Direxion S&P 500 High minus Low Quality ETF (QMJ) Exchange: NYSE ARCA

The Index seeks to measure the performance of a portfolio of long positions in high quality stocks and short positions in low quality stocks, as determined by S&P Dow Jones Indices, LLC, the “Index Provider.” To this end, the Index consists of a portfolio that has 150% long exposure to the S&P 500® Quality Index (the “Long Component”) and 50% short (or inverse) exposure to the S&P 500® Quality – Lowest Quintile Index (the “Short Component”). The Long Component is comprised of stocks selected from the S&P 500® based on their quality score as defined by the Index Provider. The Short Component is comprised of stocks selected from the S&P 500® with the lowest quality scores. The Index Provider bases each security’s quality score on the following three fundamental measures: return on equity, accruals ratio, and financial leverage ratio. • Return on equity is calculated as the company’s trailing 12-month earnings per share divided by the company’s latest book value per share. • The accruals ratio is computed using the change of the company’s net operating assets over the last year divided by the company’s average net operating assets over the last two years. • The financial leverage is calculated as the company’s latest total debt divided by the company’s book value. The Index Provider calculates the quality score of each security in the S&P 500® Index and then selects the 100 stocks with the highest quality score for inclusion in the Long Component and the 100 stocks with the lowest quality score for inclusion in the Short Component. Securities included in both the Long and Short Components are weighted by the quality score assigned to each security multiplied by the float-adjustment market capitalization and the Long and Short Components are reconstituted semiannually. On a monthly basis, the Index rebalances such that the weight of the Long Component is equal to 150% and the weight of the Short Component is equal to 50% of the Index value. 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 of the Index or shares of exchange-traded funds (“ETFs”) on the Long Component of the Index. Additionally, the Fund will invest in derivatives, such as swap agreements or futures contracts that provide long and short exposure to Index securities and/or ETFs 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 December 31, 2019, the Index consisted of 100 holdings, which had a median market capitalization of $22.6 billion, total market capitalizations ranging from $4.1 billion to $1.3 trillion and were concentrated in the information technology and healthcare sectors. The Short Component measures the performance of approximately 100 companies. As of December 31, 2019, the Index consisted of 100 holdings, which had a median market capitalization of $27.9 billion, total market capitalizations ranging from $4.6 billion to $437.2 billion and were concentrated in the consumer discretionary and financials 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.