Fund Performance

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Fund information
Name	Direxion NASDAQ-100 Equal Wtd ETF (QQQE)
Asset Class	U.S. Equity
Category	Large Growth
Fund Benchmark	NASDAQ-100 Equal Weighted TR USD
Selected Benchmark	Invesco QQQ Trust (QQQ)
Price/Earnings (TTM)	31.14
Yield (TTM)	0.54%
Assets	371.83 M
Expense Ratio	0.35%
Inception Date	03/21/2012

Performance Summary

Fund performance summary
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Direxion NASDAQ-100 Equal Wtd ETF	$10,000	$27,960	13.87%	13.98%	43.23%	-5.40%	-14.32%	0.95	1.59	0.93
Invesco QQQ Trust	$10,000	$33,157	16.35%	13.89%	38.96%	-3.20%	-16.96%	1.11	1.88	0.89

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Direxion NASDAQ-100 Equal Wtd ETF	-1.82%	11.64%	12.15%	10.32%	13.87%	15.10%	14.62%
Invesco QQQ Trust	0.56%	19.81%	17.55%	14.75%	16.35%	15.37%	15.19%
Trailing annualized return and volatility are for full months ending in February 2020 excluding portfolio cashflows.

Notes on results:

Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Fund fundamentals data as of 01/25/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (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.
Displayed expense ratio is the prospectus net expense ratio
CAGR = Compound Annual Growth Rate
Stdev = Annualized standard deviation of monthly returns
Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Direxion NASDAQ-100 Equal Wtd ETF vs. Invesco QQQ Trust

Up vs. Down Market Performance - Direxion NASDAQ-100 Equal Wtd ETF vs. Invesco QQQ Trust
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	24	38	62	39%	1.11%	-1.31%	-0.37%
Down Market	16	17	33	48%	1.11%	-0.69%	0.18%
Total	40	55	95	42%	1.11%	-1.12%	-0.18%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Direxion NASDAQ-100 Equal Wtd ETF	Invesco QQQ Trust
Large-cap Value	0.00%	0.00%
Large-cap Growth	70.79%	100.00%
Mid-cap Value	13.14%	0.00%
Mid-cap Growth	13.16%	0.00%
Small-cap Value	0.00%	0.00%
Small-cap Growth	0.00%	0.00%
Global ex-US Developed Markets	2.91%	0.00%
Emerging Markets	0.00%	0.00%
Corporate Bonds	0.00%	0.00%
Long-Term Treasuries	0.00%	0.00%
Intermediate-Term Treasuries	0.00%	0.00%
Short-Term Treasuries	0.00%	0.00%
R Squared	86.92%	90.16%
Style analysis is based on monthly returns from April 2012 to February 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Direxion NASDAQ-100 Equal Wtd ETF

Holdings Based Style Analysis for Direxion NASDAQ-100 Equal Wtd ETF
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
QQQE	Direxion NASDAQ-100 Equal Wtd ETF	Large Growth	100.00%	0.54%	0.35%	31.14	$17,960	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Invesco QQQ Trust

Holdings Based Style Analysis for Invesco QQQ Trust
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
QQQ	Invesco QQQ Trust	Large Growth	100.00%	0.52%	0.20%	36.15	$23,157	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
Metric	Direxion NASDAQ-100 Equal Wtd ETF	Invesco QQQ Trust
Arithmetic Mean (monthly)	1.17%	1.35%
Arithmetic Mean (annualized)	14.96%	17.45%
Geometric Mean (monthly)	1.09%	1.27%
Geometric Mean (annualized)	13.87%	16.35%
Volatility (monthly)	4.04%	4.01%
Volatility (annualized)	13.98%	13.89%
Downside Deviation (monthly)	2.38%	2.34%
Max. Drawdown	-14.32%	-16.96%
US Market Correlation	0.93	0.89
Beta^(*)	0.94	1.00
Alpha (annualized)	-1.15%	0.00%
R²	86.75%	100.00%
Sharpe Ratio	0.95	1.11
Sortino Ratio	1.59	1.88
Treynor Ratio (%)	14.21	15.48
Calmar Ratio	0.85	1.03
Active Return	-2.48%	N/A
Tracking Error	5.16%	N/A
Information Ratio	-0.48	N/A
Skewness	-0.28	-0.42
Excess Kurtosis	0.62	0.23
Historical Value-at-Risk (5%)	-7.01%	-6.85%
Analytical Value-at-Risk (5%)	-5.47%	-5.25%
Conditional Value-at-Risk (5%)	-8.50%	-7.89%
Upside Capture Ratio (%)	88.36	100.00
Downside Capture Ratio (%)	94.64	100.00
Safe Withdrawal Rate	20.15%	20.83%
Perpetual Withdrawal Rate	10.73%	12.61%
Positive Periods	60 out of 95 (63.16%)	62 out of 95 (65.26%)
Gain/Loss Ratio	1.22	1.22
^* Invesco QQQ Trust is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Direxion NASDAQ-100 Equal Wtd ETF Returns

Annual and monthly fund returns
Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2012				-1.75%	-7.95%	2.90%	-1.05%	3.72%	2.26%	-4.07%	2.87%	-0.49%	-4.08%
2013	8.93%	0.53%	3.87%	1.25%	4.46%	-1.37%	6.59%	-1.44%	6.04%	2.60%	1.91%	3.62%	43.23%
2014	-1.42%	6.99%	-2.77%	-1.87%	3.62%	3.65%	-0.43%	4.60%	-1.21%	3.13%	5.02%	-0.84%	19.43%
2015	-3.19%	7.70%	-1.52%	0.55%	2.15%	-2.69%	2.27%	-6.60%	-3.61%	9.17%	0.34%	-0.95%	2.53%
2016	-8.21%	0.50%	5.63%	-2.13%	3.93%	-2.13%	6.66%	1.08%	1.28%	-1.62%	3.05%	-0.19%	7.19%
2017	6.15%	3.56%	1.95%	1.52%	3.35%	-1.18%	2.89%	-0.07%	1.30%	1.18%	2.34%	0.97%	26.54%
2018	7.29%	-2.68%	-2.39%	-0.82%	2.45%	1.24%	3.15%	2.08%	-0.34%	-8.54%	3.05%	-8.78%	-5.40%
2019	12.08%	3.52%	1.82%	5.23%	-9.02%	8.57%	1.59%	-2.52%	0.74%	3.89%	3.66%	3.42%	36.44%
2020	0.13%	-5.18%											-5.06%

Invesco QQQ Trust Returns

Annual and monthly fund returns
Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2012				-1.17%	-7.04%	3.62%	1.00%	5.19%	0.89%	-5.28%	1.31%	-0.46%	-2.54%
2013	2.67%	0.34%	3.03%	2.54%	3.58%	-2.39%	6.31%	-0.40%	4.83%	4.96%	3.55%	2.92%	36.63%
2014	-1.92%	5.15%	-2.73%	-0.32%	4.49%	3.12%	1.18%	5.01%	-0.76%	2.64%	4.55%	-2.24%	19.18%
2015	-2.08%	7.22%	-2.36%	1.92%	2.25%	-2.48%	4.56%	-6.82%	-2.20%	11.37%	0.61%	-1.59%	9.45%
2016	-6.91%	-1.57%	6.85%	-3.19%	4.37%	-2.27%	7.15%	1.05%	2.21%	-1.46%	0.44%	1.13%	7.10%
2017	5.14%	4.38%	2.03%	2.73%	3.90%	-2.32%	4.06%	2.07%	-0.29%	4.61%	1.97%	0.60%	32.66%
2018	8.76%	-1.29%	-4.08%	0.51%	5.67%	1.15%	2.80%	5.78%	-0.28%	-8.60%	-0.26%	-8.65%	-0.12%
2019	9.01%	2.99%	3.92%	5.50%	-8.23%	7.59%	2.33%	-1.90%	0.92%	4.38%	4.07%	3.89%	38.96%
2020	3.04%	-6.06%											-3.20%

Direxion NASDAQ-100 Equal Wtd ETF Factor Regression

Direxion NASDAQ-100 Equal Wtd ETF Factor Regression
Model	MKT-RF	SMB	HML	MOM	RMW	CMA	Annualized Alpha	R²
Fama-French 3-factor model	1.12	-0.01	-0.28				-0.29%	89.68%
Carhart 4-factor model	1.08	-0.02	-0.39	-0.16			0.54%	90.76%
Fama-French 5-factor model	1.10	-0.05	-0.18		-0.14	-0.22	-0.10%	90.35%
Factor regression from Apr 2012 to Feb 2020. Statistically significant values in bold.

Invesco QQQ Trust Factor Regression

Invesco QQQ Trust Factor Regression
Model	MKT-RF	SMB	HML	MOM	RMW	CMA	Annualized Alpha	R²
Fama-French 3-factor model	1.12	-0.24	-0.43				1.09%	89.20%
Carhart 4-factor model	1.11	-0.24	-0.45	-0.03			1.23%	89.23%
Fama-French 5-factor model	1.07	-0.25	-0.14		0.03	-0.64	1.58%	92.22%
Factor regression from Apr 2012 to Feb 2020. Statistically significant values in bold.

Rolling returns summary
Roll Period	Direxion NASDAQ-100 Equal Wtd ETF			Invesco QQQ Trust
Roll Period	Average	High	Low	Average	High	Low
1 year	16.45%	43.23%	-9.29%	18.51%	38.96%	-4.48%
3 years	14.62%	24.15%	8.67%	17.64%	23.40%	11.79%
5 years	14.60%	18.93%	9.46%	17.63%	21.82%	13.11%
7 years	15.85%	17.38%	14.31%	17.98%	19.73%	16.29%

Fund Performance Analysis

Fund Information (Apr 2012 - Feb 2020)

Performance Summary

Trailing Returns

Up vs. Down Market Performance

Direxion NASDAQ-100 Equal Wtd ETF vs. Invesco QQQ Trust

Returns Based Style Analysis

Holdings Based Style Analysis for Direxion NASDAQ-100 Equal Wtd ETF

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Invesco QQQ Trust

Asset Allocation

Equity Market Capitalization

Equity Sectors

Direxion NASDAQ-100 Equal Wtd ETF Returns

Invesco QQQ Trust Returns

Direxion NASDAQ-100 Equal Wtd ETF Factor Regression

Invesco QQQ Trust Factor Regression