Direxion MSCI USA ESG - Leaders vs. Laggards ETF (ESNG) Exchange: NYSE ARCA

The Index seeks to provide long exposure to companies with high environmental, social, and governance (“ESG”) ratings and trend relative to their sector peers and short exposure to companies with low ESG performance relative to their sector peers as determined by MSCI, the “Index Provider”. To this end, the Index consists of a portfolio that has 150% long exposure to the MSCI USA ESG Universal Top 100 5% Issuer Capped Index (the “Long Component”) and 50% short (or inverse) exposure to the MSCI USA ESG Universal Bottom 100 5% Issuer Capped Index (the “Short Component”). The Index, and both the Long and Short Components are reviewed, reconstituted, and rebalanced on a quarterly basis. The Index Provider determines the securities included in each component by determining a Combined ESG Score for each security in the MSCI USA Index. The Combined ESG Score is determined by multiplying a security’s ESG Rating by the security’s ESG Trend Score. • The Index Provider determines each security’s ESG Rating by assigning a key issues score to each security based on the Index Provider’s evaluation of the company based on 37 different key ESG issues, related to climate change, pollution, human capital, product liability, corporate governance, and corporate behavior. A weighted average of the key issues score is then determined. The Index Provider then normalizes the weights of the constituents within each sector to reflect the sector weight of the MSCI USA Index. • The Index Provider determines the ESG Trend Score by determining the ESG Rating change from the prior period to the current period. The Index Provider assigns a value based on three levels, Upgrade, Neutral, or Downgrade. An Upgrade score is assigned by the Index Provider when a company’s latest ESG Rating has increased by at least one level compared to the previous assessment. A Neutral score is assigned by the Index Provider when a company’s latest ESG Rating has not changed from the previous assessment and a Downgrade score is assigned when a company’s latest ESG Rating has decreased by at least one level compared to the previous assessment. Companies assessed by the Index Provider that are found to be in violation of international norms (for example, facing very severe controversies related to human rights, labor rights, or the environment) and/or involved in controversial weapons (landmines, cluster munitions, depleted uranium, and biological and chemical weapons) will not be included in the Long Component but may be included in the Short Component. The Fund, under normal circumstances, invests at least 80% of its net assets (plus borrowing for investment purposes) in securities that comprise the Long Component. Additionally, the Fund will invest in derivatives, such as swap agreements or futures contracts that provide long and short (or inverse) exposure to Index securities that track the Long or Short Component of the Index. Derivatives are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund intends to use derivatives to obtain up to 70% of the Fund’s exposure to the Long Component of the Index and to use derivatives to obtain all of the Fund’s exposure to the Short Component of the Index. This will result in the Fund having both long and short derivatives positions. The Long Component measures the performance of approximately 100 companies. As of January 16, 2020, the constituents had an average market capitalization of $86.8 billion, a median market capitalization of $31.3 billion and were concentrated in the information technology, healthcare, and financials sectors. The Short Component measures the performance of approximately 100 companies. As of January 16, 2020, the constituents had an average market capitalization of $36.9 billion, a median market capitalization of $17.8 billion and were concentrated in the information technology and healthcare sectors. The securities in 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, normally replicates (including shorts) the Index securities by purchasing the Index securities and utilizing derivatives such as swap contracts, but may hold a representative sample of the Index securities that have aggregate characteristics similar to those of the Index or a portion of the Index, or an ETF that tracks a portion of the Index or a substantially similar index. Additionally, the Fund may utilize derivatives, such as swaps or futures on the Index, on an index that is substantially similar to the Long or Short Component, or on the Index. The Fund is expected to hold money market funds and/or short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements as collateral for the derivative positions.