fixed income index that aims to track the total returns of the intermediate 20 plus year maturity range of the U.S. Treasury bond market. The Index constituent bonds are weighted by their relative amounts outstanding. For the Annual Period, the NYSE 20+ Year Treasury Bond Index returned -10.21%. The Direxion Daily 20+Year Treasury Bear 1X Shares returned 8.26%. The model indicated an expected return of 9.41% for the Direxion Daily 20+ Year Treasury Bear 1X Shares.

The Direxion Daily Total Bond Market Bear 1X Shares seeks to provide -100% of the daily return of the Barclays Capital U.S. Aggregate Bond Index. The U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, and fixed-rate taxable bond market; including Treasuries, government-related securities, corporate securities, Mortgage Backed Securities, Asset Backed Securities, and Commercial Mortgage Backed Securities. For the Annual Period, the Barclays Capital U.S. Aggregate Bond Index returned -1.08%. The Direxion Daily Total Bond Market Bear 1X Shares returned 0.11%. The model indicated an expected return of 0.99% for the Direxion Daily Total Bond Market Bear 1X Shares.

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

Best Regards,

 

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Eric W. Falkeis

President

 

Patrick Rudnick

Principal Financial Officer

Past performance is not indicative of future results. One cannot invest directly in an index. 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 ETFs before investing. This and other information can be found in the ETFs’ statutory and summary prospectus. To obtain a prospectus, please visit www.direxionshares.com or call 1-866-476-7523.

There is no guarantee the ETFs will achieve their intended objective. Investing in the ETFs may be more volatile than investing in broadly diversified funds.

Short-term performance, in particular, is not a good indication of the ETF’s future performance, and an investment should not be made based solely on returns. Because of ongoing market volatility, ETF performance may be subject to substantial short-term changes. For additional information, see the ETF’s prospectus.

 

 
DIREXION ANNUAL REPORT   4


The ETFs are designed to be utilized only by sophisticated investors, such as traders and active investors employing dynamic strategies. Such investors are expected to monitor and manage their portfolios frequently. Investors in the ETFs should (a) understand the consequences of seeking daily investment results, (b) understand the risk of shorting, and (c) intend to actively monitor and manage their investments.

LIBOR (London Interbank Offered Rate) is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks.

An investment in the ETFs involves risk, including the possible loss of principal. The ETFs are non-diversified and include risks associated with concentration risk that results from the ETFs’ investments in a particular industry or sector which can increase volatility. The use of derivatives such as futures contracts, forward contracts, options and swaps are subject to market risks that may cause their price to fluctuate over time. Increased portfolio turnover may result in higher transaction costs and capital gains. For other risks including correlation, compounding, market volatility and specific risks regarding each sector, please read the prospectus.

The views of this letter were those of the ETF Manager as of October 31, 2013 and may not necessarily reflect his views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the ETFs’ present investment methodology and do not constitute investment advice.

Distributed by: Foreside Fund Services, LLC

Date of First Use: December 20, 2013

 

 
5    DIREXION ANNUAL REPORT


Direxion All Cap Insider Sentiment Shares

Performance Summary

December 8, 20111—October 31, 2013 (Unaudited)

 

 

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       Average Annual
       Total Return2
       1 Year      Since
Inception

Direxion All Cap Insider Sentiment Shares (NAV)

     31.35%      22.43%

Direxion All Cap Insider Sentiment Shares (Market Price)

     32.91%      22.66%

Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index

     29.73%      21.49%

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 2.20%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.65% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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.

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.

The Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index is a quantitatively-weighted index comprised of 100 of the top publicly-traded companies in the S&P 1500 Index. The Index reflects positive sentiment among those “insiders” closest to a company’s financials and business prospects, such as top management, directors, large institutional holders, and the Wall Street research analysts who follow the company.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
DIREXION ANNUAL REPORT   1


Direxion S&P 500® DRRC Index Volatility Response Shares

Performance Summary

January 11, 20121—October 31, 2013 (Unaudited)

 

 

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     Average Annual
     Total Return2
     1 Year    Since
Inception

Direxion S&P 500® DRRC Index Volatility Response Shares (NAV)

   25.95%    18.25%

Direxion S&P 500® DRRC Index Volatility Response Shares (Market)

   26.27%    18.39%

S&P Composite 500® Dynamic Rebalancing Risk Control Index

   26.68%    18.74%

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 5.00%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.45% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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.

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.

The S&P Composite 500® Dynamic Rebalancing Risk Control Index is designed to respond to the volatility of the S&P 500® Index2. The Index methodology is designed to target a specific volatility level by adjusting its allocation between equities and U.S. Treasury Bills. Through the use of an exponential volatility equation, the Index adjusts based upon realized exponentially-weighted historical volatility of the S&P 500 Index. As volatility increases, exposure to equities will decrease and exposure to the T-Bills will increase. As volatility decreases, exposure to equities will increase and exposure to T-Bills will decrease.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
2    DIREXION ANNUAL REPORT


Direxion NASDAQ-100® Equal Weighted Index Shares

Performance Summary

March 21, 20121—October 31, 2013 (Unaudited)

 

 

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     Average Annual
Total Return2
     1 Year    Since
Inception

Direxion NASDAQ-100® Equal Weighted Index Shares (NAV)

   38.72%    17.66%

Direxion NASDAQ-100® Equal Weighted Index Shares (Market Price)

   38.87%    17.83%

NASDAQ-100® Equal Weighted Index

   37.86%    17.16%

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 2.88%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.35% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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.

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.

The NASDAQ-100® Equal Weighted Index includes 100 of the largest non-financial securities listed on NASDAQ®, but instead of being weighted by market capitalization, each of the constituents is initially set at 1.00%. The index is reviewed and adjusted annually in December, but replacements may be made any time throughout the year. The index is rebalanced quarterly in March, June, September and December.

Market Exposure

The Fund seeks daily exposure of 100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
DIREXION ANNUAL REPORT   3


Direxion Daily Total Market Bear 1X Shares

Performance Summary

June 15, 20111—October 31, 2013 (Unaudited)

 

 

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       Average Annual
Total Return2
       1 Year      Since
Inception

Direxion Daily Total Market Bear 1X Shares (NAV)

     (24.21)%      (17.58)%

Direxion Daily Total Market Bear 1X Shares (Market Price)

     (24.37)%      (17.68)%

MSCI U.S. Broad Market Index

     28.98%      16.53%

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 3.06%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.65% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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 inverse multiple (-100%) will not generally equal a Fund’s performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund’s inception, and is not intended to imply any future performance. Shares of 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.

The MSCI U.S. Broad Market Index is sponsored by Morgan Stanley Capital International Inc. and represents the universe of companies in the U.S. equity market, including large, mid, small and micro cap companies. The Index targets for inclusion 99.5% or more of the total market capitalization of all U.S. common stocks regularly traded on the New York Stock Exchange and the NASDAQ over-the-counter market. The Index is the aggregation of the MSCI U.S. Investible Market 2500 Index, which targets for inclusion 2,500 companies representing the investible universe of the U.S. equity market, and the MSCI U.S. Micro Cap Index, which targets for inclusion approximately the bottom 1.5% of the U.S. equity market capitalization.

Market Exposure

The Fund seeks daily exposure of -100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
4    DIREXION ANNUAL REPORT


Direxion Daily 7-10 Year Treasury Bear 1X Shares

Performance Summary

March 23, 20111—October 31, 2013 (Unaudited)

 

 

LOGO

 

     Average Annual
Total Return2
     1 Year    Since
Inception

Direxion Daily 7-10 Year Treasury Bear 1X Shares (NAV)

   1.77%    (6.69)%

Direxion Daily 7-10 Year Treasury Bear 1X Shares (Market Value)

   1.25%    (6.83)%

NYSE 7-10 Year Treasury Bond Index

   (2.99)%    5.56%

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 2.78%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.65% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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 inverse multiple (-100%) will not generally equal a Fund’s performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund’s inception, and is not intended to imply any future performance. Shares of 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.

The NYSE 7-10 Year Treasury Bond Index (AXSVTN) is a multiple-security fixed income index that aims to track the total returns of the intermediate 7 to 10 year maturity range of the U.S. Treasury bond market. The performance of the NYSE 7-10 Year Treasury Bond 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

The Fund seeks daily exposure of -100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
DIREXION ANNUAL REPORT   5


Direxion Daily 20+ Year Treasury Bear 1X Shares

Performance Summary

March 23, 20111—October 31, 2013 (Unaudited)

 

 

LOGO

 

       Average Annual
Total Return2
       1 Year      Since
Inception

Direxion Daily 20+ Year Treasury Bear 1X Shares (NAV)

     8.26%      (11.79)%

Direxion Daily 20+ Year Treasury Bear 1X Shares (Market Price)

     7.95%      (11.67)%

NYSE 20 Year Plus Treasury Bond Index

     (10.21)%      9.16%

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 2.58%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.65% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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 inverse multiple (-100%) will not generally equal a Fund’s performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund’s inception, and is not intended to imply any future performance. Shares of 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.

The NYSE 20 Year Plus Treasury Bond Index (AXTWEN) is a multiple-security fixed income index that aims to track the total returns of the long-term 20 year and greater maturity range of the U.S. Treasury bond market. The performance of the NYSE 20 Year Plus Treasury Bond 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

The Fund seeks daily exposure of -100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
6    DIREXION ANNUAL REPORT


Direxion Daily Total Bond Market Bear 1X Shares

Performance Summary

March 23, 20111—October 31, 2013 (Unaudited)

 

 

LOGO

 

       Average Annual
Total Return2
       1 Year4      Since
Inception

Direxion Daily Total Bond Market Bear 1X Shares (NAV)

     0.11%      (4.45)%

Direxion Daily Total Bond Market Bear 1X Shares (Market Price)

     (0.67)%      (4.61)%

Barclays Capital U.S. Aggregate Bond Index

     (1.08)%      3.85%

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 0.94%. Rafferty has voluntarily agreed to waive all or a portion of its management fee and/or reimburse the Funds for other expenses through September 1, 2015 to the extent the Net Annual Operating Expenses exceed 0.65% (excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation). 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 inverse multiple (-100%) will not generally equal a Fund’s performance over that same period.

This chart illustrates the performance of a hypothetical $10,000 investment made on the Fund’s inception, and is not intended to imply any future performance. Shares of 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.

The Barclays Capital U.S. Aggregate Bond Index measures the performance of the investment grade; U.S. dollar denominated, fixed-rate taxable bond market, and is composed of U.S. Treasury bonds, government-related bonds, investment-grade corporate bonds, mortgage pass-through securities, commercial mortgage-backed securities and asset-backed securities. All bonds included in the Index must be denominated in U.S. dollars, have a fixed rate, be non-convertible, be publicly offered in the U.S. and have at least one year remaining until maturity. The Index is capitalization weighted and rebalanced monthly.

Market Exposure

The Fund seeks daily exposure of -100% of its NAV through a combination of equities and derivatives. “Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents divided by Net Assets.

 

1

Commencement of investment operations.

2

As of October 31, 2013.

 

 
DIREXION ANNUAL REPORT   7


Expense Example

October 31, 2013 (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 a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on initial investments of $1,000 invested at the beginning of the period and held the entire period (May 1, 2013 to October 31, 2013).

Actual expenses

The first line under each Fund in the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period May 1, 2013 to October 31, 2013” to estimate the expenses you paid on your count during this period.

Hypothetical example for comparison purposes

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

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

 

     Annualized
Expense
Ratio
1
    Beginning
Account Value
May 1, 2013
     Ending
Account Value
October 31, 2013
     Expenses Paid
During Period
May 1, 2013 to
October 31, 2013
2
 

Direxion All Cap Insider Sentiment Shares

          

Based on actual fund return

     0.65   $ 1,000.00       $ 1,101.10       $ 3.44   

Based on hypothetical 5% return

     0.65     1,000.00         1,021.93         3.31   

Direxion S&P 500® DRRC Index Volatility Response Shares

          

Based on actual fund return

     0.45     1,000.00         1,103.70         2.39   

Based on hypothetical 5% return

     0.45     1,000.00         1,022.94         2.29   

Direxion NASDAQ-100® Equal Weighted Index Shares

          

Based on actual fund return

     0.35     1,000.00         1,164.70         1.91   

Based on hypothetical 5% return

     0.35     1,000.00         1,023.44         1.79   

Direxion Daily Total Market Bear 1X Shares

          

Based on actual fund return

     0.65     1,000.00         881.60         3.08   

Based on hypothetical 5% return

     0.65     1,000.00         1,021.93         3.31   

Direxion Daily 7-10 Year Treasury Bear 1X Shares

          

Based on actual fund return

     0.65     1,000.00         1,041.20         3.34   

Based on hypothetical 5% return

     0.65     1,000.00         1,021.93         3.31   

Direxion Daily 20+ Year Treasury Bear 1X Shares

          

Based on actual fund return

     0.65     1,000.00         1,107.10         3.45   

Based on hypothetical 5% return

     0.65     1,000.00         1,021.93         3.31   

Direxion Daily Total Bond Market Bear 1X Shares

          

Based on actual fund return

     0.65     1,000.00         1,016.60         3.30   

Based on hypothetical 5% return

     0.65     1,000.00         1,021.93         3.31   

 

1 

Annualized.

2 

Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period of May 1, 2013 to October 31, 2013, then divided by 365.

 

 
8    DIREXION ANNUAL REPORT


Allocation of Portfolio Holdings

October 31, 2013 (Unaudited)

 

 

     Cash*     Common
Stocks
    Investment
Companies
     Swaps     Total  

Direxion All Cap Insider Sentiment Shares

     0 % **      100                    100

Direxion S&P 500® DRRC Index Volatility Response Shares

     0 % **      100                    100

Direxion NASDAQ-100® Equal Weighted Index Shares

     0 % **      100                    100

Direxion Daily Total Market Bear 1X Shares

     105                    (5 )%      100

Direxion Daily 7-10 Year Treasury Bear 1X Shares

     99                    1     100

Direxion Daily 20+ Year Treasury Bear 1X Shares

     95                    5     100

Direxion Daily Total Bond Market Bear 1X Shares

     101                    (1 )%      100

Allocation of Portfolio Holdings are as of percent of net assets.

 

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

 

 
DIREXION ANNUAL REPORT   9


Direxion All Cap Insider Sentiment Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

COMMON STOCKS - 99.8%

 

 

Air Transportation - 1.6%

 
  931     

Alaska Air Group, Inc.

  $ 65,785   
  785     

Delta Air Lines, Inc.

    20,708   
   

 

 

 
      86,493   
   

 

 

 

 
 

Amusement, Gambling, and Recreation
Industries - 0.7%

  
  

  271     

Bally Technologies, Inc. (a)

    19,821   
  292     

Las Vegas Sands Corp.

    20,504   
   

 

 

 
      40,325   
   

 

 

 

 

Apparel Manufacturing - 0.4%

 
  257     

Michael Kors Holdings Ltd. (a)

    19,776   
   

 

 

 

 
 

Beverage and Tobacco Product
Manufacturing - 1.8%

 
  

  881     

Philip Morris International, Inc.

    78,514   
  2,262     

Wendys Co.

    19,657   
   

 

 

 
      98,171   
   

 

 

 

 
 

Building Material and Garden Equipment and Supplies
Dealers - 1.0%

  
  

  704     

Home Depot, Inc.

    54,834   
   

 

 

 

 

Chemical Manufacturing - 3.4%

 
  938     

Avon Products, Inc.

    16,415   
  2,391     

Endo Health Solutions, Inc. (a)

    104,558   
  903     

LyondellBasell Industries N.V. Class A

    67,364   
   

 

 

 
      188,337   
   

 

 

 

 

Clothing and Clothing Accessories Stores - 1.7%

  

  1,424     

Hanesbrands, Inc.

    97,003   
   

 

 

 

 
 

Computer and Electronic Product
Manufacturing - 4.6%

 
  

  282     

Apple, Inc.

    147,303   
  447     

First Solar, Inc. (a)

    22,471   
  371     

International Business Machines Corp.

    66,487   
  698     

SunPower Corp. (a)

    21,072   
   

 

 

 
      257,333   
   

 

 

 

 

Construction of Buildings - 0.4%

 
  1,166     

PulteGroup, Inc.

    20,580   
   

 

 

 

 

Credit Intermediation and Related Activities - 5.7%

  

  1,251     

Discover Financial Services

    64,902   
  11,214     

Fulton Financial Corp.

    136,923   
  8,962     

KeyCorp

    112,294   
   

 

 

 
      314,119   
   

 

 

 

 

Data Processing, Hosting and Related Services - 1.9%

  

  997     

DST Systems, Inc.

    84,515   
  429     

Red Hat, Inc. (a)

    18,563   
   

 

 

 
      103,078   
   

 

 

 

 

Electronics and Appliance Stores - 1.5%

 
  511     

Best Buy Co., Inc.

    21,871   
  1,117     

GameStop Corp. Class A

    61,234   
   

 

 

 
      83,105   
   

 

 

 

 

Fabricated Metal Product Manufacturing - 0.4%

  

  284     

Lincoln Electric Holdings, Inc.

    19,664   
   

 

 

 
Shares         Value  
   

 

Food Manufacturing - 0.7%

  

  254     

Green Mountain Coffee Roasters, Inc. (a)

  $ 15,954   
  630     

Mondelez International, Inc.

    21,193   
   

 

 

 
      37,147   
   

 

 

 

 

Food Services and Drinking Places - 1.4%

  

  251     

Starbucks Corp.

    20,344   
  1,197     

The Cheesecake Factory, Inc.

    56,558   
   

 

 

 
      76,902   
   

 

 

 

 

Furniture and Related Product Manufacturing - 0.3%

  

  454     

Fortune Brands Home & Security, Inc.

    19,558   
   

 

 

 

 

General Merchandise Stores - 0.3%

  

  327     

Dollar Tree, Inc. (a)

    19,097   
   

 

 

 

 

Health and Personal Care Stores - 1.1%

  

  1,015     

Walgreen Co.

    60,129   
   

 

 

 

 

Insurance Carriers and Related Activities - 27.3%

  

  1,392     

ACE Ltd.

    132,852   
  1,318     

Allied World Assurance Co.
Holdings AG

    142,726   
  1,859     

Allstate Corp.

    98,639   
  1,598     

Arch Capital Group Ltd. (a)

    92,620   
  3,174     

Axis Capital Holdings Ltd.

    150,511   
  1,761     

Brown & Brown, Inc.

    56,229   
  1,186     

Chubb Corp.

    109,207   
  2,415     

Cincinnati Financial Corp.

    120,750   
  2,133     

Protective Life Corp.

    98,289   
  1,745     

Reinsurance Group of America, Inc.

    124,209   
  1,467     

Travelers Companies, Inc.

    126,602   
  752     

UnitedHealth Group, Inc.

    51,331   
  2,641     

Validus Holdings Ltd.

    104,267   
  3,534     

XL Group PLC

    108,034   
   

 

 

 
      1,516,266   
   

 

 

 

 

Leather and Allied Product Manufacturing - 0.4%

  

  269     

NIKE, Inc. Class B

    20,379   
   

 

 

 

 

Machinery Manufacturing - 0.4%

  

  296     

Ingersoll-Rand PLC

    19,989   
   

 

 

 

 

Management of Companies and Enterprises - 3.6%

  

  1,193     

City National Corp.

    86,027   
  12,863     

Huntington Bancshares, Inc.

    113,195   
   

 

 

 
      199,222   
   

 

 

 

 

Merchant Wholesalers, Nondurable Goods - 4.7%

  

  1,572     

AmerisourceBergen Corp.

    102,699   
  5,465     

Crestwood Midstream Partners LP

    119,683   
  228     

Sigma-Aldrich Corp.

    19,706   
  2,419     

SUPERVALU, Inc. (a)

    17,006   
   

 

 

 
      259,094   
   

 

 

 

 

Miscellaneous Manufacturing - 1.5%

  

  499     

3M Co.

    62,799   
  277     

Estee Lauder Companies, Inc.
Class A

    19,656   
   

 

 

 
      82,455   
   

 

 

 

 

Motion Picture and Sound Recording Industries - 1.3%

  

  1,067     

Time Warner, Inc.

    73,346   
   

 

 

 
 

 

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

 

 

 
10    DIREXION ANNUAL REPORT


Direxion All Cap Insider Sentiment Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

Nonmetallic Mineral Product Manufacturing - 0.4%

  

  264     

Eagle Materials, Inc.

  $ 19,803   
   

 

 

 

 

Nonstore Retailers - 0.4%

 
  61     

Amazon.com, Inc. (a)

    22,206   
   

 

 

 

 

Oil and Gas Extraction - 7.2%

 
  1,867     

Access Midstream Partners LP

    99,959   
  207     

Anadarko Petroleum Corp.

    19,725   
  225     

Apache Corp.

    19,980   
  736     

Chesapeake Energy Corp.

    20,578   
  194     

Cimarex Energy Co.

    20,438   
  169     

Concho Resources, Inc. (a)

    18,693   
  173     

Continental Resources, Inc. (a)

    19,705   
  1,041     

Denbury Resources, Inc. (a)

    19,769   
  112     

EOG Resources, Inc.

    19,981   
  241     

Hess Corp.

    19,569   
  3,672     

MRC Global, Inc. (a)

    102,632   
  375     

Oasis Petroleum, Inc. (a)

    19,969   
   

 

 

 
      400,998   
   

 

 

 

 

Other Information Services - 0.6%

 
  391     

Facebook, Inc. (a)

    19,652   
  1,702     

Groupon, Inc. (a)

    15,539   
   

 

 

 
      35,191   
   

 

 

 

 

Paper Manufacturing - 1.5%

 
  768     

Kimberly-Clark Corp.

    82,944   
   

 

 

 

 

Pipeline Transportation - 8.8%

 
  2,280     

Energy Transfer Partners, L.P.

    120,772   
  1,632     

Genesis Energy LP

    83,167   
  2,061     

Nustar Energy LP

    88,870   
  2,197     

ONEOK Partners LP

    118,133   
  2,168     

Williams Companies, Inc.

    77,419   
   

 

 

 
      488,361   
   

 

 

 

 

Professional, Scientific, and Technical Services - 2.0%

  

  170     

IHS, Inc. (a)

    18,538   
  1,804     

Nielsen Holdings N.V.

    71,150   
  311     

SYNNEX Corp. (a)

    19,064   
   

 

 

 
      108,752   
   

 

 

 

 

Publishing Industries (except Internet) - 1.1%

  

  7,942     

Brocade Communications Systems, Inc. (a)

    63,695   
   

 

 

 

 

Real Estate - 1.0%

 
  1,233     

American Homes 4 Rent (a)

    19,087   
  129     

Simon Property Group, Inc.

    19,937   
  285     

Taubman Centers, Inc.

    18,750   
   

 

 

 
      57,774   
   

 

 

 

 
 

Securities, Commodity Contracts, and Other Financial
Investments and Related Activities - 0.7%

  
  

  910     

Charles Schwab Corp.

    20,611   
  615     

Frank’s International N.V. (a)

    18,813   
   

 

 

 
      39,424   
   

 

 

 

 
 

Sporting Goods, Hobby, Musical Instrument, and Book
Stores - 0.3%

  
  

  360     

Dick’s Sporting Goods, Inc.

    19,156   
   

 

 

 
Shares         Value  
   

 

Support Activities for Mining - 2.1%

 
  584     

Athlon Energy, Inc. (a)

  $ 19,214   
  4,431     

Natural Resource Partners LP

    94,823   
   

 

 

 
      114,037   
   

 

 

 

 

Telecommunications - 0.4%

 
  262     

American Tower Corp.

    20,790   
   

 

 

 

 

Transportation Equipment Manufacturing - 1.4%

  

  236     

Honeywell International, Inc.

    20,468   
  571     

Terex Corp. (a)

    19,957   
  339     

Thor Industries, Inc.

    19,665   
  136     

TransDigm Group, Inc.

    19,776   
   

 

 

 
      79,866   
   

 

 

 

 

Utilities - 3.8%

 
  928     

Duke Energy Corp.

    66,565   
  1,074     

Energy Transfer Equity, L.P.

    72,592   
  2,093     

Kinder Morgan, Inc.

    73,904   
   

 

 

 
      213,061   
   

 

 

 
 

TOTAL COMMON STOCKS
(Cost $5,588,883)

  $ 5,532,460   
   

 

 

 
 

TOTAL INVESTMENTS
(Cost $5,588,883) - 99.8%

  $ 5,532,460   
 

Other Assets in Excess of Liabilities - 0.2%

    12,797   
   

 

 

 
 

TOTAL NET ASSETS - 100.0%

  $ 5,545,257   
   

 

 

 

Percentages are stated as a percent of net assets.

 

(a) Non-income producing security.
 

 

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

 

 

 
DIREXION ANNUAL REPORT   11


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

COMMON STOCKS - 100.0%

  

 

Accommodation - 0.3%

  

  254     

Host Hotels & Resorts, Inc.

  $ 4,712   
  77     

Marriott International, Inc. Class A

    3,471   
  66     

Starwood Hotels & Resorts Worldwide, Inc.

    4,859   
  45     

Wyndham Worldwide Corp.

    2,988   
   

 

 

 
      16,030   
   

 

 

 

 

Administrative and Support Services - 0.6%

  

  13     

Dun & Bradstreet Corp.

    1,414   
  41     

Equifax, Inc.

    2,651   
  36     

Expedia, Inc.

    2,120   
  66     

Moody’s Corp.

    4,664   
  110     

Paychex, Inc.

    4,649   
  47     

Robert Half International, Inc.

    1,811   
  68     

The ADT Corp.

    2,949   
  38     

TripAdvisor, Inc. (a)

    3,143   
  148     

Waste Management, Inc.

    6,444   
   

 

 

 
      29,845   
   

 

 

 

 

Air Transportation - 0.2%

  

  290     

Delta Air Lines, Inc.

    7,650   
  239     

Southwest Airlines Co.

    4,116   
   

 

 

 
      11,766   
   

 

 

 

 

Ambulatory Health Care Services - 0.2%

  

  60     

DaVita, Inc. (a)

    3,373   
  31     

Laboratory Corp. of America Holdings (a)

    3,128   
  51     

Quest Diagnostics, Inc.

    3,055   
   

 

 

 
      9,556   
   

 

 

 

 

Amusement, Gambling, and Recreation Industries - 0.8%

  

  562     

The Walt Disney Co.

    38,547   
  27     

Wynn Resorts Ltd.

    4,489   
   

 

 

 
      43,036   
   

 

 

 

 

Apparel Manufacturing - 0.2%

  

  35     

Cintas Corp.

    1,882   
  28     

PVH Corp.

    3,488   
  30     

VF Corp.

    6,450   
   

 

 

 
      11,820   
   

 

 

 

 

Beverage and Tobacco Product Manufacturing - 3.9%

  

  678     

Altria Group, Inc.

    25,242   
  55     

Beam, Inc.

    3,701   
  55     

Brown Forman Corp. Class B

    4,014   
  1,291     

Coca-Cola Co.

    51,085   
  84     

Coca-Cola Enterprises, Inc.

    3,505   
  56     

Constellation Brands, Inc.
Class A (a)

    3,657   
  69     

Dr Pepper Snapple Group, Inc.

    3,267   
  127     

Lorillard, Inc.

    6,478   
  53     

Molson Coors Brewing Co. Class B

    2,862   
  46     

Monster Beverage Corp. (a)

    2,633   
  522     

Pepsico, Inc.

    43,895   
  548     

Philip Morris International, Inc.

    48,838   
  107     

Reynolds American, Inc.

    5,497   
   

 

 

 
      204,674   
   

 

 

 
Shares         Value  
   

 

Broadcasting (except Internet) - 1.4%

  

  72     

Cablevision Systems Corp. Class A

  $ 1,120   
  190     

CBS Corp. Class B

    11,237   
  885     

Comcast Corp. Class A

    42,108   
  173     

DIRECTV Class A (a)

    10,811   
  78     

Discovery Communications, Inc. Class A (a)

    6,936   
  37     

Scripps Networks Interactive, Inc. Class A

    2,978   
   

 

 

 
      75,190   
   

 

 

 

 
 

Building Material and Garden Equipment and Supplies
Dealers - 1.2%

  
  

  92     

Fastenal Co.

    4,581   
  485     

Home Depot, Inc.

    37,777   
  356     

Lowe’s Companies, Inc.

    17,722   
  30     

The Sherwin Williams Co.

    5,640   
   

 

 

 
      65,720   
   

 

 

 

 

Chemical Manufacturing - 10.4%

  

  526     

Abbott Laboratories

    19,225   
  537     

AbbVie, Inc.

    26,018   
  59     

Actavis PLC (a)

    9,120   
  71     

Air Products & Chemicals, Inc.

    7,740   
  66     

Alexion Pharmaceuticals, Inc. (a)

    8,115   
  100     

Allergan, Inc.

    9,061   
  147     

Avon Products, Inc.

    2,572   
  557     

Bristol-Myers Squibb Co.

    29,254   
  139     

Celgene Corp. (a)

    20,640   
  19     

CF Industries Holdings, Inc.

    4,096   
  44     

Clorox Co.

    3,968   
  298     

Colgate-Palmolive Co.

    19,290   
  313     

E.I. du Pont de Nemours and Co.

    19,156   
  52     

Eastman Chemical Co.

    4,097   
  92     

Ecolab, Inc.

    9,752   
  336     

Eli Lilly & Co.

    16,739   
  80     

Forest Laboratories, Inc. (a)

    3,762   
  518     

Gilead Sciences, Inc. (a)

    36,773   
  56     

Hospira, Inc. (a)

    2,269   
  28     

International Flavors & Fragrances, Inc.

    2,314   
  954     

Johnson & Johnson

    88,350   
  58     

Life Technologies Corp. (a)

    4,368   
  152     

LyondellBasell Industries N.V.
Class A

    11,339   
  69     

Mead Johnson Nutrition Co.

    5,635   
  990     

Merck & Co., Inc.

    44,639   
  115     

Mosaic Co.

    5,273   
  129     

Mylan, Inc. (a)

    4,885   
  32     

Perrigo Co.

    4,412   
  2,241     

Pfizer, Inc.

    68,754   
  48     

PPG Industries, Inc.

    8,764   
  100     

Praxair, Inc.

    12,471   
  26     

Regeneron Pharmaceuticals, Inc. (a)

    7,478   
  410     

The Dow Chemical Co.

    16,183   
  79     

Vertex Pharmaceuticals, Inc. (a)

    5,636   
  169     

Zoetis, Inc.

    5,351   
   

 

 

 
      547,499   
   

 

 

 
 

 

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

 

 

 
12    DIREXION ANNUAL REPORT


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

Clothing and Clothing Accessories Stores - 0.6%

  

  26     

Abercrombie & Fitch Co. Class A

  $ 974   
  93     

Gap, Inc.

    3,440   
  49     

Nordstrom, Inc.

    2,963   
  73     

Ross Stores, Inc.

    5,647   
  37     

Tiffany & Co.

    2,929   
  242     

TJX Companies, Inc.

    14,711   
  37     

Urban Outfitters, Inc. (a)

    1,402   
   

 

 

 
      32,066   
   

 

 

 

 
 

Computer and Electronic Product
Manufacturing - 10.4%

  
  

  112     

Agilent Technologies, Inc.

    5,685   
  108     

Altera Corp.

    3,629   
  54     

Amphenol Corp. Class A

    4,336   
  105     

Analog Devices, Inc.

    5,176   
  308     

Apple, Inc.

    160,884   
  186     

Broadcom Corp. Class A

    4,970   
  1,815     

Cisco Systems, Inc.

    40,837   
  202     

Danaher Corp.

    14,562   
  704     

EMC Corp.

    16,945   
  23     

First Solar, Inc. (a)

    1,156   
  48     

FLIR System, Inc.

    1,367   
  17     

Fossil Group, Inc. (a)

    2,158   
  42     

Garmin Ltd.

    1,964   
  23     

Harman International Industries, Inc.

    1,863   
  36     

Harris Corp.

    2,231   
  651     

Hewlett-Packard Co.

    15,865   
  1,686     

Intel Corp.

    41,189   
  349     

International Business Machines Corp.

    62,544   
  62     

Jabil Circuit, Inc.

    1,293   
  80     

JDS Uniphase Corp. (a)

    1,047   
  172     

Juniper Networks, Inc. (a)

    3,206   
  30     

L-3 Communications Holdings, Inc.

    3,013   
  79     

Linear Technology Corp.

    3,250   
  185     

LSI Corp.

    1,569   
  67     

Microchip Technology, Inc.

    2,878   
  352     

Micron Technology, Inc. (a)

    6,223   
  46     

Molex, Inc.

    1,776   
  80     

Motorola Solutions, Inc.

    5,002   
  115     

NetApp, Inc.

    4,463   
  78     

Northrop Grumman Corp.

    8,386   
  67     

Pentair Ltd.

    4,495   
  38     

PerkinElmer, Inc.

    1,446   
  581     

QUALCOMM, Inc.

    40,362   
  109     

Raytheon Co.

    8,978   
  81     

SanDisk Corp.

    5,629   
  110     

Seagate Technology PLC

    5,355   
  97     

St. Jude Medical, Inc.

    5,567   
  55     

Teradata Corp. (a)

    2,424   
  65     

Teradyne, Inc. (a)

    1,137   
  373     

Texas Instruments, Inc.

    15,696   
  157     

Tyco International Ltd.

    5,738   
  36     

Varian Medical Systems, Inc. (a)

    2,613   
  147     

Viacom, Inc. Class B

    12,244   
  71     

Western Digital Corp.

    4,944   
  90     

Xilinx, Inc.

    4,088   
   

 

 

 
      550,183   
   

 

 

 
Shares         Value  
   

 

Construction of Buildings - 0.1%

  

  96     

D.R. Horton, Inc.

  $ 1,819   
  56     

Lennar Corp. Class A

    1,991   
  118     

PulteGroup, Inc.

    2,083   
   

 

 

 
      5,893   
   

 

 

 

 

Couriers and Messengers - 0.7%

  

  101     

FedEx Corp.

    13,231   
  245     

United Parcel Service, Inc. Class B

    24,069   
   

 

 

 
      37,300   
   

 

 

 

 

Credit Intermediation and Related Activities - 8.3%

  

  314     

American Express Co.

    25,685   
  67     

Ameriprise Financial, Inc.

    6,736   
  3,637     

Bank Of America Corp.

    50,772   
  389     

Bank Of New York Mellon Corp.

    12,370   
  238     

BB&T Corp.

    8,085   
  198     

Capital One Financial Corp.

    13,597   
  1,029     

Citigroup, Inc.

    50,195   
  63     

Comerica, Inc.

    2,728   
  164     

Discover Financial Services

    8,508   
  300     

Fifth Third Bancorp

    5,709   
  93     

H & R Block, Inc.

    2,645   
  161     

Hudson City Bancorp, Inc.

    1,446   
  1,274     

JPMorgan Chase & Co.

    65,662   
  309     

KeyCorp

    3,872   
  44     

M&T Bank Corp.

    4,951   
  76     

Northern Trust Corp.

    4,288   
  109     

People’s United Financial, Inc.

    1,573   
  180     

PNC Financial Services Group, Inc.

    13,235   
  473     

Regions Financial Corp.

    4,555   
  148     

SLM Corp.

    3,755   
  151     

State Street Corp.

    10,581   
  182     

SunTrust Banks, Inc.

    6,122   
  623     

U.S. Bancorp

    23,275   
  175     

Visa, Inc. Class A

    34,417   
  1,636     

Wells Fargo & Co.

    69,841   
  187     

Western Union Co.

    3,183   
  62     

Zions Bancorporation

    1,759   
   

 

 

 
      439,545   
   

 

 

 

 

Data Processing, Hosting and Related Services - 0.5%

  

  60     

Akamai Technologies, Inc. (a)

    2,685   
  163     

Automatic Data Processing, Inc.

    12,220   
  63     

Citrix Systems, Inc. (a)

    3,577   
  44     

Fiserv, Inc. (a)

    4,608   
  64     

Red Hat, Inc. (a)

    2,769   
  56     

Total System Services, Inc.

    1,671   
   

 

 

 
      27,530   
   

 

 

 

 
 

Electrical Equipment, Appliance, and Component
Manufacturing - 0.8%

  
  

  83     

AMETEK Inc New

    3,970   
  494     

Corning, Inc.

    8,442   
  242     

Emerson Electric Co.

    16,207   
  140     

TE Connectivity Ltd.

    7,209   
  27     

Whirlpool Corp.

    3,942   
   

 

 

 
      39,770   
   

 

 

 
 

 

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

 

 

 
DIREXION ANNUAL REPORT   13


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

Electronics and Appliance Stores - 0.1%

 
  91     

Best Buy Co., Inc.

  $ 3,895   
  40     

GameStop Corp. Class A

    2,193   
   

 

 

 
      6,088   
   

 

 

 

 

Fabricated Metal Product Manufacturing - 0.2%

  

  49     

Ball Corp.

    2,396   
  51     

Parker Hannifin Corp.

    5,953   
  20     

Snap-on, Inc.

    2,081   
   

 

 

 
      10,430   
   

 

 

 

 

Food and Beverage Stores - 0.3%

 
  175     

Kroger Co.

    7,497   
  82     

Safeway, Inc.

    2,862   
  126     

Whole Foods Market, Inc.

    7,954   
   

 

 

 
      18,313   
   

 

 

 

 

Food Manufacturing - 1.5%

 
  223     

Archer-Daniels Midland Co.

    9,121   
  60     

Campbell Soup Co.

    2,554   
  143     

ConAgra Foods, Inc.

    4,549   
  217     

General Mills, Inc.

    10,941   
  46     

Hormel Foods Corp.

    1,999   
  87     

Kellogg Co.

    5,503   
  202     

Kraft Foods Group, Inc.

    10,985   
  45     

McCormick & Co, Inc.

    3,112   
  603     

Mondelez International, Inc.

    20,285   
  51     

The Hershey Co.

    5,061   
  36     

The J.M. Smucker Co.

    4,003   
  94     

Tyson Foods, Inc. Class A

    2,601   
   

 

 

 
      80,714   
   

 

 

 

 

Food Services and Drinking Places - 1.3%

 
  10     

Chipotle Mexican Grill, Inc. (a)

    5,270   
  44     

Darden Restaurants, Inc.

    2,267   
  338     

McDonald’s Corp.

    32,624   
  254     

Starbucks Corp.

    20,587   
  151     

Yum! Brands, Inc.

    10,210   
   

 

 

 
      70,958   
   

 

 

 

 

Forestry and Logging - 0.2%

 
  59     

Plum Creek Timber Co., Inc.

    2,679   
  198     

Weyerhaeuser Co.

    6,019   
   

 

 

 
      8,698   
   

 

 

 

 

Furniture and Home Furnishings Stores - 0.1%

  

  74     

Bed Bath & Beyond, Inc. (a)

    5,722   
   

 

 

 

 

Furniture and Related Product Manufacturing - 0.1%

  

  48     

Leggett & Platt, Inc.

    1,427   
  121     

Masco Corp.

    2,557   
   

 

 

 
      3,984   
   

 

 

 

 

General Merchandise Stores - 1.9%

  

  148     

Costco Wholesale Corp.

    17,464   
  101     

Dollar General Corp. (a)

    5,836   
  75     

Dollar Tree, Inc. (a)

    4,380   
  33     

Family Dollar Stores, Inc.

    2,273   
  103     

J.C. Penney Co., Inc. (a)

    773   
  69     

Kohl’s Corp.

    3,919   
  127     

Macy’s, Inc.

    5,856   
Shares         Value  
   

 

General Merchandise Stores (continued)

 
  37     

O’Reilly Automotive, Inc. (a)

  $ 4,581   
  214     

Target Corp.

    13,865   
  551     

Wal-Mart Stores, Inc.

    42,289   
   

 

 

 
      101,236   
   

 

 

 

 

Health and Personal Care Stores - 1.5%

  

  416     

CVS Caremark Corp.

    25,900   
  276     

Express Scripts Holding Co. (a)

    17,255   
  82     

L Brands, Inc.

    5,134   
  77     

McKesson Corp.

    12,038   
  294     

Walgreen Co.

    17,417   
   

 

 

 
      77,744   
   

 

 

 

 

Heavy and Civil Engineering Construction - 0.1%

  

  55     

Fluor Corp.

    4,082   
   

 

 

 

 

Hospitals - 0.0% (†)

  

  34     

Tenet Healthcare Corp. (a)

    1,604   
   

 

 

 

 

Insurance Carriers and Related Activities - 5.3%

  

  115     

ACE Ltd.

    10,976   
  126     

Aetna, Inc.

    7,900   
  157     

Aflac, Inc.

    10,202   
  157     

Allstate Corp.

    8,330   
  500     

American International Group, Inc.

    25,825   
  104     

Aon PLC

    8,225   
  25     

Assurant, Inc.

    1,462   
  609     

Berkshire Hathaway, Inc. Class B (a)

    70,084   
  86     

Chubb Corp.

    7,919   
  96     

CIGNA Corp.

    7,390   
  50     

Cincinnati Financial Corp.

    2,500   
  167     

Genworth Financial, Inc. Class A (a)

    2,427   
  154     

Hartford Financial Services Group, Inc.

    5,190   
  53     

Humana, Inc.

    4,884   
  90     

Lincoln National Corp.

    4,087   
  104     

Loews Corp.

    5,024   
  186     

Marsh & McLennan Companies, Inc.

    8,519   
  379     

MetLife, Inc.

    17,930   
  93     

Principal Financial Group, Inc.

    4,414   
  187     

Progressive Corp.

    4,856   
  157     

Prudential Financial, Inc.

    12,778   
  31     

Torchmark Corp.

    2,259   
  126     

Travelers Companies, Inc.

    10,874   
  344     

UnitedHealth Group, Inc.

    23,481   
  89     

Unum Group

    2,825   
  101     

WellPoint, Inc.

    8,565   
  97     

XL Group PLC

    2,965   
   

 

 

 
      281,891   
   

 

 

 

 

Leather and Allied Product Manufacturing - 0.4%

  

  253     

NIKE, Inc. Class B

    19,167   
   

 

 

 

 

Machinery Manufacturing - 4.0%

  

  407     

Applied Materials, Inc.

    7,265   
  150     

Baker Hughes, Inc.

    8,713   
  215     

Caterpillar, Inc.

    17,922   
  59     

Cummins, Inc.

    7,494   
  130     

Deere & Co.

    10,639   
 

 

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

 

 

 
14    DIREXION ANNUAL REPORT


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

Machinery Manufacturing (continued)

 
  58     

Dover Corp.

  $ 5,324   
  48     

Flowserve Corp.

    3,334   
  46     

FMC Corp.

    3,347   
  80     

FMC Technologies, Inc. (a)

    4,044   
  3,447     

General Electric Co.

    90,105   
  139     

Illinois Tool Works, Inc.

    10,952   
  92     

Ingersoll-Rand PLC

    6,213   
  36     

Joy Global, Inc.

    2,043   
  56     

KLA-Tencor Corp.

    3,674   
  55     

Lam Research Corp. (a)

    2,983   
  145     

National Oilwell Varco, Inc.

    11,771   
  38     

Pall Corp.

    3,060   
  68     

Pitney Bowes, Inc.

    1,451   
  34     

Roper Industries, Inc.

    4,311   
  54     

Stanley Black & Decker, Inc.

    4,271   
   

 

 

 
      208,916   
   

 

 

 

 

Management of Companies and Enterprises - 0.8%

  

  208     

AES Corp.

    2,931   
  40     

AGL Resources, Inc.

    1,914   
  141     

Goldman Sachs Group, Inc.

    22,681   
  281     

Huntington Bancshares, Inc.

    2,473   
  471     

Morgan Stanley

    13,532   
   

 

 

 
      43,531   
   

 

 

 

 

Merchant Wholesalers, Durable Goods - 0.6%

  

  83     

Cameron International Corp. (a)

    4,554   
  156     

Covidien PLC

    10,001   
  96     

Delphi Automotive PLC

    5,491   
  28     

Patterson Companies, Inc

    1,190   
  21     

W.W. Grainger, Inc.

    5,648   
  392     

Xerox Corp.

    3,897   
   

 

 

 
      30,781   
   

 

 

 

 

Merchant Wholesalers, Nondurable Goods - 2.3%

  

  22     

Airgas, Inc.

    2,400   
  78     

AmerisourceBergen Corp.

    5,096   
  115     

Cardinal Health, Inc.

    6,746   
  180     

Monsanto Co.

    18,878   
  927     

Procter & Gamble Co.

    74,855   
  21     

Ralph Lauren Corp.

    3,478   
  41     

Sigma-Aldrich Corp.

    3,544   
  199     

Sysco Corp.

    6,436   
   

 

 

 
      121,433   
   

 

 

 

 

Mining (except Oil and Gas) - 0.5%

  

  52     

Cliffs Natural Resources, Inc.

    1,335   
  77     

CONSOL Energy, Inc.

    2,810   
  351     

Freeport-McMoRan Copper & Gold, Inc.

    12,903   
  168     

Newmont Mining Corp.

    4,580   
  91     

Peabody Energy Corp.

    1,773   
  44     

Vulcan Materials Co.

    2,356   
   

 

 

 
      25,757   
   

 

 

 

 

Miscellaneous Manufacturing - 2.6%

  

  220     

3M Co.

    27,687   
  184     

Baxter International, Inc.

    12,120   
  66     

Becton, Dickinson & Co.

    6,939   
Shares         Value  
   

 

Miscellaneous Manufacturing (continued)

  

  455     

Boston Scientific Corp. (a)

  $ 5,319   
  27     

C.R. Bard, Inc.

    3,678   
  73     

CareFusion Corp. (a)

    2,830   
  95     

Coach, Inc.

    4,815   
  48     

DENTSPLY International, Inc.

    2,261   
  38     

Edwards Lifesciences Corp. (a)

    2,477   
  87     

Estee Lauder Companies, Inc.
Class A

    6,174   
  39     

Hasbro, Inc.

    2,014   
  13     

Intuitive Surgical, Inc. (a)

    4,829   
  117     

Mattel, Inc.

    5,191   
  338     

Medtronic, Inc.

    19,401   
  47     

Rockwell Automation, Inc.

    5,189   
  100     

Stryker Corp.

    7,386   
  122     

Thermo Fisher Scientific, Inc.

    11,929   
  57     

Zimmer Holdings, Inc.

    4,986   
   

 

 

 
      135,225   
   

 

 

 

 

Miscellaneous Store Retailers - 0.1%

  

  35     

PetSmart, Inc.

    2,546   
  224     

Staples, Inc.

    3,611   
   

 

 

 
      6,157   
   

 

 

 

 

Motion Picture and Sound Recording Industries - 0.5%

  

  20     

Netflix, Inc. (a)

    6,450   
  311     

Time Warner, Inc.

    21,378   
   

 

 

 
      27,828   
   

 

 

 

 

Motor Vehicle and Parts Dealers - 0.2%

  

  22     

AutoNation, Inc. (a)

    1,061   
  12     

AutoZone, Inc. (a)

    5,217   
  76     

CarMax, Inc. (a)

    3,571   
   

 

 

 
      9,849   
   

 

 

 

 

Nonmetallic Mineral Product Manufacturing - 0.0% (†)

  

  56     

Owens-Illinois, Inc. (a)

    1,780   
   

 

 

 

 

Nonstore Retailers - 1.3%

  

  125     

Amazon.com, Inc. (a)

    45,504   
  394     

eBay, Inc. (a)

    20,767   
   

 

 

 
      66,271   
   

 

 

 

 

Oil and Gas Extraction - 2.7%

  

  170     

Anadarko Petroleum Corp.

    16,199   
  137     

Apache Corp.

    12,166   
  142     

Cabot Oil & Gas Corp.

    5,015   
  171     

Chesapeake Energy Corp.

    4,781   
  126     

Denbury Resources, Inc. (a)

    2,393   
  129     

Devon Energy Corp.

    8,155   
  92     

EOG Resources, Inc.

    16,413   
  36     

Helmerich & Payne, Inc.

    2,792   
  98     

Hess Corp.

    7,958   
  240     

Marathon Oil Corp.

    8,462   
  46     

Newfield Exploration Co. (a)

    1,401   
  122     

Noble Energy, Inc.

    9,141   
  273     

Occidental Petroleum Corp.

    26,230   
  47     

Pioneer Natural Resources Co.

    9,625   
  61     

QEP Resources, Inc.

    2,017   
  55     

Range Resources Corp.

    4,164   
  119     

Southwestern Energy Co. (a)

    4,429   
 

 

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

 

 

 
DIREXION ANNUAL REPORT   15


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

Oil and Gas Extraction (continued)

  

  68     

WPX Energy, Inc. (a)

  $ 1,505   
   

 

 

 
      142,846   
   

 

 

 

 

Other Information Services - 2.1%

  

  95     

Google, Inc. Class A (a)

    97,905   
  321     

Yahoo!, Inc. (a)

    10,571   
   

 

 

 
      108,476   
   

 

 

 

 

Paper Manufacturing - 0.5%

  

  35     

Bemis Co., Inc.

    1,397   
  151     

International Paper Co.

    6,736   
  130     

Kimberly-Clark Corp.

    14,040   
  60     

MeadWestvaco Corp.

    2,091   
  66     

Sealed Air Corp.

    1,992   
   

 

 

 
      26,256   
   

 

 

 

 
 

Performing Arts, Spectator Sports, and Related
Industries - 0.0% (†)

  
  

  88     

International Game Technology

    1,654   
   

 

 

 

 

Petroleum and Coal Products Manufacturing - 5.2%

  

  654     

Chevron Corp.

    78,454   
  414     

ConocoPhillips

    30,346   
  1,490     

Exxon Mobil Corp.

    133,534   
  106     

Marathon Petroleum Corp.

    7,596   
  59     

Murphy Oil Corp.

    3,559   
  207     

Phillips 66

    13,337   
  46     

Tesoro Corp.

    2,249   
  184     

Valero Energy Corp.

    7,575   
   

 

 

 
      276,650   
   

 

 

 

 

Pipeline Transportation - 0.2%

  

  70     

ONEOK, Inc.

    3,955   
  231     

Williams Companies, Inc.

    8,249   
   

 

 

 
      12,204   
   

 

 

 

 

Plastics and Rubber Products Manufacturing - 0.1%

  

  83     

Goodyear Tire & Rubber Co. (a)

    1,741   
  98     

Newell Rubbermaid, Inc.

    2,904   
   

 

 

 
      4,645   
   

 

 

 

 

Primary Metal Manufacturing - 0.5%

  

  362     

Alcoa, Inc.

    3,356   
  37     

Allegheny Technologies, Inc.

    1,225   
  108     

Nucor Corp.

    5,591   
  49     

Precision Castparts Corp.

    12,419   
  49     

United States Steel Corp.

    1,219   
   

 

 

 
      23,810   
   

 

 

 

 

Printing and Related Support Activities - 0.0% (†)

  

  33     

Avery Dennison Corp.

    1,555   
   

 

 

 

 

Professional, Scientific, and Technical Services - 3.0%

  

  218     

Accenture PLC Class A

    16,023   
  255     

Amgen, Inc.

    29,580   
  80     

Biogen Idec, Inc. (a)

    19,535   
  100     

Cerner Corp. (a)

    5,603   
  102     

Cognizant Technology Solutions Corp. Class A (a)

    8,867   
  50     

Computer Sciences Corp.

    2,463   
  27     

F5 Networks, Inc. (a)

    2,201   
Shares         Value  
   

 
 

Professional, Scientific, and Technical Services
(continued)

  
  

  143     

Interpublic Group of Companies, Inc.

  $ 2,402   
  44     

Jacobs Engineering Group, Inc. (a)

    2,676   
  35     

MasterCard, Inc. Class A

    25,098   
  73     

Nielsen Holdings N.V.

    2,879   
  87     

Omnicom Group, Inc.

    5,926   
  17     

priceline.com, Inc. (a)

    17,915   
  186     

Salesforce.com, Inc. (a)

    9,925   
  46     

VeriSign, Inc. (a)

    2,497   
  29     

Waters Corp. (a)

    2,927   
   

 

 

 
      156,517   
   

 

 

 

 

Publishing Industries (except Internet) - 3.8%

  

  158     

Adobe Systems, Inc. (a)

    8,564   
  75     

Autodesk, Inc. (a)

    2,993   
  111     

CA, Inc.

    3,525   
  104     

Electronic Arts, Inc. (a)

    2,730   
  78     

Gannett Co., Inc.

    2,158   
  101     

Intuit, Inc.

    7,213   
  93     

McGraw-Hill Companies, Inc.

    6,480   
  2,566     

Microsoft Corp.

    90,708   
  169     

News Corp. Class A (a)

    2,975   
  196     

NVIDIA Corp.

    2,975   
  1,207     

Oracle Corp.

    40,435   
  237     

Symantec Corp.

    5,389   
  672     

Twenty-First Century Fox, Inc.

    22,902   
  1     

Washington Post Co. Class B

    643   
   

 

 

 
      199,690   
   

 

 

 

 

Rail Transportation - 0.9%

  

  345     

CSX Corp.

    8,991   
  37     

Kansas City Southern

    4,496   
  106     

Norfolk Southern Corp.

    9,118   
  157     

Union Pacific Corp.

    23,770   
   

 

 

 
      46,375   
   

 

 

 

 

Real Estate - 1.5%

  

  49     

Apartment Investment & Management Co. Class A

    1,371   
  41     

AvalonBay Communities, Inc.

    5,127   
  52     

Boston Properties, Inc.

    5,382   
  94     

CBRE Group, Inc. Class A (a)

    2,184   
  113     

Equity Residential

    5,917   
  154     

HCP, Inc.

    6,391   
  97     

Health Care REIT, Inc.

    6,290   
  139     

Kimco Realty Corp.

    2,986   
  48     

Macerich Co.

    2,842   
  169     

Prologis, Inc.

    6,752   
  49     

Public Storage

    8,181   
  105     

Simon Property Group, Inc.

    16,228   
  99     

Ventas, Inc.

    6,459   
  59     

Vornado Realty Trust

    5,254   
   

 

 

 
      81,364   
   

 

 

 

 

Rental and Leasing Services - 0.0% (†)

  

  18     

Ryder System, Inc.

    1,185   
   

 

 

 
 

 

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

 

 

 
16    DIREXION ANNUAL REPORT


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 
 

Securities, Commodity Contracts, and Other Financial
Investments and Related Activities - 1.2%

  
  

  43     

BlackRock, Inc.

  $ 12,935   
  392     

Charles Schwab Corp.

    8,879   
  106     

CME Group, Inc.

    7,866   
  97     

E*TRADE Financial Corp. (a)

    1,640   
  138     

Franklin Resources, Inc.

    7,433   
  25     

IntercontinentalExchange, Inc. (a)

    4,818   
  150     

Invesco Ltd.

    5,062   
  37     

Legg Mason, Inc.

    1,423   
  39     

NASDAQ OMX Group, Inc.

    1,382   
  82     

NYSE Euronext

    3,610   
  88     

T. Rowe Price Group, Inc.

    6,812   
   

 

 

 
      61,860   
   

 

 

 

 

Specialty Trade Contractors - 0.0% (†)

  

  72     

Quanta Services, Inc. (a)

    2,175   
   

 

 

 

 

Support Activities for Mining - 1.4%

  

  24     

Diamond Offshore Drilling, Inc.

    1,486   
  79     

Ensco PLC Class A

    4,554   
  286     

Halliburton Co.

    15,167   
  88     

Nabors Industries Ltd.

    1,538   
  86     

Noble Corp.

    3,242   
  42     

Rowan Companies PLC Class A (a)

    1,516   
  448     

Schlumberger Ltd.

    41,987   
  115     

Transocean Ltd.

    5,413   
   

 

 

 
      74,903   
   

 

 

 

 

Support Activities for Transportation - 0.1%

  

  54     

C.H. Robinson Worldwide, Inc.

    3,226   
  70     

Expeditors International of Washington, Inc.

    3,170   
   

 

 

 
      6,396   
   

 

 

 

 

Telecommunications - 3.0%

  

  134     

American Tower Corp.

    10,633   
  1,798     

AT&T, Inc.

    65,088   
  203     

CenturyLink, Inc.

    6,874   
  111     

Crown Castle International
Corp. (a)

    8,438   
  99     

Fidelity National Information Services, Inc.

    4,826   
  338     

Frontier Communications Corp.

    1,491   
  97     

Time Warner Cable, Inc.

    11,654   
  969     

Verizon Communications, Inc.

    48,944   
  201     

Windstream Holdings, Inc.

    1,718   
   

 

 

 
      159,666   
   

 

 

 

 

Transportation Equipment Manufacturing - 3.5%

  

  235     

Boeing Co.

    30,668   
  39     

BorgWarner, Inc.

    4,022   
  160     

Eaton Corp PLC

    11,290   
  1,334     

Ford Motor Co.

    22,825   
  113     

General Dynamics Corp.

    9,789   
  319     

General Motors Co. (a)

    11,787   
  76     

Harley-Davidson, Inc.

    4,867   
  266     

Honeywell International, Inc.

    23,070   
  232     

Johnson Controls, Inc.

    10,707   
  91     

Lockheed Martin Corp.

    12,134   
  120     

PACCAR, Inc.

    6,672   
Shares         Value  
   

 

Transportation Equipment Manufacturing (continued)

  

  46     

Rockwell Collins, Inc.

  $ 3,212   
  95     

Textron, Inc.

    2,735   
  286     

United Technologies Corp.

    30,387   
   

 

 

 
      184,165   
   

 

 

 

 

Utilities - 3.4%

  

  82     

Ameren Corp.

    2,967   
  165     

American Electric Power Co., Inc.

    7,729   
  145     

CenterPoint Energy, Inc.

    3,567   
  90     

CMS Energy Corp.

    2,471   
  99     

Consolidated Edison, Inc.

    5,764   
  196     

Dominion Resources, Inc.

    12,495   
  59     

DTE Energy Co.

    4,079   
  239     

Duke Energy Corp.

    17,143   
  110     

Edison International

    5,393   
  60     

Entergy Corp.

    3,883   
  51     

EQT Corp.

    4,366   
  290     

Exelon Corp.

    8,277   
  142     

FirstEnergy Corp.

    5,378   
  27     

Integrys Energy Group, Inc.

    1,584   
  228     

Kinder Morgan, Inc.

    8,051   
  144     

NextEra Energy, Inc.

    12,204   
  106     

NiSource, Inc.

    3,341   
  107     

Northeast Utilities

    4,589   
  109     

NRG Energy, Inc.

    3,110   
  84     

Pepco Holdings, Inc.

    1,620   
  151     

PG&E Corp.

    6,319   
  37     

Pinnacle West Capital Corp.

    2,073   
  214     

PPL Corp.

    6,555   
  171     

Public Service Enterprise Group, Inc.

    5,729   
  47     

SCANA Corp.

    2,192   
  77     

Sempra Energy

    7,018   
  296     

Southern Co.

    12,109   
  227     

Spectra Energy Corp.

    8,074   
  69     

TECO Energy, Inc.

    1,185   
  77     

Wisconsin Energy Corp.

    3,242   
  168     

Xcel Energy, Inc.

    4,848   
   

 

 

 
      177,355   
   

 

 

 

 

Warehousing and Storage - 0.0% (†)

  

  58     

Iron Mountain, Inc.

    1,539   
   

 

 

 

 

Waste Management and Remediation Services - 0.1%

  

  92     

Republic Services, Inc.

    3,079   
  29     

Stericycle, Inc. (a)

    3,370   
   

 

 

 
      6,449   
   

 

 

 

 

Water Transportation - 0.1%

  

  148     

Carnival Corp.

    5,128   
   

 

 

 

 
 

Wholesale Electronic Markets and Agents and
Brokers - 0.1%

 
  

  52     

Genuine Parts Co.

    4,099   
   

 

 

 

 

Wood Product Manufacturing - 0.1%

  

  106     

Leucadia National Corp.

    3,004   
  63     

Xylem, Inc.

    2,174   
   

 

 

 
      5,178   
   

 

 

 
 

TOTAL COMMON STOCKS
(Cost $4,110,146)

  $ 5,287,722   
   

 

 

 
 

 

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

 

 

 
DIREXION ANNUAL REPORT   17


Direxion S&P 500® DRRC Index Volatility Response Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

SHORT TERM INVESTMENTS - 0.7%

  

 

Money Market Funds-0.7%

  

  38,435     

Dreyfus Treasury Prime Cash Management 0.00% (††)

  $ 38,435   
   

 

 

 
 

TOTAL SHORT TERM INVESTMENTS
(Cost $38,435)

  $ 38,435   
   

 

 

 
 

TOTAL INVESTMENTS - 100.7%
(Cost $4,148,581)

  $ 5,326,157   
 

Liabilities in Excess of Other
Assets - (0.7)%

    (35,816
   

 

 

 
 

TOTAL NET ASSETS - 100.0%

  $ 5,290,341   
   

 

 

 

Percentages are stated as a percent of net assets.

 

(†)  Less than 0.05%.

 

(††) Less than 0.005%.

 

(a)  Non-income producing security.

 

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

 

 

 
18    DIREXION ANNUAL REPORT


Direxion NASDAQ-100® Equal Weighted Index Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

COMMON STOCKS - 99.8%

  

 

Administrative and Support Services - 2.1%

  

  1,427     

Expedia, Inc.

  $ 84,022   
  1,837     

Paychex, Inc.

    77,631   
   

 

 

 
      161,653   
   

 

 

 

 
 

Amusement, Gambling, and Recreation
Industries - 1.0%

 
  

  486     

Wynn Resorts Ltd.

    80,798   
   

 

 

 

 

Beverage and Tobacco Product Manufacturing - 1.0%

  

  1,347     

Monster Beverage Corp. (a)

    77,089   
   

 

 

 

 

Broadcasting (except Internet) - 6.1%

  

  563     

Charter Communications, Inc.
Class A (a)

    75,577   
  1,698     

Comcast Corp. Class A

    80,791   
  1,188     

DIRECTV Class A (a)

    74,238   
  921     

Discovery Communications, Inc.
Class A (a)

    81,895   
  3,076     

Liberty Interactive Corp. Class A (a)

    82,929   
  19,211     

Sirius XM Radio, Inc.

    72,426   
   

 

 

 
      467,856   
   

 

 

 

 
 

Building Material and Garden Equipment and Supplies
Dealers - 1.0%

  
  

  1,501     

Fastenal Co.

    74,750   
   

 

 

 

 

Chemical Manufacturing - 5.9%

  

  663     

Alexion Pharmaceuticals, Inc. (a)

    81,516   
  503     

Celgene Corp. (a)

    74,691   
  1,179     

Gilead Sciences, Inc. (a)

    83,697   
  1,948     

Mylan, Inc. (a)

    73,771   
  250     

Regeneron Pharmaceuticals, Inc. (a)

    71,900   
  989     

Vertex Pharmaceuticals, Inc. (a)

    70,555   
   

 

 

 
      456,130   
   

 

 

 

 

Clothing and Clothing Accessories Stores - 1.1%

  

  1,050     

Ross Stores, Inc.

    81,217   
   

 

 

 

 
 

Computer and Electronic Product
Manufacturing - 23.3%

 
  

  4,432     

Activision Blizzard, Inc.

    73,748   
  2,003     

Altera Corp.

    67,301   
  1,570     

Analog Devices, Inc.

    77,401   
  161     

Apple, Inc.

    84,098   
  1,806     

Avago Technologies Ltd.

    82,047   
  2,754     

Broadcom Corp. Class A

    73,587   
  3,074     

Cisco Systems, Inc.

    69,165   
  635     

Fossil Group, Inc. (a)

    80,607   
  1,730     

Garmin Ltd.

    80,878   
  3,166     

Intel Corp.

    77,345   
  1,878     

Linear Technology Corp.

    77,261   
  2,542     

Maxim Integrated Products, Inc.

    75,497   
  1,871     

Microchip Technology, Inc.

    80,378   
  4,371     

Micron Technology, Inc. (a)

    77,279   
  1,744     

NetApp, Inc.

    67,685   
  1,091     

QUALCOMM, Inc.

    75,792   
  1,265     

SanDisk Corp.

    87,918   
  975     

SBA Communications Corp. (a)

    85,283   
  1,819     

Seagate Technology PLC

    88,549   
  1,859     

Texas Instruments, Inc.

    78,227   
Shares         Value  
   

 
 

Computer and Electronic Product
Manufacturing (continued)

 
  

  906     

Viacom, Inc. Class B

  $ 75,461   
  1,183     

Western Digital Corp.

    82,372   
  1,598     

Xilinx, Inc.

    72,581   
   

 

 

 
      1,790,460   
   

 

 

 

 

Data Processing, Hosting and Related Services - 3.6%

  

  1,428     

Akamai Technologies, Inc. (a)

    63,889   
  1,012     

Automatic Data Processing, Inc.

    75,870   
  990     

Citrix Systems, Inc. (a)

    56,212   
  740     

Fiserv, Inc. (a)

    77,500   
   

 

 

 
      273,471   
   

 

 

 

 

Food and Beverage Stores - 1.1%

  

  1,304     

Whole Foods Market, Inc.

    82,322   
   

 

 

 

 

Food Manufacturing - 2.7%

 
  894     

Green Mountain Coffee Roasters,
Inc. (a)

    56,152   
  1,394     

Kraft Foods Group, Inc.

    75,806   
  2,331     

Mondelez International, Inc.

    78,415   
   

 

 

 
      210,373   
   

 

 

 

 

Food Services and Drinking Places - 1.0%

 
  989     

Starbucks Corp.

    80,158   
   

 

 

 

 

Furniture and Home Furnishings Stores - 1.0%

  

  998     

Bed Bath & Beyond, Inc. (a)

    77,165   
   

 

 

 

 

General Merchandise Stores - 3.9%

 
  639     

Costco Wholesale Corp.

    75,402   
  1,299     

Dollar Tree, Inc. (a)

    75,862   
  599     

O’Reilly Automotive, Inc. (a)

    74,162   
  1,288     

Sears Holdings Corp. (a)

    74,807   
   

 

 

 
      300,233   
   

 

 

 

 

Health and Personal Care Stores - 1.0%

 
  1,214     

Express Scripts Holding Co. (a)

    75,899   
   

 

 

 

 

Insurance Carriers and Related Activities - 1.0%

  

  1,144     

Verisk Analytics, Inc. Class A (a)

    78,387   
   

 

 

 

 

Machinery Manufacturing - 2.2%

 
  4,733     

Applied Materials, Inc.

    84,484   
  1,230     

KLA-Tencor Corp.

    80,688   
   

 

 

 
      165,172   
   

 

 

 

 

Merchant Wholesalers, Durable Goods - 1.1%

  

  717     

Henry Schein, Inc. (a)

    80,612   
   

 

 

 

 

Merchant Wholesalers, Nondurable Goods - 1.0%

  

  877     

Sigma-Aldrich Corp.

    75,799   
   

 

 

 

 

Mining (except Oil and Gas) - 1.0%

 
  1,026     

Randgold Resources Ltd. ADR

    75,821   
   

 

 

 

 

Miscellaneous Manufacturing - 3.0%

 
  1,708     

DENTSPLY International, Inc.

    80,447   
  201     

Intuitive Surgical, Inc. (a)

    74,672   
  1,750     

Mattel, Inc.

    77,647   
   

 

 

 
      232,766   
   

 

 

 

 

Miscellaneous Store Retailers - 1.1%

 
  5,085     

Staples, Inc.

    81,970   
   

 

 

 

 

Motion Picture and Sound Recording Industries - 1.0%

  

  240     

Netflix, Inc. (a)

    77,395   
   

 

 

 
 

 

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

 

 

 
DIREXION ANNUAL REPORT   19


Direxion NASDAQ-100® Equal Weighted Index Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  
   

 

Nonstore Retailers - 2.1%

 
  238     

Amazon.com, Inc. (a)

  $ 86,639   
  1,371     

eBay, Inc. (a)

    72,266   
   

 

 

 
      158,905   
   

 

 

 

 

Other Information Services - 5.3%

 
  515     

Baidu, Inc. ADR (a)

    82,864   
  1,582     

Facebook, Inc. (a)

    79,511   
  83     

Google, Inc. Class A (a)

    85,538   
  962     

Liberty Global PLC Class A (a)

    75,392   
  2,436     

Yahoo!, Inc. (a)

    80,217   
   

 

 

 
      403,522   
   

 

 

 

 

Professional, Scientific, and Technical Services - 6.0%

  

  645     

Amgen, Inc.

    74,820   
  304     

Biogen Idec, Inc. (a)

    74,234   
  1,512     

Cerner Corp. (a)

    84,717   
  915     

Cognizant Technology Solutions Corp. Class A (a)

    79,541   
  804     

F5 Networks, Inc. (a)

    65,534   
  75     

priceline.com, Inc. (a)

    79,037   
   

 

 

 
      457,883   
   

 

 

 

 

Publishing Industries (except Internet) - 10.6%

  

  1,440     

Adobe Systems, Inc. (a)

    78,048   
  1,837     

Autodesk, Inc. (a)

    73,315   
  2,451     

CA, Inc.

    77,844   
  1,521     

Catamaran Corp. (a)

    71,426   
  1,286     

Check Point Software Technologies
Ltd. (a)

    74,614   
  1,128     

Intuit, Inc.

    80,550   
  2,303     

Microsoft Corp.

    81,411   
  3,908     

Nuance Communications, Inc. (a)

    60,808   
  4,769     

NVIDIA Corp.

    72,393   
  2,997     

Symantec Corp.

    68,152   
  2,282     

Twenty-First Century Fox, Inc.

    77,771   
   

 

 

 
      816,332   
   

 

 

 

 

Support Activities for Transportation - 1.9%

  

  1,213     

C.H. Robinson Worldwide, Inc.

    72,465   
  1,680     

Expeditors International of Washington, Inc.

    76,087   
   

 

 

 
      148,552   
   

 

 

 

 

Telecommunications - 3.9%

  

  409     

Equinix, Inc. (a)

    66,046   
  508     

Liberty Media Corp Delaware (a)

    77,678   
  5,325     

VimpelCom Ltd. ADR ADR

    76,627   
  2,243     

Vodafone Group PLC ADR

    82,587   
   

 

 

 
      302,938   
   

 

 

 

 

Transportation Equipment Manufacturing - 1.8%

  

  1,306     

PACCAR, Inc.

    72,614   
  411     

Tesla Motors, Inc. (a)

    65,735   
   

 

 

 
      138,349   
   

 

 

 
Shares         Value  
   

 

Waste Management and Remediation Services - 1.0%

  

  647     

Stericycle, Inc. (a)

  $ 75,181   
   

 

 

 
 

TOTAL COMMON STOCKS
(Cost $7,630,585)

  $ 7,659,158   
   

 

 

 
 

TOTAL INVESTMENTS - 99.8%
(Cost $7,630,585)

  $ 7,659,158   
 

Other Assets in Excess of
Liabilities - 0.2%

    12,940   
   

 

 

 
 

TOTAL NET ASSETS - 100.0%

  $ 7,672,098   
   

 

 

 

Percentages are stated as a percent of net assets.

 

(a) Non-income producing security.

ADR - American Depository Receipt

 

 

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

 

 

 
20    DIREXION ANNUAL REPORT


Direxion Daily Total Market Bear 1X Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  

 

SHORT TERM INVESTMENTS - 35.0%

  

 

MONEY MARKET FUNDS - 35.0%

  

  120,000     

Dreyfus Treasury Prime Cash Management, 0.00% (††)(a)

  $ 120,000   
  300,230     

Morgan Stanley Institutional Global Liquidity Treasury
Fund, 0.03% (a)

    300,230   
   

 

 

 
 

TOTAL SHORT TERM INVESTMENTS
(Cost $420,230)

  $ 420,230   
   

 

 

 
 

TOTAL INVESTMENTS
(Cost $420,230) - 35.0% (b)

  $ 420,230   
 

Other Assets in Excess of
Liabilities - 65.0%

    778,907   
   

 

 

 
 

TOTAL NET ASSETS - 100.0%

  $ 1,199,137   
   

 

 

 

Percentages are stated as a percent of net assets.

 

(††) Less than 0.005%.

 

(a) Represents annualized seven-day yield at October 31, 2013.

 

(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $420,230.
 

Short Equity Swap Contracts

October 31, 2013

 

Counterparty

 

Reference Entity

  Number of
Contracts
    Notional
Amount
    Interest
Rate
Received/
(Paid)
    Termination
Date
    Unrealized
Appreciation
(Depreciation)
 
Credit Suisse International   Vanguard Total Stock Market ETF     5,087      $ 446,452        (0.325 %)      2/28/2014      $ (19,128
Morgan Stanley Capital Services   Vanguard Total Stock Market ETF     8,034        692,032        0.176     2/18/2015        (45,419
     

 

 

       

 

 

 
      $ 1,138,484          $ (64,547
     

 

 

       

 

 

 

 

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

 

 

 
DIREXION ANNUAL REPORT   21


Direxion Daily 7-10 Year Treasury Bear 1X Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  

 

SHORT TERM INVESTMENTS - 18.7%

 

 

MONEY MARKET FUNDS - 18.7%

 
  312,632     

Dreyfus Treasury Prime Cash Management, 0.00% (††)(a)

  $ 312,632   
   

 

 

 
 

TOTAL SHORT TERM INVESTMENTS
(Cost $312,632)

  $ 312,632   
   

 

 

 
 

TOTAL INVESTMENTS
(Cost $312,632) - 18.7% (b)

  $ 312,632   
 

Other Assets in Excess of
Liabilities - 81.3%

    1,356,290   
   

 

 

 
 

TOTAL NET ASSETS - 100.0%

  $ 1,668,922   
   

 

 

 

Percentages are stated as a percent of net assets.

 

(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2013.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $312,632.

    

 

Short Equity Swap Contracts

October 31, 2013

 

 

Counterparty

 

Reference Entity

  Number of
Contracts
    Notional
Amount
    Interest
Rate
Received/
(Paid)
    Termination
Date
    Unrealized
Appreciation
(Depreciation)
 
Credit Suisse International   iShares 7-10 Year Treasury Bond ETF     14,702      $ 1,552,647        (0.475 %)      3/14/2014      $ 22,690   
Deutsche Bank AG London   iShares 7-10 Year Treasury Bond ETF     1,541        155,000        (1.675 %)      9/17/2015        (3,729
     

 

 

       

 

 

 
      $ 1,707,647          $ 18,961   
     

 

 

       

 

 

 

 

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

 

 

 
22    DIREXION ANNUAL REPORT


Direxion Daily 20+ Year Treasury Bear 1X Shares

Schedule of Investments

October 31, 2013

 

Shares         Value  

 

SHORT TERM INVESTMENTS - 21.6%

  

 

MONEY MARKET FUNDS - 21.6%

  

  1,865,655     

Dreyfus Treasury Prime Cash Management, 0.00% (††)(a)

  $ 1,865,655   
   

 

 

 
 

TOTAL SHORT TERM INVESTMENTS
(Cost $1,865,655)

  $ 1,865,655   
   

 

 

 
 

TOTAL INVESTMENTS
(Cost $1,865,655) - 21.6% (b)

  $ 1,865,655   
 

Other Assets in Excess of
Liabilities - 78.4%

    6,782,746   
   

 

 

 
 

TOTAL NET ASSETS - 100.0%

  $ 8,648,401   
   

 

 

 

Percentages are stated as a percent of net assets.

 

(††) Less than 0.005%.
(a) Represents annualized seven-day yield at October 31, 2013.
(b) All or a portion of these securities have been segregated as collateral for swap contracts. Total value of securities segregated amounted to $1,865,655.

    

 

Short Equity Swap Contracts

October 31, 2013

 

 

Counterparty

 

Reference Entity

  Number of
Contracts
    Notional
Amount