Direxion S&P 500 DRRC Volatility Response Shares

Overview

Key Benefits

The Fund aims to provide improved risk/return profile relative to traditional beta* investing by:

• Increasing equity exposure during periods of low volatility, to exploit positive trends
• Employing a downside risk mitigation strategy during periods of high volatility
• Applying a disciplined strategic index-based methodology to an equity investment strategy

The Strategy at Work

VSPY’s exposure to equities within the S&P 500 index is determined by dividing the targeted volatility level of 15%, by the volatility level of the S&P 500 index. The fund caps its exposure to equities at 100%.

The index’s exposure is reviewed daily with a minimum rebalance period of one month. However, if at any time the volatility level of the S&P 500 index crosses certain thresholds defined by the Risk Control Index’s methodology, the fund’s equity exposure will be adjusted accordingly. The following chart illustrates the approximate relationship between the continuum of volatility levels of the S&P 500 and the resulting equity exposure levels for the fund.

This chart is for illustrative purposes only to generally convey the Fund’s investment strategy. Please refer to prospectus for specific details.

Examples of Exposure Levels Based on Index Volatility

*Assets not exposed to equities are allocated to U.S. Treasury bills.

¹ beta – a number describing the relation of returns with those of the financial market as a whole

Target Index

Target 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. One cannot invest directly in an index.

Fund Literature

Fund Literature

Download fund literature and regulatory documents

• Fact Sheet (pdf)
• Leveraged and Inverse ETF Guide (pdf)
• Regulatory Documents (including Prospectus, SAI, Semi-Annual Report, Annual Report)

Related Materials

• Subscribe to The Xchange e-newsletter
• Subscribe to the Alternative Insights e-newsletter

Daily Holdings

Daily Holdings

Click to view the Daily Holdings (csv)