Direxion To Begin Trading The Direxion S&P 1500 RC Volatility Response Shares ETF Wednesday, January 11th

Direxion will begin trading its new “S&P 1500 RC Volatility Response Shares” (NYSEArca:VSPR) Wednesday, January 11, 2012. The Direxion S&P RC 1500® Volatility Response Shares (the “Fund”) seeks investment results, before fees and expenses, that track the S&P 1500 Risk Control Index. The S&P Composite 1500 Dynamic Rebalancing Risk Control Index is designed to respond to the volatility of the S&P 1500 Index.  The S&P 1500 Index is a composite index of the S&P 500 Index, S&P 400 Index and S&P 600 Index, which are composed of stocks representing the large capitalization, mid capitalization and small capitalization segments of the U.S. equity market, respectively.  The Index is composed of equity securities of the S&P 1500 Index (the “Stock Component”) and fixed income securities, including U.S. Treasury Bills (the “Cash Component”).  The Index responds to volatility by establishing a specific volatility target that adjusts the Index’s components among an allocation to the Stock Component and the Cash Component based upon realized exponentially-weighted historical volatility of the S&P 1500 Index.  The exponentially-weighted historical volatility calculation weights the more recent historical periods more heavily than older periods.  As these volatility targets are met, the Index may be rebalanced as frequently as daily.  However, regardless of whether volatility targets are met, the Index will rebalance at least monthly.  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.  Based on the exponentially-weighted historical volatility of the S&P 1500 Index, the percentage exposure to the Stock Component is expected to range between 10% and 150%, and at no point would exceed 150%.  In this regard, the Fund generally will invest in financial instruments when the Stock Component exceeds 100%.  Exposure to the Cash Component is expected to range between 0% and 90%, though to the extent exposure to the Stock Component exceeds 100%, the Index will account for expected financing charges associated with gaining such exposure.

Total Annual Fund Operating Expenses After Expense Waiver/Reimbursement: 0.45%

Principal Investment Strategies

The Fund, under normal circumstances, invests at least 80% of its net assets in the securities that comprise the Index and/or investments that have economic characteristics that are substantially identical to the economic characteristics of the securities that comprise the Index. At this time, investments that have economic characteristics that are substantially identical to the economic characteristics of Index securities are limited to depositary receipts.

The Fund may invest up to 20% of its assets in financial instruments that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, collars and floors; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds (“ETFs”); and other financial instruments. On a day-to-day basis, the Fund also may hold 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.

The Index is designed to respond to the volatility of the S&P 1500® Index. The S&P 1500® Index is a composite index of the S&P 500® Index, S&P 400® Index and S&P 600® Index, which are composed of stocks representing the large capitalization, mid capitalization and small capitalization segments of the U.S. equity market, respectively. The Index is composed of equity securities of the S&P 1500® Index (the “Stock Component”) and fixed income securities, including U.S. Treasury Bills (the “Cash Component”). The Index responds to volatility by establishing a specific volatility target that adjusts the Index’s components among an allocation to the Stock Component and the Cash Component based upon realized historical volatility of the S&P 1500® Index. As these volatility targets are met, the Index may be rebalanced as frequently as daily. 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. Based on historic volatility of the S&P 1500® Index, the percentage exposure to the Stock Component is expected to range between 28% and 150%, and at no point would exceed 150%. In this regard, the Fund generally will invest in financial instruments when the Stock Component exceeds 100%. Exposure to the Cash Component is expected to range between 0% and 72%, though to the extent exposure to the Stock Component exceeds 100%, the Index will account for expected financing charges associated with gaining such exposure.

The Fund may gain exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund seeks to remain fully invested at all times consistent with its investment objective. The Fund repositions its portfolio in response to assets flowing into or out of the Fund. To the extent the Fund experiences regular purchases or redemptions of its shares, it may reposition its portfolio more frequently. Additionally, the impact of the Index’s movements will affect whether the Fund’s portfolio needs to be re-positioned. For example, if the Index has added or removed a security, the Fund’s portfolio may have to be re-positioned to account for this change to the Index. These re-positioning strategies typically result in high portfolio turnover. The Fund will concentrate its investment in a particular industry or group of industries to approximately the same extent as the Index is so concentrated.

For the complete prospectus click: HERE

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