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COM

The Direxion Auspice Broad Commodity Strategy ETF seeks to provide total returns
that exceed that of the Auspice Broad Commodity Index over a complete market
cycle. There is no guarantee the fund will achieve its stated investment
objective.

Overall Morningstar RatingTM ««««
Overall Morningstar RatingTM out of 102 US Fund Commodities Broad Basket funds
based on risk adjusted returns as of 09/30/2023†.

 

NAVas of Oct 23, 2023
1 Day NAV Changeas of Oct 23, 2023
$29.40
$-0.04(-0.14 %)


RELATED LINKS

 * Direxion COM Commentary – Q2 2023
 * AUSPICE COM Commentary – December 2022


 * COM
 * Overview
 * Performance
 * Distributions


OVERVIEW


FUND INFORMATION

Fund SymbolIntra-day ValueBenchmark IndexSecurity IdentifierExpense Ratio
(gross/net %)Inception DateCOMCOM.IVABCERI25460E3070.81 / 0.81*Mar 30, 2017


DOCUMENTS & DOWNLOADS

 * COM Fact Sheet
 * COM Brochure
 * COM Methodology
 * Direxion ETFs List
 * Prospectus
 * Premium/Discount
 * Daily Fund Holdings


STRATEGY & BENEFITS

Strategy Description

 * A 40 Act, non K-1 generating approach to commodity investing
 * Exposure to 12 commodities that can individually be long or flat (if a short
   signal is triggered the position is moved to cash)
 * The ability to make position changes intra-month based on trends
 * Month-end review where the position size of each component is modified if
   volatility exceeds certain predetermined risk levels
 * A “smart” contract roll approach designed to select cost effective futures
   contracts to roll into upon expiration of current contract.

Why Consider Long/Flat Commodities?

Most traditional commodity funds can only benefit if commodity prices rise.
However, these long-only commodity strategies have shown to be inconsistent over
time because:

 * Commodity returns are typically cyclical and sporadic
 * Individual commodity sub-sectors tend to perform dissimilarly in different
   market environments
 * Significant draw-downs can be damaging to the long-term performance of a
   portfolio

Within the inherently volatile commodity markets, a long/flat approach is
potentially more adaptive to whip-sawing market conditions.


FUND DETAILS

Component Sectors and Current Positioning

Metals Position (Long/Flat) Copper Flat Gold Flat Silver Flat

Agriculture Soybeans Long Corn Flat Wheat Flat Cotton Long Sugar Long

Energy Crude Oil Long Natural Gas Flat Gasoline Long Heating Oil Long

All data as of 09/30/2023 and is subject to change at any time and are not
recommendations to buy or sell any security. When the positions within the
various components are flat, they will be invested in cash and U.S. Treasury
Bills. Individual components may vary based on risk levels.


 

--------------------------------------------------------------------------------


TARGET INDEX

The Auspice Broad Commodity Index (ABCERI) is a rules-based long/flat broad
commodity index that seeks to capture the majority of the commodity upside
returns, while seeking to mitigate downside risk. The Index is made up of a
diversified portfolio of 12 commodities futures contracts (Silver, Gold, Copper,
Heating Oil, Natural Gas, Gasoline, Crude Oil, Wheat, Soybeans, Corn, Cotton,
and Sugar) that based on price trends can individually be Long or Flat (in
Cash). One cannot invest directly in an index.




INDEX COMPARISON

Calendar Year Total Returns %
Return/Risk Characteristics of ABCERI vs Notable Broad Commodity Indices


ABCERI S&P GSCI4 BCOM5 DBC CI6 2011 0.54 -1.23 -13.37 -2.44 2012 -1.29 -0.34
-1.13 3.77 2013 -3.27 -1.28 -9.58 -6.60 2014 -8.97 -33.08 -17.04 -26.45 2015
-13.45 -32.90 -24.70 -26.72 2016 8.55 11.00 11.40 19.15 2017 -7.94 4.78 0.75
5.18 2018 -0.98 -15.43 -12.92 -12.84 2019 -3.06 15.17 5.44 10.60 2020 5.92
-23.97 -3.49 -7.85 2021 28.24 40.29 27.05 42.53 2022 8.71 23.52 13.79 18.86

Data Range: 01/01/2011 – 12/31/2022.

Annualized Return1 2.09 -2.12 -2.17 0.57 Total Return 30.69 24.19 -24.65 7.58

Annualized Std. Deviation2 8.83 21.56 14.66 17.53 Max Drawdown3 -43.08% -79.62%
-66.09% -64.99%

Date Range: 10/01/2010 – 09/30/2023

1Annualized Return and past performance does not guarantee future results. Index
returns and correlations are historical and are not representative of any Fund
performance. Total returns of the Index include reinvested dividends. One cannot
invest directly in an index.

2Standard Deviation is a measure of the dispersion of a set of data from its
mean.

3Maximum Drawdown is the greatest percent decline from a previous high.

4S&P GSCI Excess Return Index (S&P GSCI), a composite index of commodity sector
returns representing an unleveraged, long-only investment in commodity futures
that is broadly diversified across the spectrum of commodities

5Bloomberg Commodity Excess Return Index (BCOM), a broadly diversified index
that allows investors to track 19 commodity futures through a single, simple
measure.

6Deutsche Banc Liquid Commodity Optimum Yield Index (DBC CI), an index composed
of futures contracts on 14 of the most heavily-traded and important physical
commodities in the world.


 


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PRICING & PERFORMANCE

NAV and Market Price information as of October 23, 2023. Line chart shows
pricing trend over the last 30 days.

 * COM

Net asset value (NAV)
 * 29.40
   NAV $
 * -0.04
   Change $
 * -0.14
   Change %


Market price closing
 * 29.41
   Market $
 * -0.06
   Change $
 * -0.20
   Change %


Premium / Discount
0.01
$ CHANGE FROM LAST DAY TRADING

monthly1M %3M %YTD %1Y %3Y %5Y %10Y %Since InceptionInception DateExpense Ratio*
(Gross / Net %)NAV0.98 1.90 3.65 5.18 16.55 8.34 — 6.59 03/30/20170.81 /
0.81*Market Close1.22 1.95 3.87 5.51 16.65 8.34 — 6.61

As of September 30, 2023

quarterly1M %3M %YTD %1Y %3Y %5Y %10Y %Since InceptionInception DateExpense
Ratio*
(Gross / Net %)NAV0.98 1.90 3.65 5.18 16.55 8.34 — 6.59 03/30/20170.81 /
0.81*Market Close1.22 1.95 3.87 5.51 16.65 8.34 — 6.61 ABCERI0.61 0.84 0.67 1.45
15.55 6.89 — 5.20 —-

As of September 30, 2023

The Primary Listing Exchange is the NYSE Arca, Inc.

*The Fund’s adviser, Rafferty Asset Management, LLC (“Rafferty”) has entered
into an Operating Services Agreement with the Fund. Under this Operating
Services Agreement, Rafferty has contractually agreed to pay all expenses of the
Fund as long as it is the advisor of the Fund other than the following:
management fees, Rule 12b-1 distribution and/or service fees, taxes, swap
financing and related costs, dividends or interest on short positions, other
interest expenses, brokerage commissions, expenses incurred in connection with
any merger or reorganization, acquired fund fees and expenses, and extraordinary
expenses. If these expenses were included, the expense ratio would be higher.

The performance data quoted represents past performance. Past performance does
not guarantee future results. The investment return and principal value of an
investment will fluctuate. An investor’s shares, when redeemed, may be worth
more or less than their original cost. Current performance may be lower or
higher than the performance quoted. Returns for performance under one year are
cumulative, not annualized. For the most recent month-end performance please
visit the funds website at www.direxioninvestments.com.

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

--------------------------------------------------------------------------------


DISTRIBUTIONS

 * COM

Record DateEx DatePay DateIncome DividendShort-Term Capital GainLong-Term
Capital Gain09/20/202309/19/2023 09/26/2023 0.31414——06/22/202306/21/2023
06/28/2023 0.54710——12/21/202212/20/2022 12/28/2022
0.86080——06/23/202206/22/2022 06/29/2022 1.16408——03/23/202203/22/2022
03/29/2022 0.50349——12/22/202112/21/2021 12/29/2021 3.01016——


TAX DOCUMENTS

Download the following Tax Reporting Documents

 * Form 8937 (2020)


RELATED RESOURCES & INSIGHTS


 * COM ETF – 2022 YEAR END RECAP

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† ©2023 Morningstar, Inc. All Rights Reserved. The information contained herein:
(1) is proprietary to Morningstar; (2) may not be copied or distributed; and (3)
is not warranted to be accurate, complete or timely. Neither Morningstar nor its
content providers are responsible for any damages or losses arising from any use
of this information. Past performance is no guarantee of future results. The
Morningstar RatingTM for funds, or “star rating”, is calculated for managed with
at least a three-year history. Exchange-traded funds and open-ended mutual funds
are considered a single population for comparative purposes. It is calculated
based on a Morningstar Risk-Adjusted Return measure that accounts for variation
in a managed product’s monthly excess performance, placing more emphasis on
downward variations and rewarding consistent performance. The top 10% of
products in each product category receive 5 stars, the next 22.5% receive 4
stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the
bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product
is derived from a weighted average of the performance figures associated with
its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The
weights are: 100% three-year rating for 36-59 months of total returns, 60%
five-year rating/40% three-year rating for 60-119 months of total returns, and
50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more
months of total returns. While the 10-year overall star rating formula seems to
give the most weight to the 10-year period, the most recent three-year period
actually has the greatest impact because it is included in all three rating
periods. The Direxion Auspice Broad Commodity Strategy ETF (COM) was rated
against the following numbers of US Fund Commodities Broad Basket funds: 101
funds in the last three years and 92 funds in the last five years. As of
09/30/2023, the fund received a 4-Star rating overall, a 3-Star rating for the
3-year period, and a 5-Star rating for the 5-year period.

An investor should carefully consider the Fund’s investment objective, risks,
charges, and expenses before investing. The Fund’s prospectus and summary
prospectus contain this and other information about the Direxion Shares. To
obtain the Fund’s prospectus and summary prospectus call 866-476-7523 or visit
our website at direxion.com. The Fund’s prospectus and summary prospectus should
be read carefully before investing.

CUSIP Identifiers have been provided by CUSIP Global Services, managed on behalf
of the American Bankers Association by Standard and Poor’s Financial Services,
LLC, and are not for use or dissemination in any manner that would serve as a
substitute for a CUSIP service. The CUSIP Database, ©2011 American Bankers
Association. “CUSIP” is a registered trademark of the American Bankers
Association.

Shares of the Direxion Shares are bought and sold at market price (not NAV) and
are not individually redeemed from the Fund. Market Price returns are based upon
the midpoint of the bid/ask spread at 4:00 pm EST (when NAV is normally
calculated) and do not represent the returns you would receive if you traded
shares at other times. Brokerage commissions will reduce returns. Fund returns
assume that dividends and capital gains distributions have been reinvested in
the Fund at NAV.

Futures may be affected by backwardation or contango. Backwardation is a market
condition in which a futures price is lower in the distant delivery month than
in the near delivery month. Contango is a market condition in which the futures
price is higher in the distant delivery month than in the near delivery month.
In cases of contango, the Fund’s total return may be lower than might otherwise
be the case because the Fund would be selling less expensive contracts and
buying a more expensive ones.

Direxion Shares Risks – An investment in the Fund involves risk, including the
possible loss of principal. The Fund is non-diversified and includes risks
associated with concentration that results from the Fund’s investments in a
particular industry, sector, or geographic region which can result in increased
volatility. The Fund’s use of derivatives such as futures contracts and swaps
are subject to market risks that may cause their price to fluctuate over time.
Risks of the Fund include, but are not limited to, Index Correlation Risk, Index
Strategy Risk, Derivatives Risk, Commodity-Linked Derivatives Risk, Futures
Strategy Risk, Leverage Risk, Counterparty Risk, Cash Transaction Risk,
Subsidiary Investment Risk, Interest Rate Risk, and Tax Risk. Please see the
summary and full prospectuses for a more complete description of these and other
risks of the Fund.

Exchange-traded commodity futures contracts generally are volatile and are not
suitable for all investors. The value of a commodity-linked derivative
investment typically is based upon the price movements of a physical commodity
and may be affected by changes in overall market movements, volatility of the
index, changes in interest rates, or factors affecting a particular industry or
commodity, such as global pandemics, weather and other natural disasters,
changes in supply and production, embargoes, tariffs and international economic,
political and regulatory developments and changes in speculators’ and/or
investors’ demand. Commodity-linked derivatives also may be subject to credit
and interest rate risks that in general affect the value of debt securities. The
Fund’s investments in derivatives may pose risks in addition to, and greater
than, those associated with directly investing in securities or other
investments.

Risks associated with the use of futures contracts are (a) the imperfect
correlation between the change in market value of the instruments held by the
Fund and the price of the futures contract; (b) possible lack of a liquid
secondary market for a futures contract and the resulting inability to close a
futures contract when desired; (c) losses caused by unanticipated market
movements, which are potentially unlimited; (d) the Index’s inability to predict
correctly the direction of securities prices, interest rates, currency exchange
rates and other economic factors; (e) the possibility that the counterparty will
default in the performance of its obligations; and (f) if the Fund has
insufficient cash, it may have to sell securities or financial instruments from
its portfolio to meet daily variation margin requirements, which may lead to the
Fund selling securities or financial instruments at a time when it may be
disadvantageous to do so.

Auspice Capital Advisors Ltd. is a registered Portfolio Manager/Investment Fund
Manager in Canada and a registered Commodity Trading Advisor (CTA/CPO) and
National Futures Association (NFA) member in the US.

Hong Kong Investors – This website and the investment products referenced herein
(“Website”) are directed to persons who are “Professional Investors” within the
meaning of the Hong Kong Securities and Futures Ordinance (Cap. 571)
(“Ordinance”). This Website is not directed to the general public in Hong Kong.
You agree that your use of this Website is subject to you reviewing and
acknowledging the terms of this disclaimer and the website’s terms of use.
Information herein is not intended for Professional Investors in any
jurisdiction in which distribution or purchase is not authorized. This Website
does not provide investment advice or recommendations, nor is it an offer or
solicitation of any kind to buy or sell any investment products. Direxion Asia
Limited (“DAL”) is licensed with and regulated by the Securities Futures
Commission of Hong Kong (“SFC”) (CE Number: BAZ386) to provide services to
Professional Investors. DAL does not maintain nor is it responsible for the
contents of this Website, which has not been approved by the SFC. DAL is an
affiliate of other companies within the Direxion Group companies which may
manage the products and provide the services described herein, which are not
directed to the general public in Hong Kong. Companies within the Direxion Group
which do not carry out regulated activities in Hong Kong are not subject to the
provisions of the Ordinance. Foreside Fund Services, LLC is the distributor for
the Direxion Shares in the United States only.

Distributor: Foreside Fund Services, LLC.