VSPY Direxion S&P 500 DRRC Volatility Response Shares ETF

Overview

The Direxion S&P 500 DRRC Index Volatility Response Shares seeks investment results, before fees and expenses, that track the S&P 500 Dynamic Rebalancing Risk Control Index (SP5M15T).

Fact Sheet  ETF Guide  Prospectus

Key Features of the Fund

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.

[direxionPortfolio]

Examples of Exposure Levels Based on Index Volatility

Target Volatility

Index Volatility

Equity Exposure

15%

10%

100%

15%

100%

25%

60%

50%

30%

75%

20%

100%

15%

*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

The S&P 500® Dynamic Rebalancing Risk Control Index is designed to respond to the volatility of the S&P 500 Index (“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 (“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.

Daily Holdings

Fund Symbol VSPY
Bloomberg Index Symbol SP5M15T
CUSIP 25459Y728
ISIN US25459Y7287
Gross Expense Ratio 1.78%
Net Expense Ratio 0.45%
Inception Date Jan 11, 2012

Pricing and Performance

Price Information
NAVs and market price information as of July 21, 2014

Ticker Fund Name NAV NAV Change $ NAV Change % Market Price Closing Market Price Closing Change($) Market Price Closing Change(%) Premium / Discount
VSPY Direxion S&P 500® RC Volatility Response Shares 59.44 -0.13 -0.22 59.44 -0.13 -0.22

Performance
NAVs and market price information as of July 21, 2014

All data as of 6/30/2014
Ticker Fund Name   1 Mo % 3 Mo % YTD 1 YR % 3 YR % 5 YR % 10 YR % Since Inception Inception Date Expense Ratio* (Gross/Net %)
VSPY Direxion S&P 500® RC Volatility Response Shares NAV 2.01 5.09 6.87 23.55 18.70 1.78 / 0.45
Market Close 2.03 5.06 6.80 23.49 18.69
All data as of 6/30/2014
Ticker Fund Name   1 Mo % 3 Mo % YTD 1 YR % 3 YR % 5 YR % 10 YR % Since Inception Inception Date Expense Ratio* (Gross/Net %)
VSPY Direxion S&P 500® RC Volatility Response Shares NAV 2.01 5.09 6.87 23.55 18.70 1.78 / 0.45
Market Close 2.03 5.06 6.80 23.49 18.69

Rafferty has contractually agreed to waive all or a portion of its fees and/or reimburse the fund for expenses through September 1, 2015, to the extent that the funds net annual operating expenses exceed 0.45%.

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.

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 or summary prospectus.

Distributions

Ticker Fund Name Record Date Ex Date Pay Date Income Dividend Short-Term Capital Gain Long-Term Capital Gain
VSPY Direxion S&P 500® RC Volatility Response Shares 0.11507
VSPY Direxion S&P 500® RC Volatility Response Shares 0.22827
VSPY Direxion S&P 500® RC Volatility Response Shares 0.17728
VSPY Direxion S&P 500® RC Volatility Response Shares 0.18005
VSPY Direxion S&P 500® RC Volatility Response Shares 0.20211
VSPY Direxion S&P 500® RC Volatility Response Shares 0.1884
VSPY Direxion S&P 500® RC Volatility Response Shares 0.31652
VSPY Direxion S&P 500® RC Volatility Response Shares 0.23256 0.11733