Direxion Dynamic Hedge ETF (DYHG) Exchange: NYSE ARCA

The Fund, under normal circumstances, invests at least 80% of its assets in the securities that comprise the Index, which may include shares of exchange-traded funds. The Index is designed to adjust net exposure to the S&P 500® Index in an attempt to capitalize on the inverse relationship between volatility and the returns of the S&P 500® Index. The Index utilizes a proprietary volatility model developed by Salt Financial Indices, LLC (the “Index Provider”), to estimate future market volatility to determine the size of the Index’s hedge (short position). When market volatility is predicted to be high, the Index will generally decrease its net exposure to the S&P 500® Index by increasing its short position in S&P 500® futures contracts. When market volatility is predicted to be low, the Index will generally increase its net exposure to the S&P 500® Index by reducing its short position in S&P 500® futures contracts. The Index’s hedge or short position may range from 0% to 100% of the long position in the S& P 500® Index. The Index will review its hedge (short position) utilizing its proprietary model, on a daily basis and may change its hedge position as often as daily based on the volatility of the S&P 500® Index. If the proprietary model does not indicate a change to the hedge position based on the predicted volatility of the S&P 500® Index, the Index will not adjust its hedge position. The securities included in the S&P 500® Index will rebalance quarterly. As of May 12, 2020, the Index had a median total market capitalization of $19.22 billion, total market capitalizations ranging from $1.93 billion to $1.4 trillion and were concentrated in the information technology and healthcare sectors and had net long exposure to the S&P 500® Index. The components of the Index and the percentages represented by various sectors in the Index may change over time. The Fund will concentrate its investment in a particular industry or group of industries (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) to approximately the same extent as the Index is so concentrated. The Fund uses a “passive” or indexing approach to attempt to achieve its investment objective. The Fund does not try to outperform the Index and does not generally take temporary defensive positions. Although the Fund intends to fully replicate the Index, at times the Fund may hold a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. This means the Fund may not hold all of the securities included in the Index, its weighting of investment exposure to such stocks or industries may be different from that of the Index and it may hold securities that are not included in the Index. The Fund may utilize exchange-traded funds (“ETFs”) and other investment companies to fully replicate the Index or hold a representative sample of securities in the Index. The Fund will rebalance its portfolio when the Index rebalances. Additionally, if the Fund receives a creation unit in cash, the Fund repositions its portfolio in response to assets flowing into or out of the Fund.