☒ | Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the fiscal year ended December 31, |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period fromto |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
ProShares Short Euro | EUFX | NYSE Arca | ||
ProShares Short VIX Short-Term Futures ETF | SVXY | |||
ProShares Ultra Bloomberg Crude Oil | UCO | NYSE Arca | ||
ProShares Ultra Bloomberg Natural Gas | BOIL | NYSE Arca | ||
ProShares Ultra Euro | ULE | NYSE Arca | ||
ProShares Ultra Gold | UGL | NYSE Arca | ||
ProShares Ultra Silver | AGQ | NYSE Arca | ||
ProShares Ultra VIX Short-Term Futures ETF | UVXY | |||
ProShares Ultra Yen | YCL | NYSE Arca | ||
ProShares UltraShort Australian Dollar | CROC | NYSE Arca | ||
ProShares UltraShort Bloomberg Crude Oil | SCO | NYSE Arca | ||
ProShares UltraShort Bloomberg Natural Gas | KOLD | NYSE Arca | ||
ProShares UltraShort Euro | EUO | NYSE Arca | ||
ProShares UltraShort Gold | GLL | NYSE Arca | ||
ProShares UltraShort Silver | ZSL | NYSE Arca | ||
ProShares UltraShort Yen | YCS | NYSE Arca | ||
ProShares VIX Mid-Term Futures ETF | VIXM | |||
ProShares VIX Short-Term Futures ETF | VIXY |
Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
☐ | ||||||
Emerging Growth Company | ||||||
☐ | ||||||
Fund | Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as ofJune 30, 2019 | Number of Outstanding Units as of February 21, 2020 | ||||||
ProShares Short Euro | $ | 22,130,000 | 50,000 | |||||
ProShares Short VIX Short-Term Futures ETF | 333,148,618 | 3,584,307 | ||||||
ProShares Ultra Bloomberg Crude Oil | 375,992,644 | 29,311,317 | ||||||
ProShares Ultra Bloomberg Natural Gas | 33,799,848 | 7,528,150 | ||||||
ProShares Ultra Euro | 5,804,000 | 400,000 | ||||||
ProShares Ultra Gold | 85,410,000 | 2,200,000 | ||||||
ProShares Ultra Silver | 178,626,866 | 7,296,526 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 548,899,419 | 40,380,912 | ||||||
ProShares Ultra Yen | 5,807,257 | 49,970 | ||||||
ProShares UltraPro 3x Crude Oil ETF | 112,200,000 | 15,500,000 | ||||||
ProShares UltraPro 3x Short Crude Oil ETF | 15,715,094 | 1,724,906 | ||||||
ProShares UltraShort Australian Dollar | 8,364,000 | 100,000 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 69,162,814 | 3,539,884 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 3,817,363 | 174,832 | ||||||
ProShares UltraShort Euro | 134,302,000 | 3,950,000 | ||||||
ProShares UltraShort Gold | 18,145,295 | 346,977 | ||||||
ProShares UltraShort Silver | 14,011,144 | 466,976 | ||||||
ProShares UltraShort Yen | 47,696,843 | 499,290 | ||||||
ProShares VIX Mid-Term Futures ETF | 38,120,777 | 2,262,403 | ||||||
ProShares VIX Short-Term Futures ETF | 246,663,184 | 26,001,317 |
Fund | Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as ofJune 30, 2021 | Number of Outstanding Units as of February 22 , 2022 | ||||||
ProShares Short Euro | $ | 2,159,102 | 50,000 | |||||
ProShares Short VIX Short-Term Futures ETF | 588,615,946 | 7,434,307 | ||||||
ProShares Ultra Bloomberg Crude Oil | 1,303,530,902 | 10,360,774 | ||||||
ProShares Ultra Bloomberg Natural Gas | 70,213,227 | 4,187,527 | ||||||
ProShares Ultra Euro | 3,668,741 | 700,000 | ||||||
ProShares Ultra Gold | 243,456,703 | 4,500,000 | ||||||
ProShares Ultra Silver | 661,778,727 | 14,046,526 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 840,870,703 | 52,778,420 | ||||||
ProShares Ultra Yen | 2,560,348 | 49,970 | ||||||
ProShares UltraShort Australian Dollar | 2,304,732 | 50,000 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 79,400,059 | 19,133,799 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 97,525,300 | 7,324,477 | ||||||
ProShares UltraShort Euro | 48,820,440 | 1,900,000 | ||||||
ProShares UltraShort Gold | 32,835,014 | 846,977 | ||||||
ProShares UltraShort Silver | 34,859,763 | 941,329 | ||||||
ProShares UltraShort Yen | $ | 27,231,748 | 299,290 | |||||
ProShares VIX Mid-Term Futures ETF | 92,662,734 | 3,012,403 | ||||||
ProShares VIX Short-Term Futures ETF | 272,352,675 | 18,257,826 |
Part I. | |||||
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Part II. | |||||
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Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||
Emerging Growth Company | ☐ |
Fund | Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as ofJune 30, 2021 | Number of Outstanding Units as of February 22 , 2022 | ||||||
ProShares Short Euro | $ | 2,159,102 | 50,000 | |||||
ProShares Short VIX Short-Term Futures ETF | 588,615,946 | 7,434,307 | ||||||
ProShares Ultra Bloomberg Crude Oil | 1,303,530,902 | 10,360,774 | ||||||
ProShares Ultra Bloomberg Natural Gas | 70,213,227 | 4,187,527 | ||||||
ProShares Ultra Euro | 3,668,741 | 700,000 | ||||||
ProShares Ultra Gold | 243,456,703 | 4,500,000 | ||||||
ProShares Ultra Silver | 661,778,727 | 14,046,526 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 840,870,703 | 52,778,420 | ||||||
ProShares Ultra Yen | 2,560,348 | 49,970 | ||||||
ProShares UltraShort Australian Dollar | 2,304,732 | 50,000 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 79,400,059 | 19,133,799 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 97,525,300 | 7,324,477 | ||||||
ProShares UltraShort Euro | 48,820,440 | 1,900,000 | ||||||
ProShares UltraShort Gold | 32,835,014 | 846,977 | ||||||
ProShares UltraShort Silver | 34,859,763 | 941,329 | ||||||
ProShares UltraShort Yen | $ | 27,231,748 | 299,290 | |||||
ProShares VIX Mid-Term Futures ETF | 92,662,734 | 3,012,403 | ||||||
ProShares VIX Short-Term Futures ETF | 272,352,675 | 18,257,826 |
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Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||
Emerging Growth Company | ☐ |
Fund | Aggregate Market Value of the Fund’s Units Held by Non-Affiliates as ofJune 30, 2021 | Number of Outstanding Units as of February 22 , 2022 | ||||||
ProShares Short Euro | $ | 2,159,102 | 50,000 | |||||
ProShares Short VIX Short-Term Futures ETF | 588,615,946 | 7,434,307 | ||||||
ProShares Ultra Bloomberg Crude Oil | 1,303,530,902 | 10,360,774 | ||||||
ProShares Ultra Bloomberg Natural Gas | 70,213,227 | 4,187,527 | ||||||
ProShares Ultra Euro | 3,668,741 | 700,000 | ||||||
ProShares Ultra Gold | 243,456,703 | 4,500,000 | ||||||
ProShares Ultra Silver | 661,778,727 | 14,046,526 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 840,870,703 | 52,778,420 | ||||||
ProShares Ultra Yen | 2,560,348 | 49,970 | ||||||
ProShares UltraShort Australian Dollar | 2,304,732 | 50,000 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 79,400,059 | 19,133,799 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 97,525,300 | 7,324,477 | ||||||
ProShares UltraShort Euro | 48,820,440 | 1,900,000 | ||||||
ProShares UltraShort Gold | 32,835,014 | 846,977 | ||||||
ProShares UltraShort Silver | 34,859,763 | 941,329 | ||||||
ProShares UltraShort Yen | $ | 27,231,748 | 299,290 | |||||
ProShares VIX Mid-Term Futures ETF | 92,662,734 | 3,012,403 | ||||||
ProShares VIX Short-Term Futures ETF | 272,352,675 | 18,257,826 |
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Index | Bloomberg Ticker Symbol | |||
S&P 500 VIX Short-Term Futures Index | SPVXSP | |||
S&P 500 VIX Mid-Term Futures Index | SPVXMPID |
Underlying Benchmark | Create/Redeem Cutoff* | NAV Calculation Time | ||
Silver | 1:00 p.m. (Eastern Time) | 1:25 p.m. (Eastern Time) | ||
Gold | 1:00 p.m. (Eastern Time) | 1:30 p.m. (Eastern Time) | ||
S&P 500 VIX Short-Term Futures | 2:00 p.m. (Eastern Time) | 4: | ||
S&P 500 VIX Mid-Term Futures | 2:00 p.m. (Eastern Time) | 4: | ||
Bloomberg Commodity Balanced WTI Crude Oil SM | 2:00 p.m. (Eastern Time) | 2:30 p.m. (Eastern Time) | ||
Bloomberg Natural Gas Subindex SM | 2:00 p.m. (Eastern Time) | 2:30 p.m. (Eastern Time) | ||
Australian dollar | 3:00 p.m. (Eastern Time) | 4:00 p.m. (Eastern Time) | ||
Euro | 3:00 p.m. (Eastern Time) | 4:00 p.m. (Eastern Time) | ||
Yen | 3:00 p.m. (Eastern Time) | 4:00 p.m. (Eastern Time) |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the year ended December 31, 2021. |
** | Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 of the Notes to Financial Statements of this Form 10-K for more information. |
Fund | NAV Calculation Time | |||
ProShares UltraShort | 1:25 p.m. (Eastern Time) | |||
ProShares UltraShort | 1:30 p.m. (Eastern Time) | |||
ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil | 2:30 p.m. (Eastern Time) | |||
ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas | 2:30 p.m. (Eastern Time) | |||
ProShares Short Euro, ProShares UltraShort Euro and ProShares Ultra Euro | 4:00 p.m. (Eastern Time) |
ProShares UltraShort Australian Dollar | 4:00 p.m. (Eastern Time) | |||
ProShares UltraShort Yen and ProShares Ultra Yen | 4:00 p.m. (Eastern Time) | |||
ProShares VIX Short-Term Futures | ||||
ProShares Short VIX Short-Term Futures | 4: | |||
ProShares VIX Mid-Term Futures | 4:00 p.m. (Eastern Time) |
* | Effective Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) |
10-K for |
Benchmark XYZ | Fund XYZ | |||||||||||||||
Level | Daily Performance | Daily Performance | Net Asset Value | |||||||||||||
Start | 100.00 | $ | 100.00 | |||||||||||||
Day 1 | 97.00 | -3.00 | % | -6.00 | % | 94.00 | ||||||||||
Day 2 | 99.91 | 3.00 | % | 6.00 | % | 99.64 | ||||||||||
Day 3 | 96.91 | -3.00 | % | -6.00 | % | 93.66 | ||||||||||
Day 4 | 99.82 | 3.00 | % | 6.00 | % | 99.28 | ||||||||||
Day 5 | 96.83 | -3.00 | % | -6.00 | % | 93.32 | ||||||||||
Day 6 | 99.73 | 3.00 | % | 6.00 | % | 98.92 | ||||||||||
Day 7 | 96.74 | -3.00 | % | -6.00 | % | 92.99 | ||||||||||
Total Return | -3.26 | % | -7.01 | % | ||||||||||||
Benchmark XYZ | Fund XYZ | |||||||||||||||
Level | Daily Performance | Daily Performance | Net Asset Value | |||||||||||||
Start | 100.00 | $ | 100.00 | |||||||||||||
Day 1 | 97.00 | -3.00 | % | -6.00 | % | 94.00 | ||||||||||
Day 2 | 99.91 | 3.00 | % | 6.00 | % | 99.64 | ||||||||||
Day 3 | 96.91 | -3.00 | % | -6.00 | % | 93.66 | ||||||||||
Day 4 | 99.82 | 3.00 | % | 6.00 | % | 99.28 | ||||||||||
Day 5 | 96.83 | -3.00 | % | -6.00 | % | 93.32 | ||||||||||
Day 6 | 99.73 | 3.00 | % | 6.00 | % | 98.92 | ||||||||||
Day 7 | 96.74 | -3.00 | % | -6.00 | % | 92.99 | ||||||||||
Total Return | -3.26 | % | -7.01 | % | ||||||||||||
Benchmark XYZ | Fund XYZ | |||||||||||||||
Level | Daily Performance | Daily Performance | Net Asset Value | |||||||||||||
Start | 100.00 | $ | 100.00 | |||||||||||||
Day 1 | 103.00 | 3.00 | % | 6.00 | % | 106.00 | ||||||||||
Day 2 | 99.91 | -3.00 | % | -6.00 | % | 99.64 | ||||||||||
Day 3 | 102.91 | 3.00 | % | 6.00 | % | 105.62 | ||||||||||
Day 4 | 99.82 | -3.00 | % | -6.00 | % | 99.28 | ||||||||||
Day 5 | 102.81 | 3.00 | % | 6.00 | % | 105.24 | ||||||||||
Day 6 | 99.73 | -3.00 | % | -6.00 | % | 98.92 | ||||||||||
Day 7 | 102.72 | 3.00 | % | 6.00 | % | 104.86 | ||||||||||
Total Return | 2.72 | % | 4.86 | % | ||||||||||||
Benchmark XYZ | Fund XYZ | |||||||||||||||
Level | Daily Performance | Daily Performance | Net Asset Value | |||||||||||||
Start | 100.00 | $ | 100.00 | |||||||||||||
Day 1 | 103.00 | 3.00 | % | 6.00 | % | 106.00 | ||||||||||
Day 2 | 99.91 | -3.00 | % | -6.00 | % | 99.64 | ||||||||||
Day 3 | 102.91 | 3.00 | % | 6.00 | % | 105.62 | ||||||||||
Day 4 | 99.82 | -3.00 | % | -6.00 | % | 99.28 | ||||||||||
Day 5 | 102.81 | 3.00 | % | 6.00 | % | 105.24 | ||||||||||
Day 6 | 99.73 | -3.00 | % | -6.00 | % | 98.92 | ||||||||||
Day 7 | 102.72 | 3.00 | % | 6.00 | % | 104.86 | ||||||||||
Total Return | 2.72 | % | 4.86 | % | ||||||||||||
Historical Five-Year Average Volatility Rate As of | ||||||||||
Index | Identifier | Volatility Rate As of | ||||||||
S&P 500 VIX Short-Term Futures Index | SPVXSP | % | ||||||||
S&P 500 VIX Mid-Term Futures Index | SPVXMPID | % | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil SM | % | |||||||||
Bloomberg Natural Gas Subindex SM | BCOMNG | % | ||||||||
Bloomberg Gold Subindex SM | BCOMGC | % | ||||||||
Bloomberg Silver Subindex SM | BCOMSI | % | ||||||||
The US dollar price of the euro | USDEUR | % | ||||||||
The US dollar price of the Japanese yen | USDJPY | % | ||||||||
The US dollar price of the Australian dollar | USDAUD | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One-Half theInvers (-0.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 30.0 | % | 58.1 | % | 58.0 | % | 57.5 | % | 56.8 | % | 55.8 | % | 54.5 | % | 52.9 | % | 51.0 | % | 48.9 | % | 46.6 | % | 44.0 | % | 41.2 | % | 38.1 | % | 34.9 | % | 31.6 | % | 28.0 | % | ||||||||||||||||||||||||||||||||||
-55% | 27.5 | % | 49.1 | % | 48.9 | % | 48.5 | % | 47.8 | % | 46.9 | % | 45.6 | % | 44.1 | % | 42.4 | % | 40.4 | % | 38.2 | % | 35.7 | % | 33.1 | % | 30.2 | % | 27.2 | % | 24.0 | % | 20.7 | % | ||||||||||||||||||||||||||||||||||
-50% | 25.0 | % | 41.4 | % | 41.3 | % | 40.9 | % | 40.2 | % | 39.3 | % | 38.1 | % | 36.7 | % | 35.1 | % | 33.2 | % | 31.1 | % | 28.8 | % | 26.3 | % | 23.6 | % | 20.7 | % | 17.7 | % | 14.5 | % | ||||||||||||||||||||||||||||||||||
-45% | 22.5 | % | 34.8 | % | 34.7 | % | 34.3 | % | 33.7 | % | 32.8 | % | 31.7 | % | 30.4 | % | 28.8 | % | 27.0 | % | 25.0 | % | 22.8 | % | 20.4 | % | 17.8 | % | 15.1 | % | 12.2 | % | 9.2 | % | ||||||||||||||||||||||||||||||||||
-40% | 20.0 | % | 29.1 | % | 29.0 | % | 28.6 | % | 28.0 | % | 27.2 | % | 26.1 | % | 24.8 | % | 23.3 | % | 21.6 | % | 19.7 | % | 17.5 | % | 15.3 | % | 12.8 | % | 10.2 | % | 7.4 | % | 4.5 | % | ||||||||||||||||||||||||||||||||||
-35% | 17.5 | % | 24.0 | % | 23.9 | % | 23.6 | % | 23.0 | % | 22.2 | % | 21.2 | % | 19.9 | % | 18.5 | % | 16.8 | % | 15.0 | % | 12.9 | % | 10.7 | % | 8.4 | % | 5.9 | % | 3.2 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||
-30% | 15.0 | % | 19.5 | % | 19.4 | % | 19.1 | % | 18.5 | % | 17.7 | % | 16.8 | % | 15.6 | % | 14.2 | % | 12.6 | % | 10.8 | % | 8.8 | % | 6.7 | % | 4.4 | % | 2.0 | % | -0.5 | % | -3.2 | % | ||||||||||||||||||||||||||||||||||
-25% | 12.5 | % | 15.5 | % | 15.4 | % | 15.0 | % | 14.5 | % | 13.8 | % | 12.8 | % | 11.6 | % | 10.3 | % | 8.7 | % | 7.0 | % | 5.1 | % | 3.1 | % | 0.9 | % | -1.4 | % | -3.9 | % | -6.5 | % | ||||||||||||||||||||||||||||||||||
-20% | 10.0 | % | 11.8 | % | 11.7 | % | 11.4 | % | 10.9 | % | 10.1 | % | 9.2 | % | 8.1 | % | 6.8 | % | 5.3 | % | 3.6 | % | 1.8 | % | -0.2 | % | -2.3 | % | -4.6 | % | -7.0 | % | -9.5 | % | ||||||||||||||||||||||||||||||||||
-15% | 7.5 | % | 8.5 | % | 8.4 | % | 8.1 | % | 7.6 | % | 6.9 | % | 6.0 | % | 4.9 | % | 3.6 | % | 2.1 | % | 0.5 | % | -1.2 | % | -3.2 | % | -5.2 | % | -7.4 | % | -9.7 | % | -12.2 | % | ||||||||||||||||||||||||||||||||||
-10% | 5.0 | % | 5.4 | % | 5.3 | % | 5.0 | % | 4.5 | % | 3.8 | % | 3.0 | % | 1.9 | % | 0.7 | % | -0.7 | % | -2.3 | % | -4.0 | % | -5.9 | % | -7.9 | % | -10.0 | % | -12.3 | % | -14.6 | % | ||||||||||||||||||||||||||||||||||
-5% | 2.5 | % | 2.6 | % | 2.5 | % | 2.2 | % | 1.7 | % | 1.1 | % | 0.2 | % | -0.8 | % | -2.0 | % | -3.4 | % | -4.9 | % | -6.6 | % | -8.4 | % | -10.4 | % | -12.4 | % | -14.6 | % | -16.9 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | -2.5 | % | -2.4 | % | -2.5 | % | -2.8 | % | -3.2 | % | -3.9 | % | -4.7 | % | -5.6 | % | -6.8 | % | -8.1 | % | -9.5 | % | -11.1 | % | -12.9 | % | -14.7 | % | -16.7 | % | -18.8 | % | -21.0 | % | ||||||||||||||||||||||||||||||||||
10% | -5.0 | % | -4.7 | % | -4.7 | % | -5.0 | % | -5.5 | % | -6.1 | % | -6.9 | % | -7.8 | % | -8.9 | % | -10.2 | % | -11.6 | % | -13.2 | % | -14.9 | % | -16.7 | % | -18.6 | % | -20.7 | % | -22.8 | % | ||||||||||||||||||||||||||||||||||
15% | -7.5 | % | -6.7 | % | -6.8 | % | -7.1 | % | -7.5 | % | -8.1 | % | -8.9 | % | -9.8 | % | -10.9 | % | -12.2 | % | -13.6 | % | -15.1 | % | -16.7 | % | -18.5 | % | -20.4 | % | -22.4 | % | -24.5 | % | ||||||||||||||||||||||||||||||||||
20% | -10.0 | % | -8.7 | % | -8.8 | % | -9.1 | % | -9.5 | % | -10.1 | % | -10.8 | % | -11.7 | % | -12.8 | % | -14.0 | % | -15.4 | % | -16.9 | % | -18.5 | % | -20.2 | % | -22.1 | % | -24.0 | % | -26.1 | % | ||||||||||||||||||||||||||||||||||
25% | -12.5 | % | -10.6 | % | -10.6 | % | -10.9 | % | -11.3 | % | -11.9 | % | -12.6 | % | -13.5 | % | -14.6 | % | -15.8 | % | -17.1 | % | -18.6 | % | -20.1 | % | -21.9 | % | -23.7 | % | -25.6 | % | -27.6 | % | ||||||||||||||||||||||||||||||||||
30% | -15.0 | % | -12.3 | % | -12.4 | % | -12.6 | % | -13.0 | % | -13.6 | % | -14.3 | % | -15.2 | % | -16.2 | % | -17.4 | % | -18.7 | % | -20.1 | % | -21.7 | % | -23.4 | % | -25.1 | % | -27.0 | % | -29.0 | % | ||||||||||||||||||||||||||||||||||
35% | -17.5 | % | -13.9 | % | -14.0 | % | -14.3 | % | -14.7 | % | -15.2 | % | -15.9 | % | -16.8 | % | -17.8 | % | -18.9 | % | -20.2 | % | -21.6 | % | -23.2 | % | -24.8 | % | -26.5 | % | -28.4 | % | -30.3 | % | ||||||||||||||||||||||||||||||||||
40% | -20.0 | % | -15.5 | % | -15.6 | % | -15.8 | % | -16.2 | % | -16.7 | % | -17.4 | % | -18.3 | % | -19.3 | % | -20.4 | % | -21.7 | % | -23.0 | % | -24.5 | % | -26.2 | % | -27.9 | % | -29.7 | % | -31.6 | % | ||||||||||||||||||||||||||||||||||
45% | -22.5 | % | -17.0 | % | -17.0 | % | -17.3 | % | -17.7 | % | -18.2 | % | -18.9 | % | -19.7 | % | -20.7 | % | -21.8 | % | -23.0 | % | -24.4 | % | -25.9 | % | -27.4 | % | -29.1 | % | -30.9 | % | -32.7 | % | ||||||||||||||||||||||||||||||||||
50% | -25.0 | % | -18.4 | % | -18.4 | % | -18.7 | % | -19.0 | % | -19.6 | % | -20.2 | % | -21.1 | % | -22.0 | % | -23.1 | % | -24.3 | % | -25.7 | % | -27.1 | % | -28.7 | % | -30.3 | % | -32.1 | % | -33.9 | % | ||||||||||||||||||||||||||||||||||
55% | -27.5 | % | -19.7 | % | -19.8 | % | -20.0 | % | -20.4 | % | -20.9 | % | -21.5 | % | -22.3 | % | -23.3 | % | -24.4 | % | -25.6 | % | -26.9 | % | -28.3 | % | -29.8 | % | -31.4 | % | -33.2 | % | -35.0 | % | ||||||||||||||||||||||||||||||||||
60% | -30.0 | % | -20.9 | % | -21.0 | % | -21.2 | % | -21.6 | % | -22.1 | % | -22.8 | % | -23.6 | % | -24.5 | % | -25.5 | % | -26.7 | % | -28.0 | % | -29.4 | % | -30.9 | % | -32.5 | % | -34.2 | % | -36.0 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One-Half the Invers (-0.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 30.0 | % | 58.1 | % | 58.0 | % | 57.5 | % | 56.8 | % | 55.8 | % | 54.5 | % | 52.9 | % | 51.0 | % | 48.9 | % | 46.6 | % | 44.0 | % | 41.2 | % | 38.1 | % | 34.9 | % | 31.6 | % | 28.0 | % | ||||||||||||||||||||||||||||||||||
-55% | 27.5 | % | 49.1 | % | 48.9 | % | 48.5 | % | 47.8 | % | 46.9 | % | 45.6 | % | 44.1 | % | 42.4 | % | 40.4 | % | 38.2 | % | 35.7 | % | 33.1 | % | 30.2 | % | 27.2 | % | 24.0 | % | 20.7 | % | ||||||||||||||||||||||||||||||||||
-50% | 25.0 | % | 41.4 | % | 41.3 | % | 40.9 | % | 40.2 | % | 39.3 | % | 38.1 | % | 36.7 | % | 35.1 | % | 33.2 | % | 31.1 | % | 28.8 | % | 26.3 | % | 23.6 | % | 20.7 | % | 17.7 | % | 14.5 | % | ||||||||||||||||||||||||||||||||||
-45% | 22.5 | % | 34.8 | % | 34.7 | % | 34.3 | % | 33.7 | % | 32.8 | % | 31.7 | % | 30.4 | % | 28.8 | % | 27.0 | % | 25.0 | % | 22.8 | % | 20.4 | % | 17.8 | % | 15.1 | % | 12.2 | % | 9.2 | % | ||||||||||||||||||||||||||||||||||
-40% | 20.0 | % | 29.1 | % | 29.0 | % | 28.6 | % | 28.0 | % | 27.2 | % | 26.1 | % | 24.8 | % | 23.3 | % | 21.6 | % | 19.7 | % | 17.5 | % | 15.3 | % | 12.8 | % | 10.2 | % | 7.4 | % | 4.5 | % | ||||||||||||||||||||||||||||||||||
-35% | 17.5 | % | 24.0 | % | 23.9 | % | 23.6 | % | 23.0 | % | 22.2 | % | 21.2 | % | 19.9 | % | 18.5 | % | 16.8 | % | 15.0 | % | 12.9 | % | 10.7 | % | 8.4 | % | 5.9 | % | 3.2 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||
-30% | 15.0 | % | 19.5 | % | 19.4 | % | 19.1 | % | 18.5 | % | 17.7 | % | 16.8 | % | 15.6 | % | 14.2 | % | 12.6 | % | 10.8 | % | 8.8 | % | 6.7 | % | 4.4 | % | 2.0 | % | -0.5 | % | -3.2 | % | ||||||||||||||||||||||||||||||||||
-25% | 12.5 | % | 15.5 | % | 15.4 | % | 15.0 | % | 14.5 | % | 13.8 | % | 12.8 | % | 11.6 | % | 10.3 | % | 8.7 | % | 7.0 | % | 5.1 | % | 3.1 | % | 0.9 | % | -1.4 | % | -3.9 | % | -6.5 | % | ||||||||||||||||||||||||||||||||||
-20% | 10.0 | % | 11.8 | % | 11.7 | % | 11.4 | % | 10.9 | % | 10.1 | % | 9.2 | % | 8.1 | % | 6.8 | % | 5.3 | % | 3.6 | % | 1.8 | % | -0.2 | % | -2.3 | % | -4.6 | % | -7.0 | % | -9.5 | % | ||||||||||||||||||||||||||||||||||
-15% | 7.5 | % | 8.5 | % | 8.4 | % | 8.1 | % | 7.6 | % | 6.9 | % | 6.0 | % | 4.9 | % | 3.6 | % | 2.1 | % | 0.5 | % | -1.2 | % | -3.2 | % | -5.2 | % | -7.4 | % | -9.7 | % | -12.2 | % | ||||||||||||||||||||||||||||||||||
-10% | 5.0 | % | 5.4 | % | 5.3 | % | 5.0 | % | 4.5 | % | 3.8 | % | 3.0 | % | 1.9 | % | 0.7 | % | -0.7 | % | -2.3 | % | -4.0 | % | -5.9 | % | -7.9 | % | -10.0 | % | -12.3 | % | -14.6 | % | ||||||||||||||||||||||||||||||||||
-5% | 2.5 | % | 2.6 | % | 2.5 | % | 2.2 | % | 1.7 | % | 1.1 | % | 0.2 | % | -0.8 | % | -2.0 | % | -3.4 | % | -4.9 | % | -6.6 | % | -8.4 | % | -10.4 | % | -12.4 | % | -14.6 | % | -16.9 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | -2.5 | % | -2.4 | % | -2.5 | % | -2.8 | % | -3.2 | % | -3.9 | % | -4.7 | % | -5.6 | % | -6.8 | % | -8.1 | % | -9.5 | % | -11.1 | % | -12.9 | % | -14.7 | % | -16.7 | % | -18.8 | % | -21.0 | % | ||||||||||||||||||||||||||||||||||
10% | -5.0 | % | -4.7 | % | -4.7 | % | -5.0 | % | -5.5 | % | -6.1 | % | -6.9 | % | -7.8 | % | -8.9 | % | -10.2 | % | -11.6 | % | -13.2 | % | -14.9 | % | -16.7 | % | -18.6 | % | -20.7 | % | -22.8 | % | ||||||||||||||||||||||||||||||||||
15% | -7.5 | % | -6.7 | % | -6.8 | % | �� | -7.1 | % | -7.5 | % | -8.1 | % | -8.9 | % | -9.8 | % | -10.9 | % | -12.2 | % | -13.6 | % | -15.1 | % | -16.7 | % | -18.5 | % | -20.4 | % | -22.4 | % | -24.5 | % | |||||||||||||||||||||||||||||||||
20% | -10.0 | % | -8.7 | % | -8.8 | % | -9.1 | % | -9.5 | % | -10.1 | % | -10.8 | % | -11.7 | % | -12.8 | % | -14.0 | % | -15.4 | % | -16.9 | % | -18.5 | % | -20.2 | % | -22.1 | % | -24.0 | % | -26.1 | % | ||||||||||||||||||||||||||||||||||
25% | -12.5 | % | -10.6 | % | -10.6 | % | -10.9 | % | -11.3 | % | -11.9 | % | -12.6 | % | -13.5 | % | -14.6 | % | -15.8 | % | -17.1 | % | -18.6 | % | -20.1 | % | -21.9 | % | -23.7 | % | -25.6 | % | -27.6 | % | ||||||||||||||||||||||||||||||||||
30% | -15.0 | % | -12.3 | % | -12.4 | % | -12.6 | % | -13.0 | % | -13.6 | % | -14.3 | % | -15.2 | % | -16.2 | % | -17.4 | % | -18.7 | % | -20.1 | % | -21.7 | % | -23.4 | % | -25.1 | % | -27.0 | % | -29.0 | % | ||||||||||||||||||||||||||||||||||
35% | -17.5 | % | -13.9 | % | -14.0 | % | -14.3 | % | -14.7 | % | -15.2 | % | -15.9 | % | -16.8 | % | -17.8 | % | -18.9 | % | -20.2 | % | -21.6 | % | -23.2 | % | -24.8 | % | -26.5 | % | -28.4 | % | -30.3 | % | ||||||||||||||||||||||||||||||||||
40% | -20.0 | % | -15.5 | % | -15.6 | % | -15.8 | % | -16.2 | % | -16.7 | % | -17.4 | % | -18.3 | % | -19.3 | % | -20.4 | % | -21.7 | % | -23.0 | % | -24.5 | % | -26.2 | % | -27.9 | % | -29.7 | % | -31.6 | % | ||||||||||||||||||||||||||||||||||
45% | -22.5 | % | -17.0 | % | -17.0 | % | -17.3 | % | -17.7 | % | -18.2 | % | -18.9 | % | -19.7 | % | -20.7 | % | -21.8 | % | -23.0 | % | -24.4 | % | -25.9 | % | -27.4 | % | -29.1 | % | -30.9 | % | -32.7 | % | ||||||||||||||||||||||||||||||||||
50% | -25.0 | % | -18.4 | % | -18.4 | % | -18.7 | % | -19.0 | % | -19.6 | % | -20.2 | % | -21.1 | % | -22.0 | % | -23.1 | % | -24.3 | % | -25.7 | % | -27.1 | % | -28.7 | % | -30.3 | % | -32.1 | % | -33.9 | % | ||||||||||||||||||||||||||||||||||
55% | -27.5 | % | -19.7 | % | -19.8 | % | -20.0 | % | -20.4 | % | -20.9 | % | -21.5 | % | -22.3 | % | -23.3 | % | -24.4 | % | -25.6 | % | -26.9 | % | -28.3 | % | -29.8 | % | -31.4 | % | -33.2 | % | -35.0 | % | ||||||||||||||||||||||||||||||||||
60% | -30.0 | % | -20.9 | % | -21.0 | % | -21.2 | % | -21.6 | % | -22.1 | % | -22.8 | % | -23.6 | % | -24.5 | % | -25.5 | % | -26.7 | % | -28.0 | % | -29.4 | % | -30.9 | % | -32.5 | % | -34.2 | % | -36.0 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Inverse(-1x) of One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 60 | % | 150.0 | % | 149.4 | % | 147.5 | % | 144.4 | % | 140.2 | % | 134.9 | % | 128.5 | % | 121.2 | % | 113.0 | % | 104.2 | % | 94.7 | % | 84.7 | % | 74.4 | % | 63.9 | % | 53.2 | % | ||||||||||||||||||||||||||||||||
-55% | 55 | % | 122.2 | % | 121.7 | % | 120.0 | % | 117.3 | % | 113.5 | % | 108.8 | % | 103.1 | % | 96.6 | % | 89.4 | % | 81.5 | % | 73.1 | % | 64.2 | % | 55.0 | % | 45.6 | % | 36.1 | % | ||||||||||||||||||||||||||||||||
-50% | 50 | % | 100.0 | % | 99.5 | % | 98.0 | % | 95.6 | % | 92.2 | % | 87.9 | % | 82.8 | % | 76.9 | % | 70.4 | % | 63.3 | % | 55.8 | % | 47.8 | % | 39.5 | % | 31.1 | % | 22.5 | % | ||||||||||||||||||||||||||||||||
-45% | 45 | % | 81.8 | % | 81.4 | % | 80.0 | % | 77.8 | % | 74.7 | % | 70.8 | % | 66.2 | % | 60.9 | % | 54.9 | % | 48.5 | % | 41.6 | % | 34.4 | % | 26.9 | % | 19.2 | % | 11.4 | % | ||||||||||||||||||||||||||||||||
-40% | 40 | % | 66.7 | % | 66.3 | % | 65.0 | % | 63.0 | % | 60.1 | % | 56.6 | % | 52.3 | % | 47.5 | % | 42.0 | % | 36.1 | % | 29.8 | % | 23.2 | % | 16.3 | % | 9.2 | % | 2.1 | % | ||||||||||||||||||||||||||||||||
-35% | 35 | % | 53.8 | % | 53.5 | % | 52.3 | % | 50.4 | % | 47.8 | % | 44.5 | % | 40.6 | % | 36.1 | % | 31.1 | % | 25.6 | % | 19.8 | % | 13.7 | % | 7.3 | % | 0.8 | % | -5.7 | % | ||||||||||||||||||||||||||||||||
-30% | 30 | % | 42.9 | % | 42.5 | % | 41.4 | % | 39.7 | % | 37.3 | % | 34.2 | % | 30.6 | % | 26.4 | % | 21.7 | % | 16.7 | % | 11.3 | % | 5.6 | % | -0.3 | % | -6.4 | % | -12.5 | % | ||||||||||||||||||||||||||||||||
-25% | 25 | % | 33.3 | % | 33.0 | % | 32.0 | % | 30.4 | % | 28.1 | % | 25.3 | % | 21.9 | % | 18.0 | % | 13.6 | % | 8.9 | % | 3.8 | % | -1.5 | % | -7.0 | % | -12.6 | % | -18.3 | % | ||||||||||||||||||||||||||||||||
-20% | 20 | % | 25.0 | % | 24.7 | % | 23.8 | % | 22.2 | % | 20.1 | % | 17.4 | % | 14.2 | % | 10.6 | % | 6.5 | % | 2.1 | % | -2.6 | % | -7.6 | % | -12.8 | % | -18.1 | % | -23.4 | % | ||||||||||||||||||||||||||||||||
-15% | 15 | % | 17.6 | % | 17.4 | % | 16.5 | % | 15.0 | % | 13.0 | % | 10.5 | % | 7.5 | % | 4.1 | % | 0.3 | % | -3.9 | % | -8.4 | % | -13.1 | % | -17.9 | % | -22.9 | % | -27.9 | % | ||||||||||||||||||||||||||||||||
-10% | 10 | % | 11.1 | % | 10.8 | % | 10.0 | % | 8.6 | % | 6.8 | % | 4.4 | % | 1.5 | % | -1.7 | % | -5.3 | % | -9.3 | % | -13.5 | % | -17.9 | % | -22.5 | % | -27.2 | % | -31.9 | % | ||||||||||||||||||||||||||||||||
-5% | 5 | % | 5.3 | % | 5.0 | % | 4.2 | % | 2.9 | % | 1.1 | % | -1.1 | % | -3.8 | % | -6.9 | % | -10.3 | % | -14.0 | % | -18.0 | % | -22.2 | % | -26.6 | % | -31.0 | % | -35.5 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% | -5 | % | -4.8 | % | -5.0 | % | -5.7 | % | -6.9 | % | -8.5 | % | -10.5 | % | -13.0 | % | -15.7 | % | -18.8 | % | -22.2 | % | -25.8 | % | -29.6 | % | -33.6 | % | -37.6 | % | -41.7 | % | ||||||||||||||||||||||||||||||||
10% | -10 | % | -9.1 | % | -9.3 | % | -10.0 | % | -11.1 | % | -12.7 | % | -14.6 | % | -16.9 | % | -19.6 | % | -22.5 | % | -25.8 | % | -29.2 | % | -32.8 | % | -36.6 | % | -40.4 | % | -44.3 | % | ||||||||||||||||||||||||||||||||
15% | -15 | % | -13.0 | % | -13.3 | % | -13.9 | % | -15.0 | % | -16.5 | % | -18.3 | % | -20.5 | % | -23.1 | % | -25.9 | % | -29.0 | % | -32.3 | % | -35.7 | % | -39.3 | % | -43.0 | % | -46.7 | % | ||||||||||||||||||||||||||||||||
20% | -20 | % | -16.7 | % | -16.9 | % | -17.5 | % | -18.5 | % | -19.9 | % | -21.7 | % | -23.8 | % | -26.3 | % | -29.0 | % | -31.9 | % | -35.1 | % | -38.4 | % | -41.9 | % | -45.4 | % | -48.9 | % | ||||||||||||||||||||||||||||||||
25% | -25 | % | -20.0 | % | -20.2 | % | -20.8 | % | -21.8 | % | -23.1 | % | -24.8 | % | -26.9 | % | -29.2 | % | -31.8 | % | -34.7 | % | -37.7 | % | -40.9 | % | -44.2 | % | -47.6 | % | -51.0 | % | ||||||||||||||||||||||||||||||||
30% | -30 | % | -23.1 | % | -23.3 | % | -23.8 | % | -24.8 | % | -26.1 | % | -27.7 | % | -29.7 | % | -31.9 | % | -34.5 | % | -37.2 | % | -40.1 | % | -43.2 | % | -46.3 | % | -49.6 | % | -52.9 | % | ||||||||||||||||||||||||||||||||
35% | -35 | % | -25.9 | % | -26.1 | % | -26.7 | % | -27.6 | % | -28.8 | % | -30.4 | % | -32.3 | % | -34.5 | % | -36.9 | % | -39.5 | % | -42.3 | % | -45.3 | % | -48.3 | % | -51.5 | % | -54.6 | % | ||||||||||||||||||||||||||||||||
40% | -40 | % | -28.6 | % | -28.7 | % | -29.3 | % | -30.2 | % | -31.4 | % | -32.9 | % | -34.7 | % | -36.8 | % | -39.1 | % | -41.7 | % | -44.4 | % | -47.2 | % | -50.2 | % | -53.2 | % | -56.2 | % | ||||||||||||||||||||||||||||||||
45% | -45 | % | -31.0 | % | -31.2 | % | -31.7 | % | -32.6 | % | -33.7 | % | -35.2 | % | -37.0 | % | -39.0 | % | -41.2 | % | -43.7 | % | -46.3 | % | -49.0 | % | -51.9 | % | -54.8 | % | -57.7 | % | ||||||||||||||||||||||||||||||||
50% | -50 | % | -33.3 | % | -33.5 | % | -34.0 | % | -34.8 | % | -35.9 | % | -37.4 | % | -39.1 | % | -41.0 | % | -43.2 | % | -45.6 | % | -48.1 | % | -50.7 | % | -53.5 | % | -56.3 | % | -59.2 | % | ||||||||||||||||||||||||||||||||
55% | -55 | % | -35.5 | % | -35.6 | % | -36.1 | % | -36.9 | % | -38.0 | % | -39.4 | % | -41.0 | % | -42.9 | % | -45.0 | % | -47.3 | % | -49.8 | % | -52.3 | % | -55.0 | % | -57.7 | % | -60.5 | % | ||||||||||||||||||||||||||||||||
60% | -60 | % | -37.5 | % | -37.7 | % | -38.1 | % | -38.9 | % | -40.0 | % | -41.3 | % | -42.9 | % | -44.7 | % | -46.7 | % | -49.0 | % | -51.3 | % | -53.8 | % | -56.4 | % | -59.0 | % | -61.7 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Inverse(-1x) of One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 60 | % | 150.0 | % | 149.4 | % | 147.5 | % | 144.4 | % | 140.2 | % | 134.9 | % | 128.5 | % | 121.2 | % | 113.0 | % | 104.2 | % | 94.7 | % | 84.7 | % | 74.4 | % | 63.9 | % | 53.2 | % | ||||||||||||||||||||||||||||||||
-55% | 55 | % | 122.2 | % | 121.7 | % | 120.0 | % | 117.3 | % | 113.5 | % | 108.8 | % | 103.1 | % | 96.6 | % | 89.4 | % | 81.5 | % | 73.1 | % | 64.2 | % | 55.0 | % | 45.6 | % | 36.1 | % | ||||||||||||||||||||||||||||||||
-50% | 50 | % | 100.0 | % | 99.5 | % | 98.0 | % | 95.6 | % | 92.2 | % | 87.9 | % | 82.8 | % | 76.9 | % | 70.4 | % | 63.3 | % | 55.8 | % | 47.8 | % | 39.5 | % | 31.1 | % | 22.5 | % | ||||||||||||||||||||||||||||||||
-45% | 45 | % | 81.8 | % | 81.4 | % | 80.0 | % | 77.8 | % | 74.7 | % | 70.8 | % | 66.2 | % | 60.9 | % | 54.9 | % | 48.5 | % | 41.6 | % | 34.4 | % | 26.9 | % | 19.2 | % | 11.4 | % | ||||||||||||||||||||||||||||||||
-40% | 40 | % | 66.7 | % | 66.3 | % | 65.0 | % | 63.0 | % | 60.1 | % | 56.6 | % | 52.3 | % | 47.5 | % | 42.0 | % | 36.1 | % | 29.8 | % | 23.2 | % | 16.3 | % | 9.2 | % | 2.1 | % | ||||||||||||||||||||||||||||||||
-35% | 35 | % | 53.8 | % | 53.5 | % | 52.3 | % | 50.4 | % | 47.8 | % | 44.5 | % | 40.6 | % | 36.1 | % | 31.1 | % | 25.6 | % | 19.8 | % | 13.7 | % | 7.3 | % | 0.8 | % | -5.7 | % | ||||||||||||||||||||||||||||||||
-30% | 30 | % | 42.9 | % | 42.5 | % | 41.4 | % | 39.7 | % | 37.3 | % | 34.2 | % | 30.6 | % | 26.4 | % | 21.7 | % | 16.7 | % | 11.3 | % | 5.6 | % | -0.3 | % | -6.4 | % | -12.5 | % | ||||||||||||||||||||||||||||||||
-25% | 25 | % | 33.3 | % | 33.0 | % | 32.0 | % | 30.4 | % | 28.1 | % | 25.3 | % | 21.9 | % | 18.0 | % | 13.6 | % | 8.9 | % | 3.8 | % | -1.5 | % | -7.0 | % | -12.6 | % | -18.3 | % | ||||||||||||||||||||||||||||||||
-20% | 20 | % | 25.0 | % | 24.7 | % | 23.8 | % | 22.2 | % | 20.1 | % | 17.4 | % | 14.2 | % | 10.6 | % | 6.5 | % | 2.1 | % | -2.6 | % | -7.6 | % | -12.8 | % | -18.1 | % | -23.4 | % | ||||||||||||||||||||||||||||||||
-15% | 15 | % | 17.6 | % | 17.4 | % | 16.5 | % | 15.0 | % | 13.0 | % | 10.5 | % | 7.5 | % | 4.1 | % | 0.3 | % | -3.9 | % | -8.4 | % | -13.1 | % | -17.9 | % | -22.9 | % | -27.9 | % | ||||||||||||||||||||||||||||||||
-10% | 10 | % | 11.1 | % | 10.8 | % | 10.0 | % | 8.6 | % | 6.8 | % | 4.4 | % | 1.5 | % | -1.7 | % | -5.3 | % | -9.3 | % | -13.5 | % | -17.9 | % | -22.5 | % | -27.2 | % | -31.9 | % | ||||||||||||||||||||||||||||||||
-5% | 5 | % | 5.3 | % | 5.0 | % | 4.2 | % | 2.9 | % | 1.1 | % | -1.1 | % | -3.8 | % | -6.9 | % | -10.3 | % | -14.0 | % | -18.0 | % | -22.2 | % | -26.6 | % | -31.0 | % | -35.5 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% | -5 | % | -4.8 | % | -5.0 | % | -5.7 | % | -6.9 | % | -8.5 | % | -10.5 | % | -13.0 | % | -15.7 | % | -18.8 | % | -22.2 | % | -25.8 | % | -29.6 | % | -33.6 | % | -37.6 | % | -41.7 | % | ||||||||||||||||||||||||||||||||
10% | -10 | % | -9.1 | % | -9.3 | % | -10.0 | % | -11.1 | % | -12.7 | % | -14.6 | % | -16.9 | % | -19.6 | % | -22.5 | % | -25.8 | % | -29.2 | % | -32.8 | % | -36.6 | % | -40.4 | % | -44.3 | % | ||||||||||||||||||||||||||||||||
15% | -15 | % | -13.0 | % | -13.3 | % | -13.9 | % | -15.0 | % | -16.5 | % | -18.3 | % | -20.5 | % | -23.1 | % | -25.9 | % | -29.0 | % | -32.3 | % | -35.7 | % | -39.3 | % | -43.0 | % | -46.7 | % | ||||||||||||||||||||||||||||||||
20% | -20 | % | -16.7 | % | -16.9 | % | -17.5 | % | -18.5 | % | -19.9 | % | -21.7 | % | -23.8 | % | -26.3 | % | -29.0 | % | -31.9 | % | -35.1 | % | -38.4 | % | -41.9 | % | -45.4 | % | -48.9 | % | ||||||||||||||||||||||||||||||||
25% | -25 | % | -20.0 | % | -20.2 | % | -20.8 | % | -21.8 | % | -23.1 | % | -24.8 | % | -26.9 | % | -29.2 | % | -31.8 | % | -34.7 | % | -37.7 | % | -40.9 | % | -44.2 | % | -47.6 | % | -51.0 | % | ||||||||||||||||||||||||||||||||
30% | -30 | % | -23.1 | % | -23.3 | % | -23.8 | % | -24.8 | % | -26.1 | % | -27.7 | % | -29.7 | % | -31.9 | % | -34.5 | % | -37.2 | % | -40.1 | % | -43.2 | % | -46.3 | % | -49.6 | % | -52.9 | % | ||||||||||||||||||||||||||||||||
35% | -35 | % | -25.9 | % | -26.1 | % | -26.7 | % | -27.6 | % | -28.8 | % | -30.4 | % | -32.3 | % | -34.5 | % | -36.9 | % | -39.5 | % | -42.3 | % | -45.3 | % | -48.3 | % | -51.5 | % | -54.6 | % | ||||||||||||||||||||||||||||||||
40% | -40 | % | -28.6 | % | -28.7 | % | -29.3 | % | -30.2 | % | -31.4 | % | -32.9 | % | -34.7 | % | -36.8 | % | -39.1 | % | -41.7 | % | -44.4 | % | -47.2 | % | -50.2 | % | -53.2 | % | -56.2 | % | ||||||||||||||||||||||||||||||||
45% | -45 | % | -31.0 | % | -31.2 | % | -31.7 | % | -32.6 | % | -33.7 | % | -35.2 | % | -37.0 | % | -39.0 | % | -41.2 | % | -43.7 | % | -46.3 | % | -49.0 | % | -51.9 | % | -54.8 | % | -57.7 | % | ||||||||||||||||||||||||||||||||
50% | -50 | % | -33.3 | % | -33.5 | % | -34.0 | % | -34.8 | % | -35.9 | % | -37.4 | % | -39.1 | % | -41.0 | % | -43.2 | % | -45.6 | % | -48.1 | % | -50.7 | % | -53.5 | % | -56.3 | % | -59.2 | % | ||||||||||||||||||||||||||||||||
55% | -55 | % | -35.5 | % | -35.6 | % | -36.1 | % | -36.9 | % | -38.0 | % | -39.4 | % | -41.0 | % | -42.9 | % | -45.0 | % | -47.3 | % | -49.8 | % | -52.3 | % | -55.0 | % | -57.7 | % | -60.5 | % | ||||||||||||||||||||||||||||||||
60% | -60 | % | -37.5 | % | -37.7 | % | -38.1 | % | -38.9 | % | -40.0 | % | -41.3 | % | -42.9 | % | -44.7 | % | -46.7 | % | -49.0 | % | -51.3 | % | -53.8 | % | -56.4 | % | -59.0 | % | -61.7 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Two Times Inverse(-2x) of One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 120 | % | 525.0 | % | 520.3 | % | 506.5 | % | 484.2 | % | 454.3 | % | 418.1 | % | 377.1 | % | 332.8 | % | 286.7 | % | 240.4 | % | 195.2 | % | 152.2 | % | 112.2 | % | 76.0 | % | 43.7 | % | ||||||||||||||||||||||||||||||||
-55% | 110 | % | 393.8 | % | 390.1 | % | 379.2 | % | 361.6 | % | 338.0 | % | 309.4 | % | 277.0 | % | 242.0 | % | 205.6 | % | 169.0 | % | 133.3 | % | 99.3 | % | 67.7 | % | 39.0 | % | 13.5 | % | ||||||||||||||||||||||||||||||||
-50% | 100 | % | 300.0 | % | 297.0 | % | 288.2 | % | 273.9 | % | 254.8 | % | 231.6 | % | 205.4 | % | 177.0 | % | 147.5 | % | 117.9 | % | 88.9 | % | 61.4 | % | 35.8 | % | 12.6 | % | -8.0 | % | ||||||||||||||||||||||||||||||||
-45% | 90 | % | 230.6 | % | 228.1 | % | 220.8 | % | 209.0 | % | 193.2 | % | 174.1 | % | 152.4 | % | 128.9 | % | 104.6 | % | 80.1 | % | 56.2 | % | 33.4 | % | 12.3 | % | -6.9 | % | -24.0 | % | ||||||||||||||||||||||||||||||||
-40% | 80 | % | 177.8 | % | 175.7 | % | 169.6 | % | 159.6 | % | 146.4 | % | 130.3 | % | 112.0 | % | 92.4 | % | 71.9 | % | 51.3 | % | 31.2 | % | 12.1 | % | -5.7 | % | -21.8 | % | -36.1 | % | ||||||||||||||||||||||||||||||||
-35% | 70 | % | 136.7 | % | 134.9 | % | 129.7 | % | 121.2 | % | 109.9 | % | 96.2 | % | 80.7 | % | 63.9 | % | 46.5 | % | 28.9 | % | 11.8 | % | -4.5 | % | -19.6 | % | -33.4 | % | -45.6 | % | ||||||||||||||||||||||||||||||||
-30% | 60 | % | 104.1 | % | 102.6 | % | 98.1 | % | 90.8 | % | 81.0 | % | 69.2 | % | 55.8 | % | 41.3 | % | 26.3 | % | 11.2 | % | -3.6 | % | -17.6 | % | -30.7 | % | -42.5 | % | -53.1 | % | ||||||||||||||||||||||||||||||||
-25% | 50 | % | 77.8 | % | 76.4 | % | 72.5 | % | 66.2 | % | 57.7 | % | 47.4 | % | 35.7 | % | 23.1 | % | 10.0 | % | -3.2 | % | -16.0 | % | -28.3 | % | -39.6 | % | -49.9 | % | -59.1 | % | ||||||||||||||||||||||||||||||||
-20% | 40 | % | 56.3 | % | 55.1 | % | 51.6 | % | 46.1 | % | 38.6 | % | 29.5 | % | 19.3 | % | 8.2 | % | -3.3 | % | -14.9 | % | -26.2 | % | -36.9 | % | -46.9 | % | -56.0 | % | -64.1 | % | ||||||||||||||||||||||||||||||||
-15% | 30 | % | 38.4 | % | 37.4 | % | 34.3 | % | 29.4 | % | 22.8 | % | 14.7 | % | 5.7 | % | -4.2 | % | -14.4 | % | -24.6 | % | -34.6 | % | -44.1 | % | -53.0 | % | -61.0 | % | -68.2 | % | ||||||||||||||||||||||||||||||||
-10% | 20 | % | 23.5 | % | 22.5 | % | 19.8 | % | 15.4 | % | 9.5 | % | 2.3 | % | -5.8 | % | -14.5 | % | -23.6 | % | -32.8 | % | -41.7 | % | -50.2 | % | -58.1 | % | -65.2 | % | -71.6 | % | ||||||||||||||||||||||||||||||||
-5% | 10 | % | 10.8 | % | 10.0 | % | 7.5 | % | 3.6 | % | -1.7 | % | -8.1 | % | -15.4 | % | -23.3 | % | -31.4 | % | -39.6 | % | -47.7 | % | -55.3 | % | -62.4 | % | -68.8 | % | -74.5 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.7 | % | -3.0 | % | -6.5 | % | -11.3 | % | -17.1 | % | -23.7 | % | -30.8 | % | -38.1 | % | -45.5 | % | -52.8 | % | -59.6 | % | -66.0 | % | -71.8 | % | -77.0 | % | ||||||||||||||||||||||||||||||||
5% | -10 | % | -9.3 | % | -10.0 | % | -12.0 | % | -15.2 | % | -19.6 | % | -24.8 | % | -30.8 | % | -37.2 | % | -43.9 | % | -50.6 | % | -57.2 | % | -63.4 | % | -69.2 | % | -74.5 | % | -79.1 | % | ||||||||||||||||||||||||||||||||
10% | -20 | % | -17.4 | % | -18.0 | % | -19.8 | % | -22.7 | % | -26.7 | % | -31.5 | % | -36.9 | % | -42.8 | % | -48.9 | % | -55.0 | % | -61.0 | % | -66.7 | % | -71.9 | % | -76.7 | % | -81.0 | % | ||||||||||||||||||||||||||||||||
15% | -30 | % | -24.4 | % | -25.0 | % | -26.6 | % | -29.3 | % | -32.9 | % | -37.3 | % | -42.3 | % | -47.6 | % | -53.2 | % | -58.8 | % | -64.3 | % | -69.5 | % | -74.3 | % | -78.7 | % | -82.6 | % | ||||||||||||||||||||||||||||||||
20% | -40 | % | -30.6 | % | -31.1 | % | -32.6 | % | -35.1 | % | -38.4 | % | -42.4 | % | -47.0 | % | -51.9 | % | -57.0 | % | -62.2 | % | -67.2 | % | -72.0 | % | -76.4 | % | -80.4 | % | -84.0 | % | ||||||||||||||||||||||||||||||||
25% | -50 | % | -36.0 | % | -36.5 | % | -37.9 | % | -40.2 | % | -43.2 | % | -46.9 | % | -51.1 | % | -55.7 | % | -60.4 | % | -65.1 | % | -69.8 | % | -74.2 | % | -78.3 | % | -82.0 | % | -85.3 | % | ||||||||||||||||||||||||||||||||
30% | -60 | % | -40.8 | % | -41.3 | % | -42.6 | % | -44.7 | % | -47.5 | % | -50.9 | % | -54.8 | % | -59.0 | % | -63.4 | % | -67.8 | % | -72.0 | % | -76.1 | % | -79.9 | % | -83.3 | % | -86.4 | % | ||||||||||||||||||||||||||||||||
35% | -70 | % | -45.1 | % | -45.5 | % | -46.8 | % | -48.7 | % | -51.3 | % | -54.5 | % | -58.1 | % | -62.0 | % | -66.0 | % | -70.1 | % | -74.1 | % | -77.9 | % | -81.4 | % | -84.6 | % | -87.4 | % | ||||||||||||||||||||||||||||||||
40% | -80 | % | -49.0 | % | -49.4 | % | -50.5 | % | -52.3 | % | -54.7 | % | -57.7 | % | -61.1 | % | -64.7 | % | -68.4 | % | -72.2 | % | -75.9 | % | -79.4 | % | -82.7 | % | -85.6 | % | -88.3 | % | ||||||||||||||||||||||||||||||||
45% | -90 | % | -52.4 | % | -52.8 | % | -53.8 | % | -55.5 | % | -57.8 | % | -60.6 | % | -63.7 | % | -67.1 | % | -70.6 | % | -74.1 | % | -77.5 | % | -80.8 | % | -83.8 | % | -86.6 | % | -89.1 | % | ||||||||||||||||||||||||||||||||
50% | -100 | % | -55.6 | % | -55.9 | % | -56.9 | % | -58.5 | % | -60.6 | % | -63.2 | % | -66.1 | % | -69.2 | % | -72.5 | % | -75.8 | % | -79.0 | % | -82.1 | % | -84.9 | % | -87.5 | % | -89.8 | % | ||||||||||||||||||||||||||||||||
55% | -110 | % | -58.4 | % | -58.7 | % | -59.6 | % | -61.1 | % | -63.1 | % | -65.5 | % | -68.2 | % | -71.2 | % | -74.2 | % | -77.3 | % | -80.3 | % | -83.2 | % | -85.9 | % | -88.3 | % | -90.4 | % | ||||||||||||||||||||||||||||||||
60% | -120 | % | -60.9 | % | -61.2 | % | -62.1 | % | -63.5 | % | -65.4 | % | -67.6 | % | -70.2 | % | -73.0 | % | -75.8 | % | -78.7 | % | -81.5 | % | -84.2 | % | -86.7 | % | -89.0 | % | -91.0 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Three Times Inverse (-3x) One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | 180 | % | 1462.5 | % | 1439.2 | % | 1371.5 | % | 1265.2 | % | 1129.1 | % | 973.9 | % | 810.5 | % | 649.2 | % | 498.3 | % | 363.6 | % | 248.6 | % | 154.4 | % | 80.2 | % | 23.8 | % | -17.4 | % | ||||||||||||||||||||||||||||||||
-55% | 165 | % | 997.4 | % | 981.1 | % | 933.5 | % | 858.8 | % | 763.2 | % | 654.2 | % | 539.5 | % | 426.2 | % | 320.2 | % | 225.6 | % | 144.9 | % | 78.7 | % | 26.6 | % | -13.0 | % | -42.0 | % | ||||||||||||||||||||||||||||||||
-50% | 150 | % | 700.0 | % | 688.1 | % | 653.4 | % | 599.0 | % | 529.3 | % | 449.8 | % | 366.2 | % | 283.6 | % | 206.3 | % | 137.4 | % | 78.5 | % | 30.3 | % | -7.7 | % | -36.6 | % | -57.7 | % | ||||||||||||||||||||||||||||||||
-45% | 135 | % | 501.1 | % | 492.1 | % | 466.0 | % | 425.1 | % | 372.8 | % | 313.1 | % | 250.3 | % | 188.2 | % | 130.1 | % | 78.3 | % | 34.1 | % | -2.1 | % | -30.7 | % | -52.4 | % | -68.2 | % | ||||||||||||||||||||||||||||||||
-40% | 120 | % | 363.0 | % | 356.1 | % | 336.0 | % | 304.5 | % | 264.2 | % | 218.2 | % | 169.8 | % | 122.0 | % | 77.3 | % | 37.4 | % | 3.3 | % | -24.6 | % | -46.6 | % | -63.3 | % | -75.5 | % | ||||||||||||||||||||||||||||||||
-35% | 105 | % | 264.1 | % | 258.7 | % | 242.9 | % | 218.1 | % | 186.4 | % | 150.3 | % | 112.2 | % | 74.6 | % | 39.4 | % | 8.0 | % | -18.8 | % | -40.7 | % | -58.0 | % | -71.1 | % | -80.7 | % | ||||||||||||||||||||||||||||||||
-30% | 90 | % | 191.5 | % | 187.2 | % | 174.6 | % | 154.7 | % | 129.3 | % | 100.4 | % | 69.9 | % | 39.8 | % | 11.6 | % | -13.5 | % | -34.9 | % | -52.5 | % | -66.4 | % | -76.9 | % | -84.6 | % | ||||||||||||||||||||||||||||||||
-25% | 75 | % | 137.0 | % | 133.5 | % | 123.2 | % | 107.1 | % | 86.5 | % | 62.9 | % | 38.1 | % | 13.7 | % | -9.2 | % | -29.7 | % | -47.1 | % | -61.4 | % | -72.7 | % | -81.2 | % | -87.5 | % | ||||||||||||||||||||||||||||||||
-20% | 60 | % | 95.3 | % | 92.4 | % | 83.9 | % | 70.6 | % | 53.6 | % | 34.2 | % | 13.8 | % | -6.3 | % | -25.2 | % | -42.0 | % | -56.4 | % | -68.2 | % | -77.5 | % | -84.5 | % | -89.7 | % | ||||||||||||||||||||||||||||||||
-15% | 45 | % | 62.8 | % | 60.4 | % | 53.4 | % | 42.3 | % | 28.1 | % | 11.9 | % | -5.1 | % | -21.9 | % | -37.7 | % | -51.7 | % | -63.7 | % | -73.5 | % | -81.2 | % | -87.1 | % | -91.4 | % | ||||||||||||||||||||||||||||||||
-10% | 30 | % | 37.2 | % | 35.1 | % | 29.2 | % | 19.9 | % | 7.9 | % | -5.7 | % | -20.1 | % | -34.2 | % | -47.5 | % | -59.3 | % | -69.4 | % | -77.7 | % | -84.2 | % | -89.1 | % | -92.7 | % | ||||||||||||||||||||||||||||||||
-5% | 15 | % | 16.6 | % | 14.9 | % | 9.8 | % | 1.9 | % | -8.3 | % | -19.8 | % | -32.0 | % | -44.1 | % | -55.3 | % | -65.4 | % | -74.0 | % | -81.0 | % | -86.5 | % | -90.8 | % | -93.8 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -1.5 | % | -5.8 | % | -12.6 | % | -21.3 | % | -31.3 | % | -41.7 | % | -52.0 | % | -61.7 | % | -70.3 | % | -77.7 | % | -83.7 | % | -88.5 | % | -92.1 | % | -94.7 | % | ||||||||||||||||||||||||||||||||
5% | -15 | % | -13.6 | % | -14.9 | % | -18.6 | % | -24.5 | % | -32.0 | % | -40.6 | % | -49.7 | % | -58.6 | % | -66.9 | % | -74.4 | % | -80.7 | % | -85.9 | % | -90.0 | % | -93.2 | % | -95.4 | % | ||||||||||||||||||||||||||||||||
10% | -30 | % | -24.9 | % | -26.0 | % | -29.2 | % | -34.4 | % | -40.9 | % | -48.4 | % | -56.2 | % | -64.0 | % | -71.2 | % | -77.7 | % | -83.2 | % | -87.8 | % | -91.3 | % | -94.0 | % | -96.0 | % | ||||||||||||||||||||||||||||||||
15% | -45 | % | -34.2 | % | -35.2 | % | -38.1 | % | -42.6 | % | -48.3 | % | -54.8 | % | -61.7 | % | -68.5 | % | -74.8 | % | -80.5 | % | -85.3 | % | -89.3 | % | -92.4 | % | -94.8 | % | -96.5 | % | ||||||||||||||||||||||||||||||||
20% | -60 | % | -42.1 | % | -43.0 | % | -45.5 | % | -49.4 | % | -54.5 | % | -60.2 | % | -66.3 | % | -72.3 | % | -77.8 | % | -82.8 | % | -87.1 | % | -90.6 | % | -93.3 | % | -95.4 | % | -96.9 | % | ||||||||||||||||||||||||||||||||
25% | -75 | % | -48.8 | % | -49.6 | % | -51.8 | % | -55.3 | % | -59.7 | % | -64.8 | % | -70.2 | % | -75.4 | % | -80.4 | % | -84.8 | % | -88.6 | % | -91.7 | % | -94.1 | % | -95.9 | % | -97.3 | % | ||||||||||||||||||||||||||||||||
30% | -90 | % | -54.5 | % | -55.2 | % | -57.1 | % | -60.2 | % | -64.2 | % | -68.7 | % | -73.5 | % | -78.2 | % | -82.6 | % | -86.5 | % | -89.8 | % | -92.6 | % | -94.8 | % | -96.4 | % | -97.6 | % | ||||||||||||||||||||||||||||||||
35% | -105 | % | -59.4 | % | -60.0 | % | -61.7 | % | -64.5 | % | -68.0 | % | -72.1 | % | -76.3 | % | -80.5 | % | -84.4 | % | -87.9 | % | -90.9 | % | -93.4 | % | -95.3 | % | -96.8 | % | -97.9 | % | ||||||||||||||||||||||||||||||||
40% | -120 | % | -63.6 | % | -64.1 | % | -65.7 | % | -68.2 | % | -71.3 | % | -75.0 | % | -78.8 | % | -82.5 | % | -86.0 | % | -89.2 | % | -91.9 | % | -94.1 | % | -95.8 | % | -97.1 | % | -98.1 | % | ||||||||||||||||||||||||||||||||
45% | -135 | % | -67.2 | % | -67.7 | % | -69.1 | % | -71.3 | % | -74.2 | % | -77.5 | % | -80.9 | % | -84.3 | % | -87.4 | % | -90.3 | % | -92.7 | % | -94.7 | % | -96.2 | % | -97.4 | % | -98.3 | % | ||||||||||||||||||||||||||||||||
50% | -150 | % | -70.4 | % | -70.8 | % | -72.1 | % | -74.1 | % | -76.7 | % | -79.6 | % | -82.7 | % | -85.8 | % | -88.7 | % | -91.2 | % | -93.4 | % | -95.2 | % | -96.6 | % | -97.7 | % | -98.4 | % | ||||||||||||||||||||||||||||||||
55% | -165 | % | -73.1 | % | -73.5 | % | -74.7 | % | -76.5 | % | -78.9 | % | -81.5 | % | -84.4 | % | -87.1 | % | -89.7 | % | -92.0 | % | -94.0 | % | -95.6 | % | -96.9 | % | -97.9 | % | -98.6 | % | ||||||||||||||||||||||||||||||||
60% | -180 | % | -75.6 | % | -75.9 | % | -77.0 | % | -78.7 | % | -80.8 | % | -83.2 | % | -85.8 | % | -88.3 | % | -90.7 | % | -92.8 | % | -94.6 | % | -96.0 | % | -97.2 | % | -98.1 | % | -98.7 | % |
Index Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Index Performance | One and One-Half Times (1.5x) One Year Index Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | 75% | |||||||||||||||||||||||||||||||||||||||||||||||||||
-60% | -90.0 | % | -74.7 | % | -74.7 | % | -74.8 | % | -74.9 | % | -75.1 | % | -75.3 | % | -75.5 | % | -75.8 | % | -76.2 | % | -76.6 | % | -77.0 | % | -77.4 | % | -77.9 | % | -78.4 | % | -78.9 | % | -79.5 | % | ||||||||||||||||||||||||||||||||||
-55% | -82.5 | % | -69.8 | % | -69.8 | % | -69.9 | % | -70.1 | % | -70.3 | % | -70.5 | % | -70.8 | % | -71.2 | % | -71.6 | % | -72.0 | % | -72.5 | % | -73.1 | % | -73.6 | % | -74.2 | % | -74.9 | % | -75.6 | % | ||||||||||||||||||||||||||||||||||
-50% | -75.0 | % | -64.6 | % | -64.7 | % | -64.8 | % | -64.9 | % | -65.2 | % | -65.5 | % | -65.8 | % | -66.2 | % | -66.7 | % | -67.2 | % | -67.8 | % | -68.4 | % | -69.1 | % | -69.8 | % | -70.6 | % | -71.4 | % | ||||||||||||||||||||||||||||||||||
-45% | -67.5 | % | -59.2 | % | -59.2 | % | -59.4 | % | -59.6 | % | -59.8 | % | -60.2 | % | -60.6 | % | -61.0 | % | -61.6 | % | -62.2 | % | -62.9 | % | -63.6 | % | -64.4 | % | -65.2 | % | -66.1 | % | -67.0 | % | ||||||||||||||||||||||||||||||||||
-40% | -60.0 | % | -53.5 | % | -53.6 | % | -53.7 | % | -53.9 | % | -54.2 | % | -54.6 | % | -55.1 | % | -55.6 | % | -56.2 | % | -56.9 | % | -57.7 | % | -58.5 | % | -59.4 | % | -60.3 | % | -61.3 | % | -62.4 | % | ||||||||||||||||||||||||||||||||||
-35% | -52.5 | % | -47.6 | % | -47.6 | % | -47.8 | % | -48.0 | % | -48.4 | % | -48.8 | % | -49.3 | % | -49.9 | % | -50.6 | % | -51.4 | % | -52.3 | % | -53.2 | % | -54.2 | % | -55.3 | % | -56.4 | % | -57.6 | % | ||||||||||||||||||||||||||||||||||
-30% | -45.0 | % | -41.4 | % | -41.5 | % | -41.7 | % | -41.9 | % | -42.3 | % | -42.8 | % | -43.4 | % | -44.1 | % | -44.8 | % | -45.7 | % | -46.7 | % | -47.7 | % | -48.8 | % | -50.0 | % | -51.3 | % | -52.6 | % | ||||||||||||||||||||||||||||||||||
-25% | -37.5 | % | -35.0 | % | -35.1 | % | -35.3 | % | -35.6 | % | -36.0 | % | -36.6 | % | -37.2 | % | -38.0 | % | -38.8 | % | -39.8 | % | -40.9 | % | -42.0 | % | -43.3 | % | -44.6 | % | -46.0 | % | -47.4 | % | ||||||||||||||||||||||||||||||||||
-20% | -30.0 | % | -28.4 | % | -28.5 | % | -28.7 | % | -29.0 | % | -29.5 | % | -30.1 | % | -30.8 | % | -31.7 | % | -32.6 | % | -33.7 | % | -34.8 | % | -36.1 | % | -37.5 | % | -38.9 | % | -40.5 | % | -42.1 | % | ||||||||||||||||||||||||||||||||||
-15% | -22.5 | % | -21.6 | % | -21.7 | % | -21.9 | % | -22.3 | % | -22.8 | % | -23.4 | % | -24.2 | % | -25.2 | % | -26.2 | % | -27.4 | % | -28.6 | % | -30.0 | % | -31.5 | % | -33.1 | % | -34.8 | % | -36.5 | % | ||||||||||||||||||||||||||||||||||
-10% | -15.0 | % | -14.6 | % | -14.7 | % | -14.9 | % | -15.3 | % | -15.9 | % | -16.6 | % | -17.5 | % | -18.5 | % | -19.6 | % | -20.9 | % | -22.3 | % | -23.8 | % | -25.4 | % | -27.1 | % | -29.0 | % | -30.9 | % | ||||||||||||||||||||||||||||||||||
-5% | -7.5 | % | -7.4 | % | -7.5 | % | -7.8 | % | -8.2 | % | -8.8 | % | -9.6 | % | -10.5 | % | -11.6 | % | -12.8 | % | -14.2 | % | -15.7 | % | -17.3 | % | -19.1 | % | -21.0 | % | -22.9 | % | -25.0 | % | ||||||||||||||||||||||||||||||||||
0% | 0.0 | % | 0.0 | % | -0.1 | % | -0.4 | % | -0.8 | % | -1.5 | % | -2.3 | % | -3.3 | % | -4.5 | % | -5.8 | % | -7.3 | % | -8.9 | % | -10.7 | % | -12.6 | % | -14.7 | % | -16.8 | % | -19.0 | % | ||||||||||||||||||||||||||||||||||
5% | 7.5 | % | 7.6 | % | 7.5 | % | 7.2 | % | 6.7 | % | 6.0 | % | 5.1 | % | 4.0 | % | 2.8 | % | 1.3 | % | -0.3 | % | -2.0 | % | -3.9 | % | -6.0 | % | -8.2 | % | -10.5 | % | -12.9 | % | ||||||||||||||||||||||||||||||||||
10% | 15.0 | % | 15.4 | % | 15.3 | % | 14.9 | % | 14.4 | % | 13.7 | % | 12.7 | % | 11.5 | % | 10.2 | % | 8.7 | % | 6.9 | % | 5.0 | % | 3.0 | % | 0.8 | % | -1.5 | % | -4.0 | % | -6.6 | % | ||||||||||||||||||||||||||||||||||
15% | 22.5 | % | 23.3 | % | 23.2 | % | 22.9 | % | 22.3 | % | 21.5 | % | 20.5 | % | 19.2 | % | 17.8 | % | 16.1 | % | 14.3 | % | 12.3 | % | 10.1 | % | 7.7 | % | 5.3 | % | 2.6 | % | -0.1 | % | ||||||||||||||||||||||||||||||||||
20% | 30.0 | % | 31.5 | % | 31.3 | % | 31.0 | % | 30.3 | % | 29.5 | % | 28.4 | % | 27.1 | % | 25.6 | % | 23.8 | % | 21.8 | % | 19.7 | % | 17.4 | % | 14.9 | % | 12.2 | % | 9.4 | % | 6.5 | % | ||||||||||||||||||||||||||||||||||
25% | 37.5 | % | 39.8 | % | 39.6 | % | 39.2 | % | 38.6 | % | 37.7 | % | 36.5 | % | 35.1 | % | 33.5 | % | 31.6 | % | 29.5 | % | 27.2 | % | 24.8 | % | 22.1 | % | 19.3 | % | 16.3 | % | 13.2 | % | ||||||||||||||||||||||||||||||||||
30% | 45.0 | % | 48.2 | % | 48.1 | % | 47.7 | % | 47.0 | % | 46.0 | % | 44.8 | % | 43.3 | % | 41.6 | % | 39.6 | % | 37.4 | % | 35.0 | % | 32.3 | % | 29.5 | % | 26.5 | % | 23.3 | % | 20.0 | % | ||||||||||||||||||||||||||||||||||
35% | 52.5 | % | 56.9 | % | 56.7 | % | 56.3 | % | 55.5 | % | 54.5 | % | 53.2 | % | 51.7 | % | 49.8 | % | 47.7 | % | 45.4 | % | 42.8 | % | 40.0 | % | 37.0 | % | 33.9 | % | 30.5 | % | 27.0 | % | ||||||||||||||||||||||||||||||||||
40% | 60.0 | % | 65.7 | % | 65.5 | % | 65.0 | % | 64.3 | % | 63.2 | % | 61.8 | % | 60.2 | % | 58.2 | % | 56.0 | % | 53.5 | % | 50.8 | % | 47.9 | % | 44.7 | % | 41.4 | % | 37.8 | % | 34.1 | % | ||||||||||||||||||||||||||||||||||
45% | 67.5 | % | 74.6 | % | 74.4 | % | 73.9 | % | 73.1 | % | 72.0 | % | 70.6 | % | 68.8 | % | 66.8 | % | 64.4 | % | 61.8 | % | 59.0 | % | 55.9 | % | 52.6 | % | 49.0 | % | 45.3 | % | 41.4 | % | ||||||||||||||||||||||||||||||||||
50% | 75.0 | % | 83.7 | % | 83.5 | % | 83.0 | % | 82.2 | % | 81.0 | % | 79.5 | % | 77.6 | % | 75.5 | % | 73.0 | % | 70.3 | % | 67.3 | % | 64.0 | % | 60.5 | % | 56.8 | % | 52.9 | % | 48.8 | % | ||||||||||||||||||||||||||||||||||
55% | 82.5 | % | 93.0 | % | 92.8 | % | 92.3 | % | 91.4 | % | 90.1 | % | 88.5 | % | 86.6 | % | 84.3 | % | 81.7 | % | 78.9 | % | 75.7 | % | 72.3 | % | 68.6 | % | 64.7 | % | 60.6 | % | 56.3 | % | ||||||||||||||||||||||||||||||||||
60% | 90.0 | % | 102.4 | % | 102.2 | % | 101.6 | % | 100.7 | % | 99.4 | % | 97.7 | % | 95.7 | % | 93.3 | % | 90.6 | % | 87.6 | % | 84.3 | % | 80.7 | % | 76.8 | % | 72.7 | % | 68.4 | % | 63.9 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Two Times (2x) One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | -120 | % | -84.0 | % | -84.0 | % | -84.2 | % | -84.4 | % | -84.6 | % | -85.0 | % | -85.4 | % | -85.8 | % | -86.4 | % | -86.9 | % | -87.5 | % | -88.2 | % | -88.8 | % | -89.5 | % | -90.2 | % | ||||||||||||||||||||||||||||||||
-55% | -110 | % | -79.8 | % | -79.8 | % | -80.0 | % | -80.2 | % | -80.5 | % | -81.0 | % | -81.5 | % | -82.1 | % | -82.7 | % | -83.5 | % | -84.2 | % | -85.0 | % | -85.9 | % | -86.7 | % | -87.6 | % | ||||||||||||||||||||||||||||||||
-50% | -100 | % | -75.0 | % | -75.1 | % | -75.2 | % | -75.6 | % | -76.0 | % | -76.5 | % | -77.2 | % | -77.9 | % | -78.7 | % | -79.6 | % | -80.5 | % | -81.5 | % | -82.6 | % | -83.6 | % | -84.7 | % | ||||||||||||||||||||||||||||||||
-45% | -90 | % | -69.8 | % | -69.8 | % | -70.1 | % | -70.4 | % | -70.9 | % | -71.6 | % | -72.4 | % | -73.2 | % | -74.2 | % | -75.3 | % | -76.4 | % | -77.6 | % | -78.9 | % | -80.2 | % | -81.5 | % | ||||||||||||||||||||||||||||||||
-40% | -80 | % | -64.0 | % | -64.1 | % | -64.4 | % | -64.8 | % | -65.4 | % | -66.2 | % | -67.1 | % | -68.2 | % | -69.3 | % | -70.6 | % | -72.0 | % | -73.4 | % | -74.9 | % | -76.4 | % | -77.9 | % | ||||||||||||||||||||||||||||||||
-35% | -70 | % | -57.8 | % | -57.9 | % | -58.2 | % | -58.7 | % | -59.4 | % | -60.3 | % | -61.4 | % | -62.6 | % | -64.0 | % | -65.5 | % | -67.1 | % | -68.8 | % | -70.5 | % | -72.3 | % | -74.1 | % | ||||||||||||||||||||||||||||||||
-30% | -60 | % | -51.0 | % | -51.1 | % | -51.5 | % | -52.1 | % | -52.9 | % | -54.0 | % | -55.2 | % | -56.6 | % | -58.2 | % | -60.0 | % | -61.8 | % | -63.8 | % | -65.8 | % | -67.9 | % | -70.0 | % | ||||||||||||||||||||||||||||||||
-25% | -50 | % | -43.8 | % | -43.9 | % | -44.3 | % | -45.0 | % | -46.0 | % | -47.2 | % | -48.6 | % | -50.2 | % | -52.1 | % | -54.1 | % | -56.2 | % | -58.4 | % | -60.8 | % | -63.1 | % | -65.5 | % | ||||||||||||||||||||||||||||||||
-20% | -40 | % | -36.0 | % | -36.2 | % | -36.6 | % | -37.4 | % | -38.5 | % | -39.9 | % | -41.5 | % | -43.4 | % | -45.5 | % | -47.7 | % | -50.2 | % | -52.7 | % | -55.3 | % | -58.1 | % | -60.8 | % | ||||||||||||||||||||||||||||||||
-15% | -30 | % | -27.8 | % | -27.9 | % | -28.5 | % | -29.4 | % | -30.6 | % | -32.1 | % | -34.0 | % | -36.1 | % | -38.4 | % | -41.0 | % | -43.7 | % | -46.6 | % | -49.6 | % | -52.6 | % | -55.7 | % | ||||||||||||||||||||||||||||||||
-10% | -20 | % | -19.0 | % | -19.2 | % | -19.8 | % | -20.8 | % | -22.2 | % | -23.9 | % | -26.0 | % | -28.3 | % | -31.0 | % | -33.8 | % | -36.9 | % | -40.1 | % | -43.5 | % | -46.9 | % | -50.4 | % | ||||||||||||||||||||||||||||||||
-5% | -10 | % | -9.8 | % | -10.0 | % | -10.6 | % | -11.8 | % | -13.3 | % | -15.2 | % | -17.5 | % | -20.2 | % | -23.1 | % | -26.3 | % | -29.7 | % | -33.3 | % | -37.0 | % | -40.8 | % | -44.7 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.2 | % | -1.0 | % | -2.2 | % | -3.9 | % | -6.1 | % | -8.6 | % | -11.5 | % | -14.8 | % | -18.3 | % | -22.1 | % | -26.1 | % | -30.2 | % | -34.5 | % | -38.7 | % | ||||||||||||||||||||||||||||||||
5% | 10 | % | 10.3 | % | 10.0 | % | 9.2 | % | 7.8 | % | 5.9 | % | 3.6 | % | 0.8 | % | -2.5 | % | -6.1 | % | -10.0 | % | -14.1 | % | -18.5 | % | -23.1 | % | -27.7 | % | -32.5 | % | ||||||||||||||||||||||||||||||||
10% | 20 | % | 21.0 | % | 20.7 | % | 19.8 | % | 18.3 | % | 16.3 | % | 13.7 | % | 10.6 | % | 7.0 | % | 3.1 | % | -1.2 | % | -5.8 | % | -10.6 | % | -15.6 | % | -20.7 | % | -25.9 | % | ||||||||||||||||||||||||||||||||
15% | 30 | % | 32.3 | % | 31.9 | % | 30.9 | % | 29.3 | % | 27.1 | % | 24.2 | % | 20.9 | % | 17.0 | % | 12.7 | % | 8.0 | % | 3.0 | % | -2.3 | % | -7.7 | % | -13.3 | % | -19.0 | % | ||||||||||||||||||||||||||||||||
20% | 40 | % | 44.0 | % | 43.6 | % | 42.6 | % | 40.8 | % | 38.4 | % | 35.3 | % | 31.6 | % | 27.4 | % | 22.7 | % | 17.6 | % | 12.1 | % | 6.4 | % | 0.5 | % | -5.6 | % | -11.8 | % | ||||||||||||||||||||||||||||||||
25% | 50 | % | 56.3 | % | 55.9 | % | 54.7 | % | 52.8 | % | 50.1 | % | 46.8 | % | 42.8 | % | 38.2 | % | 33.1 | % | 27.6 | % | 21.7 | % | 15.5 | % | 9.0 | % | 2.4 | % | -4.3 | % | ||||||||||||||||||||||||||||||||
30% | 60 | % | 69.0 | % | 68.6 | % | 67.3 | % | 65.2 | % | 62.4 | % | 58.8 | % | 54.5 | % | 49.5 | % | 44.0 | % | 38.0 | % | 31.6 | % | 24.9 | % | 17.9 | % | 10.8 | % | 3.5 | % | ||||||||||||||||||||||||||||||||
35% | 70 | % | 82.3 | % | 81.8 | % | 80.4 | % | 78.2 | % | 75.1 | % | 71.2 | % | 66.6 | % | 61.2 | % | 55.3 | % | 48.8 | % | 41.9 | % | 34.7 | % | 27.2 | % | 19.4 | % | 11.7 | % | ||||||||||||||||||||||||||||||||
40% | 80 | % | 96.0 | % | 95.5 | % | 94.0 | % | 91.6 | % | 88.3 | % | 84.1 | % | 79.1 | % | 73.4 | % | 67.0 | % | 60.1 | % | 52.6 | % | 44.8 | % | 36.7 | % | 28.5 | % | 20.1 | % | ||||||||||||||||||||||||||||||||
45% | 90 | % | 110.3 | % | 109.7 | % | 108.2 | % | 105.6 | % | 102.0 | % | 97.5 | % | 92.2 | % | 86.0 | % | 79.2 | % | 71.7 | % | 63.7 | % | 55.4 | % | 46.7 | % | 37.8 | % | 28.8 | % | ||||||||||||||||||||||||||||||||
50% | 100 | % | 125.0 | % | 124.4 | % | 122.8 | % | 120.0 | % | 116.2 | % | 111.4 | % | 105.6 | % | 99.1 | % | 91.7 | % | 83.8 | % | 75.2 | % | 66.3 | % | 57.0 | % | 47.5 | % | 37.8 | % | ||||||||||||||||||||||||||||||||
55% | 110 | % | 140.3 | % | 139.7 | % | 137.9 | % | 134.9 | % | 130.8 | % | 125.7 | % | 119.6 | % | 112.6 | % | 104.7 | % | 96.2 | % | 87.1 | % | 77.5 | % | 67.6 | % | 57.5 | % | 47.2 | % | ||||||||||||||||||||||||||||||||
60% | 120 | % | 156.0 | % | 155.4 | % | 153.5 | % | 150.3 | % | 146.0 | % | 140.5 | % | 134.0 | % | 126.5 | % | 118.1 | % | 109.1 | % | 99.4 | % | 89.2 | % | 78.6 | % | 67.8 | % | 56.8 | % |
Benchmark Volatility | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year Benchmark Performance | Three Times (3x) One Year Benchmark Performance | 0% | 5% | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | 60% | 65% | 70% | ||||||||||||||||||||||||||||||||||||||||||||||||
-60% | -180 | % | -93.6 | % | -93.6 | % | -93.8 | % | -94.0 | % | -94.3 | % | -94.7 | % | -95.1 | % | -95.6 | % | -96.0 | % | -96.5 | % | -97.0 | % | -97.4 | % | -97.8 | % | -98.2 | % | -98.5 | % | ||||||||||||||||||||||||||||||||
-55% | -165 | % | -90.9 | % | -91.0 | % | -91.2 | % | -91.5 | % | -91.9 | % | -92.4 | % | -93.0 | % | -93.7 | % | -94.4 | % | -95.0 | % | -95.7 | % | -96.3 | % | -96.9 | % | -97.4 | % | -97.9 | % | ||||||||||||||||||||||||||||||||
-50% | -150 | % | -87.5 | % | -87.6 | % | -87.9 | % | -88.3 | % | -88.9 | % | -89.6 | % | -90.5 | % | -91.3 | % | -92.3 | % | -93.2 | % | -94.1 | % | -95.0 | % | -95.8 | % | -96.5 | % | -97.1 | % | ||||||||||||||||||||||||||||||||
-45% | -135 | % | -83.4 | % | -83.5 | % | -83.9 | % | -84.4 | % | -85.2 | % | -86.2 | % | -87.3 | % | -88.5 | % | -89.7 | % | -90.9 | % | -92.1 | % | -93.3 | % | -94.3 | % | -95.3 | % | -96.2 | % | ||||||||||||||||||||||||||||||||
-40% | -120 | % | -78.4 | % | -78.6 | % | -79.0 | % | -79.8 | % | -80.8 | % | -82.1 | % | -83.5 | % | -85.0 | % | -86.6 | % | -88.2 | % | -89.8 | % | -91.3 | % | -92.7 | % | -93.9 | % | -95.0 | % | ||||||||||||||||||||||||||||||||
-35% | -105 | % | -72.5 | % | -72.7 | % | -73.3 | % | -74.3 | % | -75.6 | % | -77.2 | % | -79.0 | % | -81.0 | % | -83.0 | % | -85.0 | % | -87.0 | % | -88.9 | % | -90.7 | % | -92.3 | % | -93.7 | % | ||||||||||||||||||||||||||||||||
-30% | -90 | % | -65.7 | % | -66.0 | % | -66.7 | % | -67.9 | % | -69.6 | % | -71.6 | % | -73.8 | % | -76.2 | % | -78.8 | % | -81.3 | % | -83.8 | % | -86.2 | % | -88.4 | % | -90.3 | % | -92.1 | % | ||||||||||||||||||||||||||||||||
-25% | -75 | % | -57.8 | % | -58.1 | % | -59.1 | % | -60.6 | % | -62.6 | % | -65.0 | % | -67.8 | % | -70.8 | % | -73.9 | % | -77.0 | % | -80.1 | % | -83.0 | % | -85.7 | % | -88.1 | % | -90.3 | % | ||||||||||||||||||||||||||||||||
-20% | -60 | % | -48.8 | % | -49.2 | % | -50.3 | % | -52.1 | % | -54.6 | % | -57.6 | % | -60.9 | % | -64.5 | % | -68.3 | % | -72.1 | % | -75.8 | % | -79.3 | % | -82.6 | % | -85.6 | % | -88.2 | % | ||||||||||||||||||||||||||||||||
-15% | -45 | % | -38.6 | % | -39.0 | % | -40.4 | % | -42.6 | % | -45.5 | % | -49.1 | % | -53.1 | % | -57.5 | % | -62.0 | % | -66.5 | % | -71.0 | % | -75.2 | % | -79.1 | % | -82.7 | % | -85.9 | % | ||||||||||||||||||||||||||||||||
-10% | -30 | % | -27.1 | % | -27.6 | % | -29.3 | % | -31.9 | % | -35.3 | % | -39.6 | % | -44.3 | % | -49.5 | % | -54.9 | % | -60.3 | % | -65.6 | % | -70.6 | % | -75.2 | % | -79.5 | % | -83.2 | % | ||||||||||||||||||||||||||||||||
-5% | -15 | % | -14.3 | % | -14.9 | % | -16.8 | % | -19.9 | % | -24.0 | % | -28.9 | % | -34.5 | % | -40.6 | % | -46.9 | % | -53.3 | % | -59.5 | % | -65.4 | % | -70.9 | % | -75.9 | % | -80.3 | % | ||||||||||||||||||||||||||||||||
0% | 0 | % | 0.0 | % | -0.7 | % | -3.0 | % | -6.5 | % | -11.3 | % | -17.1 | % | -23.7 | % | -30.8 | % | -38.1 | % | -45.5 | % | -52.8 | % | -59.6 | % | -66.0 | % | -71.8 | % | -77.0 | % | ||||||||||||||||||||||||||||||||
5% | 15 | % | 15.8 | % | 14.9 | % | 12.3 | % | 8.2 | % | 2.7 | % | -4.0 | % | -11.6 | % | -19.8 | % | -28.4 | % | -36.9 | % | -45.3 | % | -53.3 | % | -60.7 | % | -67.4 | % | -73.4 | % | ||||||||||||||||||||||||||||||||
10% | 30 | % | 33.1 | % | 32.1 | % | 29.2 | % | 24.4 | % | 18.0 | % | 10.3 | % | 1.6 | % | -7.8 | % | -17.6 | % | -27.5 | % | -37.1 | % | -46.3 | % | -54.8 | % | -62.5 | % | -69.4 | % | ||||||||||||||||||||||||||||||||
15% | 45 | % | 52.1 | % | 51.0 | % | 47.6 | % | 42.2 | % | 34.9 | % | 26.1 | % | 16.1 | % | 5.3 | % | -5.9 | % | -17.2 | % | -28.2 | % | -38.6 | % | -48.4 | % | -57.2 | % | -65.0 | % | ||||||||||||||||||||||||||||||||
20% | 60 | % | 72.8 | % | 71.5 | % | 67.7 | % | 61.5 | % | 53.3 | % | 43.3 | % | 31.9 | % | 19.7 | % | 6.9 | % | -5.9 | % | -18.4 | % | -30.3 | % | -41.3 | % | -51.4 | % | -60.3 | % | ||||||||||||||||||||||||||||||||
25% | 75 | % | 95.3 | % | 93.9 | % | 89.5 | % | 82.6 | % | 73.2 | % | 61.9 | % | 49.1 | % | 35.2 | % | 20.9 | % | 6.4 | % | -7.7 | % | -21.2 | % | -33.7 | % | -45.0 | % | -55.1 | % | ||||||||||||||||||||||||||||||||
30% | 90 | % | 119.7 | % | 118.1 | % | 113.2 | % | 105.4 | % | 94.9 | % | 82.1 | % | 67.7 | % | 52.1 | % | 35.9 | % | 19.7 | % | 3.8 | % | -11.3 | % | -25.4 | % | -38.1 | % | -49.5 | % | ||||||||||||||||||||||||||||||||
35% | 105 | % | 146.0 | % | 144.2 | % | 138.8 | % | 130.0 | % | 118.2 | % | 104.0 | % | 87.8 | % | 70.4 | % | 52.2 | % | 34.0 | % | 16.2 | % | -0.7 | % | -16.4 | % | -30.7 | % | -43.4 | % | ||||||||||||||||||||||||||||||||
40% | 120 | % | 174.4 | % | 172.3 | % | 166.3 | % | 156.5 | % | 143.4 | % | 127.5 | % | 109.5 | % | 90.0 | % | 69.8 | % | 49.5 | % | 29.6 | % | 10.7 | % | -6.8 | % | -22.7 | % | -36.9 | % | ||||||||||||||||||||||||||||||||
45% | 135 | % | 204.9 | % | 202.6 | % | 195.9 | % | 185.0 | % | 170.4 | % | 152.7 | % | 132.7 | % | 111.1 | % | 88.6 | % | 66.1 | % | 44.0 | % | 23.0 | % | 3.5 | % | -14.2 | % | -29.9 | % | ||||||||||||||||||||||||||||||||
50% | 150 | % | 237.5 | % | 235.0 | % | 227.5 | % | 215.5 | % | 199.3 | % | 179.8 | % | 157.6 | % | 133.7 | % | 108.8 | % | 83.8 | % | 59.4 | % | 36.2 | % | 14.6 | % | -5.0 | % | -22.4 | % | ||||||||||||||||||||||||||||||||
55% | 165 | % | 272.4 | % | 269.6 | % | 261.4 | % | 248.1 | % | 230.3 | % | 208.7 | % | 184.3 | % | 157.9 | % | 130.4 | % | 102.8 | % | 75.9 | % | 50.3 | % | 26.5 | % | 4.8 | % | -14.4 | % | ||||||||||||||||||||||||||||||||
60% | 180 | % | 309.6 | % | 306.5 | % | 297.5 | % | 282.9 | % | 263.3 | % | 239.6 | % | 212.7 | % | 183.6 | % | 153.5 | % | 123.1 | % | 93.5 | % | 65.3 | % | 39.1 | % | 15.3 | % | -5.8 | % |
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. |
a) | The Shares of each Fund that has commenced investment operations are listed |
Fund | Commencement of Operations | Ticker Symbol | ||||
Name of each exchange on which registered | ||||||
ProShares Short Euro | June 26, 2012 | EUFX | NYSE Arca | |||
ProShares Short VIX Short-Term Futures ETF | October 3, 2011 | SVXY | Cboe BZX Exchange | |||
ProShares Ultra Bloomberg Crude Oil | November 25, 2008 | UCO | NYSE Arca | |||
ProShares Ultra Bloomberg Natural Gas | October 4, 2011 | BOIL | NYSE Arca | |||
ProShares Ultra Euro | November 25, 2008 | ULE | NYSE Arca | |||
ProShares Ultra Gold | December 3, 2008 | UGL | NYSE Arca | |||
ProShares Ultra Silver | December 3, 2008 | AGQ | NYSE Arca | |||
ProShares Ultra VIX Short-Term Futures ETF | October 3, 2011 | UVXY | Cboe BZX Exchange | |||
ProShares Ultra Yen | November 25, 2008 | YCL | ||||
ProShares UltraShort Australian Dollar | July 17, 2012 | CROC | NYSE Arca | |||
ProShares UltraShort Bloomberg Crude Oil | November 25, 2008 | SCO | NYSE Arca | |||
ProShares UltraShort Bloomberg Natural Gas | October 4, 2011 | KOLD | NYSE Arca | |||
ProShares UltraShort Euro | November 25, 2008 | EUO | NYSE Arca | |||
ProShares UltraShort Gold | December 3, 2008 | GLL | NYSE Arca | |||
ProShares UltraShort Silver | December 3, 2008 | ZSL | NYSE Arca | |||
ProShares UltraShort Yen | November 25, 2008 | YCS | NYSE Arca | |||
ProShares VIX Mid-Term Futures ETF | January 3, 2011 | VIXM | Cboe BZX Exchange | |||
ProShares VIX Short-Term Futures ETF | January 3, 2011 | VIXY | Cboe BZX Exchange |
Fund | Number of Holders | |||
ProShares Short Euro | ||||
ProShares Short VIX Short-Term Futures ETF | ||||
ProShares Ultra Bloomberg Crude Oil | ||||
ProShares Ultra Bloomberg Natural Gas | ||||
ProShares Ultra Euro | ||||
ProShares Ultra Gold | ||||
ProShares Ultra Silver | ||||
ProShares Ultra VIX Short-Term Futures ETF | ||||
ProShares Ultra Yen | ||||
ProShares UltraShort Australian Dollar | ||||
ProShares UltraShort Bloomberg Crude Oil | ||||
ProShares UltraShort Bloomberg Natural Gas | ||||
ProShares UltraShort Euro | ||||
ProShares UltraShort Gold | ||||
ProShares UltraShort Silver | ||||
ProShares UltraShort Yen | ||||
ProShares VIX Mid-Term Futures ETF | ||||
ProShares VIX Short-Term Futures ETF | 32,498 | |||
b) | Not applicable. |
Title of Securities Registered | Amount Registered as of December 31, 2019 | Shares Sold For the Three Months Ended December 31, 2019 | Sale Price of Shares Sold For the Three Months Ended December 31, 2019 | Shares Sold For the Year Ended December 31, 2019 | Sale Price of Shares Sold For the Year Ended December 31, 2019 | |||||||||||||||
ProShares Short Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 140,213,786 | — | $ | — | 300,000 | $ | 13,205,150 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 8,945,616,566 | 350,000 | $ | 22,279,185 | 1,500,000 | $ | 84,372,594 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 3,767,599,303 | 8,400,000 | $ | 132,246,531 | 34,050,000 | $ | 569,843,253 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 353,205,850 | 4,600,000 | $ | 50,401,495 | 8,250,000 | $ | 115,544,309 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 90,976,566 | 50,000 | $ | 678,115 | 100,000 | $ | 1,422,682 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 246,598,845 | 50,000 | $ | 2,448,525 | 900,000 | $ | 38,466,355 | ||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,200,576,548 | 250,000 | $ | 7,276,965 | 2,300,000 | $ | 62,741,459 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 6,661,218,948 | 27,900,000 | $ | 504,882,722 | 83,750,000 | $ | 2,454,259,697 | ||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 132,956,903 | 100,000 | $ | 5,563,743 | 200,000 | $ | 11,322,305 |
Title of Securities Registered | Amount Registered as of December 31, 2019 | Shares Sold For the Three Months Ended December 31, 2019 | Sale Price of Shares Sold For the Three Months Ended December 31, 2019 | Shares Sold For the Year Ended December 31, 2019 | Sale Price of Shares Sold For the Year Ended December 31, 2019 | |||||||||||||||
ProShares UltraPro 3x Crude Oil ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 829,485,301 | 6,050,000 | $ | 91,792,208 | 15,150,000 | $ | 251,308,636 | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 908,565,729 | 10,850,000 | $ | 145,081,783 | 20,600,000 | $ | 304,935,397 | ||||||||||||
ProShares UltraShort Australian Dollar | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 162,940,781 | — | $ | — | 50,000 | $ | 3,004,977 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,353,775,887 | 9,250,000 | $ | 126,711,618 | 25,950,000 | $ | 397,696,425 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 663,864,980 | 400,000 | $ | 11,096,468 | 1,200,000 | $ | 30,089,484 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,857,267,878 | 600,000 | $ | 16,398,643 | 1,050,000 | $ | 27,861,560 | ||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 197,613,808 | 50,000 | $ | 2,867,682 | 600,000 | $ | 39,522,691 | ||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 887,571,447 | 150,000 | $ | 4,694,420 | 1,000,000 | $ | 35,269,175 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 906,315,192 | — | $ | — | 450,000 | $ | 34,403,213 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 471,970,126 | 275,000 | $ | 6,458,915 | 1,400,000 | $ | 31,405,087 | ||||||||||||
ProShares VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,157,471,315 | 9,800,000 | $ | 150,212,946 | 30,800,000 | $ | 623,530,990 | ||||||||||||
Total Trust: | 79,125,000 | $ | 1,281,091,964 | 229,600,000 | $ | 5,130,205,439 |
Title of Securities Registered | Amount Registered as of December 31, 2021 | Shares Sold For the Three Months Ended December 31, 2021 | Sale Price of Shares Sold For the Three Months Ended December 31, 2021 | Shares Sold For the Year Ended December 31, 2021 | Sale Price of Shares Sold For the Year Ended December 31, 2021 | |||||||||||||||
ProShares Short Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 53,055,627 | — | $ | — | — | $ | — | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 171,554,024 | 1,700,000 | $ | 92,029,953 | 5,100,000 | $ | 242,419,979 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 895,874,753 | 2,950,000 | $ | 208,741,005 | 7,300,000 | $ | 448,859,664 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,223,856,660 | 10,150,000 | $ | 444,398,676 | 15,350,000 | $ | 613,708,303 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 35,193,079 | 400,000 | $ | 5,256,681 | 500,000 | $ | 6,745,474 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 256,029,521 | 100,000 | $ | 5,794,791 | 1,350,000 | $ | 80,907,462 | ||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 528,911,308 | 50,000 | $ | 1,579,894 | 4,500,000 | $ | 206,892,549 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 7,840,695,204 | 64,850,000 | $ | 1,028,076,449 | 135,235,000 | $ | 4,325,482,924 | ||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 41,792,144 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraShort Australian Dollar | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 57,562,542 | — | $ | — | 50,000 | $ | 2,373,262 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 588,293,431 | 6,150,000 | $ | 80,704,098 | 13,387,500 | $ | 244,778,776 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas * | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,123,725,902 | 6,410,000 | $ | 233,162,234 | 12,020,000 | $ | 679,315,441 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 45,101,099 | 750,000 | $ | 19,353,339 | 1,050,000 | $ | 26,353,725 |
Title of Securities Registered | Amount Registered as of December 31, 2021 | Shares Sold For the Three Months Ended December 31, 2021 | Sale Price of Shares Sold For the Three Months Ended December 31, 2021 | Shares Sold For the Year Ended December 31, 2021 | Sale Price of Shares Sold For the Year Ended December 31, 2021 | |||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 44,569,472 | 350,000 | $ | 11,920,948 | 2,050,000 | $ | 71,200,336 | ||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 145,973,182 | 900,000 | $ | 25,687,004 | 4,650,000 | $ | 117,038,546 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 50,975,999 | 100,000 | $ | 8,108,958 | 200,000 | $ | 15,241,370 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 248,251,356 | 475,000 | $ | 14,813,606 | 3,100,000 | $ | 101,849,396 | ||||||||||||
ProShares VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,277,238,637 | 6,050,000 | $ | 102,222,445 | 22,606,250 | $ | 696,075,984 | ||||||||||||
Combined Trust: | $ | 14,628,653,940 | 101,385,000 | $ | 2,281,850,081 | 228,448,750 | $ | 7,879,243,191 |
* | See Note 9 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K. |
c) | From October 1, |
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares Short Euro | ||||||||
10/01/19 to 10/31/19 | 350,000 | $ | 46.31 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares Short VIX Short-Term Futures ETF | ||||||||
10/01/19 to 10/31/19 | 1,450,000 | $ | 57.00 | |||||
11/01/19 to 11/30/19 | 850,000 | $ | 59.90 | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares Ultra Bloomberg Crude Oil | ||||||||
10/01/19 to 10/31/19 | 5,400,000 | $ | 16.82 | |||||
11/01/19 to 11/30/19 | 3,350,000 | $ | 18.06 | |||||
12/01/19 to 12/31/19 | 3,550,000 | $ | 19.52 | |||||
ProShares Ultra Bloomberg Natural Gas | ||||||||
10/01/19 to 10/31/19 | 350,000 | $ | 13.47 | |||||
11/01/19 to 11/30/19 | 550,000 | $ | 14.99 | |||||
12/01/19 to 12/31/19 | 250,000 | $ | 9.88 | |||||
ProShares Ultra Euro | ||||||||
10/01/19 to 10/31/19 | — | $ | — | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares Ultra Gold | ||||||||
10/01/19 to 10/31/19 | 150,000 | $ | 48.29 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares Ultra Silver | ||||||||
10/01/19 to 10/31/19 | 100,000 | $ | 31.19 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||
10/01/19 to 10/31/19 | 5,400,000 | $ | 28.50 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | 4,400,000 | $ | 17.38 | |||||
ProShares Ultra Yen | ||||||||
10/01/19 to 10/31/19 | — | $ | — | |||||
11/01/19 to 11/30/19 | 50,000 | $ | 55.68 | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares UltraPro 3x Crude Oil ETF | ||||||||
10/01/19 to 10/31/19 | 3,600,000 | $ | 16.34 | |||||
11/01/19 to 11/30/19 | 2,750,000 | $ | 18.28 | |||||
12/01/19 to 12/31/19 | 2,050,000 | $ | 20.15 | |||||
ProShares UltraPro 3x Short Crude Oil ETF | ||||||||
10/01/19 to 10/31/19 | 2,750,000 | $ | 17.87 | |||||
11/01/19 to 11/30/19 | 1,650,000 | $ | 13.61 | |||||
12/01/19 to 12/31/19 | 1,750,000 | $ | 12.94 |
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares Short Euro | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares Short VIX Short-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | 1,050,000 | $ | 61.72 | |||||
11/01/21 to 11/30/21 | 400,000 | $ | 62.71 | |||||
12/01/21 to 12/31/21 | 500,000 | $ | 60.67 | |||||
ProShares Ultra Bloomberg Crude Oil | ||||||||
10/01/21 to 10/31/21 | 700,000 | $ | 93.00 | |||||
11/01/21 to 11/30/21 | 650,000 | $ | 89.57 | |||||
12/01/21 to 12/31/21 | 1,700,000 | $ | 79.43 | |||||
ProShares Ultra Bloomberg Natural Gas | ||||||||
10/01/21 to 10/31/21 | 600,000 | $ | 82.01 | |||||
11/01/21 to 11/30/21 | 1,800,000 | $ | 60.36 | |||||
12/01/21 to 12/31/21 | 1,900,000 | $ | 27.93 | |||||
ProShares Ultra Euro | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares Ultra Gold | ||||||||
10/01/21 to 10/31/21 | 200,000 | $ | 55.76 | |||||
11/01/21 to 11/30/21 | 100,000 | $ | 62.71 | |||||
12/01/21 to 12/31/21 | 50,000 | $ | 57.52 |
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares UltraShort Australian Dollar | ||||||||
10/01/19 to 10/31/19 | 50,000 | $ | 60.98 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||
10/01/19 to 10/31/19 | 2,550,000 | $ | 16.63 | |||||
11/01/19 to 11/30/19 | 500,000 | $ | 14.78 | |||||
12/01/19 to 12/31/19 | 1,550,000 | $ | 14.70 | |||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||
10/01/19 to 10/31/19 | 100,000 | $ | 28.30 | |||||
11/01/19 to 11/30/19 | 200,000 | $ | 31.22 | |||||
12/01/19 to 12/31/19 | 50,000 | $ | 35.31 | |||||
ProShares UltraShort Euro | ||||||||
10/01/19 to 10/31/19 | 150,000 | $ | 27.35 | |||||
11/01/19 to 11/30/19 | 700,000 | $ | 27.59 | |||||
12/01/19 to 12/31/19 | 100,000 | $ | 27.19 | |||||
ProShares UltraShort Gold | ||||||||
10/01/19 to 10/31/19 | — | $ | — | |||||
11/01/19 to 11/30/19 | 50,000 | $ | 57.78 | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares UltraShort Silver | ||||||||
10/01/19 to 10/31/19 | 100,000 | $ | 27.55 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | 50,000 | $ | 30.20 | |||||
ProShares UltraShort Yen | ||||||||
10/01/19 to 10/31/19 | — | $ | — | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | 50,000 | $ | 77.03 | |||||
ProShares VIX Mid-Term Futures ETF | ||||||||
10/01/19 to 10/31/19 | 25,000 | $ | 22.92 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | — | $ | — | |||||
ProShares VIX Short-Term Futures ETF | ||||||||
10/01/19 to 10/31/19 | 1,075,000 | $ | 21.85 | |||||
11/01/19 to 11/30/19 | — | $ | — | |||||
12/01/19 to 12/31/19 | 1,575,000 | $ | 13.81 |
ProShares Ultra Silver | ||||||||
10/01/21 to 10/31/21 | 50,000 | $ | 35.23 | |||||
11/01/21 to 11/30/21 | 150,000 | $ | 35.85 | |||||
12/01/21 to 12/31/21 | 200,000 | $ | 34.41 | |||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | 2,800,000 | $ | 20.15 | |||||
11/01/21 to 11/30/21 | 25,100,000 | $ | 18.85 | |||||
12/01/21 to 12/31/21 | 12,900,000 | $ | 20.22 | |||||
ProShares Ultra Yen | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares UltraShort Australian Dollar | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 50,000 | $ | 48.42 | |||||
12/01/21 to 12/31/21 | — | $ | — | |||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 2,500,000 | $ | 14.84 | |||||
12/01/21 to 12/31/21 | 950,000 | $ | 14.90 | |||||
ProShares UltraShort Bloomberg Natural Gas* | ||||||||
10/01/21 to 10/31/21 | 1,380,000 | $ | 38.15 | |||||
11/01/21 to 11/30/21 | 3,170,000 | $ | 41.50 | |||||
12/01/21 to 12/31/21 | 1,890,000 | $ | 60.90 | |||||
ProShares UltraShort Euro | ||||||||
10/01/21 to 10/31/21 | 100,000 | $ | 25.03 | |||||
11/01/21 to 11/30/21 | 250,000 | $ | 24.87 | |||||
12/01/21 to 12/31/21 | 250,000 | $ | 26.46 | |||||
ProShares UltraShort Gold | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 100,000 | $ | 33.39 | |||||
12/01/21 to 12/31/21 | 200,000 | $ | 32.99 | |||||
ProShares UltraShort Silver | ||||||||
10/01/21 to 10/31/21 | 350,000 | $ | 27.36 | |||||
11/01/21 to 11/30/21 | 400,000 | $ | 25.94 | |||||
12/01/21 to 12/31/21 | 450,000 | $ | 29.47 | |||||
ProShares UltraShort Yen | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | — | $ | — | |||||
12/01/21 to 12/31/21 | 100,000 | $ | 79.74 | |||||
ProShares VIX Mid-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 400,000 | $ | 30.77 | |||||
12/01/21 to 12/31/21 | 350,000 | $ | 31.96 | |||||
ProShares VIX Short-Term Futures ETF | ||||||||
10/01/21 to 10/31/21 | — | $ | — | |||||
11/01/21 to 11/30/21 | 1,875,000 | $ | 20.51 | |||||
12/01/21 to 12/31/21 | 2,600,000 | $ | 20.79 |
* | See Note 9 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
PROSHARES SHORT EURO | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 2,289,155 | $ | 8,631,926 | $ | 8,041,728 | $ | 15,859,440 | $ | 17,524,993 | ||||||||||
Total shareholders’ equity at end of period | 2,282,195 | 8,619,686 | 7,991,880 | 15,770,088 | 17,510,898 | |||||||||||||||
Net investment income (loss) | 176,251 | 44,457 | (37,627 | ) | (122,728 | ) | (178,761 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1,002,978 | 583,349 | (1,461,940 | ) | 553,281 | 1,417,580 | ||||||||||||||
Net income (loss) | 1,179,229 | 627,806 | (1,499,567 | ) | 430,553 | 1,238,819 | ||||||||||||||
Net increase (decrease) in net asset value per share | 2.54 | 3.14 | (5.10 | ) | 1.28 | 3.72 | ||||||||||||||
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 284,649,062 | $ | 360,341,566 | $ | 816,337,770 | $ | 228,630,598 | $ | 674,236,256 | ||||||||||
Total shareholders’ equity at end of period | 284,437,179 | 344,596,263 | 770,163,871 | 228,075,387 | 642,811,361 | |||||||||||||||
Net investment income (loss) | 1,162,163 | (2,209,355 | ) | (5,373,544 | ) | (5,396,850 | ) | (5,798,200 | ) | |||||||||||
Net realized and unrealized gain (loss) | 150,375,598 | (1,917,289,617 | ) | 924,694,573 | 419,316,869 | 96,936,157 | ||||||||||||||
Net income (loss) | 151,537,761 | (1,919,498,972 | ) | 919,321,029 | 413,920,019 | 91,137,957 | ||||||||||||||
Net increase (decrease) in net asset value per share | 23.26 | (466.84 | ) | 326.74 | 80.83 | (21.16 | ) | |||||||||||||
PROSHARES ULTRA BLOOMBERG CRUDE OIL | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 310,368,837 | $ | 441,765,830 | $ | 534,325,767 | $ | 962,419,733 | $ | 859,276,004 | ||||||||||
Total shareholders’ equity at end of period | 309,844,582 | 368,399,654 | 524,445,526 | 933,731,860 | 783,922,475 | |||||||||||||||
Net investment income (loss) | 3,864,584 | 3,022,808 | (1,379,461 | ) | (6,631,380 | ) | (8,473,155 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 253,585,147 | (139,204,737 | ) | 35,389,465 | 225,050,768 | (863,611,244 | ) | |||||||||||||
Net income (loss) | 257,449,731 | (136,181,929 | ) | 34,010,004 | 218,419,388 | (872,084,399 | ) | |||||||||||||
Net increase (decrease) in net asset value per share | 7.31 | (10.60 | ) | 0.32 | (1.81 | ) | (76.33 | ) |
PROSHARES ULTRA BLOOMBERG NATURAL GAS | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 45,196,991 | $ | 17,951,294 | $ | 67,524,849 | $ | 44,767,860 | $ | 38,879,917 | ||||||||||
Total shareholders’ equity at end of period | 45,160,205 | 14,617,440 | 63,268,950 | 43,203,386 | 38,851,184 | |||||||||||||||
Net investment income (loss) | 162,388 | 96,319 | (233,762 | ) | (384,486 | ) | (761,335 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (24,707,604 | ) | 3,545,801 | (36,107,690 | ) | 13,794,133 | (59,570,610 | ) | ||||||||||||
Net income (loss) | (24,545,216 | ) | 3,642,120 | (36,341,452 | ) | 13,409,647 | (60,331,945 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | (16.88 | ) | (7.36 | ) | (61.60 | ) | 1.39 | (215.40 | ) | |||||||||||
PROSHARES ULTRA EURO | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 6,209,342 | $ | 7,554,617 | $ | 9,656,271 | $ | 12,500,772 | $ | 12,437,492 | ||||||||||
Total shareholders’ equity at end of period | 6,204,424 | 7,544,569 | 9,591,516 | 11,914,585 | 10,857,730 | |||||||||||||||
Net investment income (loss) | 58,528 | 30,823 | (29,782 | ) | (74,522 | ) | (104,071 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (670,417 | ) | (1,269,677 | ) | 3,049,926 | (1,039,312 | ) | (1,274,395 | ) | |||||||||||
Net income (loss) | (611,889 | ) | (1,238,854 | ) | 3,020,144 | (1,113,834 | ) | (1,378,466 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (1.30 | ) | (2.35 | ) | 3.42 | (1.49 | ) | (4.36 | ) | |||||||||||
PROSHARES ULTRA GOLD | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 110,810,975 | $ | 87,308,381 | $ | 93,779,522 | $ | 96,632,172 | $ | 72,172,441 | ||||||||||
Total shareholders’ equity at end of period | 110,726,032 | 83,523,294 | 93,708,748 | 92,127,200 | 69,864,815 | |||||||||||||||
Net investment income (loss) | 902,937 | 625,631 | (136,329 | ) | (650,951 | ) | (796,424 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 23,404,029 | (6,664,992 | ) | 19,581,562 | 3,617,098 | (22,915,651 | ) | |||||||||||||
Net income (loss) | 24,306,966 | (6,039,361 | ) | 19,445,233 | 2,966,147 | (23,712,075 | ) | |||||||||||||
Net increase (decrease) in net asset value per share | 12.09 | (2.76 | ) | 6.98 | 3.17 | (10.27 | ) | |||||||||||||
PROSHARES ULTRA SILVER | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 239,830,381 | $ | 202,021,571 | $ | 261,786,204 | $ | 296,979,700 | $ | 239,160,686 | ||||||||||
Total shareholders’ equity at end of period | 239,254,842 | 201,824,376 | 258,244,696 | 275,779,940 | 216,416,642 | |||||||||||||||
Net investment income (loss) | 1,856,270 | 1,469,179 | (409,752 | ) | (2,179,392 | ) | (2,507,859 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 38,597,244 | (52,558,544 | ) | 10,949,744 | 63,914,077 | (88,492,326 | ) | |||||||||||||
Net income (loss) | 40,453,514 | (51,089,365 | ) | 10,539,992 | 61,734,685 | (91,000,185 | ) | |||||||||||||
Net increase (decrease) in net asset value per share | 5.31 | (7.16 | ) | 0.11 | 6.38 | (12.31 | ) |
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 562,277,336 | $ | 222,583,868 | $ | 394,379,433 | $ | 552,972,566 | $ | 560,771,363 | ||||||||||
Total shareholders’ equity at end of period | 527,636,003 | 214,304,871 | 394,035,141 | 515,758,754 | 547,708,740 | |||||||||||||||
Net investment income (loss) | 95,052 | (3,145,671 | ) | (4,896,061 | ) | (8,936,777 | ) | (7,410,148 | ) | |||||||||||
Net realized and unrealized gain (loss) | (690,606,892 | ) | 455,645,412 | (1,047,275,669 | ) | (1,587,220,286 | ) | (419,888,086 | ) | |||||||||||
Net income (loss) | (690,511,840 | ) | 452,499,741 | (1,052,171,730 | ) | (1,596,157,063 | ) | (427,298,234 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (68.79 | ) | 29.79 | (817.96 | ) | (13,172.38 | ) | (48,688.01 | ) | |||||||||||
PROSHARES ULTRA YEN | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 5,595,968 | $ | 5,756,235 | $ | 2,901,405 | $ | 5,887,949 | $ | 5,483,876 | ||||||||||
Total shareholders’ equity at end of period | 5,580,964 | 5,751,716 | 2,864,269 | 5,540,957 | 5,473,848 | |||||||||||||||
Net investment income (loss) | 38,514 | (983 | ) | (21,882 | ) | (45,847 | ) | (44,423 | ) | |||||||||||
Net realized and unrealized gain (loss) | (129,576 | ) | 41,854 | 260,916 | 113,155 | (196,091 | ) | |||||||||||||
Net income (loss) | (91,062 | ) | 40,871 | 239,034 | 67,308 | (240,514 | ) | |||||||||||||
Net increase (decrease) in net asset value per share | (1.70 | ) | 0.21 | 1.89 | 0.68 | (1.72 | ) |
PROSHARES ULTRAPRO 3X CRUDE OIL ETF | ||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | January 13, 2017 (Inception) through December 31, 2017 | ||||||||||
Total assets | $ | 73,000,005 | $ | 87,728,540 | $ | 11,335,483 | ||||||
Total shareholders’ equity at end of period | 70,859,329 | 87,667,042 | 11,335,483 | |||||||||
Net investment income (loss) | 730,081 | (38,284 | ) | (119,518 | ) | |||||||
Net realized and unrealized gain (loss) | 99,897,682 | (62,304,155 | ) | 7,436,616 | ||||||||
Net income (loss) | 100,627,763 | (62,342,439 | ) | 7,317,098 | ||||||||
Net increase (decrease) in net asset value per share | 8.39 | (24.70 | ) | 12.78 | ||||||||
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF | ||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | January 13, 2017 (Inception) through December 31, 2017 | ||||||||||
Total assets | $ | 91,463,267 | $ | 18,772,977 | $ | 21,688,274 | ||||||
Total shareholders’ equity at end of period | 91,389,147 | 18,665,099 | 21,161,176 | |||||||||
Net investment income (loss) | 103,397 | (108,691 | ) | (110,590 | ) | |||||||
Net realized and unrealized gain (loss) | (17,779,115 | ) | 17,384,911 | (10,034,783 | ) | |||||||
Net income (loss) | (17,675,718 | ) | 17,276,220 | (10,145,373 | ) | |||||||
Net increase (decrease) in net asset value per share | (39.13 | ) | 7.47 | (57.68 | ) |
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 5,651,054 | $ | 11,068,693 | $ | 13,766,301 | $ | 16,658,768 | $ | 20,477,446 | ||||||||||
Total shareholders’ equity at end of period | 5,608,612 | 11,060,333 | 13,702,102 | 16,613,473 | 20,460,679 | |||||||||||||||
Net investment income (loss) | 80,325 | 36,746 | (46,774 | ) | (145,652 | ) | (209,987 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 97,591 | 1,534,232 | (2,943,227 | ) | (1,183,820 | ) | 3,166,384 | |||||||||||||
Net income (loss) | 177,916 | 1,570,978 | (2,990,001 | ) | (1,329,472 | ) | 2,956,397 | |||||||||||||
Net increase (decrease) in net asset value per share | 0.79 | 9.63 | (9.71 | ) | (3.08 | ) | 7.08 | |||||||||||||
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 129,574,044 | $ | 114,514,333 | $ | 257,334,914 | $ | 213,341,677 | $ | 96,858,373 | ||||||||||
Total shareholders’ equity at end of period | 125,451,681 | 114,377,311 | 225,843,284 | 200,958,303 | 95,897,894 | |||||||||||||||
Net investment income (loss) | 709,799 | 1,038,630 | (355,651 | ) | (1,408,964 | ) | (2,166,211 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (45,316,202 | ) | 16,471,427 | (27,449,491 | ) | (90,265,381 | ) | 57,732,875 | ||||||||||||
Net income (loss) | (44,606,403 | ) | 17,510,057 | (27,805,142 | ) | (91,674,345 | ) | 55,566,664 | ||||||||||||
Net increase (decrease) in net asset value per share | (17.60 | ) | 5.48 | (7.39 | ) | (34.90 | ) | 27.61 | ||||||||||||
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 12,532,289 | $ | 22,163,554 | $ | 7,009,957 | $ | 4,042,309 | $ | 11,260,804 | ||||||||||
Total shareholders’ equity at end of period | 12,515,603 | 17,825,441 | 6,902,743 | 4,038,794 | 10,462,856 | |||||||||||||||
Net investment income (loss) | 29,417 | (4,454 | ) | (54,451 | ) | (122,172 | ) | (177,124 | ) | |||||||||||
Net realized and unrealized gain (loss) | 9,121,181 | (2,213,011 | ) | 4,146,852 | 2,578,744 | 8,800,372 | ||||||||||||||
Net income (loss) | 9,150,598 | (2,217,465 | ) | 4,092,401 | 2,456,572 | 8,623,248 | ||||||||||||||
Net increase (decrease) in net asset value per share | 16.92 | (17.87 | ) | 16.38 | (23.43 | ) | 18.54 | |||||||||||||
PROSHARES ULTRASHORT EURO | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 123,046,852 | $ | 158,275,753 | $ | 209,513,363 | $ | 356,811,359 | $ | 556,539,359 | ||||||||||
Total shareholders’ equity at end of period | 120,581,173 | 154,120,159 | 202,548,197 | 349,392,650 | 522,306,518 | |||||||||||||||
Net investment income (loss) | 1,528,830 | 1,324,494 | (396,715 | ) | (2,764,657 | ) | (5,000,587 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 12,993,771 | 23,822,591 | (62,222,928 | ) | 19,174,666 | 86,176,969 | ||||||||||||||
Net income (loss) | 14,522,601 | 25,147,085 | (62,619,643 | ) | 16,410,009 | 81,176,382 | ||||||||||||||
Net increase (decrease) in net asset value per share | 2.53 | 3.06 | (5.87 | ) | 1.54 | 3.95 |
PROSHARES ULTRASHORT GOLD | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 22,262,798 | $ | 19,105,095 | $ | 33,013,345 | $ | 63,709,441 | $ | 75,031,735 | ||||||||||
Total shareholders’ equity at end of period | 21,047,560 | 18,098,997 | 31,497,410 | 63,653,647 | 74,971,764 | |||||||||||||||
Net investment income (loss) | 186,714 | 171,341 | (60,865 | ) | (461,423 | ) | (703,582 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (5,733,559 | ) | 1,796,398 | (11,543,036 | ) | (11,000,717 | ) | 16,807,446 | ||||||||||||
Net income (loss) | (5,546,845 | ) | 1,967,739 | (11,603,901 | ) | (11,462,140 | ) | 16,103,864 | ||||||||||||
Net increase (decrease) in net asset value per share | (20.26 | ) | 2.81 | (20.86 | ) | (24.55 | ) | 19.23 | ||||||||||||
PROSHARES ULTRASHORT SILVER | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 15,813,405 | $ | 13,578,709 | $ | 19,713,505 | $ | 23,037,206 | $ | 56,035,123 | ||||||||||
Total shareholders’ equity at end of period | 13,834,163 | 11,768,863 | 14,806,259 | 23,017,656 | 55,987,938 | |||||||||||||||
Net investment income (loss) | 131,913 | 112,472 | (36,600 | ) | (255,853 | ) | (516,464 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (4,741,974 | ) | 4,905,754 | (1,980,408 | ) | (20,928,956 | ) | 14,943,700 | ||||||||||||
Net income (loss) | (4,610,061 | ) | 5,018,226 | (2,017,008 | ) | (21,184,809 | ) | 14,427,236 | ||||||||||||
Net increase (decrease) in net asset value per share | (10.37 | ) | 5.42 | (5.60 | ) | (27.27 | ) | 6.77 | ||||||||||||
PROSHARES ULTRASHORT YEN | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 38,165,164 | $ | 59,214,608 | $ | 134,986,033 | $ | 277,139,658 | $ | 261,207,696 | ||||||||||
Total shareholders’ equity at end of period | 38,132,320 | 55,363,675 | 131,077,453 | 276,781,747 | 237,372,900 | |||||||||||||||
Net investment income (loss) | 555,474 | 607,874 | (355,974 | ) | (1,609,562 | ) | (3,623,678 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1,240,842 | (2,528,655 | ) | (23,960,625 | ) | 8,431,035 | (3,541,134 | ) | ||||||||||||
Net income (loss) | 1,796,316 | (1,920,781 | ) | (24,316,599 | ) | 6,821,473 | (7,164,812 | ) | ||||||||||||
Net increase (decrease) in net asset value per share | 2.48 | (1.04 | ) | (5.31 | ) | (7.70 | ) | (1.39 | ) |
PROSHARES VIX MID-TERM FUTURES ETF | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 47,145,739 | $ | 57,571,528 | $ | 27,429,888 | $ | 47,936,506 | $ | 27,671,016 | ||||||||||
Total shareholders’ equity at end of period | 45,986,584 | 56,299,121 | 26,347,948 | 45,818,914 | 27,650,638 | |||||||||||||||
Net investment income (loss) | 493,213 | 116,328 | (81,807 | ) | (294,491 | ) | (240,600 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (12,266,525 | ) | 10,305,853 | (26,246,741 | ) | (12,029,971 | ) | (3,939,933 | ) | |||||||||||
Net income (loss) | (11,773,312 | ) | 10,422,181 | (26,328,548 | ) | (12,324,462 | ) | (4,180,533 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (5.38 | ) | 5.36 | (20.85 | ) | (11.82 | ) | (9.64 | ) | |||||||||||
PROSHARES VIX SHORT-TERM FUTURES ETF | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||||||||
Total assets | $ | 292,836,738 | $ | 155,107,403 | $ | 141,228,210 | $ | 174,247,783 | $ | 105,350,240 | ||||||||||
Total shareholders’ equity at end of period | 279,792,503 | 149,547,115 | 137,741,560 | 174,160,146 | 105,272,823 | |||||||||||||||
Net investment income (loss) | 2,153,399 | 366,665 | (293,186 | ) | (1,436,647 | ) | (1,150,794 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (227,121,451 | ) | 112,056,276 | (198,310,919 | ) | (194,856,158 | ) | (26,753,742 | ) | |||||||||||
Net income (loss) | (224,968,052 | ) | 112,422,941 | (198,604,105 | ) | (196,292,805 | ) | (27,904,536 | ) | |||||||||||
Net increase (decrease) in net asset value per share | (26.28 | ) | 15.24 | (61.52 | ) | (179.98 | ) | (153.80 | ) |
Fund | Interest Income Year Ended December 31, 2019 | Interest Income Year Ended December 31, 2018 | ||||||
ProShares Short Euro | $ | 314,021 | $ | 123,954 | ||||
ProShares Short VIX Short-Term Futures ETF | 5,618,666 | 5,721,966 | ||||||
ProShares Ultra Bloomberg Crude Oil | 7,627,706 | 7,041,517 | ||||||
ProShares Ultra Bloomberg Natural Gas | 589,183 | 489,924 | ||||||
ProShares Ultra Euro | 121,071 | 112,904 | ||||||
ProShares Ultra Gold | 1,798,692 | 1,437,347 | ||||||
ProShares Ultra Silver | 3,823,565 | 3,490,072 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 7,903,309 | 3,853,146 | ||||||
ProShares Ultra Yen | 78,463 | 26,930 | ||||||
ProShares UltraPro 3x Crude Oil ETF* | 2,114,130 | 351,928 | ||||||
ProShares UltraPro 3x Short Crude Oil ETF* | 562,435 | 190,658 | ||||||
ProShares UltraShort Australian Dollar | 159,039 | 119,098 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 1,570,676 | 2,758,399 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 167,939 | 121,027 | ||||||
ProShares UltraShort Euro | 2,822,207 | 3,045,321 | ||||||
ProShares UltraShort Gold | 380,158 | 423,926 | ||||||
ProShares UltraShort Silver | 279,294 | 309,090 | ||||||
ProShares UltraShort Yen | 1,007,112 | 1,399,342 | ||||||
ProShares VIX Mid-Term Futures ETF | 903,643 | 368,351 | ||||||
ProShares VIX Short-Term Futures ETF | 4,458,270 | 1,594,294 |
Fund | Total Income Year Ended December 31, 2021 | Total Income Year Ended December 31, 2020 | ||||||
ProShares Short Euro | $ | 1,451 | $ | 8,193 | ||||
ProShares Short VIX Short-Term Futures ETF | 101,467 | 941,584 | ||||||
ProShares Ultra Bloomberg Crude Oil | 488,829 | 1,930,769 | ||||||
ProShares Ultra Bloomberg Natural Gas | 50,091 | 206,527 | ||||||
ProShares Ultra Euro | 1,922 | 16,819 | ||||||
ProShares Ultra Gold | 92,581 | 594,847 | ||||||
ProShares Ultra Silver | 261,655 | 1,134,396 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 249,487 | 1,707,491 | ||||||
ProShares Ultra Yen | 1,187 | 9,427 | ||||||
ProShares UltraPro 3x Crude Oil ETF * | — | 346,326 | ||||||
ProShares UltraPro 3x Short Crude Oil ETF * | — | 166,789 | ||||||
ProShares UltraShort Australian Dollar | 1,414 | 20,907 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 51,207 | 268,844 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 44,855 | 59,046 | ||||||
ProShares UltraShort Euro | 24,790 | 499,520 | ||||||
ProShares UltraShort Gold | 13,048 | 67,722 | ||||||
ProShares UltraShort Silver | 12,422 | 52,402 | ||||||
ProShares UltraShort Yen | 12,708 | 139,822 | ||||||
ProShares VIX Mid-Term Futures ETF | 41,362 | 214,449 | ||||||
ProShares VIX Short-Term Futures ETF | 101,051 | 1,152,242 |
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 8,619,686 | $ | 7,991,880 | ||||
NAV end of period | $ | 2,282,195 | $ | 8,619,686 | ||||
Percentage change in NAV | (73.5 | )% | 7.9 | % | ||||
Shares outstanding beginning of period | 200,000 | 200,000 | ||||||
Shares outstanding end of period | 50,000 | 200,000 | ||||||
Percentage change in shares outstanding | (75.0 | )% | — | |||||
Shares created | 300,000 | — | ||||||
Shares redeemed | 450,000 | — | ||||||
Per share NAV beginning of period | $ | 43.10 | $ | 39.96 | ||||
Per share NAV end of period | $ | 45.64 | $ | 43.10 | ||||
Percentage change in per share NAV | 5.9 | % | 7.9 | % | ||||
Percentage change in benchmark | (2.1 | )% | (4.5 | )% | ||||
Benchmark annualized volatility | 5.1 | % | 7.2 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 4,191,955 | $ | 2,282,195 | ||||
NAV end of period | $ | 2,245,421 | $ | 4,191,955 | ||||
Percentage change in NAV | (46.4 | )% | 83.7 | % | ||||
Shares outstanding beginning of period | 100,000 | 50,000 | ||||||
Shares outstanding end of period | 50,000 | 100,000 | ||||||
Percentage change in shares outstanding | (50.0 | )% | 100.0 | % | ||||
Shares created | — | 50,000 | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 41.92 | $ | 45.64 | ||||
Per share NAV end of period | $ | 44.91 | $ | 41.92 | ||||
Percentage change in per share NAV | 7.1 | % | (8.2 | )% | ||||
Percentage change in benchmark | (6.9 | )% | 8.9 | % | ||||
Benchmark annualized volatility | 5.8 | % | 7.5 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 176,251 | $ | 44,457 | ||||
Management fee | 135,292 | 78,253 | ||||||
Brokerage commissions | 2,478 | 1,244 | ||||||
Net realized gain (loss) | 973,665 | 459,984 | ||||||
Change in net unrealized appreciation (depreciation) | 29,313 | 123,365 | ||||||
Net income (loss) | $ | 1,179,229 | $ | 627,806 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (23,603 | ) | $ | (16,777 | ) | ||
Management fee | 24,629 | 24,443 | ||||||
Brokerage commissions | 425 | 448 | ||||||
Non-recurring fees and expenses | — | 79 | ||||||
Net realized gain (loss) | 184,655 | (200,965 | ) | |||||
Change in net unrealized appreciation (depreciation) | 39,226 | (30,656 | ) | |||||
Net income (loss) | $ | 200,278 | $ | (248,398 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 344,596,263 | $ | 770,163,871 | ||||
NAV end of period | $ | 284,437,179 | $ | 344,596,263 | ||||
Percentage change in NAV | (17.5 | )% | (55.3 | )% | ||||
Shares outstanding beginning of period | 8,134,307 | 1,512,500 | ||||||
Shares outstanding end of period | 4,334,307 | 8,134,307 | ||||||
Percentage change in shares outstanding | (46.7 | )% | 437.8 | % | ||||
Shares created | 1,500,000 | 19,000,000 | ||||||
Shares redeemed | 5,300,000 | 12,378,193 | ||||||
Per share NAV beginning of period | $ | 42.36 | $ | 509.20 | ||||
Per share NAV end of period | $ | 65.62 | $ | 42.36 | ||||
Percentage change in per share NAV | 54.9 | % | (91.7 | )% | ||||
Percentage change in benchmark | (67.8 | )% | 68.1 | % | ||||
Benchmark annualized volatility | 60.4 | % | 118.0 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 409,371,468 | $ | 284,437,179 | ||||
NAV end of period | $ | 423,812,594 | $ | 409,371,468 | ||||
Percentage change in NAV | 3.5 | % | 43.9 | % | ||||
Shares outstanding beginning of period | 9,884,307 | 4,334,307 | ||||||
Shares outstanding end of period | 6,884,307 | 9,884,307 | ||||||
Percentage change in shares outstanding | (30.4 | )% | 128.0 | % | ||||
Shares created | 5,100,000 | 27,050,000 | ||||||
Shares redeemed | 8,100,000 | 21,500,000 | ||||||
Per share NAV beginning of period | $ | 41.42 | $ | 65.62 | ||||
Per share NAV end of period | $ | 61.56 | $ | 41.42 | ||||
Percentage change in per share NAV | 48.6 | % | (36.9 | )% | ||||
Percentage change in benchmark | (72.2 | )% | 13.2 | % | ||||
Benchmark annualized volatility | 78.0 | % | 102.6 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (6,142,394 | ) | $ | (5,269,562 | ) | ||
Management fee | 4,358,107 | 4,469,701 | ||||||
Brokerage commissions | 848,956 | 712,651 | ||||||
Futures account fees | 1,036,798 | 1,005,403 | ||||||
Non-recurring fees and expenses | — | 23,391 | ||||||
Net realized gain (loss) | 194,998,324 | (72,610,082 | ) | |||||
Change in net unrealized appreciation (depreciation) | 22,890,058 | (1,907,863 | ) | |||||
Net income (loss) | $ | 211,745,988 | $ | (79,787,507 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 902,739,250 | $ | 309,844,582 | ||||
NAV end of period | $ | 1,103,783,570 | $ | 902,739,250 | ||||
Percentage change in NAV | 22.3 | % | 191.4 | % | ||||
Shares outstanding beginning of period | 24,810,774 | 608,453 | ||||||
Shares outstanding end of period | 12,810,774 | 24,810,774 | ||||||
Percentage change in shares outstanding | (48.4 | )% | 3,977.7 | % | ||||
Shares created | 7,300,000 | 120,812,000 | ||||||
Shares redeemed | 19,300,000 | 96,609,679 | ||||||
Per share NAV beginning of period | $ | 36.38 | $ | 509.23 | ||||
Per share NAV end of period | $ | 86.16 | $ | 36.38 | ||||
Percentage change in per share NAV | 136.8 | % | (92.9 | )% | ||||
Percentage change in benchmark | 63.1 | % | (24.1 | )% | ||||
Benchmark annualized volatility | 31.2 | % | 80.1 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 1,162,163 | $ | (2,209,355 | ) | |||
Management fee | 3,333,950 | 5,617,477 | ||||||
Brokerage commissions | 723,282 | 2,162,086 | ||||||
Non-recurring fees and expenses | 398,550 | — | ||||||
Net realized gain (loss) | 125,641,839 | (1,885,823,832 | ) | |||||
Change in net unrealized appreciation (depreciation) | 24,733,759 | (31,465,785 | ) | |||||
Net income (loss) | $ | 151,537,761 | $ | (1,919,498,972 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 368,399,654 | $ | 524,445,526 | ||||
NAV end of period | $ | 309,844,582 | $ | 368,399,654 | ||||
Percentage change in NAV | (15.9 | )% | (29.8 | )% | ||||
Shares outstanding beginning of period | 28,211,317 | 22,161,317 | ||||||
Shares outstanding end of period | 15,211,317 | 28,211,317 | ||||||
Percentage change in shares outstanding | (46.1 | )% | 27.3 | % | ||||
Shares created | 34,050,000 | 24,600,000 | ||||||
Shares redeemed | 47,050,000 | 18,550,000 | ||||||
Per share NAV beginning of period | $ | 13.06 | $ | 23.66 | ||||
Per share NAV end of period | $ | 20.37 | $ | 13.06 | ||||
Percentage change in per share NAV | 56.0 | % | (44.8 | )% | ||||
Percentage change in benchmark | 34.4 | % | (20.5 | )% | ||||
Benchmark annualized volatility | 33.7 | % | 31.1 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 3,864,584 | $ | 3,022,808 | ||||
Management fee | 3,612,580 | 3,918,014 | ||||||
Brokerage commissions | 150,542 | 100,695 | ||||||
Net realized gain (loss) | 144,188,809 | 21,754,687 | ||||||
Change in net unrealized appreciation (depreciation) | 109,396,338 | (160,959,424 | ) | |||||
Net income (loss) | $ | 257,449,731 | $ | (136,181,929 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (11,983,206 | ) | $ | (11,023,311 | ) | ||
Management fee | 10,774,039 | 9,256,478 | ||||||
Brokerage commissions | 871,807 | 2,144,028 | ||||||
Futures account fees | 798,214 | 1,491,895 | ||||||
Non-recurring fees and expenses | 27,975 | 61,679 | ||||||
Net realized gain (loss) | 952,826,131 | (688,299,044 | ) | |||||
Change in net unrealized appreciation (depreciation) | 48,532,601 | 140,214,372 | ||||||
Net income (loss) | $ | 989,375,526 | $ | (559,107,983 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 14,617,440 | $ | 63,268,950 | ||||
NAV end of period | $ | 45,160,205 | $ | 14,617,440 | ||||
Percentage change in NAV | 208.9 | % | (76.9 | )% | ||||
Shares outstanding beginning of period | 578,150 | 1,938,434 | ||||||
Shares outstanding end of period | 5,378,150 | 578,150 | ||||||
Percentage change in shares outstanding | 830.2 | % | (70.2 | )% | ||||
Shares created | 8,250,000 | 1,600,000 | ||||||
Shares redeemed | 3,450,000 | 2,960,284 | ||||||
Per share NAV beginning of period | $ | 25.28 | $ | 32.64 | ||||
Per share NAV end of period | $ | 8.40 | $ | 25.28 | ||||
Percentage change in per share NAV | (66.8 | )% | (22.5 | )% | ||||
Percentage change in benchmark | (37.2 | )% | (0.1 | )% | ||||
Benchmark annualized volatility | 36.1 | % | 45.8 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 169,800,371 | $ | 45,160,205 | ||||
NAV end of period | $ | 193,892,178 | $ | 169,800,371 | ||||
Percentage change in NAV | 14.2 | % | 276.0 | % | ||||
Shares outstanding beginning of period | 8,087,527 | 537,815 | ||||||
Shares outstanding end of period | 7,587,527 | 8,087,527 | ||||||
Percentage change in shares outstanding | (6.2 | )% | 1,403.8 | % | ||||
Shares created | 15,350,000 | 16,685,000 | ||||||
Shares redeemed | 15,850,000 | 9,135,288 | ||||||
Per share NAV beginning of period | $ | 21.00 | $ | 83.97 | ||||
Per share NAV end of period | $ | 25.55 | $ | 21.00 | ||||
Percentage change in per share NAV | 21.7 | % | (75.0 | )% | ||||
Percentage change in benchmark | 28.1 | % | (42.0 | )% | ||||
Benchmark annualized volatility | 52.4 | % | 52.7 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 162,388 | $ | 96,319 | ||||
Management fee | 297,043 | 305,706 | ||||||
Brokerage commissions | 129,752 | 87,899 | ||||||
Net realized gain (loss) | (32,380,218 | ) | 21,092,833 | |||||
Change in net unrealized appreciation (depreciation) | 7,672,614 | (17,547,032 | ) | |||||
Net income (loss) | $ | (24,545,216 | ) | $ | 3,642,120 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (1,609,859 | ) | $ | (939,900 | ) | ||
Management fee | 1,031,508 | 674,810 | ||||||
Brokerage commissions | 352,618 | 377,630 | ||||||
Futures account fees | 275,824 | 92,442 | ||||||
Non-recurring fees and expenses | — | 1,545 | ||||||
Net realized gain (loss) | (51,850,483 | ) | (53,326,797 | ) | ||||
Change in net unrealized appreciation (depreciation) | (14,721,467 | ) | 9,151,863 | |||||
Net income (loss) | $ | (68,181,809 | ) | $ | (45,114,834 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 7,544,569 | $ | 9,591,516 | ||||
NAV end of period | $ | 6,204,424 | $ | 7,544,569 | ||||
Percentage change in NAV | (17.8 | )% | (21.3 | )% | ||||
Shares outstanding beginning of period | 500,000 | 550,000 | ||||||
Shares outstanding end of period | 450,000 | 500,000 | ||||||
Percentage change in shares outstanding | (10.0 | )% | (9.1 | )% | ||||
Shares created | 100,000 | 150,000 | ||||||
Shares redeemed | 150,000 | 200,000 | ||||||
Per share NAV beginning of period | $ | 15.09 | $ | 17.44 | ||||
Per share NAV end of period | $ | 13.79 | $ | 15.09 | ||||
Percentage change in per share NAV | (8.6 | )% | (13.5 | )% | ||||
Percentage change in benchmark | (2.1 | )% | (4.5 | )% | ||||
Benchmark annualized volatility | 5.1 | % | 7.2 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 4,737,350 | $ | 6,204,424 | ||||
NAV end of period | $ | 8,659,095 | $ | 4,737,350 | ||||
Percentage change in NAV | 82.8 | % | (23.6 | )% | ||||
Shares outstanding beginning of period | 300,000 | 450,000 | ||||||
Shares outstanding end of period | 650,000 | 300,000 | ||||||
Percentage change in shares outstanding | 116.7 | % | (33.3 | )% | ||||
Shares created | 500,000 | 250,000 | ||||||
Shares redeemed | 150,000 | 400,000 | ||||||
Per share NAV beginning of period | $ | 15.79 | $ | 13.79 | ||||
Per share NAV end of period | $ | 13.32 | $ | 15.79 | ||||
Percentage change in per share NAV | (15.6 | )% | 14.5 | % | ||||
Percentage change in benchmark | (6.9 | )% | 8.9 | % | ||||
Benchmark annualized volatility | 5.8 | % | 7.5 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 58,528 | $ | 30,823 | ||||
Management fee | 62,543 | 82,081 | ||||||
Net realized gain (loss) | (722,691 | ) | (1,063,816 | ) | ||||
Change in net unrealized appreciation (depreciation) | 52,274 | (205,861 | ) | |||||
Net income (loss) | $ | (611,889 | ) | $ | (1,238,854 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (35,528 | ) | $ | (27,606 | ) | ||
Management fee | 37,450 | 44,302 | ||||||
Non-recurring fees and expenses | — | 123 | ||||||
Net realized gain (loss) | (498,935 | ) | 504,035 | |||||
Change in net unrealized appreciation (depreciation) | (6,536 | ) | (21,469 | ) | ||||
Net income (loss) | $ | (540,999 | ) | $ | 454,960 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 83,523,294 | $ | 93,708,748 | ||||
NAV end of period | $ | 110,726,032 | $ | 83,523,294 | ||||
Percentage change in NAV | 32.6 | % | (10.9 | )% | ||||
Shares outstanding beginning of period | 2,250,000 | 2,350,000 | ||||||
Shares outstanding end of period | 2,250,000 | 2,250,000 | ||||||
Percentage change in shares outstanding | — | (4.3 | )% | |||||
Shares created | 900,000 | 550,000 | ||||||
Shares redeemed | 900,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 37.12 | $ | 39.88 | ||||
Per share NAV end of period | $ | 49.21 | $ | 37.12 | ||||
Percentage change in per share NAV | 32.6 | % | (6.9 | )% | ||||
Percentage change in benchmark | 18.0 | % | (0.9 | )% | ||||
Benchmark annualized volatility | 11.5 | % | 9.0 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 263,540,473 | $ | 110,726,032 | ||||
NAV end of period | $ | 232,780,534 | $ | 263,540,473 | ||||
Percentage change in NAV | (11.7 | )% | 138.0 | % | ||||
Shares outstanding beginning of period | 3,900,000 | 2,250,000 | ||||||
Shares outstanding end of period | 3,900,000 | 3,900,000 | ||||||
Percentage change in shares outstanding | 0 | % | 73.3 | % | ||||
Shares created | 1,350,000 | 3,500,000 | ||||||
Shares redeemed | 1,350,000 | 1,850,000 | ||||||
Per share NAV beginning of period | $ | 67.57 | $ | 49.21 | ||||
Per share NAV end of period | $ | 59.69 | $ | 67.57 | ||||
Percentage change in per share NAV | (11.7 | )% | 37.3 | % | ||||
Percentage change in benchmark | (4.3 | )% | 20.9 | % | ||||
Benchmark annualized volatility | 14.9 | % | 21.5 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 902,937 | $ | 625,631 | ||||
Management fee | 884,410 | 811,581 | ||||||
Brokerage commissions | 11,345 | 135 | ||||||
Net realized gain (loss) | 19,588,339 | (7,345,178 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,815,690 | 680,186 | ||||||
Net income (loss) | $ | 24,306,966 | $ | (6,039,361 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (2,288,875 | ) | $ | (1,424,530 | ) | ||
Management fee | 2,262,422 | 1,916,092 | ||||||
Brokerage commissions | 41,241 | 39,462 | ||||||
Futures account fees | 77,793 | 59,069 | ||||||
Non-recurring fees and expenses | — | 4,754 | ||||||
Net realized gain (loss) | (31,323,946 | ) | 35,452,046 | |||||
Change in net unrealized appreciation (depreciation) | 1,497,196 | (353,150 | ) | |||||
Net income (loss) | $ | (32,115,625 | ) | $ | 33,674,366 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 201,824,376 | $ | 258,244,696 | ||||
NAV end of period | $ | 239,254,842 | $ | 201,824,376 | ||||
Percentage change in NAV | 18.5 | % | (21.8 | )% | ||||
Shares outstanding beginning of period | 7,646,526 | 7,696,526 | ||||||
Shares outstanding end of period | 7,546,526 | 7,646,526 | ||||||
Percentage change in shares outstanding | (1.3 | )% | (0.6 | )% | ||||
Shares created | 2,300,000 | 2,100,000 | ||||||
Shares redeemed | 2,400,000 | 2,150,000 | ||||||
Per share NAV beginning of period | $ | 26.39 | $ | 33.55 | ||||
Per share NAV end of period | $ | 31.70 | $ | 26.39 | ||||
Percentage change in per share NAV | 20.1 | % | (21.3 | )% | ||||
Percentage change in benchmark | 13.9 | % | (8.3 | )% | ||||
Benchmark annualized volatility | 19.6 | % | 13.8 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 745,304,028 | $ | 239,254,842 | ||||
NAV end of period | $ | 515,453,594 | $ | 745,304,028 | ||||
Percentage change in NAV | (30.8 | )% | 211.5 | % | ||||
Shares outstanding beginning of period | 14,696,526 | 7,546,526 | ||||||
Shares outstanding end of period | 14,796,526 | 14,696,526 | ||||||
Percentage change in shares outstanding | 0.7 | % | 94.7 | % | ||||
Shares created | 4,500,000 | 13,500,000 | ||||||
Shares redeemed | 4,400,000 | 6,350,000 | ||||||
Per share NAV beginning of period | $ | 50.71 | $ | 31.70 | ||||
Per share NAV end of period | $ | 34.84 | $ | 50.71 | ||||
Percentage change in per share NAV | (31.3 | )% | 60.0 | % | ||||
Percentage change in benchmark | (12.3 | )% | 42.5 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (6,093,025 | ) | $ | (3,174,045 | ) | ||
Management fee | 5,912,386 | 3,944,697 | ||||||
Brokerage commissions | 145,545 | 141,650 | ||||||
Futures account fees | 296,749 | 215,791 | ||||||
Non-recurring fees and expenses | — | 6,303 | ||||||
Net realized gain (loss) | (172,447,879 | ) | 147,215,471 | |||||
Change in net unrealized appreciation (depreciation) | (50,874,626 | ) | 63,082,149 | |||||
Net income (loss) | $ | (229,415,530 | ) | $ | 207,123,575 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 1,356,204,199 | $ | 527,636,003 | ||||
NAV end of period | $ | 816,679,636 | $ | 1,356,204,199 | ||||
Percentage change in NAV | (39.8 | )% | 157.0 | % | ||||
Shares outstanding beginning of period | 12,713,091 | 4,163,091 | ||||||
Shares outstanding end of period | 65,828,420 | 12,713,091 | ||||||
Percentage change in shares outstanding | 417.8 | % | 205.4 | % | ||||
Shares created | 135,235,000 | 15,405,000 | ||||||
Shares redeemed | 82,119,671 | 6,855,000 | ||||||
Per share NAV beginning of period | $ | 106.68 | $ | 126.74 | ||||
Per share NAV end of period | $ | 12.41 | $ | 106.68 | ||||
Percentage change in per share NAV | (88.4 | )% | (15.8 | )% | ||||
Percentage change in benchmark | (72.2 | )% | 13.2 | % | ||||
Benchmark annualized volatility | 78.0 | % | 102.6 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 1,856,270 | $ | 1,469,179 | ||||
Management fee | 1,928,478 | 2,020,586 | ||||||
Brokerage commissions | 38,814 | 307 | ||||||
Net realized gain (loss) | 34,374,143 | (57,489,729 | ) | |||||
Change in net unrealized appreciation (depreciation) | 4,223,101 | 4,931,185 | ||||||
Net income (loss) | $ | 40,453,514 | $ | (51,089,365 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 214,304,871 | $ | 394,035,141 | ||||
NAV end of period | $ | 527,636,003 | $ | 214,304,871 | ||||
Percentage change in NAV | 146.2 | % | (45.6 | )% | ||||
Shares outstanding beginning of period | 2,630,912 | 7,625,448 | ||||||
Shares outstanding end of period | 41,630,912 | 2,630,912 | ||||||
Percentage change in shares outstanding | 1,482.4 | % | (65.5 | )% | ||||
Shares created | 83,750,000 | 38,280,000 | ||||||
Shares redeemed | 44,750,000 | 43,274,536 | ||||||
Per share NAV beginning of period | $ | 81.46 | $ | 51.67 | ||||
Per share NAV end of period | $ | 12.67 | $ | 81.46 | ||||
Percentage change in per share NAV | (84.4 | )% | 57.7 | % | ||||
Percentage change in benchmark | (67.8 | )% | 68.1 | % | ||||
Benchmark annualized volatility | 60.4 | % | 118.0 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 95,052 | $ | (3,145,671 | ) | |||
Management fee | 4,819,171 | 3,966,185 | ||||||
Brokerage commissions | 2,936,813 | 3,032,632 | ||||||
Non-recurring fees and expenses | 27,508 | — | ||||||
Net realized gain (loss) | (612,840,041 | ) | 389,993,011 | |||||
Change in net unrealized appreciation (depreciation) | (77,766,851 | ) | 65,652,401 | |||||
Net income (loss) | $ | (690,511,840 | ) | $ | 452,499,741 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (20,156,985 | ) | $ | (13,623,881 | ) | ||
Management fee | 11,128,589 | 8,835,385 | ||||||
Brokerage commissions | 5,427,481 | 3,620,606 | ||||||
Futures account fees | 3,850,402 | 2,860,084 | ||||||
Non-recurring fees and expenses | — | 15,297 | ||||||
Net realized gain (loss) | (1,983,414,849 | ) | (632,242,038 | ) | ||||
Change in net unrealized appreciation (depreciation) | (78,354,915 | ) | (1,950,460 | ) | ||||
Net income (loss) | $ | (2,081,926,749 | ) | $ | (647,816,379 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares Ultra VIX Short-Term Futures ETF. |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 5,751,716 | $ | 2,864,269 | ||||
NAV end of period | $ | 5,580,964 | $ | 5,751,716 | ||||
Percentage change in NAV | (3.0 | )% | 100.8 | % | ||||
Shares outstanding beginning of period | 99,970 | 49,970 | ||||||
Shares outstanding end of period | 99,970 | 99,970 | ||||||
Percentage change in shares outstanding | — | 100.1 | % | |||||
Shares created | 200,000 | 50,000 | ||||||
Shares redeemed | 200,000 | — | ||||||
Per share NAV beginning of period | $ | 57.53 | $ | 57.32 | ||||
Per share NAV end of period | $ | 55.83 | $ | 57.53 | ||||
Percentage change in per share NAV | (3.0 | )% | 0.4 | % | ||||
Percentage change in benchmark | 0.9 | % | 2.8 | % | ||||
Benchmark annualized volatility | 5.7 | % | 6.6 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 2,989,499 | $ | 5,580,964 | ||||
NAV end of period | $ | 2,362,849 | $ | 2,989,499 | ||||
Percentage change in NAV | (21.0 | )% | (46.4 | )% | ||||
Shares outstanding beginning of period | 49,970 | 99,970 | ||||||
Shares outstanding end of period | 49,970 | 49,970 | ||||||
Percentage change in shares outstanding | 0 | % | (50.0 | )% | ||||
Shares created | — | — | ||||||
Shares redeemed | �� | 50,000 | ||||||
Per share NAV beginning of period | $ | 59.83 | $ | 55.83 | ||||
Per share NAV end of period | $ | 47.29 | $ | 59.83 | ||||
Percentage change in per share NAV | (21.0 | )% | 7.2 | % | ||||
Percentage change in benchmark | (10.3 | )% | 5.2 | % | ||||
Benchmark annualized volatility | 5.6 | % | 9.3 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 38,514 | $ | (983 | ) | |||
Management fee | 39,949 | 27,913 | ||||||
Net realized gain (loss) | 57,990 | (170,364 | ) | |||||
Change in net unrealized appreciation (depreciation) | (187,566 | ) | 212,218 | |||||
Net income (loss) | $ | (91,062 | ) | $ | 40,871 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (23,787 | ) | $ | (18,317 | ) | ||
Management fee | 24,974 | 27,655 | ||||||
Non-recurring fees and expenses | — | 89 | ||||||
Net realized gain (loss) | (442,664 | ) | 95,324 | |||||
Change in net unrealized appreciation (depreciation) | (160,199 | ) | 77,542 | |||||
Net income (loss) | $ | (626,650 | ) | $ | 154,549 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 87,667,042 | $ | 11,335,483 | ||||
NAV end of period | $ | 70,859,329 | $ | 87,667,042 | ||||
Percentage change in NAV | (19.2 | )% | 673.4 | % | ||||
Shares outstanding beginning of period | 6,700,000 | 300,008 | ||||||
Shares outstanding end of period | 3,300,000 | 6,700,000 | ||||||
Percentage change in shares outstanding | (50.7 | )% | 2,133.3 | % | ||||
Shares created | 15,150,000 | 7,250,000 | ||||||
Shares redeemed | 18,550,000 | 850,008 | ||||||
Per share NAV beginning of period | $ | 13.08 | $ | 37.78 | ||||
Per share NAV end of period | $ | 21.47 | $ | 13.08 | ||||
Percentage change in per share NAV | 64.1 | % | (65.4 | )% | ||||
Percentage change in benchmark | 34.4 | % | (20.5 | )% | ||||
Benchmark annualized volatility | 33.7 | % | 31.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 2,222,639 | $ | 5,608,612 | ||||
NAV end of period | $ | 2,412,623 | $ | 2,222,639 | ||||
Percentage change in NAV | 8.5 | % | (60.4 | )% | ||||
Shares outstanding beginning of period | 50,000 | 100,000 | ||||||
Shares outstanding end of period | 50,000 | 50,000 | ||||||
Percentage change in shares outstanding | 0 | % | (50.0 | )% | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 44.45 | $ | 56.09 | ||||
Per share NAV end of period | $ | 48.25 | $ | 44.45 | ||||
Percentage change in per share NAV | 8.5 | % | (20.8 | )% | ||||
Percentage change in benchmark | (5.7 | )% | 9.9 | % | ||||
Benchmark annualized volatility | 8.2 | % | 12.1 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 730,081 | $ | (38,284 | ) | |||
Management fee | 1,049,564 | 277,762 | ||||||
Brokerage commissions | 334,485 | 86,561 | ||||||
Offering costs | — | 52,846 | ||||||
Limitation by Sponsor | — | (26,957 | ) | |||||
Net realized gain (loss) | 69,178,251 | (37,435,672 | ) | |||||
Change in net unrealized appreciation (depreciation) | 30,719,431 | (24,868,483 | ) | |||||
Net income (loss) | $ | 100,627,763 | $ | (62,342,439 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 18,665,099 | $ | 21,161,176 | ||||
NAV end of period | $ | 91,389,147 | $ | 18,665,099 | ||||
Percentage change in NAV | 389.6 | % | (11.8 | )% | ||||
Shares outstanding beginning of period | 374,906 | 500,002 | ||||||
Shares outstanding end of period | 8,574,906 | 374,906 | ||||||
Percentage change in shares outstanding | 2,187.2 | % | (25.0 | )% | ||||
Shares created | 20,600,000 | 2,637,500 | ||||||
Shares redeemed | 12,400,000 | 2,762,596 | ||||||
Per share NAV beginning of period | $ | 49.79 | $ | 42.32 | ||||
Per share NAV end of period | $ | 10.66 | $ | 49.79 | ||||
Percentage change in per share NAV | (78.6 | )% | 17.7 | % | ||||
Percentage change in benchmark | 34.4 | % | (20.5 | )% | ||||
Benchmark annualized volatility | 33.7 | % | 31.1 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 103,397 | $ | (108,691 | ) | |||
Management fee | 312,430 | 176,390 | ||||||
Brokerage commissions | 146,608 | 70,338 | ||||||
Offering costs | — | 52,797 | ||||||
Limitation by Sponsor | — | (176 | ) | |||||
Net realized gain (loss) | (2,404,520 | ) | 7,377,281 | |||||
Change in net unrealized appreciation (depreciation) | (15,374,595 | ) | 10,007,630 | |||||
Net income (loss) | $ | (17,675,718 | ) | $ | 17,276,220 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 11,060,333 | $ | 13,702,102 | ||||
NAV end of period | $ | 5,608,612 | $ | 11,060,333 | ||||
Percentage change in NAV | (49.3 | )% | (19.3 | )% | ||||
Shares outstanding beginning of period | 200,000 | 300,000 | ||||||
Shares outstanding end of period | 100,000 | 200,000 | ||||||
Percentage change in shares outstanding | (50.0 | )% | (33.3 | )% | ||||
Shares created | 50,000 | 100,000 | ||||||
Shares redeemed | 150,000 | 200,000 | ||||||
Per share NAV beginning of period | $ | 55.30 | $ | 45.67 | ||||
Per share NAV end of period | $ | 56.09 | $ | 55.30 | ||||
Percentage change in per share NAV | 1.4 | % | 21.1 | % | ||||
Percentage change in benchmark | (0.4 | )% | (9.7 | )% | ||||
Benchmark annualized volatility | 6.9 | % | 8.7 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 80,325 | $ | 36,746 | ||||
Management fee | 72,858 | 75,944 | ||||||
Brokerage commissions | 5,856 | 6,408 | ||||||
Net realized gain (loss) | 833,199 | 128,204 | ||||||
Change in net unrealized appreciation (depreciation) | (735,608 | ) | 1,406,028 | |||||
Net income (loss) | $ | 177,916 | $ | 1,570,978 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (29,006 | ) | $ | (36,668 | ) | ||
Management fee | 27,977 | 52,950 | ||||||
Brokerage commissions | 2,443 | 4,429 | ||||||
Non-recurring fees and expenses | — | 196 | ||||||
Net realized gain (loss) | 192,896 | (1,032,184 | ) | |||||
Change in net unrealized appreciation (depreciation) | 73,801 | 84,844 | ||||||
Net income (loss) | $ | 237,691 | $ | (984,008 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 114,377,311 | $ | 225,843,284 | ||||
NAV end of period | $ | 125,451,681 | $ | 114,377,311 | ||||
Percentage change in NAV | 9.7 | % | (49.4 | )% | ||||
Shares outstanding beginning of period | 3,839,884 | 9,289,884 | ||||||
Shares outstanding end of period | 10,289,884 | 3,839,884 | ||||||
Percentage change in shares outstanding | 168.0 | % | (58.7 | )% | ||||
Shares created | 25,950,000 | 13,300,000 | ||||||
Shares redeemed | 19,500,000 | 18,750,000 | ||||||
Per share NAV beginning of period | $ | 29.79 | $ | 24.31 | ||||
Per share NAV end of period | $ | 12.19 | $ | 29.79 | ||||
Percentage change in per share NAV | (59.1 | )% | 22.5 | % | ||||
Percentage change in benchmark | 34.4 | % | (20.5 | )% | ||||
Benchmark annualized volatility | 33.7 | % | 31.1 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 96,839,233 | $ | 125,451,681 | ||||
NAV end of period | $ | 114,167,602 | $ | 96,839,233 | ||||
Percentage change in NAV | 17.9 | % | (22.8 | )% | ||||
Shares outstanding beginning of period | 2,084,971 | 2,572,471 | ||||||
Shares outstanding end of period | 8,883,799 | 2,084,971 | ||||||
Percentage change in shares outstanding | 326.1 | % | (19.0 | )% | ||||
Shares created | 13,387,500 | 9,375,000 | ||||||
Shares redeemed | 6,588,672 | 9,862,500 | ||||||
Per share NAV beginning of period | $ | 46.45 | $ | 48.77 | ||||
Per share NAV end of period | $ | 12.85 | $ | 46.45 | ||||
Percentage change in per share NAV | (72.3 | )% | (4.8 | )% | ||||
Percentage change in benchmark | 63.1 | % | (24.1 | )% | ||||
Benchmark annualized volatility | 31.2 | % | 80.1 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 709,799 | $ | 1,038,630 | ||||
Management fee | 769,401 | 1,663,576 | ||||||
Brokerage commissions | 91,476 | 56,193 | ||||||
Net realized gain (loss) | (14,247,456 | ) | (42,039,983 | ) | ||||
Change in net unrealized appreciation (depreciation) | (31,068,746 | ) | 58,511,410 | |||||
Net income (loss) | $ | (44,606,403 | ) | $ | 17,510,057 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (1,039,167 | ) | $ | (1,468,178 | ) | ||
Management fee | 847,440 | 1,021,787 | ||||||
Brokerage commissions | 139,273 | 548,380 | ||||||
Futures account fees | 103,661 | 161,612 | ||||||
Non-recurring fees and expenses | — | 5,243 | ||||||
Net realized gain (loss) | (105,294,702 | ) | 12,949,097 | |||||
Change in net unrealized appreciation (depreciation) | 6,211,074 | (7,487,355 | ) | |||||
Net income (loss) | $ | (100,122,795 | ) | $ | 3,993,564 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares UltraShort Bloomberg Crude Oil. |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 17,825,441 | $ | 6,902,743 | ||||
NAV end of period | $ | 12,515,603 | $ | 17,825,441 | ||||
Percentage change in NAV | (29.8 | )% | 158.2 | % | ||||
Shares outstanding beginning of period | 824,832 | 174,832 | ||||||
Shares outstanding end of period | 324,832 | 824,832 | ||||||
Percentage change in shares outstanding | (60.6 | )% | 371.8 | % | ||||
Shares created | 1,200,000 | 2,500,000 | ||||||
Shares redeemed | 1,700,000 | 1,850,000 | ||||||
Per share NAV beginning of period | $ | 21.61 | $ | 39.48 | ||||
Per share NAV end of period | $ | 38.53 | $ | 21.61 | ||||
Percentage change in per share NAV | 78.3 | % | (45.3 | )% | ||||
Percentage change in benchmark | (37.2 | )% | (0.1 | )% | ||||
Benchmark annualized volatility | 36.1 | % | 45.8 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 24,977,745 | $ | 12,515,603 | ||||
NAV end of period | $ | 242,145,130 | $ | 24,977,745 | ||||
Percentage change in NAV | 869.4 | % | 99.6 | % | ||||
Shares outstanding beginning of period | 104,966 | 64,966 | ||||||
Shares outstanding end of period | 3,914,966 | 104,966 | ||||||
Percentage change in shares outstanding | 3,629.7 | % | 61.6 | % | ||||
Shares created | 12,020,000 | 1,250,000 | ||||||
Shares redeemed | 8,210,000 | 1,210,000 | ||||||
Per share NAV beginning of period | $ | 237.96 | $ | 192.65 | ||||
Per share NAV end of period | $ | 61.85 | $ | 237.96 | ||||
Percentage change in per share NAV | (74.0 | )% | 23.5 | % | ||||
Percentage change in benchmark | 28.1 | % | (42.0 | )% | ||||
Benchmark annualized volatility | 52.4 | % | 52.7 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 29,417 | $ | (4,454 | ) | |||
Management fee | 83,978 | 84,418 | ||||||
Brokerage commissions | 54,544 | 41,063 | ||||||
Net realized gain (loss) | 19,286,567 | (14,147,964 | ) | |||||
Change in net unrealized appreciation (depreciation) | (10,165,386 | ) | 11,934,953 | |||||
Net income (loss) | $ | 9,150,598 | $ | (2,217,465 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (1,767,953 | ) | $ | (549,591 | ) | ||
Management fee | 1,104,237 | 308,058 | ||||||
Brokerage commissions | 495,800 | 250,422 | ||||||
Futures account fees | 212,771 | 49,672 | ||||||
Non-recurring fees and expenses | — | 485 | ||||||
Net realized gain (loss) | 9,183,902 | 20,854 | ||||||
Change in net unrealized appreciation (depreciation) | 13,022,687 | (293,043 | ) | |||||
Net income (loss) | $ | 20,438,636 | $ | (821,780 | ) |
* | See Note 9 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares UltraShort Bloomberg Natural Gas. |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 154,120,159 | $ | 202,548,197 | ||||
NAV end of period | $ | 120,581,173 | $ | 154,120,159 | ||||
Percentage change in NAV | (21.8 | )% | (23.9 | )% | ||||
Shares outstanding beginning of period | 6,350,000 | 9,550,000 | ||||||
Shares outstanding end of period | 4,500,000 | 6,350,000 | ||||||
Percentage change in shares outstanding | (29.1 | )% | (33.5 | )% | ||||
Shares created | 1,050,000 | 1,700,000 | ||||||
Shares redeemed | 2,900,000 | 4,900,000 | ||||||
Per share NAV beginning of period | $ | 24.27 | $ | 21.21 | ||||
Per share NAV end of period | $ | 26.80 | $ | 24.27 | ||||
Percentage change in per share NAV | 10.4 | % | 14.4 | % | ||||
Percentage change in benchmark | (2.1 | )% | (4.5 | )% | ||||
Benchmark annualized volatility | 5.1 | % | 7.2 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 52,953,339 | $ | 120,581,173 | ||||
NAV end of period | $ | 54,263,045 | $ | 52,953,339 | ||||
Percentage change in NAV | 2.5 | % | (56.1 | )% | ||||
Shares outstanding beginning of period | 2,350,000 | 4,500,000 | ||||||
Shares outstanding end of period | 2,100,000 | 2,350,000 | ||||||
Percentage change in shares outstanding | (10.6 | )% | (47.8 | )% | ||||
Shares created | 1,050,000 | 1,500,000 | ||||||
Shares redeemed | 1,300,000 | 3,650,000 | ||||||
Per share NAV beginning of period | $ | 22.53 | $ | 26.80 | ||||
Per share NAV end of period | $ | 25.84 | $ | 22.53 | ||||
Percentage change in per share NAV | 14.7 | % | (15.9 | )% | ||||
Percentage change in benchmark | (6.9 | )% | 8.9 | % | ||||
Benchmark annualized volatility | 5.8 | % | 7.5 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 1,528,830 | $ | 1,324,494 | ||||
Management fee | 1,293,377 | 1,720,827 | ||||||
Net realized gain (loss) | 13,747,208 | 18,953,236 | ||||||
Change in net unrealized appreciation (depreciation) | (753,437 | ) | 4,869,355 | |||||
Net income (loss) | $ | 14,522,601 | $ | 25,147,085 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (455,947 | ) | $ | (287,014 | ) | ||
Management fee | 480,737 | 783,692 | ||||||
Non-recurring fees and expenses | — | 2,842 | ||||||
Net realized gain (loss) | 6,311,782 | (10,979,339 | ) | |||||
Change in net unrealized appreciation (depreciation) | 921,251 | 1,109,938 | ||||||
Net income (loss) | $ | 6,777,086 | $ | (10,156,415 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 18,098,997 | $ | 31,497,410 | ||||
NAV end of period | $ | 21,047,560 | $ | 18,098,997 | ||||
Percentage change in NAV | 16.3 | % | (42.5 | )% | ||||
Shares outstanding beginning of period | 246,978 | 446,978 | ||||||
Shares outstanding end of period | 396,977 | 246,978 | ||||||
Percentage change in shares outstanding | 60.7 | % | (44.7 | )% | ||||
Shares created | 600,000 | 250,000 | ||||||
Shares redeemed | 450,001 | 450,000 | ||||||
Per share NAV beginning of period | $ | 73.28 | $ | 70.47 | ||||
Per share NAV end of period | $ | 53.02 | $ | 73.28 | ||||
Percentage change in per share NAV | (27.6 | )% | 4.0 | % | ||||
Percentage change in benchmark | 18.0 | % | (0.9 | )% | ||||
Benchmark annualized volatility | 11.5 | % | 9.0 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 20,337,376 | $ | 21,047,560 | ||||
NAV end of period | $ | 26,859,844 | $ | 20,337,376 | ||||
Percentage change in NAV | 32.1 | % | (3.4 | )% | ||||
Shares outstanding beginning of period | 646,977 | 396,977 | ||||||
Shares outstanding end of period | 846,977 | 646,977 | ||||||
Percentage change in shares outstanding | 30.9 | % | 63.0 | % | ||||
Shares created | 2,050,000 | 1,650,000 | ||||||
Shares redeemed | 1,850,000 | 1,400,000 | ||||||
Per share NAV beginning of period | $ | 31.43 | $ | 53.02 | ||||
Per share NAV end of period | $ | 31.71 | $ | 31.43 | ||||
Percentage change in per share NAV | 0.9 | % | (40.7 | )% | ||||
Percentage change in benchmark | (4.3 | )% | 20.9 | % | ||||
Benchmark annualized volatility | 14.9 | % | 21.5 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 186,714 | $ | 171,341 | ||||
Management fee | 188,089 | 252,524 | ||||||
Brokerage commissions | 5,355 | 61 | ||||||
Net realized gain (loss) | (5,192,568 | ) | 1,323,731 | |||||
Change in net unrealized appreciation (depreciation) | (540,991 | ) | 472,667 | |||||
Net income (loss) | $ | (5,546,845 | ) | $ | 1,967,739 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (280,600 | ) | $ | (123,632 | ) | ||
Management fee | 271,758 | 177,762 | ||||||
Brokerage commissions | 11,667 | 7,882 | ||||||
Futures account fees | 10,223 | 5,130 | ||||||
Non-recurring fees and expenses | — | 580 | ||||||
Net realized gain (loss) | (2,448,551 | ) | (11,119,478 | ) | ||||
Change in net unrealized appreciation (depreciation) | (372,961 | ) | 1,098,111 | |||||
Net income (loss) | $ | (3,102,112 | ) | $ | (10,144,999 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 11,768,863 | $ | 14,806,259 | ||||
NAV end of period | $ | 13,834,163 | $ | 11,768,863 | ||||
Percentage change in NAV | 17.5 | % | (20.5 | )% | ||||
Shares outstanding beginning of period | 316,976 | 466,976 | ||||||
Shares outstanding end of period | 516,976 | 316,976 | ||||||
Percentage change in shares outstanding | 63.1 | % | (32.1 | )% | ||||
Shares created | 1,000,000 | 800,000 | ||||||
Shares redeemed | 800,000 | 950,000 | ||||||
Per share NAV beginning of period | $ | 37.13 | $ | 31.71 | ||||
Per share NAV end of period | $ | 26.76 | $ | 37.13 | ||||
Percentage change in per share NAV | (27.9 | )% | 17.1 | % | ||||
Percentage change in benchmark | 13.9 | % | (8.3 | )% | ||||
Benchmark annualized volatility | 19.6 | % | 13.8 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 28,885,775 | $ | 13,834,163 | ||||
NAV end of period | $ | 26,537,000 | $ | 28,885,775 | ||||
Percentage change in NAV | (8.1 | )% | 108.8 | % | ||||
Shares outstanding beginning of period | 1,041,744 | 129,244 | ||||||
Shares outstanding end of period | 991,329 | 1,041,744 | ||||||
Percentage change in shares outstanding | (4.8 | )% | 706.0 | % | ||||
Shares created | 4,650,000 | 3,425,000 | ||||||
Shares redeemed | 4,700,415 | 2,512,500 | ||||||
Per share NAV beginning of period | $ | 27.73 | $ | 107.04 | ||||
Per share NAV end of period | $ | 26.77 | $ | 27.73 | ||||
Percentage change in per share NAV | (3.5 | )% | (74.1 | )% | ||||
Percentage change in benchmark | (12.3 | )% | 42.5 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.1 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 131,913 | $ | 112,472 | ||||
Management fee | 139,668 | 196,546 | ||||||
Brokerage commissions | 7,713 | 72 | ||||||
Net realized gain (loss) | (4,544,543 | ) | 5,022,945 | |||||
Change in net unrealized appreciation (depreciation) | (197,432 | ) | (117,191 | ) | ||||
Net income (loss) | $ | (4,610,062 | ) | $ | 5,018,226 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (369,924 | ) | $ | (221,656 | ) | ||
Management fee | 330,111 | 237,140 | ||||||
Brokerage commissions | 26,469 | 22,323 | ||||||
Futures account fees | 25,766 | 14,141 | ||||||
Non-recurring fees and expenses | — | 454 | ||||||
Net realized gain (loss) | (17,795 | ) | (16,849,815 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,147,856 | (1,382,256 | ) | |||||
Net income (loss) | $ | 1,760,137 | $ | (18,453,727 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares UltraShort Silver. |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 55,363,675 | $ | 131,077,453 | ||||
NAV end of period | $ | 38,132,320 | $ | 55,363,675 | ||||
Percentage change in NAV | (31.1 | )% | (57.8 | )% | ||||
Shares outstanding beginning of period | 749,290 | 1,749,290 | ||||||
Shares outstanding end of period | 499,290 | 749,290 | ||||||
Percentage change in shares outstanding | (33.4 | )% | (57.2 | )% | ||||
Shares created | 450,000 | 100,000 | ||||||
Shares redeemed | 700,000 | 1,100,000 | ||||||
Per share NAV beginning of period | $ | 73.89 | $ | 74.93 | ||||
Per share NAV end of period | $ | 76.37 | $ | 73.89 | ||||
Percentage change in per share NAV | 3.4 | % | (1.4 | )% | ||||
Percentage change in benchmark | 0.9 | % | 2.8 | % | ||||
Benchmark annualized volatility | 5.7 | % | 6.6 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 23,691,070 | $ | 38,132,320 | ||||
NAV end of period | $ | 24,840,784 | $ | 23,691,070 | ||||
Percentage change in NAV | 4.9 | % | (37.9 | )% | ||||
Shares outstanding beginning of period | 349,290 | 499,290 | ||||||
Shares outstanding end of period | 299,290 | 349,290 | ||||||
Percentage change in shares outstanding | (14.3 | )% | (30.0 | )% | ||||
Shares created | 200,000 | 150,000 | ||||||
Shares redeemed | 250,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 67.83 | $ | 76.37 | ||||
Per share NAV end of period | $ | 83.00 | $ | 67.83 | ||||
Percentage change in per share NAV | 22.4 | % | (11.2 | )% | ||||
Percentage change in benchmark | (10.3 | )% | 5.2 | % | ||||
Benchmark annualized volatility | 5.6 | % | 9.3 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 555,474 | $ | 607,874 | ||||
Management fee | 451,638 | 791,468 | ||||||
Net realized gain (loss) | (1,979,679 | ) | 2,111,630 | |||||
Change in net unrealized appreciation (depreciation) | 3,220,521 | (4,640,285 | ) | |||||
Net income (loss) | $ | 1,796,316 | $ | (1,920,781 | ) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (247,388 | ) | $ | (129,202 | ) | ||
Management fee | 260,096 | 268,213 | ||||||
Non-recurring fees and expenses | — | 811 | ||||||
Net realized gain (loss) | 4,126,928 | (2,619,441 | ) | |||||
Change in net unrealized appreciation (depreciation) | 1,432,303 | (662,165 | ) | |||||
Net income (loss) | $ | 5,311,843 | $ | (3,410,808 | ) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 56,299,121 | $ | 26,347,948 | ||||
NAV end of period | $ | 45,986,584 | $ | 56,299,121 | ||||
Percentage change in NAV | (18.3 | )% | 113.7 | % | ||||
Shares outstanding beginning of period | 2,112,403 | 1,237,403 | ||||||
Shares outstanding end of period | 2,162,403 | 2,112,403 | ||||||
Percentage change in shares outstanding | 2.4 | % | 70.7 | % | ||||
Shares created | 1,400,000 | 2,325,000 | ||||||
Shares redeemed | 1,350,000 | 1,450,000 | ||||||
Per share NAV beginning of period | $ | 26.65 | $ | 21.29 | ||||
Per share NAV end of period | $ | 21.27 | $ | 26.65 | ||||
Percentage change in per share NAV | (20.2 | )% | 25.2 | % | ||||
Percentage change in benchmark | (19.3 | )% | 27.2 | % | ||||
Benchmark annualized volatility | 25.3 | % | 39.8 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 72,075,095 | $ | 45,986,584 | ||||
NAV end of period | $ | 112,875,680 | $ | 72,075,095 | ||||
Percentage change in NAV | 56.6 | % | 56.7 | % | ||||
Shares outstanding beginning of period | 1,962,403 | 2,162,403 | ||||||
Shares outstanding end of period | 3,687,403 | 1,962,403 | ||||||
Percentage change in shares outstanding | 87.9 | % | (9.2 | )% | ||||
Shares created | 3,100,000 | 2,375,000 | ||||||
Shares redeemed | 1,375,000 | 2,575,000 | ||||||
Per share NAV beginning of period | $ | 36.73 | $ | 21.27 | ||||
Per share NAV end of period | $ | 30.61 | $ | 36.73 | ||||
Percentage change in per share NAV | (16.7 | )% | 72.7 | % | ||||
Percentage change in benchmark | (15.6 | )% | 74.7 | % | ||||
Benchmark annualized volatility | 29.2 | % | 56.3 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 493,213 | $ | 116,328 | ||||
Management fee | 380,474 | 221,717 | ||||||
Brokerage commissions | 29,956 | 30,306 | ||||||
Net realized gain (loss) | (6,228,644 | ) | 4,332,654 | |||||
Change in net unrealized appreciation (depreciation) | (6,037,881 | ) | 5,973,199 | |||||
Net income (loss) | $ | (11,773,312 | ) | $ | 10,422,181 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (1,005,813 | ) | $ | (506,172 | ) | ||
Management fee | 858,979 | 579,606 | ||||||
Brokerage commissions | 66,076 | 65,093 | ||||||
Futures account fees | 122,120 | 75,922 | ||||||
Net realized gain (loss) | (15,245,794 | ) | 15,454,616 | |||||
Change in net unrealized appreciation (depreciation) | 494,235 | 1,146,818 | ||||||
Net income (loss) | $ | (15,757,372 | ) | $ | 16,095,262 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
NAV beginning of period | $ | 149,547,115 | $ | 137,741,560 | ||||
NAV end of period | $ | 279,792,503 | $ | 149,547,115 | ||||
Percentage change in NAV | 87.1 | % | 8.6 | % | ||||
Shares outstanding beginning of period | 3,876,317 | 5,901,317 | ||||||
Shares outstanding end of period | 22,751,317 | 3,876,317 | ||||||
Percentage change in shares outstanding | 486.9 | % | (34.3 | )% | ||||
Shares created | 30,800,000 | 8,275,000 | ||||||
Shares redeemed | 11,925,000 | 10,300,000 | ||||||
Per share NAV beginning of period | $ | 38.58 | $ | 23.34 | ||||
Per share NAV end of period | $ | 12.30 | $ | 38.58 | ||||
Percentage change in per share NAV | (68.1 | )% | 65.3 | % | ||||
Percentage change in benchmark | (67.8 | )% | 68.1 | % | ||||
Benchmark annualized volatility | 60.4 | % | 118.0 | % |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
NAV beginning of period | $ | 293,390,549 | $ | 279,792,503 | ||||
NAV end of period | $ | 269,703,164 | $ | 293,390,549 | ||||
Percentage change in NAV | (8.1 | )% | 4.9 | % | ||||
Shares outstanding beginning of period | 5,331,579 | 5,687,829 | ||||||
Shares outstanding end of period | 17,832,826 | 5,331,579 | ||||||
Percentage change in shares outstanding | 234.5 | % | (6.3 | )% | ||||
Shares created | 22,606,250 | 6,581,250 | ||||||
Shares redeemed | 10,105,003 | 6,937,500 | ||||||
Per share NAV beginning of period | $ | 55.03 | $ | 49.19 | ||||
Per share NAV end of period | $ | 15.12 | $ | 55.03 | ||||
Percentage change in per share NAV | (72.5 | )% | 11.9 | % | ||||
Percentage change in benchmark | (72.2 | )% | 13.2 | % | ||||
Benchmark annualized volatility | 78.0 | % | 102.6 | % |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Net investment income (loss) | $ | 2,153,399 | $ | 366,665 | ||||
Management fee | 2,038,850 | 1,046,876 | ||||||
Brokerage commissions | 253,057 | 176,459 | ||||||
Net realized gain (loss) | (194,350,788 | ) | 89,901,119 | |||||
Change in net unrealized appreciation (depreciation) | (32,770,663 | ) | 22,155,157 | |||||
Net income (loss) | $ | (224,968,052 | ) | $ | 112,422,941 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||
Net investment income (loss) | $ | (3,922,951 | ) | $ | (1,892,962 | ) | ||
Management fee | 2,825,547 | 2,193,275 | ||||||
Brokerage commissions | 459,431 | 376,682 | ||||||
Futures account fees | 739,024 | 475,247 | ||||||
Net realized gain (loss) | (360,304,827 | ) | 156,087,060 | |||||
Change in net unrealized appreciation (depreciation) | (23,793,649 | ) | 9,024,606 | |||||
Net income (loss) | $ | (388,021,427 | ) | $ | 163,218,704 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this Annual Report on Form 10-K regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF. |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2020 | 16 | $ | 1.13 | 125,000 | $ | (2,256,400 | ) | |||||||||||||||
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2019 | 60 | $ | 1.15 | 125,000 | $ | (8,641,875 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2022 | 16 | $ | 1.14 | 125,000 | $ | (2,280,500 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | March 2021 | 27 | $ | 1.22 | 125,000 | $ | (4,133,025 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | January 2020 | 5,442 | $ | 14.63 | 1,000 | $ | (79,589,250 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | February 2020 | 3,764 | 16.63 | 1,000 | (62,576,500 | ) | |||||||||||||||||
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | January 2019 | 4,103 | $ | 24.18 | 1,000 | $ | (99,190,025 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | February 2019 | 3,282 | 22.28 | 1,000 | (73,106,550 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | January 2022 | 6,294 | $ | 19.67 | 1,000 | $ | (123,831,303 | ) | |||||||||||
VIX Futures (Cboe) | Short | February 2022 | 4,000 | 21.97 | 1,000 | (87,882,000 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | January 2021 | 4,169 | $ | 23.68 | 1,000 | $ | (98,701,075 | ) | |||||||||||
VIX Futures (Cboe) | Short | February 2021 | 4,161 | 25.58 | 1,000 | (106,417,575 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2020 | 554 | $ | 60.77 | 1,000 | $ | 33,666,580 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2022 | 5,530 | $ | 74.88 | 1,000 | $ | 414,086,400 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 5,709 | 73.37 | 1,000 | 418,869,330 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 5,924 | 69.83 | 1,000 | 413,672,920 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 65.6654 | $ | 148,013,752 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 65.6654 | 209,403,677 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 65.6654 | 256,365,929 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 65.6654 | 139,690,137 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 65.6654 | 207,959,236 |
Swap Agreements as of December 31, 2019 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg WTI Crude Oil Subindex | Citibank, N.A. | Long | $ | 90.3776 | $ | 172,174,920 | ||||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Long | 90.3776 | 120,411,487 | ||||||||||
Bloomberg WTI Crude Oil Subindex | Royal Bank of Canada | Long | 90.3776 | 115,540,626 | ||||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Long | 90.3776 | 64,308,537 | ||||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Long | 90.3776 | 113,574,303 |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2019 | 3,121 | $ | 45.72 | 1,000 | $ | 142,692,120 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2021 | 10,134 | $ | 48.63 | 1,000 | $ | 492,816,420 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2021 | 9,783 | 48.63 | 1,000 | 475,747,290 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 9,650 | 47.68 | 1,000 | 460,112,000 |
Swap Agreements as of December 31, 2018 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg WTI Crude Oil Subindex | Citibank N.A. | Long | $ | 68.6586 | $ | 192,061,821 | ||||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Long | 68.6586 | 112,179,333 | ||||||||||
Bloomberg WTI Crude Oil Subindex | Royal Bank of Canada | Long | 68.6586 | 113,997,533 | ||||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Long | 68.6586 | 38,382,074 | ||||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Long | 68.6586 | 137,242,162 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | $ | 40.2599 | $ | 28,462,300 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 40.2599 | 226,338,741 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 40.2599 | 34,593,561 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 40.2599 | 87,117,995 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Natural Gas (NYMEX) | Long | March 2020 | 4,185 | $ | 2.16 | 10,000 | $ | 90,312,300 | ||||||||||||||||
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Natural Gas (NYMEX) | Long | March 2019 | 1,025 | $ | 2.85 | 10,000 | $ | 29,222,750 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | March 2022 | 10,905 | $ | 3.56 | 10,000 | $ | 387,890,850 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | March 2021 | 13,444 | $ | 2.53 | 10,000 | $ | 339,595,440 |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 01/14/22 | 4,308,921 | 1.1356 | $ | 4,893,354 | |||||||||||||
Euro | UBS AG | Long | 01/14/22 | 11,055,502 | 1.1313 | 12,507,577 | ||||||||||||||
Euro | UBS AG | Short | 01/14/22 | (138,000 | ) | 1.1272 | (155,550 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 01/10/20 | 5,436,377 | 1.1121 | $ | 6,045,958 | |||||||||||||||
Euro | UBS AG | Long | 01/10/20 | 5,589,416 | 1.1123 | 6,217,058 | ||||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2018 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 01/11/19 | 7,046,525 | 1.1425 | $ | 8,050,889 | |||||||||||||||
Euro | UBS AG | Long | 01/11/19 | 6,507,700 | 1.1414 | 7,427,758 | ||||||||||||||||
Euro | Goldman Sachs International | Short | 01/11/19 | (206,300 | ) | 1.1363 | (234,428 | ) | ||||||||||||||
Euro | UBS AG | Short | 01/11/19 | (203,200 | ) | 1.1371 | (231,052 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 01/15/21 | 2,210,921 | 1.2116 | $ | 2,678,721 | |||||||||||||
Euro | UBS AG | Long | 01/15/21 | 5,664,502 | 1.2103 | 6,855,677 | ||||||||||||||
Euro | UBS AG | Short | 01/15/21 | (122,000 | ) | 1.2190 | (148,713 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Long | February 2020 | 438 | $ | 1,523.10 | 100 | $ | 66,711,780 |
Swap Agreements as of December 31, 2019 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 174.6300 | $ | 60,437,683 | ||||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 174.6300 | 44,172,192 | ||||||||||
Bloomberg Gold Subindex | UBS AG | Long | 174.6300 | 50,125,199 |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Long | February 2019 | 47 | $ | 1,282.70 | 100 | $ | 6,022,110 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | February 2022 | 775 | $ | 1,828.60 | 100 | $ | 141,716,500 |
Forward Agreements as of December 31, 2018 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||||
0.995 Fine Troy Ounce Gold | Citibank N.A. | Long | $ | 1,279.65 | $ | 64,366,395 | ||||||||
0.995 Fine Troy Ounce Gold | Goldman Sachs International | Long | 1,279.71 | 48,862,980 | ||||||||||
0.995 Fine Troy Ounce Gold | Societe Generale | Long | 1,279.64 | 1,279,640 | ||||||||||
0.995 Fine Troy Ounce Gold | UBS AG | Long | 1,279.62 | 48,497,598 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 201.3048 | $ | 111,470,102 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 201.3048 | 96,328,238 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 201.3048 | 115,958,326 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | February 2021 | 995 | $ | 1,895.10 | 100 | $ | 188,562,450 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 210.3915 | $ | 116,501,753 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 210.3915 | 100,676,400 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 210.3915 | 121,192,569 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Long | March 2020 | 1,316 | $ | 17.92 | 5,000 | $ | 117,920,180 |
Swap Agreements as of December 31, 2019 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 170.1072 | $ | 152,640,569 | ||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 170.1072 | 83,225,484 | ||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 170.1072 | 124,680,616 |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Long | March 2019 | 129 | $ | 15.55 | 5,000 | $ | 10,023,300 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | March 2022 | 1,345 | $ | 23.35 | 5,000 | $ | 157,042,200 |
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||||
0.999 Fine Troy Ounce Silver | Citibank N.A. | Long | $ | 15.4734 | $ | 146,687,832 | ||||||||
0.999 Fine Troy Ounce Silver | Goldman Sachs International | Long | 15.4746 | 124,892,402 | ||||||||||
0.999 Fine Troy Ounce Silver | Societe Generale | Long | 15.4732 | 1,547,320 | ||||||||||
0.999 Fine Troy Ounce Silver | UBS AG | Long | 15.4747 | 120,486,014 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 211.7212 | $ | 232,088,114 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 211.7212 | 232,177,948 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 211.7212 | 216,331,853 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 211.7212 | 193,206,858 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | March 2021 | 3,971 | $ | 26.41 | 5,000 | $ | 524,410,259 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 241.4130 | $ | 294,747,134 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 241.4130 | 211,716,341 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 241.4130 | 239,421,584 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 241.4130 | 220,234,368 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | January 2020 | 29,402 | $ | 14.63 | 1,000 | $ | 430,004,250 | ||||||||||||||||
VIX Futures (Cboe) | Long | February 2020 | 20,358 | 16.63 | 1,000 | 338,451,750 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2022 | 34,949 | $ | 19.67 | 1,000 | $ | 687,604,101 | ||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 22,236 | 21.97 | 1,000 | 488,536,038 |
Swap Agreements as of December 31, 2019 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 14.9650 | $ | 23,078,793 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 18.5300 | $ | 48,872,875 |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | January 2019 | 5,932 | $ | 24.18 | 1,000 | $ | 143,406,100 | ||||||||||||||||
VIX Futures (Cboe) | Long | February 2019 | 4,746 | 22.28 | 1,000 | 105,717,150 |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 40,738 | $ | 23.68 | 1,000 | $ | 964,472,150 | ||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 40,764 | 25.58 | 1,000 | 1,042,539,300 |
Swap Agreements as of December 31, 2018 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
iPath S&P 500 VIX Short-Term Futures ETN IOPV | Goldman Sachs International | Long | $ | 46.8826 | $ | 72,301,516 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 16.7951 | $ | 25,901,097 |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Yen | Goldman Sachs International | Long | 01/10/20 | 325,804,302 | 0.009213 | $ | 3,001,477 | |||||||||||||||
Yen | UBS AG | Long | 01/10/20 | 888,782,738 | 0.009214 | 8,189,206 | ||||||||||||||||
Yen | UBS AG | Short | 01/10/20 | (6,892,531 | ) | 0.009164 | (63,163 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 01/14/22 | 316,556,517 | 0.008863 | $ | 2,805,612 | |||||||||||||
Yen | UBS AG | Long | 01/14/22 | 239,872,756 | 0.008852 | 2,123,370 | ||||||||||||||
Yen | UBS AG | Short | 01/14/22 | (11,776,900 | ) | 0.008759 | (103,156 | ) |
Foreign Currency Forward Contracts as of December 31, 2018 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Yen | Goldman Sachs International | Long | 01/11/19 | 314,867,300 | 0.008893 | $ | 2,800,074 | |||||||||||||||
Yen | UBS AG | Long | 01/11/19 | 955,546,600 | 0.009017 | 8,615,742 | ||||||||||||||||
Yen | UBS AG | Short | 01/11/19 | (10,055,200 | ) | 0.008921 | (89,698 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 01/15/21 | 332,532,517 | 0.009583 | $ | 3,186,670 | |||||||||||||
Yen | UBS AG | Long | 01/15/21 | 287,552,756 | 0.009571 | 2,752,288 | ||||||||||||||
Yen | UBS AG | Short | 01/15/21 | (2,700,000 | ) | 0.009631 | (26,004 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2020 | 3,498 | $ | 60.77 | 1,000 | $ | 212,573,460 | ||||||||||||||||
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | March 2019 | 5,751 | $ | 45.72 | 1,000 | $ | 262,935,720 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2020 | 4,511 | $ | 60.77 | 1,000 | $ | (274,133,470 | ) |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2019 | 1,225 | $ | 45.72 | 1,000 | $ | (56,007,000 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2020 | 160 | $ | 70.31 | 1,000 | $ | (11,260,800 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2022 | 67 | $ | 72.68 | 1,000 | $ | (4,876,260 | ) |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2019 | 315 | $ | 70.54 | 1,000 | $ | (22,313,800 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | March 2021 | 57 | $ | 77.14 | 1,000 | $ | (4,389,000 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2020 | 1,864 | $ | 60.77 | 1,000 | $ | (113,275,280 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2022 | 1,013 | $ | 74.88 | 1,000 | $ | (75,853,440 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 1,046 | 73.37 | 1,000 | (76,745,020 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 1,085 | 69.83 | 1,000 | (75,765,550 | ) |
Swap Agreements as of December 31, 2019 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg WTI Crude Oil Subindex | Citibank, N.A. | Short | $ | 90.3776 | $ | (39,727,981 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Short | 90.3776 | (37,407,865 | ) | |||||||||
Bloomberg WTI Crude Oil Subindex | Royal Bank of Canada | Short | 90.3776 | (31,487,418 | ) | |||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Short | 90.3776 | (9,213,127 | ) | |||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Short | 90.3776 | (19,757,339 | ) |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2019 | 641 | $ | 45.72 | 1,000 | $ | (29,306,520 | ) | |||||||||||||||
Swap Agreements as of December 31, 2018 |
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||
Bloomberg WTI Crude Oil Subindex | Citibank N.A. | Short | $ | 68.6586 | $ | (67,986,223 | ) | |||||||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Short | 68.6586 | (43,744,157 | ) | |||||||||||||
Bloomberg WTI Crude Oil Subindex | Royal Bank of Canada | Short | 68.6586 | (31,327,722 | ) | |||||||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Short | 68.6586 | (13,980,566 | ) | |||||||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Short | 68.6586 | (42,493,832 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | March 2021 | 1,373 | $ | 48.63 | 1,000 | $ | (66,768,990 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2021 | 1,326 | 48.63 | 1,000 | (64,483,380 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 1,309 | 47.68 | 1,000 | (62,413,120 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Natural Gas (NYMEX) | Short | March 2020 | 1,160 | $ | 2.16 | 10,000 | $ | (25,032,800 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | March 2022 | 13,619 | $ | 3.56 | 10,000 | $ | (484,427,830 | ) |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Natural Gas (NYMEX) | Short | March 2019 | 1,250 | $ | 2.85 | 10,000 | $ | (35,637,500 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | March 2021 | 1,978 | $ | 2.53 | 10,000 | $ | (49,964,280 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | UBS AG | Long | 01/10/20 | 19,396,955 | 1.1162 | $ | 21,651,280 | |||||||||||||||
Euro | Goldman Sachs International | Short | 01/10/20 | (112,762,143 | ) | 1.1121 | (125,406,162 | ) | ||||||||||||||
Euro | UBS AG | Short | 01/10/20 | (122,358,446 | ) | 1.1121 | (136,077,171 | ) | ||||||||||||||
Foreign Currency Forward Contracts as of December 31, 2018 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 01/11/19 | 11,497,100 | 1.1418 | $ | 13,127,174 | |||||||||||||||
Euro | UBS AG | Long | 01/11/19 | 33,071,100 | 1.1451 | 37,868,488 | ||||||||||||||||
Euro | Goldman Sachs International | Short | 01/11/19 | (152,127,525 | ) | 1.1422 | (173,757,198 | ) | ||||||||||||||
Euro | UBS AG | Short | 01/11/19 | (161,054,700 | ) | 1.1407 | (183,722,475 | ) |
Foreign Currency Forward Contracts as of December 31, 2021 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 01/14/22 | 17,360,000 | 1.1302 | $ | 19,620,976 | |||||||||||||
Euro | Goldman Sachs International | Short | 01/14/22 | (47,563,263 | ) | 1.1363 | (54,044,805 | ) | ||||||||||||
Euro | UBS AG | Short | 01/14/22 | (65,034,199 | ) | 1.1340 | (73,750,639 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 01/15/21 | 13,080,000 | 1.2215 | $ | 15,977,611 | |||||||||||||
Euro | Goldman Sachs International | Short | 01/15/21 | (37,401,263 | ) | 1.2116 | (45,314,846 | ) | ||||||||||||
Euro | UBS AG | Short | 01/15/21 | (62,356,199 | ) | 1.2099 | (75,442,991 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Short | February 2020 | 76 | $ | 1,523.10 | 100 | $ | (11,575,560 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | February 2022 | 93 | $ | 1,828.60 | 100 | $ | (17,005,980 | ) |
Swap Agreements as of December 31, 2019 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 174.6300 | $ | (13,940,590 | ) | |||||||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 174.6300 | (6,884,579 | ) | |||||||||||
Bloomberg Gold Subindex | UBS AG | Short | 174.6300 | (9,756,431 | ) |
Swap Agreements as of December 31, 2021 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 201.3048 | $ | (15,091,478 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 201.3048 | (9,872,954 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 201.3048 | (11,805,955 | ) |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Short | February 2019 | 10 | $ | 1,282.70 | 100 | $ | (1,281,300 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | February 2021 | 123 | $ | 1,895.10 | 100 | $ | (23,309,730 | ) |
Forward Agreements as of December 31, 2018 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||||||
0.995 Fine Troy Ounce Gold | Citibank N.A | Short | $ | 1,279.65 | $ | (14,332,080 | ) | |||||||||
0.995 Fine Troy Ounce Gold | Goldman Sachs International | Short | 1,279.71 | (9,723,237 | ) | |||||||||||
0.995 Fine Troy Ounce Gold | Societe Generale | Short | 1,279.64 | (1,279,640 | ) | |||||||||||
0.995 Fine Troy Ounce Gold | UBS AG | Short | 1,279.62 | (9,533,169 | ) |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 210.3915 | $ | (5,159,914 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 210.3915 | (5,337,170 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 210.3915 | (6,832,076 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | March 2020 | 27 | $ | 17.92 | 5,000 | $ | (2,419,335 | ) |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | March 2022 | 103 | $ | 23.35 | 5,000 | $ | (12,026,280 | ) |
Swap Agreements as of December 31, 2019 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 170.1072 | $ | (9,595,700 | ) | |||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 170.1072 | (4,926,137 | ) | |||||||||||
Bloomberg Silver Subindex | UBS AG | Short | 170.1072 | (10,687,683 | ) |
Swap Agreements as of December 31, 2021 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 211.7212 | $ | (7,855,856 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 211.7212 | (10,400,384 | ) | |||||||
Morgan Stanley & Co. | ||||||||||||
Bloomberg Silver Subindex | International PLC | Short | 211.7212 | (8,223,463 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 211.7212 | (14,572,793 | ) |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | March 2019 | 11 | $ | 15.55 | 5,000 | $ | (854,700 | ) |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | March 2021 | 89 | $ | 26.41 | 5,000 | $ | (11,753,339 | ) |
Forward Agreements as of December 31, 2018 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||||||
0.999 Fine Troy Ounce Silver | Citibank N.A. | Short | $ | 15.4734 | $ | (6,173,887 | ) | |||||||||
0.999 Fine Troy Ounce Silver | Goldman Sachs International | Short | 15.4746 | (8,658,038 | ) | |||||||||||
0.999 Fine Troy Ounce Silver | Societe Generale | Short | 15.4732 | (1,547,320 | ) | |||||||||||
0.999 Fine Troy Ounce Silver | UBS AG | Short | 15.4747 | (6,298,203 | ) |
Swap Agreements as of December 31, 2020 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 241.4130 | $ | (19,685,715 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 241.4130 | (15,107,629 | ) | |||||||
Morgan Stanley & Co. | ||||||||||||
Bloomberg Silver Subindex | International PLC | Short | 241.4130 | (3,402,233 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 241.4130 | (7,837,258 | ) |
Foreign Currency Forward Contracts as of December 31, 2021 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 01/14/22 | 1,993,400,000 | 0.008874 | $ | 17,689,084 | |||||||||||||
Yen | Goldman Sachs International | Short | 01/14/22 | (1,825,330,165 | ) | 0.008860 | (16,173,235 | ) | ||||||||||||
Yen | UBS AG | Short | 01/14/22 | (5,863,453,575 | ) | 0.008847 | (51,875,027 | ) |
Foreign Currency Forward Contracts as of December 31, 2019 | ||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||
Yen | UBS AG | Long | 01/10/20 | 1,025,624,482 | 0.009170 | $ | 9,404,720 | |||||||||||||||||
Yen | Goldman Sachs International | Short | 01/10/20 | (4,448,656,033 | ) | 0.009213 | (40,983,307 | ) | ||||||||||||||||
Yen | UBS AG | Short | 01/10/20 | (4,893,578,348 | ) | 0.009211 | (45,072,829 | ) |
Foreign Currency Forward Contracts as of December 31, 2018 | ||||||||||||||||||||||||
Counterparty | Long or Short | Settlement Date | Yen | Forward Rate | Market Value USD | |||||||||||||||||||
Yen | Goldman Sachs International | Long | 01/11/19 | 1,459,634,700 | 0.008901 | $ | 12,991,545 | |||||||||||||||||
Yen | UBS AG | Long | 01/11/19 | 2,446,453,800 | 0.008985 | 21,980,969 | ||||||||||||||||||
Yen | Goldman Sachs International | Short | 01/11/19 | (7,490,711,300 | ) | 0.008893 | (66,611,796 | ) | ||||||||||||||||
Yen | UBS AG | Short | 01/11/19 | (8,547,990,500 | ) | 0.008888 | (75,970,705 | ) |
Foreign Currency Forward Contracts as of December 31, 2020 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 01/15/21 | 315,800,000 | 0.009664 | $ | 3,051,852 | |||||||||||||
Yen | Goldman Sachs International | Short | 01/15/21 | (2,009,085,165 | ) | 0.009583 | (19,253,129 | ) | ||||||||||||
Yen | UBS AG | Short | 01/15/21 | (3,196,558,875 | ) | 0.009572 | (30,597,154 | ) |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | April 2020 | 511 | $ | 17.43 | 1,000 | $ | 8,904,175 | ||||||||||||||||
VIX Futures (Cboe) | Long | May 2020 | 865 | 17.58 | 1,000 | 15,202,375 | ||||||||||||||||||
VIX Futures (Cboe) | Long | June 2020 | 865 | 17.88 | 1,000 | 15,461,875 | ||||||||||||||||||
VIX Futures (Cboe) | Long | July 2020 | 354 | 18.13 | 1,000 | 6,416,250 |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 907 | $ | 24.69 | 1,000 | $ | 22,395,009 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 1,484 | 25.25 | 1,000 | 37,466,251 | ||||||||||||||
VIX Futures (Cboe) | Long | June 2022 | 1,484 | 25.57 | 1,000 | 37,944,099 | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 577 | 26.15 | 1,000 | 15,088,550 |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | April 2019 | 503 | $ | 20.98 | 1,000 | $ | 10,550,425 | ||||||||||||||||
VIX Futures (Cboe) | Long | May 2019 | 906 | 20.75 | 1,000 | 18,799,500 | ||||||||||||||||||
VIX Futures (Cboe) | Long | June 2019 | 906 | 20.55 | 1,000 | 18,618,300 | ||||||||||||||||||
VIX Futures (Cboe) | Long | July 2019 | 403 | 20.68 | 1,000 | 8,332,025 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2021 | 463 | $ | 25.95 | 1,000 | $ | 12,014,850 | ||||||||||||
VIX Futures (Cboe) | Long | May 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||
VIX Futures (Cboe) | Long | June 2021 | 926 | 25.93 | 1,000 | 24,006,550 | ||||||||||||||
VIX Futures (Cboe) | Long | July 2021 | 463 | 26.00 | 1,000 | 12,038,000 |
Futures Positions as of December 31, 2019 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | January 2020 | 10,706 | $ | 14.63 | 1,000 | $ | 156,575,250 | ||||||||||||||||
VIX Futures (Cboe) | Long | February 2020 | 7,415 | 16.63 | 1,000 | 123,274,375 |
Futures Positions as of December 31, 2021 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | January 2022 | 8,015 | $ | 19.67 | 1,000 | $ | 157,691,117 | ||||||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 5,101 | 21.97 | 1,000 | 112,071,521 |
Futures Positions as of December 31, 2018 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | January 2019 | 3,561 | $ | 24.18 | 1,000 | $ | 86,087,175 | ||||||||||||||||
VIX Futures (Cboe) | Long | February 2019 | 2,849 | 22.28 | 1,000 | 63,461,475 |
Futures Positions as of December 31, 2020 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 5,948 | $ | 23.68 | 1,000 | $ | 140,818,900 | ||||||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 5,953 | 25.58 | 1,000 | 152,247,975 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 37,625 | $ | 71,866 | $ | 60,251 | $ | 6,509 | $ | 176,251 | ||||||||||
Net realized and unrealized gain (loss) | $ | 350,977 | $ | (157,901 | ) | $ | 963,281 | $ | (153,379 | ) | $ | 1,002,978 | ||||||||
Net income (loss) | $ | 388,602 | $ | (86,035 | ) | $ | 1,023,532 | $ | (146,870 | ) | $ | 1,179,229 | ||||||||
Net increase (decrease) in net asset value per share | $ | 1.33 | $ | (0.18 | ) | $ | 2.38 | $ | (0.99 | ) | $ | 2.54 | ||||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 934 | $ | 7,908 | $ | 11,261 | $ | 24,354 | $ | 44,457 | ||||||||||
Net realized and unrealized gain (loss) | $ | (142,252 | ) | $ | 460,859 | $ | 87,653 | $ | 177,089 | $ | 583,349 | |||||||||
Net income (loss) | $ | (141,318 | ) | $ | 468,767 | $ | 98,914 | $ | 201,443 | $ | 627,806 | |||||||||
Net increase (decrease) in net asset value per share | $ | (0.71 | ) | $ | 2.35 | $ | 0.49 | $ | 1.01 | $ | 3.14 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (8,638 | ) | $ | (4,801 | ) | $ | (5,003 | ) | $ | (5,161 | ) | $ | (23,603 | ) | |||||
Net realized and unrealized gain (loss) | $ | 148,035 | $ | (20,637 | ) | $ | 52,719 | $ | 43,764 | $ | 223,881 | |||||||||
Net income (loss) | $ | 139,397 | $ | (25,438 | ) | $ | 47,716 | $ | 38,603 | $ | 200,278 | |||||||||
Net increase (decrease) in net asset value per share | $ | 1.77 | $ | (0.51 | ) | $ | 0.96 | $ | 0.77 | $ | 2.99 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 1,992 | $ | (5,552 | ) | $ | (5,267 | ) | $ | (7,950 | ) | $ | (16,777 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 48,656 | $ | (40,824 | ) | $ | (92,556 | ) | $ | (146,897 | ) | $ | (231,621 | ) | ||||||
Net income (loss) | $ | 50,648 | $ | (46,376 | ) | $ | (97,823 | ) | $ | (154,847 | ) | $ | (248,398 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 1.02 | $ | (0.93 | ) | $ | (1.96 | ) | $ | (1.85 | ) | $ | (3.72 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 45,436 | $ | 725,505 | $ | 366,033 | $ | 25,189 | $ | 1,162,163 | ||||||||||
Net realized and unrealized gain (loss) | $ | 81,676,814 | $ | 15,996,074 | $ | (4,250,833 | ) | $ | 56,953,543 | $ | 150,375,598 | |||||||||
Net income (loss) | $ | 81,722,250 | $ | 16,721,579 | $ | (3,884,800 | ) | $ | 56,978,732 | $ | 151,537,761 | |||||||||
Net increase (decrease) in net asset value per share | $ | 9.95 | $ | 2.20 | $ | (0.58 | ) | $ | 11.69 | $ | 23.26 | |||||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (1,750,599 | ) | $ | (645,154 | ) | $ | (101,161 | ) | $ | 287,559 | $ | (2,209,355 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (1,937,523,391 | ) | $ | 70,228,943 | $ | 71,756,231 | $ | (121,751,400 | ) | $ | (1,917,289,617 | ) | |||||||
Net income (loss) | $ | (1,939,273,990 | ) | $ | 69,583,789 | $ | 71,655,070 | $ | (121,463,841 | ) | $ | (1,919,498,972 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (462.82 | ) | $ | 4.72 | $ | 8.00 | $ | (16.74 | ) | $ | (466.84 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (1,442,366 | ) | $ | (1,865,757 | ) | $ | (1,466,273 | ) | $ | (1,367,998 | ) | $ | (6,142,394 | ) | |||||
Net realized and unrealized gain (loss) | $ | 66,334,535 | $ | 96,028,887 | $ | (8,777,241 | ) | $ | 64,302,201 | $ | 217,888,382 | |||||||||
Net income (loss) | $ | 64,892,169 | $ | 94,163,130 | $ | (10,243,514 | ) | $ | 62,934,203 | $ | 211,745,988 | |||||||||
Net increase (decrease) in net asset value per share | $ | 5.71 | $ | 8.48 | $ | (1.15 | ) | $ | 7.10 | $ | 20.14 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | (355,596 | ) | $ | (2,142,980 | ) | $ | (1,544,734 | ) | $ | (1,226,252 | ) | $ | (5,269,562 | ) | |||||
Net realized and unrealized gain (loss) | $ | (223,244,946 | ) | $ | 32,313,676 | $ | 59,129,906 | $ | 57,283,419 | $ | (74,517,945 | ) | ||||||||
Net income (loss) | $ | (223,600,542 | ) | $ | 30,170,696 | $ | 57,585,172 | $ | 56,057,167 | $ | (79,787,507 | ) | ||||||||
Net increase (decrease) in net asset value per share | $ | (34.60 | ) | $ | 0.38 | $ | 3.97 | $ | 6.05 | $ | (24.20 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 1,095,944 | $ | 1,231,167 | $ | 964,368 | $ | 573,105 | $ | 3,864,584 | ||||||||||
Net realized and unrealized gain (loss) | $ | 219,922,437 | $ | (11,746,328 | ) | $ | (44,341,886 | ) | $ | 89,750,924 | $ | 253,585,147 | ||||||||
Net income (loss) | $ | 221,018,381 | $ | (10,515,161 | ) | $ | (43,377,518 | ) | $ | 90,324,029 | $ | 257,449,731 | ||||||||
Net increase (decrease) in net asset value per share | $ | 8.46 | $ | (1.89 | ) | $ | (3.55 | ) | $ | 4.29 | $ | 7.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (2,759,147 | ) | $ | (3,210,719 | ) | $ | (3,130,493 | ) | $ | (2,882,847 | ) | $ | (11,983,206 | ) | |||||
Net realized and unrealized gain (loss) | $ | 369,386,884 | $ | 478,424,798 | $ | 89,447,233 | $ | 64,099,817 | $ | 1,001,358,732 | ||||||||||
Net income (loss) | $ | 366,627,737 | $ | 475,214,079 | $ | 86,316,740 | $ | 61,216,970 | $ | 989,375,526 | ||||||||||
Net increase (decrease) in net asset value per share | $ | 16.18 | $ | 25.68 | $ | 6.23 | $ | 1.69 | $ | 49.78 |
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 334,994 | $ | 650,229 | $ | 907,471 | $ | 1,130,114 | $ | 3,022,808 | ||||||||||
Net realized and unrealized gain (loss) | $ | 74,009,930 | $ | 103,315,781 | $ | 17,868,429 | $ | (334,398,877 | ) | $ | (139,204,737 | ) | ||||||||
Net income (loss) | $ | 74,344,924 | $ | 103,966,010 | $ | 18,775,900 | $ | (333,268,763 | ) | $ | (136,181,929 | ) | ||||||||
Net increase (decrease) in net asset value per share | $ | 3.82 | $ | 6.85 | $ | 1.43 | $ | (22.70 | ) | $ | (10.60 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | �� | September 30, 2020 | December 31, 2020 | ||||||||||||||||
Net investment income (loss) | $ | 404,884 | $ | (3,994,835 | ) | $ | (4,420,342 | ) | $ | (3,013,018 | ) | $ | (11,023,311 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (827,975,458 | ) | $ | (10,241,862 | ) | $ | 53,323,977 | $ | 236,808,671 | $ | (548,084,672 | ) | |||||||
Net income (loss) | $ | (827,570,574 | ) | $ | (14,236,697 | ) | $ | 48,903,635 | $ | 233,795,653 | $ | (559,107,983 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (469.08 | ) | $ | (11.56 | ) | $ | 0.15 | $ | 7.64 | $ | (472.85 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 44,045 | $ | 49,884 | $ | 64,345 | $ | 4,114 | $ | 162,388 | ||||||||||
Net realized and unrealized gain (loss) | $ | (2,956,899 | ) | $ | (8,646,662 | ) | $ | 1,504,321 | $ | (14,608,364 | ) | $ | (24,707,604 | ) | ||||||
Net income (loss) | $ | (2,912,854 | ) | $ | (8,596,778 | ) | $ | 1,568,666 | $ | (14,604,250 | ) | $ | (24,545,216 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (4.95 | ) | $ | (6.48 | ) | $ | (0.98 | ) | $ | (4.47 | ) | $ | (16.88 | ) | |||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 7,455 | $ | 21,771 | $ | 30,444 | $ | 36,649 | $ | 96,319 | ||||||||||
Net realized and unrealized gain (loss) | $ | (3,836,207 | ) | $ | 1,576,734 | $ | 1,494,408 | $ | 4,310,866 | $ | 3,545,801 | |||||||||
Net income (loss) | $ | (3,828,752 | ) | $ | 1,598,505 | $ | 1,524,852 | $ | 4,347,515 | $ | 3,642,120 | |||||||||
Net increase (decrease) in net asset value per share | $ | (5.16 | ) | $ | 1.80 | $ | 1.06 | $ | (5.06 | ) | $ | (7.36 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (415,145 | ) | $ | (217,363 | ) | $ | (212,510 | ) | $ | (764,841 | ) | $ | (1,609,859 | ) | |||||
Net realized and unrealized gain (loss) | $ | 23,784,068 | $ | 33,249,205 | $ | 59,061,431 | $ | (182,666,654 | ) | $ | (66,571,950 | ) | ||||||||
Net income (loss) | $ | 23,368,923 | $ | 33,031,842 | $ | 58,848,921 | $ | (183,431,495 | ) | $ | (68,181,809 | ) | ||||||||
Net increase (decrease) in net asset value per share | $ | 0.31 | $ | 14.02 | $ | 48.14 | $ | (57.92 | ) | $ | 4.55 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | (2,351 | ) | $ | (121,296 | ) | $ | (323,543 | ) | $ | (492,710 | ) | $ | (939,900 | ) | |||||
Net realized and unrealized gain (loss) | $ | (27,255,588 | ) | $ | (11,257,966 | ) | $ | 36,401,329 | $ | (42,062,709 | ) | $ | (44,174,934 | ) | ||||||
Net income (loss) | $ | (27,257,939 | ) | $ | (11,379,262 | ) | $ | 36,077,786 | $ | (42,555,419 | ) | $ | (45,114,834 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (42.15 | ) | $ | (13.51 | ) | $ | 6.05 | $ | (13.36 | ) | $ | (62.97 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 20,829 | $ | 18,923 | $ | 12,333 | $ | 6,443 | $ | 58,528 | ||||||||||
Net realized and unrealized gain (loss) | $ | (452,758 | ) | $ | 75,978 | $ | (546,620 | ) | $ | 252,983 | $ | (670,417 | ) | |||||||
Net income (loss) | $ | (431,929 | ) | $ | 94,901 | $ | (534,287 | ) | $ | 259,426 | $ | (611,889 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (0.80 | ) | $ | 0.21 | $ | (1.33 | ) | $ | 0.62 | $ | (1.30 | ) | |||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 1,487 | $ | 3,336 | $ | 8,290 | $ | 17,710 | $ | 30,823 | ||||||||||
Net realized and unrealized gain (loss) | $ | 318,529 | $ | (1,063,679 | ) | $ | (199,010 | ) | $ | (325,517 | ) | $ | (1,269,677 | ) | ||||||
Net income (loss) | $ | 320,016 | $ | (1,060,343 | ) | $ | (190,720 | ) | $ | (307,807 | ) | $ | (1,238,854 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 0.66 | $ | (2.01 | ) | $ | (0.39 | ) | $ | (0.61 | ) | $ | (2.35 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (9,494 | ) | $ | (8,978 | ) | $ | (8,271 | ) | $ | (8,785 | ) | $ | (35,528 | ) | |||||
Net realized and unrealized gain (loss) | $ | (338,394 | ) | $ | 82,193 | $ | (181,366 | ) | $ | (67,904 | ) | $ | (505,471 | ) | ||||||
Net income (loss) | $ | (347,888 | ) | $ | 73,215 | $ | (189,637 | ) | $ | (76,689 | ) | $ | (540,999 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (1.34 | ) | $ | 0.22 | $ | (0.75 | ) | $ | (0.60 | ) | $ | (2.47 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 3,247 | $ | (8,702 | ) | $ | (12,155 | ) | $ | (9,996 | ) | $ | (27,606 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (274,810 | ) | $ | 78,773 | $ | 357,397 | $ | 321,206 | $ | 482,566 | |||||||||
Net income (loss) | $ | (271,563 | ) | $ | 70,071 | $ | 345,242 | $ | 311,210 | $ | 454,960 | |||||||||
Net increase (decrease) in net asset value per share | $ | (0.63 | ) | $ | 0.40 | $ | 1.10 | $ | 1.13 | $ | 2.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 212,786 | $ | 228,086 | $ | 254,636 | $ | 207,429 | $ | 902,937 | ||||||||||
Net realized and unrealized gain (loss) | $ | 279,826 | $ | 12,185,406 | $ | 4,937,206 | $ | 6,001,591 | $ | 23,404,029 | ||||||||||
Net income (loss) | $ | 492,612 | $ | 12,413,492 | $ | 5,191,842 | $ | 6,209,020 | $ | 24,306,966 | ||||||||||
Net increase (decrease) in net asset value per share | $ | 0.20 | $ | 6.46 | $ | 2.75 | $ | 2.68 | $ | 12.09 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (579,670 | ) | $ | (569,965 | ) | $ | (596,194 | ) | $ | (543,046 | ) | $ | (2,288,875 | ) | |||||
Net realized and unrealized gain (loss) | $ | (52,480,390 | ) | $ | 12,028,064 | $ | (6,283,805 | ) | $ | 16,909,381 | $ | (29,826,750 | ) | |||||||
Net income (loss) | $ | (53,060,060 | ) | $ | 11,458,099 | $ | (6,879,999 | ) | $ | 16,366,335 | $ | (32,115,625 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (13.25 | ) | $ | 2.96 | $ | (1.64 | ) | $ | 4.05 | $ | (7.88 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 87,511 | $ | 174,419 | $ | 187,472 | $ | 176,229 | $ | 625,631 | ||||||||||
Net realized and unrealized gain (loss) | $ | 3,647,616 | $ | (11,510,819 | ) | $ | (9,205,070 | ) | $ | 10,403,281 | $ | (6,664,992 | ) | |||||||
Net income (loss) | $ | 3,735,127 | $ | (11,336,400 | ) | $ | (9,017,598 | ) | $ | 10,579,510 | $ | (6,039,361 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | 1.56 | $ | (4.95 | ) | $ | (4.00 | ) | $ | 4.63 | $ | (2.76 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 445,559 | $ | 512,068 | $ | 489,406 | $ | 409,237 | $ | 1,856,270 | ||||||||||
Net realized and unrealized gain (loss) | $ | (13,588,404 | ) | $ | 485,637 | $ | 33,071,129 | $ | 18,628,882 | $ | 38,597,244 | |||||||||
Net income (loss) | $ | (13,142,845 | ) | $ | 997,705 | $ | 33,560,535 | $ | 19,038,119 | $ | 40,453,514 | |||||||||
Net increase (decrease) in net asset value per share | $ | (1.87 | ) | $ | .10 | $ | 4.59 | $ | 2.49 | $ | 5.31 | |||||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 214,408 | $ | 386,411 | $ | 489,197 | $ | 379,163 | $ | 1,469,179 | ||||||||||
Net realized and unrealized gain (loss) | $ | (19,015,679 | ) | $ | (9,668,809 | ) | $ | (50,021,707 | ) | $ | 26,147,651 | $ | (52,558,544 | ) | ||||||
Net income (loss) | $ | (18,801,271 | ) | $ | (9,282,398 | ) | $ | (49,532,510 | ) | $ | 26,526,814 | $ | (51,089,365 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (2.72 | ) | $ | (1.45 | ) | $ | (6.36 | ) | $ | 3.37 | $ | (7.16 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | (150,629 | ) | $ | 507,125 | $ | 128,125 | $ | (389,569 | ) | $ | 95,052 | ||||||||
Net realized and unrealized gain (loss) | $ | (234,281,324 | ) | $ | (94,539,260 | ) | $ | (10,108,464 | ) | $ | (351,677,844 | ) | $ | (690,606,892 | ) | |||||
Net income (loss) | $ | (234,431,953 | ) | $ | (94,032,135 | ) | $ | (9,980,339 | ) | $ | (352,067,413 | ) | $ | (690,511,840 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (42.46 | ) | $ | (8.63 | ) | $ | (4.99 | ) | $ | (12.71 | ) | $ | (68.79 | ) | |||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (1,067,496 | ) | $ | (1,082,646 | ) | $ | (1,124,013 | ) | $ | 128,484 | $ | (3,145,671 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 484,076,554 | $ | (148,750,315 | ) | $ | (230,179,281 | ) | $ | 350,498,454 | $ | 455,645,412 | ||||||||
Net income (loss) | $ | 483,009,058 | $ | (149,832,961 | ) | $ | (231,303,294 | ) | $ | 350,626,938 | $ | 452,499,741 | ||||||||
Net increase (decrease) in net asset value per share | $ | 43.35 | $ | (33.76 | ) | $ | (24.76 | ) | $ | 44.96 | $ | 29.79 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 14,571 | $ | 9,668 | $ | 8,446 | $ | 5,829 | $ | 38,514 | ||||||||||
Net realized and unrealized gain (loss) | $ | (189,904 | ) | $ | 154,832 | $ | (38,615 | ) | $ | (55,889 | ) | $ | (129,576 | ) | ||||||
Net income (loss) | $ | (175,333 | ) | $ | 164,500 | $ | (30,169 | ) | $ | (50,060 | ) | $ | (91,062 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (1.88 | ) | $ | 2.44 | $ | (1.03 | ) | $ | (1.23 | ) | $ | (1.70 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (3,069 | ) | $ | (2,527 | ) | $ | (1,364 | ) | $ | 5,977 | $ | (983 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 310,931 | $ | (277,136 | ) | $ | (177,347 | ) | $ | 185,406 | $ | 41,854 | ||||||||
Net income (loss) | $ | 307,862 | $ | (279,663 | ) | $ | (178,711 | ) | $ | 191,383 | $ | 40,871 | ||||||||
Net increase (decrease) in net asset value per share | $ | 6.16 | $ | (5.60 | ) | $ | (3.57 | ) | $ | 3.22 | $ | 0.21 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 108,908 | $ | (279,921 | ) | $ | (617,991 | ) | $ | (635,526 | ) | $ | (1,424,530 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 2,400,696 | $ | 30,258,340 | $ | 7,687,705 | $ | (5,247,845 | ) | $ | 35,098,896 | |||||||||
Net income (loss) | $ | 2,509,604 | $ | 29,978,419 | $ | 7,069,714 | $ | (5,883,371 | ) | $ | 33,674,366 | |||||||||
Net increase (decrease) in net asset value per share | $ | 3.23 | $ | 12.54 | $ | 3.88 | $ | (1.29 | ) | $ | 18.36 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 252,849 | $ | 260,997 | $ | 166,187 | $ | 50,048 | $ | 730,081 | ||||||||||
Net realized and unrealized gain (loss) | $ | 86,429,677 | $ | (9,317,208 | ) | $ | (20,140,427 | ) | $ | 42,925,640 | $ | 99,897,682 | ||||||||
Net income (loss) | $ | 86,682,526 | $ | (9,056,211 | ) | $ | (19,974,240 | ) | $ | 42,975,688 | $ | 100,627,763 | ||||||||
Net increase (decrease) in net asset value per share | $ | 13.87 | $ | (4.41 | ) | $ | (7.12 | ) | $ | 6.05 | $ | 8.39 | ||||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (31,115 | ) | $ | (64,951 | ) | $ | 3,898 | $ | 53,884 | $ | (38,284 | ) | |||||||
Net realized and unrealized gain (loss) | $ | 3,206,782 | $ | 8,642,480 | $ | 4,526,787 | $ | (78,680,204 | ) | $ | (62,304,155 | ) | ||||||||
Net income (loss) | $ | 3,175,667 | $ | 8,577,529 | $ | 4,530,685 | $ | (78,626,320 | ) | $ | (62,342,439 | ) | ||||||||
Net increase (decrease) in net asset value per share | $ | 8.52 | $ | 16.48 | $ | 2.36 | $ | (52.06 | ) | $ | (24.70 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (1,741,775 | ) | $ | (1,639,236 | ) | $ | (1,424,705 | ) | $ | (1,287,309 | ) | $ | (6,093,025 | ) | |||||
Net realized and unrealized gain (loss) | $ | (132,833,039 | ) | $ | 67,976,234 | $ | (207,338,320 | ) | $ | 48,872,620 | $ | (223,322,505 | ) | |||||||
Net income (loss) | $ | (134,574,814 | ) | $ | 66,336,998 | $ | (208,763,025 | ) | $ | 47,585,311 | $ | (229,415,530 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (9.36 | ) | $ | 4.62 | $ | (14.26 | ) | $ | 3.13 | $ | (15.87 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 276,832 | $ | (335,243 | ) | $ | (1,497,215 | ) | $ | (1,618,419 | ) | $ | (3,174,045 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (88,759,485 | ) | $ | 80,688,373 | $ | 90,925,025 | $ | 127,443,707 | $ | 210,297,620 | |||||||||
Net income (loss) | $ | (88,482,653 | ) | $ | 80,353,130 | $ | 89,427,810 | $ | 125,825,288 | $ | 207,123,575 | |||||||||
Net increase (decrease) in net asset value per share | $ | (13.28 | ) | $ | 11.14 | $ | 12.69 | $ | 8.46 | $ | 19.01 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 24,014 | $ | 37,229 | $ | 36,261 | $ | 5,893 | $ | 103,397 | ||||||||||
Net realized and unrealized gain (loss) | $ | (11,765,350 | ) | $ | 112,611 | $ | 17,342,394 | $ | (23,468,770 | ) | $ | (17,779,115 | ) | |||||||
Net income (loss) | $ | (11,741,336 | ) | $ | 149,840 | $ | 17,378,655 | $ | (23,462,877 | ) | $ | (17,675,718 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (29.17 | ) | $ | (0.82 | ) | $ | (2.77 | ) | $ | (6.37 | ) | $ | (39.13 | ) | |||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (67,214 | ) | $ | (65,455 | ) | $ | (8,035 | ) | $ | 32,013 | $ | (108,691 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (5,422,950 | ) | $ | (8,500,464 | ) | $ | (2,905,992 | ) | $ | 34,214,317 | $ | 17,384,911 | |||||||
Net income (loss) | $ | (5,490,164 | ) | $ | (8,565,919 | ) | $ | (2,914,027 | ) | $ | 34,246,330 | $ | 17,276,220 | |||||||
Net increase (decrease) in net asset value per share | $ | (11.52 | ) | $ | (11.49 | ) | $ | (2.90 | ) | $ | 33.38 | $ | 7.47 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (8,069,549 | ) | $ | (3,975,284 | ) | $ | (3,993,799 | ) | $ | (4,118,353 | ) | $ | (20,156,985 | ) | |||||
Net realized and unrealized gain (loss) | $ | (988,858,835 | ) | $ | (610,411,676 | ) | $ | (11,638,769 | ) | $ | (450,860,484 | ) | $ | (2,061,769,764 | ) | |||||
Net income (loss) | $ | (996,928,384 | ) | $ | (614,386,960 | ) | $ | (15,632,568 | ) | $ | (454,978,837 | ) | $ | (2,081,926,749 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (50.36 | ) | $ | (28.41 | ) | $ | (3.48 | ) | $ | (12.02 | ) | $ | (94.27 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | (729,265 | ) | $ | (2,085,756 | ) | $ | (5,136,994 | ) | $ | (5,671,866 | ) | $ | (13,623,881 | ) | |||||
Net realized and unrealized gain (loss) | $ | 902,602,146 | $ | (233,381,670 | ) | $ | (544,234,723 | ) | $ | (759,178,251 | ) | $ | (634,192,498 | ) | ||||||
Net income (loss) | $ | 901,872,881 | $ | (235,467,426 | ) | $ | (549,371,717 | ) | $ | (764,850,117 | ) | $ | (647,816,379 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 458.42 | $ | (255.88 | ) | $ | (127.74 | ) | $ | (94.86 | ) | $ | (20.06 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (6,293 | ) | $ | (5,955 | ) | $ | (5,973 | ) | $ | (5,566 | ) | $ | (23,787 | ) | |||||
Net realized and unrealized gain (loss) | $ | (395,512 | ) | $ | (21,391 | ) | $ | (14,495 | ) | $ | (171,465 | ) | $ | (602,863 | ) | |||||
Net income (loss) | $ | (401,805 | ) | $ | (27,346 | ) | $ | (20,468 | ) | $ | (177,031 | ) | $ | (626,650 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (8.05 | ) | $ | (0.54 | ) | $ | (0.41 | ) | $ | (3.54 | ) | $ | (12.54 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 1,626 | $ | (6,539 | ) | $ | (6,720 | ) | $ | (6,684 | ) | $ | (18,317 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (27,796 | ) | $ | (37,886 | ) | $ | 125,045 | $ | 113,503 | $ | 172,866 | ||||||||
Net income (loss) | $ | (26,170 | ) | $ | (44,425 | ) | $ | 118,325 | $ | 106,819 | $ | 154,549 | ||||||||
Net increase (decrease) in net asset value per share | $ | 0.38 | $ | (0.89 | ) | $ | 2.37 | $ | 2.14 | $ | 4.00 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 25,789 | $ | 25,895 | $ | 19,953 | $ | 8,688 | $ | 80,325 | ||||||||||
Net realized and unrealized gain (loss) | $ | (314,459 | ) | $ | 175,523 | $ | 663,547 | $ | (427,020 | ) | $ | 97,591 | ||||||||
Net income (loss) | $ | (288,670 | ) | $ | 201,418 | $ | 683,500 | $ | (418,332 | ) | $ | 177,916 | ||||||||
Net increase (decrease) in net asset value per share | $ | (0.88 | ) | $ | 1.34 | $ | 4.75 | $ | (4.42 | ) | $ | 0.79 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (5,267 | ) | $ | (5,306 | ) | $ | (9,379 | ) | $ | (9,054 | ) | $ | (29,006 | ) | |||||
Net realized and unrealized gain (loss) | $ | 41,508 | $ | 51,158 | $ | 245,654 | $ | (71,623 | ) | $ | 266,697 | |||||||||
Net income (loss) | $ | 36,241 | $ | 45,852 | $ | 236,275 | $ | (80,677 | ) | $ | 237,691 | |||||||||
Net increase (decrease) in net asset value per share | $ | 0.73 | $ | 0.91 | $ | 3.05 | $ | (0.89 | ) | $ | 3.80 |
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 135 | $ | 4,750 | $ | 9,501 | $ | 22,360 | $ | 36,746 | ||||||||||
Net realized and unrealized gain (loss) | $ | 71,892 | $ | 509,518 | $ | 371,946 | $ | 580,876 | $ | 1,534,232 | ||||||||||
Net income (loss) | $ | 72,027 | $ | 514,268 | $ | 381,447 | $ | 603,236 | $ | 1,570,978 | ||||||||||
Net increase (decrease) in net asset value per share | $ | 1.42 | $ | 3.43 | $ | 2.19 | $ | 2.59 | $ | 9.63 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 3,425 | $ | (16,185 | ) | $ | (13,294 | ) | $ | (10,614 | ) | $ | (36,668 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 1,618,330 | $ | (1,600,140 | ) | $ | (427,080 | ) | $ | (538,450 | ) | $ | (947,340 | ) | ||||||
Net income (loss) | $ | 1,621,755 | $ | (1,616,325 | ) | $ | (440,374 | ) | $ | (549,064 | ) | $ | (984,008 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 16.21 | $ | (16.16 | ) | $ | (4.40 | ) | $ | (7.29 | ) | $ | (11.64 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 185,815 | $ | 215,797 | $ | 200,283 | $ | 107,904 | $ | 709,799 | ||||||||||
Net realized and unrealized gain (loss) | $ | (42,073,393 | ) | $ | 7,580,828 | $ | 10,965,855 | $ | (21,789,492 | ) | $ | (45,316,202 | ) | |||||||
Net income (loss) | $ | (41,887,578 | ) | $ | 7,796,625 | $ | 11,166,138 | $ | (21,681,588 | ) | $ | (44,606,403 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (12.90 | ) | $ | (0.03 | ) | $ | (0.46 | ) | $ | (4.21 | ) | $ | (17.60 | ) | |||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 189,482 | $ | 343,498 | $ | 350,275 | $ | 155,375 | $ | 1,038,630 | ||||||||||
Net realized and unrealized gain (loss) | $ | (32,789,044 | ) | $ | (49,301,579 | ) | $ | (9,315,729 | ) | $ | 107,877,779 | $ | 16,471,427 | |||||||
Net income (loss) | $ | (32,599,562 | ) | $ | (48,958,081 | ) | $ | (8,965,454 | ) | $ | 108,033,154 | $ | 17,510,057 | |||||||
Net increase (decrease) in net asset value per share | $ | (4.35 | ) | $ | (5.03 | ) | $ | (1.34 | ) | $ | 16.20 | $ | 5.48 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (301,184 | ) | $ | (208,741 | ) | $ | (241,725 | ) | $ | (287,517 | ) | $ | (1,039,167 | ) | |||||
Net realized and unrealized gain (loss) | $ | (43,538,921 | ) | $ | (35,957,853 | ) | $ | (12,970,455 | ) | $ | (6,616,399 | ) | $ | (99,083,628 | ) | |||||
Net income (loss) | $ | (43,840,105 | ) | $ | (36,166,594 | ) | $ | (13,212,180 | ) | $ | (6,903,916 | ) | $ | (100,122,795 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (17.65 | ) | $ | (10.69 | ) | $ | (2.98 | ) | $ | (2.28 | ) | $ | (33.60 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | (30,713 | ) | $ | (782,726 | ) | $ | (342,320 | ) | $ | (312,419 | ) | $ | (1,468,178 | ) | |||||
Net realized and unrealized gain (loss) | $ | 128,255,359 | $ | (82,149,072 | ) | $ | (10,448,715 | ) | $ | (30,195,830 | ) | $ | 5,461,742 | |||||||
Net income (loss) | $ | 128,224,646 | $ | (82,931,798 | ) | $ | (10,791,035 | ) | $ | (30,508,249 | ) | $ | 3,993,564 | |||||||
Net increase (decrease) in net asset value per share | $ | 147.50 | $ | (123.09 | ) | $ | (6.72 | ) | $ | (20.01 | ) | $ | (2.32 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 19,484 | $ | 11,719 | $ | 4,656 | $ | (6,442 | ) | $ | 29,417 | |||||||||
Net realized and unrealized gain (loss) | $ | 1,002,714 | $ | 2,903,656 | $ | 723,285 | $ | 4,491,526 | $ | 9,121,181 | ||||||||||
Net income (loss) | $ | 1,022,198 | $ | 2,915,375 | $ | 727,941 | $ | 4,485,084 | $ | 9,150,598 | ||||||||||
Net increase (decrease) in net asset value per share | $ | 1.04 | $ | 8.10 | $ | (1.33 | ) | $ | 9.11 | $ | 16.92 | |||||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (9,587 | ) | $ | (2,564 | ) | $ | 1,662 | $ | 6,035 | $ | (4,454 | ) | |||||||
Net realized and unrealized gain (loss) | $ | 1,678,891 | $ | (587,894 | ) | $ | (278,829 | ) | $ | (3,025,179 | ) | $ | (2,213,011 | ) | ||||||
Net income (loss) | $ | 1,669,304 | $ | (590,458 | ) | $ | (277,167 | ) | $ | (3,019,144 | ) | $ | (2,217,465 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 3.40 | $ | (4.29 | ) | $ | (2.99 | ) | $ | (13.99 | ) | $ | (17.87 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (260,407 | ) | $ | (313,757 | ) | $ | (358,817 | ) | $ | (834,972 | ) | $ | (1,767,953 | ) | |||||
Net realized and unrealized gain (loss) | $ | 9,535,670 | $ | (43,999,065 | ) | $ | (113,481,414 | ) | $ | 170,151,398 | $ | 22,206,589 | ||||||||
Net income (loss) | $ | 9,275,263 | $ | (44,312,822 | ) | $ | (113,840,231 | ) | $ | 169,316,426 | $ | 20,438,636 | ||||||||
Net increase (decrease) in net asset value per share | $ | (42.28 | ) | $ | (87.91 | ) | $ | (72.67 | ) | $ | 26.75 | $ | (176.11 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | (22,279 | ) | $ | (87,047 | ) | $ | (249,586 | ) | $ | (190,679 | ) | $ | (549,591 | ) | |||||
Net realized and unrealized gain (loss) | $ | 8,961,788 | $ | 2,461,452 | $ | (22,480,855 | ) | $ | 10,785,426 | $ | (272,189 | ) | ||||||||
Net income (loss) | $ | 8,939,509 | $ | 2,374,405 | $ | (22,730,441 | ) | $ | 10,594,747 | $ | (821,780 | ) | ||||||||
Net increase (decrease) in net asset value per share | $ | 124.27 | $ | 19.12 | $ | (144.43 | ) | $ | 46.35 | $ | 45.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 434,473 | $ | 471,256 | $ | 371,679 | $ | 251,422 | $ | 1,528,830 | ||||||||||
Net realized and unrealized gain (loss) | $ | 7,754,055 | $ | (1,896,379 | ) | $ | 12,977,337 | $ | (5,841,242 | ) | $ | 12,993,771 | ||||||||
Net income (loss) | $ | 8,188,528 | $ | (1,425,123 | ) | $ | 13,349,016 | $ | (5,589,820 | ) | $ | 14,522,601 | ||||||||
Net increase (decrease) in net asset value per share | $ | 1.40 | $ | (0.28 | ) | $ | 2.63 | $ | (1.22 | ) | $ | 2.53 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (116,872 | ) | $ | (109,040 | ) | $ | (111,725 | ) | $ | (118,310 | ) | $ | (455,947 | ) | |||||
Net realized and unrealized gain (loss) | $ | 4,462,764 | $ | (1,306,927 | ) | $ | 2,356,508 | $ | 1,720,688 | $ | 7,233,033 | |||||||||
Net income (loss) | $ | 4,345,892 | $ | (1,415,967 | ) | $ | 2,244,783 | $ | 1,602,378 | $ | 6,777,086 | |||||||||
Net increase (decrease) in net asset value per share | $ | 1.88 | $ | (0.60 | ) | $ | 1.13 | $ | 0.90 | $ | 3.31 |
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 168,129 | $ | 322,447 | $ | 376,603 | $ | 457,315 | $ | 1,324,494 | ||||||||||
Net realized and unrealized gain (loss) | $ | (8,816,475 | ) | $ | 22,599,812 | $ | 3,375,847 | $ | 6,663,407 | $ | 23,822,591 | |||||||||
Net income (loss) | $ | (8,648,346 | ) | $ | 22,922,259 | $ | 3,752,450 | $ | 7,120,722 | $ | 25,147,085 | |||||||||
Net increase (decrease) in net asset value per share | $ | (0.88 | ) | $ | 2.46 | $ | 0.51 | $ | 0.97 | $ | 3.06 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 136,215 | $ | (145,604 | ) | $ | (144,828 | ) | $ | (132,797 | ) | $ | (287,014 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 4,237,534 | $ | (3,555,551 | ) | $ | (5,985,376 | ) | $ | (4,566,008 | ) | $ | (9,869,401 | ) | ||||||
Net income (loss) | $ | 4,373,749 | $ | (3,701,155 | ) | $ | (6,130,204 | ) | $ | (4,698,805 | ) | $ | (10,156,415 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 1.02 | $ | (1.09 | ) | $ | (2.24 | ) | $ | (1.96 | ) | $ | (4.27 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 47,471 | $ | 52,582 | $ | 53,681 | $ | 32,980 | $ | 186,714 | ||||||||||
Net realized and unrealized gain (loss) | $ | (290,878 | ) | $ | (3,257,747 | ) | $ | (767,290 | ) | $ | (1,417,644 | ) | $ | (5,733,559 | ) | |||||
Net income (loss) | $ | (243,407 | ) | $ | (3,205,165 | ) | $ | (713,609 | ) | $ | (1,384,664 | ) | $ | (5,546,845 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (0.86 | ) | $ | (11.28 | ) | $ | (4.58 | ) | $ | (3.54 | ) | $ | (20.26 | ) | |||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 22,378 | $ | 47,828 | $ | 51,360 | $ | 49,775 | $ | 171,341 | ||||||||||
Net realized and unrealized gain (loss) | $ | (1,361,639 | ) | $ | 3,454,273 | $ | 2,987,259 | $ | (3,283,495 | ) | $ | 1,796,398 | ||||||||
Net income (loss) | $ | (1,339,261 | ) | $ | 3,502,101 | $ | 3,038,619 | $ | (3,233,720 | ) | $ | 1,967,739 | ||||||||
Net increase (decrease) in net asset value per share | $ | (3.33 | ) | $ | 8.51 | $ | 8.75 | $ | (11.12 | ) | $ | 2.81 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (69,041 | ) | $ | (70,877 | ) | $ | (68,386 | ) | $ | (72,296 | ) | $ | (280,600 | ) | |||||
Net realized and unrealized gain (loss) | $ | 3,823,506 | $ | (3,178,494 | ) | $ | (684,698 | ) | $ | (2,781,826 | ) | $ | (2,821,512 | ) | ||||||
Net income (loss) | $ | 3,754,465 | $ | (3,249,371 | ) | $ | (753,084 | ) | $ | (2,854,122 | ) | $ | (3,102,112 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 6.17 | $ | (2.93 | ) | $ | 0.13 | $ | (3.09 | ) | $ | 0.28 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 15,678 | $ | (41,386 | ) | $ | (47,471 | ) | $ | (50,453 | ) | $ | (123,632 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (3,253,908 | ) | $ | (4,728,202 | ) | $ | (1,332,476 | ) | $ | (706,781 | ) | $ | (10,021,367 | ) | |||||
Net income (loss) | $ | (3,238,230 | ) | $ | (4,769,588 | ) | $ | (1,379,947 | ) | $ | (757,234 | ) | $ | (10,144,999 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (7.00 | ) | $ | (10.56 | ) | $ | (3.42 | ) | $ | (0.61 | ) | $ | (21.59 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 31,554 | $ | 42,177 | $ | 40,671 | $ | 17,511 | $ | 131,913 | ||||||||||
Net realized and unrealized gain (loss) | $ | 745,325 | $ | (596,758 | ) | $ | (2,836,930 | ) | $ | (2,053,612 | ) | $ | (4,741,975 | ) | ||||||
Net income (loss) | $ | 776,879 | $ | (554,581 | ) | $ | (2,796,259 | ) | $ | (2,036,100 | ) | $ | (4,610,061 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 2.05 | $ | (0.96 | ) | $ | (8.35 | ) | $ | (3.11 | ) | $ | (10.37 | ) | ||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 13,187 | $ | 33,075 | $ | 41,266 | $ | 24,944 | $ | 112,472 | ||||||||||
Net realized and unrealized gain (loss) | $ | 1,107,177 | $ | 811,275 | $ | 5,482,203 | $ | (2,494,901 | ) | $ | 4,905,754 | |||||||||
Net income (loss) | $ | 1,120,364 | $ | 844,350 | $ | 5,523,469 | $ | (2,469,957 | ) | $ | 5,018,226 | |||||||||
Net increase (decrease) in net asset value per share | $ | 2.22 | $ | 0.84 | $ | 8.79 | $ | (6.43 | ) | $ | 5.42 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (99,063 | ) | $ | (78,184 | ) | $ | (102,532 | ) | $ | (90,145 | ) | $ | (369,924 | ) | |||||
Net realized and unrealized gain (loss) | $ | 4,534,245 | $ | (6,801,776 | ) | $ | 10,584,741 | $ | (6,187,149 | ) | $ | 2,130,061 | ||||||||
Net income (loss) | $ | 4,435,182 | $ | (6,879,960 | ) | $ | 10,482,209 | $ | (6,277,294 | ) | $ | 1,760,137 | ||||||||
Net increase (decrease) in net asset value per share | $ | 0.19 | $ | (4.55 | ) | $ | 7.90 | $ | (4.50 | ) | $ | (0.96 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 3,419 | $ | (30,713 | ) | $ | (94,990 | ) | $ | (99,372 | ) | $ | (221,656 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 5,032,696 | $ | (6,631,810 | ) | $ | (4,767,086 | ) | $ | (11,865,871 | ) | $ | (18,232,071 | ) | ||||||
Net income (loss) | $ | 5,036,115 | $ | (6,662,523 | ) | $ | (4,862,076 | ) | $ | (11,965,243 | ) | $ | (18,453,727 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | 39.10 | $ | (67.64 | ) | $ | (39.73 | ) | $ | (11.04 | ) | $ | (79.31 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 167,574 | $ | 175,443 | $ | 137,637 | $ | 74,820 | $ | 555,474 | ||||||||||
Net realized and unrealized gain (loss) | $ | 2,090,200 | $ | (2,316,880 | ) | $ | 605,022 | $ | 862,500 | $ | 1,240,842 | |||||||||
Net income (loss) | $ | 2,257,774 | $ | (2,141,437 | ) | $ | 742,659 | $ | 937,320 | $ | 1,796,316 | |||||||||
Net increase (decrease) in net asset value per share | $ | 2.58 | $ | (3.01 | ) | $ | 1.27 | $ | 1.64 | $ | 2.48 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (62,957 | ) | $ | (68,876 | ) | $ | (54,645 | ) | $ | (60,910 | ) | $ | (247,388 | ) | |||||
Net realized and unrealized gain (loss) | $ | 4,161,315 | $ | (47,391 | ) | $ | 7,512 | $ | 1,437,795 | $ | 5,559,231 | |||||||||
Net income (loss) | $ | 4,098,358 | $ | (116,267 | ) | $ | (47,133 | ) | $ | 1,376,885 | $ | 5,311,843 | ||||||||
Net increase (decrease) in net asset value per share | $ | 9.90 | $ | 0.23 | $ | (0.01 | ) | $ | 5.05 | $ | 15.17 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 41,746 | $ | (59,287 | ) | $ | (55,870 | ) | $ | (55,791 | ) | $ | (129,202 | ) | ||||||
Net realized and unrealized gain (loss) | $ | (1,203,589 | ) | $ | 177,209 | $ | (1,250,130 | ) | $ | (1,005,096 | ) | $ | (3,281,606 | ) | ||||||
Net income (loss) | $ | (1,161,843 | ) | $ | 117,922 | $ | (1,306,000 | ) | $ | (1,060,887 | ) | $ | (3,410,808 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (2.27 | ) | $ | 0.50 | $ | (3.65 | ) | $ | (3.12 | ) | $ | (8.54 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (204,800 | ) | $ | (227,144 | ) | $ | (262,156 | ) | $ | (311,713 | ) | $ | (1,005,813 | ) | |||||
Net realized and unrealized gain (loss) | $ | (4,736,206 | ) | $ | (10,833,512 | ) | $ | 6,628,819 | $ | (5,810,660 | ) | $ | (14,751,559 | ) | ||||||
Net income (loss) | $ | (4,941,006 | ) | $ | (11,060,656 | ) | $ | 6,366,663 | $ | (6,122,373 | ) | $ | (15,757,372 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (1.99 | ) | $ | (4.23 | ) | $ | 1.71 | $ | (1.61 | ) | $ | (6.12 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | 81,401 | $ | 151,662 | $ | 178,878 | $ | 195,933 | $ | 607,874 | ||||||||||
Net realized and unrealized gain (loss) | $ | (11,656,244 | ) | $ | 7,918,559 | $ | 4,795,653 | $ | (3,586,623 | ) | $ | (2,528,655 | ) | |||||||
Net income (loss) | $ | (11,574,843 | ) | $ | 8,070,221 | $ | 4,974,531 | $ | (3,390,690 | ) | $ | (1,920,781 | ) | |||||||
Net increase (decrease) in net asset value per share | $ | (7.73 | ) | $ | 6.29 | $ | 4.72 | $ | (4.32 | ) | $ | (1.04 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 149,266 | $ | 133,606 | $ | 129,497 | $ | 80,844 | $ | 493,213 | ||||||||||
Net realized and unrealized gain (loss) | $ | (10,628,469 | ) | $ | (852,138 | ) | $ | 4,127,635 | $ | (4,913,553 | ) | $ | (12,266,525 | ) | ||||||
Net income (loss) | $ | (10,479,203 | ) | $ | (718,532 | ) | $ | 4,257,132 | $ | (4,832,709 | ) | $ | (11,773,312 | ) | ||||||
Net increase (decrease) in net asset value per share | $ | (5.01 | ) | $ | (0.22 | ) | $ | 2.08 | $ | (2.23 | ) | $ | (5.38 | ) | ||||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (4,487 | ) | $ | 2,771 | $ | 20,539 | $ | 97,505 | $ | 116,328 | |||||||||
Net realized and unrealized gain (loss) | $ | 8,636,903 | $ | (2,832,596 | ) | $ | (2,176,011 | ) | $ | 6,677,557 | $ | 10,305,853 | ||||||||
Net income (loss) | $ | 8,632,416 | $ | (2,829,825 | ) | $ | (2,155,472 | ) | $ | 6,775,062 | $ | 10,422,181 | ||||||||
Net increase (decrease) in net asset value per share | $ | 5.32 | $ | (3.58 | ) | $ | (2.46 | ) | $ | 6.08 | $ | 5.36 |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 47,920 | $ | (133,713 | ) | $ | (204,460 | ) | $ | (215,919 | ) | $ | (506,172 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 23,739,395 | $ | 882,882 | $ | 2,507,925 | $ | (10,528,768 | ) | $ | 16,601,434 | |||||||||
Net income (loss) | $ | 23,787,315 | $ | 749,169 | $ | 2,303,465 | $ | (10,744,687 | ) | $ | 16,095,262 | |||||||||
Net increase (decrease) in net asset value per share | $ | 17.47 | $ | 1.66 | $ | 0.59 | $ | (4.26 | ) | $ | 15.46 |
Three Months Ended (unaudited) | Year Ended December 31, 2019 | |||||||||||||||||||
March 31, 2019 | June 30, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||||||
Net investment income (loss) | $ | 476,702 | $ | 724,602 | $ | 615,421 | $ | 336,674 | $ | 2,153,399 | ||||||||||
Net realized and unrealized gain (loss) | $ | (76,190,815 | ) | $ | (23,082,821 | ) | $ | (2,496,651 | ) | $ | (125,351,164 | ) | $ | (227,121,451 | ) | |||||
Net income (loss) | $ | (75,714,113 | ) | $ | (22,358,219 | ) | $ | (1,881,230 | ) | $ | (125,014,490 | ) | $ | (224,968,052 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (14.50 | ) | $ | (3.22 | ) | $ | (1.67 | ) | $ | (6.89 | ) | $ | (26.28 | ) | |||||
Three Months Ended (unaudited) | Year Ended December 31, 2018 | |||||||||||||||||||
March 31, 2018 | June 30, 2018 | September 30, 2018 | December 31, 2018 | |||||||||||||||||
Net investment income (loss) | $ | (47,426 | ) | $ | (16,991 | ) | $ | 50,013 | $ | 381,069 | $ | 366,665 | ||||||||
Net realized and unrealized gain (loss) | $ | 91,294,868 | $ | (23,350,906 | ) | $ | (41,230,299 | ) | $ | 85,342,613 | $ | 112,056,276 | ||||||||
Net income (loss) | $ | 91,247,442 | $ | (23,367,897 | ) | $ | (41,180,286 | ) | $ | 85,723,682 | $ | 112,422,941 | ||||||||
Net increase (decrease) in net asset value per share | $ | 16.42 | $ | (9.34 | ) | $ | (8.57 | ) | $ | 16.73 | $ | 15.24 |
Three Months Ended (unaudited) | Year Ended December 31, 2021 | |||||||||||||||||||
March 31, 2021 | June 30, 2021 | September 30, 2021 | December 31, 2021 | |||||||||||||||||
Net investment income (loss) | $ | (1,224,804 | ) | $ | (897,582 | ) | $ | (897,586 | ) | $ | (902,979 | ) | $ | (3,922,951 | ) | |||||
Net realized and unrealized gain (loss) | $ | (130,065,447 | ) | $ | (136,854,294 | ) | $ | (9,700,136 | ) | $ | (107,478,599 | ) | $ | (384,098,476 | ) | |||||
Net income (loss) | $ | (131,290,251 | ) | $ | (137,751,876 | ) | $ | (10,597,722 | ) | $ | (108,381,578 | ) | $ | (388,021,427 | ) | |||||
Net increase (decrease) in net asset value per share | $ | (17.74 | ) | $ | (13.20 | ) | $ | (1.41 | ) | $ | (7.56 | ) | $ | (39.91 | ) |
Three Months Ended (unaudited) | Year Ended December 31, 2020 | |||||||||||||||||||
March 31, 2020 | June 30, 2020 | September 30, 2020 | December 31, 2020 | |||||||||||||||||
Net investment income (loss) | $ | 144,025 | $ | (443,622 | ) | $ | (758,225 | ) | $ | (835,140 | ) | $ | (1,892,962 | ) | ||||||
Net realized and unrealized gain (loss) | $ | 393,640,032 | $ | (52,714,687 | ) | $ | (74,563,669 | ) | $ | (101,250,010 | ) | $ | 165,111,666 | |||||||
Net income (loss) | $ | 393,784,057 | $ | (53,158,309 | ) | $ | (75,321,894 | ) | $ | (102,085,150 | ) | $ | 163,218,704 | |||||||
Net increase (decrease) in net asset value per share | $ | 102.64 | $ | (40.13 | ) | $ | (29.57 | ) | $ | (27.10 | ) | $ | 5.84 |
* | See Note 1 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
** | See Note 9 of the Notes to Financial Statements in Item 15 of Part IV in this Annual Report on Form 10-K. |
Name | Position | |
Michael L. Sapir | Chief Executive Officer and Principal of the Sponsor | |
Louis M. Mayberg | Principal of the Sponsor | |
William E. Seale | Principal of the Sponsor | |
Sapir Family Trust | Principal of the Sponsor | |
Northstar Trust | Principal of the Sponsor | |
Timothy N. Coakley | Chief Financial Officer and Principal of the Sponsor | |
Edward J. Karpowicz | Principal Financial Officer of the Trust and Principal of the Sponsor | |
Todd B. Johnson* | Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor |
Hratch Najarian | Director, Portfolio Management and Principal of the Sponsor | |
Alexander Ilyasov | Senior Portfolio Manager of the Sponsor | |
Portfolio Manager of the Sponsor | ||
Benjamin McAbee | Principal and Portfolio Manager of the Sponsor | |
Victor M. Frye | Principal of the Sponsor |
* | Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. |
Fund | Amount | |||
ProShares Short Euro | $ | 135,292 | ||
ProShares Short VIX Short-Term Futures ETF | 3,333,950 | |||
ProShares Ultra Bloomberg Crude Oil | 3,612,580 | |||
ProShares Ultra Bloomberg Natural Gas | 297,043 | |||
ProShares Ultra Euro | 62,543 | |||
ProShares Ultra Gold | 884,410 | |||
ProShares Ultra Silver | 1,928,478 | |||
ProShares Ultra VIX Short-Term Futures ETF | 4,819,171 | |||
ProShares Ultra Yen | 39,949 | |||
ProShares UltraPro 3x Crude Oil ETF | 1,049,564 | |||
ProShares UltraPro 3x Short Crude Oil ETF | 312,430 | |||
ProShares UltraShort Australian Dollar | 72,858 | |||
ProShares UltraShort Bloomberg Crude Oil | 769,401 | |||
ProShares UltraShort Bloomberg Natural Gas | 83,978 | |||
ProShares UltraShort Euro | 1,293,377 | |||
ProShares UltraShort Gold | 188,089 | |||
ProShares UltraShort Silver | 139,668 | |||
ProShares UltraShort Yen | 451,638 | |||
ProShares VIX Mid-Term Futures ETF | 380,474 | |||
ProShares VIX Short-Term Futures ETF | 2,038,850 |
Fund | Amount | |||
ProShares Short Euro | $ | 24,629 | ||
ProShares Short VIX Short-Term Futures ETF | 4,358,107 | |||
ProShares Ultra Bloomberg Crude Oil | 10,774,039 | |||
ProShares Ultra Bloomberg Natural Gas | 1,031,508 | |||
ProShares Ultra Euro | 37,450 | |||
ProShares Ultra Gold | 2,262,422 | |||
ProShares Ultra Silver | 5,912,386 | |||
ProShares Ultra VIX Short-Term Futures ETF | 11,128,589 | |||
ProShares Ultra Yen | 24,974 | |||
ProShares UltraShort Australian Dollar | 27,977 | |||
ProShares UltraShort Bloomberg Crude Oil | 847,440 | |||
ProShares UltraShort Bloomberg Natural Gas | 1,104,237 | |||
ProShares UltraShort Euro | 480,737 | |||
ProShares UltraShort Gold | 271,758 | |||
ProShares UltraShort Silver | 330,111 | |||
ProShares UltraShort Yen | 260,096 | |||
ProShares VIX Mid-Term Futures ETF | 858,979 | |||
ProShares VIX Short-Term Futures ETF | 2,825,547 |
(1) | to (4). | Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Audit Fees | $ | 730,400 | $ | 810,400 | ||||
Audit-Related Fees | — | 34,000 | ||||||
Tax Fees | 3,158,000 | 3,207,930 | ||||||
All Other Fees | — | — | ||||||
Total Trust: | $ | 3,888,400 | $ | 4,052,330 | ||||
Year Ended | Year Ended | |||||||
December 31, 2021 | December 31, 2020 | |||||||
Audit Fees | $ | 660,710 | $ | 711,260 | ||||
Audit-Related Fees | 60,000 | 57,000 | ||||||
Tax Fees | 3,995,179 | 3,164,300 | ||||||
All Other Fees | — | — | ||||||
Combined Trust: | $ | 4,715,889 | $ | 3,932,560 | ||||
(5) | The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowednon-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. |
Exhibit No. | Description of Document | |||
4.1 | ||||
4.2 | ||||
4.2.1 | ||||
4.3 | ||||
10.1 | ||||
10.2 | ||||
10.3 | ||||
10.4 | ||||
10.5 | ||||
23.1 | ||||
31.1 | Exchange Act of 1934, as amended (6) | |||
31.2 | Exchange Act of 1934, as amended (6) | |||
32.1 | Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (6) | |||
32.2 | Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (6) | |||
101.INS | XBRL Instance Document | |||
101.SCH | ||||
XBRL Taxonomy Extension Schema | ||||
101.CAL | ||||
XBRL Taxonomy Extension Calculation Linkbase | ||||
101.DEF | ||||
XBRL Taxonomy Extension Definition Linkbase | ||||
101.LAB | ||||
XBRL Taxonomy Extension Label Linkbase | ||||
101.PRE | ||||
XBRL Taxonomy Extension Presentation Linkbase | ||||
Cover Page Interactive Data | ||||
104.1 | tags are embedded within the inline XBRL document. |
(1) | Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. |
(2) | Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. |
(3) | Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. |
(4) | Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. |
(5) | Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. |
(6) | Filed herewith. |
PROSHARES TRUST II | ||
/s/ Todd Johnson | ||
By: Todd Johnson | ||
Principal Executive Officer | ||
Date: February 25, 2022 | ||
/s/ Edward Karpowicz | ||
By: Edward Karpowicz | ||
Principal Financial and Accounting Officer | ||
Date: February 25, 2022 |
Documents | Page | |||
ProShares Short Euro (a) | ProShares UltraShort Australian Dollar (a) | |
ProShares Short VIX Short-Term Futures ETF (a) | ProShares UltraShort Bloomberg Crude Oil (a) | |
ProShares Ultra Bloomberg Crude Oil (a) | ProShares UltraShort Bloomberg Natural Gas (a) | |
ProShares Ultra Bloomberg Natural Gas (a) | ProShares UltraShort Euro (a) | |
ProShares Ultra Euro (a) | ProShares UltraShort Gold (a) | |
ProShares Ultra Gold (a) | ProShares UltraShort Silver (a) | |
ProShares Ultra Silver (a) | ProShares UltraShort Yen (a) | |
ProShares Ultra VIX Short-Term Futures ETF (a) | ProShares VIX Mid-Term Futures ETF (a) | |
ProShares Ultra Yen (a) | ProShares VIX Short-Term Futures ETF (a) | |
ProShares Trust II (“combined”) |
(a) | Statements of financial condition, including the schedules of investments, as of December 31, |
Combined statements of financial condition as of December 31, |
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $745,775 and $599,431, respectively) | $ | 745,805 | $ | 599,429 | ||||
Cash | 1,509,236 | 7,873,056 | ||||||
Segregated cash balances with brokers for futures contracts | 31,680 | 151,800 | ||||||
Interest receivable | 2,434 | 7,641 | ||||||
Total assets | 2,289,155 | 8,631,926 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 5,100 | 5,250 | ||||||
Payable to Sponsor | 1,860 | 6,990 | ||||||
Total liabilities | 6,960 | 12,240 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 2,282,195 | 8,619,686 | ||||||
Total liabilities and shareholders’ equity | $ | 2,289,155 | $ | 8,631,926 | ||||
Shares outstanding | 50,000 | 200,000 | ||||||
Net asset value per share | $ | 45.64 | $ | 43.10 | ||||
Market value per share (Note 2) | $ | 45.69 | $ | 43.08 | ||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Cash | $ | 2,219,932 | $ | 4,105,781 | ||||
Segregated cash balances with brokers for futures contracts | 38,720 | 68,310 | ||||||
Receivable on open futures contracts | — | 21,094 | ||||||
Interest receivable | 93 | 175 | ||||||
Total assets | 2,258,745 | 4,195,360 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 11,500 | — | ||||||
Payable to Sponsor | 1,824 | 3,391 | ||||||
Non-recurring fees and expenses payable | — | 14 | ||||||
Total liabilities | 13,324 | 3,405 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 2,245,421 | 4,191,955 | ||||||
Total liabilities and shareholders’ equity | $ | 2,258,745 | $ | 4,195,360 | ||||
Shares outstanding | 50,000 | 100,000 | ||||||
Net asset value per share | $ | 44.91 | $ | 41.92 | ||||
Market value per share (Note 2) | $ | 44.92 | $ | 41.35 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 33 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.514% due 02/06/20 | $ | 365,000 | $ | 364,469 | ||||
1.519% due 02/13/20 | 382,000 | 381,336 | ||||||
Total short-term U.S. government and agency obligations (cost $745,775) | $ | 745,805 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures - CME, expires March 2020 | 16 | $ | 2,256,400 | $ | (14,000 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures—CME, expires March 2022 | 16 | $ | 2,280,500 | $ | (5,400 | ) |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 7 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.689% due 01/03/19 | $ | 200,000 | $ | 199,988 | ||||
1.941% due 01/17/19 | 200,000 | 199,808 | ||||||
1.976% due 01/31/19 | 200,000 | 199,633 | ||||||
Total short-term U.S. government and agency obligations (cost $599,431) | $ | 599,429 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures - CME, expires March 2019 | 60 | $ | 8,641,875 | $ | (43,281 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Euro Fx Currency Futures—CME, expires March 2021 | 27 | $ | 4,133,025 | $ | (44,626 | ) |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 314,021 | $ | 123,954 | $ | 75,953 | ||||||
Expenses | ||||||||||||
Management fee | 135,292 | 78,253 | 111,736 | |||||||||
Brokerage commissions | 2,478 | 1,244 | 1,844 | |||||||||
Total expenses | 137,770 | 79,497 | 113,580 | |||||||||
Net investment income (loss) | 176,251 | 44,457 | (37,627 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 972,479 | 459,984 | (1,161,987 | ) | ||||||||
Short-term U.S. government and agency obligations | 1,186 | — | (384 | ) | ||||||||
Net realized gain (loss) | 973,665 | 459,984 | (1,162,371 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 29,281 | 123,007 | (299,188 | ) | ||||||||
Short-term U.S. government and agency obligations | 32 | 358 | (381 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 29,313 | 123,365 | (299,569 | ) | ||||||||
Net realized and unrealized gain (loss) | 1,002,978 | 583,349 | (1,461,940 | ) | ||||||||
Net income (loss) | $ | 1,179,229 | $ | 627,806 | $ | (1,499,567 | ) | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,451 | $ | 8,193 | $ | 314,021 | ||||||
Expenses | ||||||||||||
Management fee | 24,629 | 24,443 | 135,292 | |||||||||
Brokerage commissions | 425 | 448 | 2,478 | |||||||||
Non-recurring fees and expenses | — | 79 | — | |||||||||
Total expenses | 25,054 | 24,970 | 137,770 | |||||||||
Net investment income (loss) | (23,603 | ) | (16,777 | ) | 176,251 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 183,708 | (200,965 | ) | 972,479 | ||||||||
Short-term U.S. government and agency obligations | 947 | — | 1,186 | |||||||||
Net realized gain (loss) | 184,655 | (200,965 | ) | 973,665 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 39,226 | (30,626 | ) | 29,281 | ||||||||
Short-term U.S. government and agency obligations | — | (30 | ) | 32 | ||||||||
Change in net unrealized appreciation (depreciation) | 39,226 | (30,656 | ) | 29,313 | ||||||||
Net realized and unrealized gain (loss) | 223,881 | (231,621 | ) | 1,002,978 | ||||||||
Net income (loss) | $ | 200,278 | $ | (248,398 | ) | $ | 1,179,229 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 8,619,686 | $ | 7,991,880 | $ | 15,770,088 | ||||||
Addition of 300,000, – and – shares, respectively | 13,205,150 | — | — | |||||||||
Redemption of 450,000, – and 150,000 shares, respectively | (20,721,870 | ) | — | (6,278,641 | ) | |||||||
Net addition (redemption) of (150,000), – and (150,000) shares, respectively | (7,516,720 | ) | — | (6,278,641 | ) | |||||||
Net investment income (loss) | 176,251 | 44,457 | (37,627 | ) | ||||||||
Net realized gain (loss) | 973,665 | 459,984 | (1,162,371 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 29,313 | 123,365 | (299,569 | ) | ||||||||
Net income (loss) | 1,179,229 | 627,806 | (1,499,567 | ) | ||||||||
Shareholders’ equity, end of period | $ | 2,282,195 | $ | 8,619,686 | $ | 7,991,880 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 4,191,955 | $ | 2,282,195 | $ | 8,619,686 | ||||||
Addition of 0, 50,000 and 300,000 shares, respectively | — | 2,158,158 | 13,205,150 | |||||||||
Redemption of 50,000, – and 450,000 shares, respectively | (2,146,812 | ) | — | (20,721,870 | ) | |||||||
Net addition (redemption) of (50,000), 50,000 and (150,000) shares, respectively | (2,146,812 | ) | 2,158,158 | (7,516,720 | ) | |||||||
Net investment income (loss) | (23,603 | ) | (16,777 | ) | 176,251 | |||||||
Net realized gain (loss) | 184,655 | (200,965 | ) | 973,665 | ||||||||
Change in net unrealized appreciation (depreciation) | 39,226 | (30,656 | ) | 29,313 | ||||||||
Net income (loss) | 200,278 | (248,398 | ) | 1,179,229 | ||||||||
Shareholders’ equity, end of period | $ | 2,245,421 | $ | 4,191,955 | $ | 2,282,195 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 1,179,229 | $ | 627,806 | $ | (1,499,567 | ) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (411,178,062 | ) | (371,708,641 | ) | (52,920,382 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 411,237,264 | 378,200,000 | 59,163,769 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (204,360 | ) | (94,195 | ) | (75,559 | ) | ||||||
Net realized gain (loss) on investments | (1,186 | ) | — | 384 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (32 | ) | (358 | ) | 381 | |||||||
Decrease (Increase) in interest receivable | 5,207 | (7,641 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | (5,130 | ) | 453 | (6,149 | ) | |||||||
Increase (Decrease) in payable on futures contracts | (150 | ) | (38,061 | ) | (33,355 | ) | ||||||
Net cash provided by (used in) operating activities | 1,032,780 | 6,979,363 | 4,629,522 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 13,205,150 | — | — | |||||||||
Payment on shares redeemed | (20,721,870 | ) | — | (6,278,641 | ) | |||||||
Net cash provided by (used in) financing activities | (7,516,720 | ) | — | (6,278,641 | ) | |||||||
Net increase (decrease) in cash | (6,483,940 | ) | 6,979,363 | (1,649,119 | ) | |||||||
Cash, beginning of period | 8,024,856 | 1,045,493 | 2,694,612 | |||||||||
Cash, end of period | $ | 1,540,916 | $ | 8,024,856 | $ | 1,045,493 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 200,278 | $ | (248,398 | ) | $ | 1,179,229 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,999,562 | ) | — | (411,178,062 | ) | |||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,000,947 | 747,000 | 411,237,264 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (438 | ) | (1,225 | ) | (204,360 | ) | ||||||
Net realized ( gain) loss on investments | (947 | ) | — | (1,186 | ) | |||||||
Change in unrealized ( appreciation) depreciation on investments | 0 | 30 | (32 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | 21,094 | (21,094 | ) | — | ||||||||
Decrease (Increase) in interest receivable | 82 | 2,259 | 5,207 | |||||||||
Increase (Decrease) in payable to Sponsor | (1,567 | ) | 1,531 | (5,130 | ) | |||||||
Increase (Decrease) in payable on open futures contracts | 11,500 | (5,100 | ) | (150 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (14 | ) | 14 | — | ||||||||
Net cash provided by (used in) operating activities | 231,373 | 475,017 | 1,032,780 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 0 | 2,158,158 | 13,205,150 | |||||||||
Payment on shares redeemed | (2,146,812 | ) | — | (20,721,870 | ) | |||||||
Net cash provided by (used in) financing activities | (2,146,812 | ) | 2,158,158 | (7,516,720 | ) | |||||||
Net increase (decrease) in cash | (1,915,439 | ) | 2,633,175 | (6,483,940 | ) | |||||||
Cash, beginning of period | 4,174,091 | 1,540,916 | 8,024,856 | |||||||||
Cash, end of period | $ | 2,258,652 | $ | 4,174,091 | $ | 1,540,916 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $56,926,750 and $–, respectively) | $ | 56,929,436 | $ | — | ||||
Cash | 113,044,890 | 180,835,767 | ||||||
Segregated cash balances with brokers for futures contracts | 54,499,197 | 116,062,688 | ||||||
Receivable on open futures contracts | 60,052,325 | 63,300,889 | ||||||
Interest receivable | 123,214 | 142,222 | ||||||
Total assets | 284,649,062 | 360,341,566 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 15,448,037 | ||||||
Payable to Sponsor | 211,883 | 297,266 | ||||||
Total liabilities | 211,883 | 15,745,303 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 284,437,179 | 344,596,263 | ||||||
Total liabilities and shareholders’ equity | $ | 284,649,062 | $ | 360,341,566 | ||||
Shares outstanding | 4,334,307 | 8,134,307 | ||||||
Net asset value per share | $ | 65.62 | $ | 42.36 | ||||
Market value per share (Note 2) | $ | 65.23 | $ | 42.30 | ||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $147,851,244 and $69,998,727, respectively) | $ | 147,815,719 | $ | 69,999,639 | ||||
Cash | 44,359,519 | 132,392,153 | ||||||
Segregated cash balances with brokers for futures contracts | 138,651,465 | 134,187,067 | ||||||
Receivable on open futures contracts | 99,544,338 | 74,226,825 | ||||||
Interest receivable | 2,868 | 4,384 | ||||||
Total assets | 430,373,909 | 410,810,068 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 6,125,130 | 0 | ||||||
Payable on open futures contracts | — | 996,159 | ||||||
Brokerage commissions and futures account fees payable | 104,312 | 114,522 | ||||||
Payable to Sponsor | 331,873 | 326,566 | ||||||
Non-recurring fees and expenses payable | — | 1,353 | ||||||
Total liabilities | 6,561,315 | 1,438,600 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 423,812,594 | 409,371,468 | ||||||
Total liabilities and shareholders’ equity | $ | 430,373,909 | $ | 410,810,068 | ||||
Shares outstanding | 6,884,307 | 9,884,307 | ||||||
Net asset value per share | $ | 61.56 | $ | 41.42 | ||||
Market value per share (Note 2) | $ | 61.55 | $ | 41.44 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 20 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547% due 01/30/20 † | $ | 42,000,000 | $ | 41,951,238 | ||||
1.462% due 02/06/20 † | 15,000,000 | 14,978,198 | ||||||
Total short-term U.S. government and agency obligations (cost $56,926,750) | $ | 56,929,436 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.046% due 01/20/22 | $ | 10,000,000 | $ | 9,999,811 | ||||
0.050% due 02/17/22 | 31,000,000 | 30,998,063 | ||||||
0.041% due 03/17/22 | 30,000,000 | 29,996,655 | ||||||
0.223% due 11/03/22 | 77,000,000 | 76,821,190 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $147,851,244) | $ | 147,815,719 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe , expires January 2020 | 5,442 | $ | 79,589,250 | $ | 10,424,889 | |||||||
VIX Futures - Cboe , expires February 2020 | 3,764 | 62,576,500 | (170,017 | ) | ||||||||
$ | 10,254,872 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2022 | 6,294 | $ | 123,831,303 | $ | 28,584,476 | |||||||
VIX Futures—Cboe, expires February 2022 | 4,000 | 87,882,000 | 2,690,802 | |||||||||
$ | 31,275,278 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(17% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.090% due 01/07/21 | $ | 60,000,000 | $ | 59,999,778 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $69,998,727) | $ | 69,999,639 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe , expires January 2019 | 4,103 | $ | 99,190,025 | $ | (15,386,661 | ) | ||||||
VIX Futures - Cboe , expires February 2019 | 3,282 | 73,106,550 | 910,460 | |||||||||
$ | (14,476,201 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2021 | 4,169 | $ | 98,701,075 | $ | 7,057,940 | |||||||
VIX Futures—Cboe, expires February 2021 | 4,161 | 106,417,575 | 1,290,843 | |||||||||
$ | 8,348,783 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 5,618,666 | $ | 5,721,966 | $ | 6,001,679 | ||||||
Expenses | ||||||||||||
Management fee | 3,333,950 | 5,617,477 | 7,147,223 | |||||||||
Brokerage commissions | 723,282 | 2,162,086 | 4,226,442 | |||||||||
Brokerage fees | 721 | 151,758 | 1,558 | |||||||||
Non-recurring fees and expenses | 398,550 | — | — | |||||||||
Total expenses | 4,456,503 | 7,931,321 | 11,375,223 | |||||||||
Net investment income (loss) | 1,162,163 | (2,209,355 | ) | (5,373,544 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 125,639,084 | (1,885,564,719 | ) | 897,400,516 | ||||||||
Short-term U.S. government and agency obligations | 2,755 | (259,113 | ) | (443 | ) | |||||||
Net realized gain (loss) | 125,641,839 | (1,885,823,832 | ) | 897,400,073 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 24,731,073 | (31,517,650 | ) | 27,351,060 | ||||||||
Short-term U.S. government and agency obligations | 2,686 | 51,865 | (56,560 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 24,733,759 | (31,465,785 | ) | 27,294,500 | ||||||||
Net realized and unrealized gain (loss) | 150,375,598 | (1,917,289,617 | ) | 924,694,573 | ||||||||
Net income (loss) | $ | 151,537,761 | $ | (1,919,498,972 | ) | $ | 919,321,029 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 101,467 | $ | 941,584 | $ | 5,618,666 | ||||||
Expenses | ||||||||||||
Management fee | 4,358,107 | 4,469,701 | 3,333,950 | |||||||||
Brokerage commissions | 848,956 | 712,651 | 723,282 | |||||||||
Futures account fees | 1,036,798 | 1,005,403 | 721 | |||||||||
Non-recurring fees and expenses | — | 23,391 | 398,550 | |||||||||
Total expenses | 6,243,861 | 6,211,146 | 4,456,503 | |||||||||
Net investment income (loss) | (6,142,394 | ) | (5,269,562 | ) | 1,162,163 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 194,879,700 | (72,609,314 | ) | 125,639,084 | ||||||||
Short-term U.S. government and agency obligations | 118,624 | (768 | ) | 2,755 | ||||||||
Net realized gain (loss) | 194,998,324 | (72,610,082 | ) | 125,641,839 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 22,926,495 | (1,906,089 | ) | 24,731,073 | ||||||||
Short-term U.S. government and agency obligations | (36,437 | ) | (1,774 | ) | 2,686 | |||||||
Change in net unrealized appreciation (depreciation) | 22,890,058 | (1,907,863 | ) | 24,733,759 | ||||||||
Net realized and unrealized gain (loss) | 217,888,382 | (74,517,945 | ) | 150,375,598 | ||||||||
Net income (loss) | $ | 211,745,988 | $ | (79,787,507 | ) | $ | 151,537,761 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 344,596,263 | $ | 770,163,871 | $ | 228,075,387 | ||||||
Addition of 1,500,000, 19,000,000 and 13,137,500 shares, respectively | 84,372,594 | 2,433,234,181 | 3,985,678,031 | |||||||||
Redemption of 5,300,000, 12,378,193 and 12,875,000 shares, respectively | (296,069,439 | ) | (939,302,817 | ) | (4,362,910,576 | ) | ||||||
Net addition (redemption) of (3,800,000), 6,621,807 and 262,500 shares, respectively | (211,696,845 | ) | 1,493,931,364 | (377,232,545 | ) | |||||||
Net investment income (loss) | 1,162,163 | (2,209,355 | ) | (5,373,544 | ) | |||||||
Net realized gain (loss) | 125,641,839 | (1,885,823,832 | ) | 897,400,073 | ||||||||
Change in net unrealized appreciation (depreciation) | 24,733,759 | (31,465,785 | ) | 27,294,500 | ||||||||
Net income (loss) | 151,537,761 | (1,919,498,972 | ) | 919,321,029 | ||||||||
Shareholders’ equity, end of period | $ | 284,437,179 | $ | 344,596,263 | $ | 770,163,871 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 409,371,468 | $ | 284,437,179 | $ | 344,596,263 | ||||||
Addition of 5,100,000, 27,050,000 and 1,500,000 shares, respectively | 242,419,979 | 961,417,953 | 84,372,594 | |||||||||
Redemption of 8,100,000, 21,500,000 and 5,300,000 shares, respectively | (439,724,841 | ) | (756,696,157 | ) | (296,069,439 | ) | ||||||
Net addition (redemption) of (3,000,000 ), 5,550,000 and(3,800,000 ) shares, respectively | (197,304,862 | ) | 204,721,796 | (211,696,845 | ) | |||||||
Net investment income (loss) | (6,142,394 | ) | (5,269,562 | ) | 1,162,163 | |||||||
Net realized gain (loss) | 194,998,324 | (72,610,082 | ) | 125,641,839 | ||||||||
Change in net unrealized appreciation (depreciation) | 22,890,058 | (1,907,863 | ) | 24,733,759 | ||||||||
Net income (loss) | 211,745,988 | (79,787,507 | ) | 151,537,761 | ||||||||
Shareholders’ equity, end of period | $ | 423,812,594 | $ | 409,371,468 | $ | 284,437,179 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 151,537,761 | $ | (1,919,498,972 | ) | $ | 919,321,029 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (5,155,156,465 | ) | (23,270,517,650 | ) | (7,250,717,757 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 5,100,473,064 | 23,768,116,025 | 6,931,640,345 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,240,594 | ) | (2,894,979 | ) | (5,493,799 | ) | ||||||
Net realized gain (loss) on investments | (2,755 | ) | 259,113 | 443 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (2,686 | ) | (51,865 | ) | 56,560 | |||||||
Decrease (Increase) in receivable on futures contracts | 3,248,564 | (42,542,039 | ) | (19,699,432 | ) | |||||||
Decrease (Increase) in interest receivable | 19,008 | (142,222 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | (85,383 | ) | (530,173 | ) | 597,228 | |||||||
Increase (Decrease) in payable on futures contracts | (15,448,037 | ) | 14,919,287 | 203,750 | ||||||||
Net cash provided by (used in) operating activities | 82,342,477 | (1,452,883,475 | ) | 575,908,367 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 84,372,594 | 2,433,234,181 | 3,985,678,031 | |||||||||
Payment on shares redeemed | (296,069,439 | ) | (984,120,527 | ) | (4,318,092,866 | ) | ||||||
Net cash provided by (used in) financing activities | (211,696,845 | ) | 1,449,113,654 | (332,414,835 | ) | |||||||
Net increase (decrease) in cash | (129,354,368 | ) | (3,769,821 | ) | 243,493,532 | |||||||
Cash, beginning of period | 296,898,455 | 300,668,276 | 57,174,744 | |||||||||
Cash, end of period | $ | 167,544,087 | $ | 296,898,455 | $ | 300,668,276 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 211,745,988 | $ | (79,787,507 | ) | $ | 151,537,761 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (619,782,627 | ) | (509,581,499 | ) | (5,155,156,465 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 542,110,382 | 496,998,196 | 5,100,473,064 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (61,648 | ) | (489,442 | ) | (2,240,594 | ) | ||||||
Net realized ( gain) loss on investments | (118,624 | ) | 768 | (2,755 | ) | |||||||
Change in unrealized ( appreciation) depreciation on investments | 36,437 | 1,774 | (2,686 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | (25,317,513 | ) | (14,174,500 | ) | 3,248,564 | |||||||
Decrease (Increase) in interest receivable | 1,516 | 118,830 | 19,008 | |||||||||
Increase (Decrease) in payable to Sponsor | 5,307 | 114,683 | (85,383 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (10,210 | ) | 114,522 | — | ||||||||
Increase (Decrease) in payable on open futures contracts | (996,159 | ) | 996,159 | (15,448,037 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (1,353 | ) | 1,353 | — | ||||||||
Net cash provided by (used in) operating activities | 107,611,496 | (105,686,663 | ) | 82,342,477 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 242,419,979 | 961,417,953 | 84,372,594 | |||||||||
Payment on shares redeemed | (433,599,711 | ) | (756,696,157 | ) | (296,069,439 | ) | ||||||
Net cash provided by (used in) financing activities | (191,179,732 | ) | 204,721,796 | (211,696,845 | ) | |||||||
Net increase (decrease) in cash | (83,568,236 | ) | 99,035,133 | (129,354,368 | ) | |||||||
Cash, beginning of period | 266,579,220 | 167,544,087 | 296,898,455 | |||||||||
Cash, end of period | $ | 183,010,984 | $ | 266,579,220 | $ | 167,544,087 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 200,101,525 and $280,497,709 , respectively) | $ | 200,115,463 | $ | 280,502,900 | ||||
Cash | 86,168,083 | 123,257,905 | ||||||
Segregated cash balances with brokers for futures contracts | 2,147,480 | 13,563,407 | ||||||
Segregated cash balances with brokers for swap agreements | — | 11,197,000 | ||||||
Unrealized appreciation on swap agreements | 21,814,590 | — | ||||||
Receivable from capital shares sold | — | 12,991,664 | ||||||
Receivable on open futures contracts | — | 190,440 | ||||||
Interest receivable | 123,221 | 62,514 | ||||||
Total assets | 310,368,837 | 441,765,830 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 266,056 | 311,815 | ||||||
Payable to Sponsor | 258,199 | 287,236 | ||||||
Unrealized depreciation on swap agreements | — | 72,767,125 | ||||||
Total liabilities | 524,255 | 73,366,176 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 309,844,582 | 368,399,654 | ||||||
Total liabilities and shareholders’ equity | $ | 310,368,837 | $ | 441,765,830 | ||||
Shares outstanding | 15,211,317 | 28,211,317 | ||||||
Net asset value per share | $ | 20.37 | $ | 13.06 | ||||
Market value per share (Note 2) | $ | 20.46 | $ | 13.30 | ||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $848,800,309 and $219,996,153, respectively) | $ | 848,757,567 | $ | 219,998,394 | ||||
Cash | 86,582,912 | 491,732,847 | ||||||
Segregated cash balances with brokers for futures contracts | 130,704,477 | 175,526,749 | ||||||
Unrealized appreciation on swap agreements | 63,928,293 | 18,242,195 | ||||||
Receivable on open futures contracts | — | 1,611,608 | ||||||
Interest receivable | 3,523 | 21,388 | ||||||
Total assets | 1,129,976,772 | 907,133,181 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 3,627,934 | ||||||
Payable on open futures contracts | 25,317,560 | — | ||||||
Brokerage commissions and futures account fees payable | 24,677 | — | ||||||
Payable to Sponsor | 850,965 | 728,955 | ||||||
Non-recurring fees and expenses payable | — | 37,042 | ||||||
Total liabilities | 26,193,202 | 4,393,931 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,103,783,570 | 902,739,250 | ||||||
Total liabilities and shareholders’ equity | $ | 1,129,976,772 | $ | 907,133,181 | ||||
Shares outstanding | 12,810,774 | 24,810,774 | ||||||
Net asset value per share | $ | 86.16 | $ | 36.38 | ||||
Market value per share (Note 2) | $ | 86.78 | $ | 36.27 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 65 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.609 % due01/09/20 † | $ | 39,000,000 | $ | 38,989,536 | ||||
1.547 % due01/30/20 † | 57,000,000 | 56,933,823 | ||||||
1.514 % due02/06/20 | 50,952,000 | 50,877,941 | ||||||
1.587 % due02/13/20 † | 53,407,000 | 53,314,163 | ||||||
Total short-term U.S. government and agency obligations (cost $ 200,101,525 ) | $ | 200,115,463 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(77% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.042% due 01/20/22 † | $ | 175,000,000 | $ | 174,996,693 | ||||
0.048% due 02/17/22 † | 308,000,000 | 307,980,750 | ||||||
0.043% due 03/17/22 | 285,000,000 | 284,968,222 | ||||||
0.223% due 11/03/22 | 81,000,000 | 80,811,902 | ||||||
Total short-term U.S. government and agency obligations (cost $848,800,309) | $ | 848,757,567 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2020 | 554 | $ | 33,666,580 | $ | 765,575 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2022 | 5,530 | $ | 414,086,400 | $ | 47,369,777 | |||||||
WTI Crude Oil—NYMEX, expires June 2022 | 5,709 | 418,869,330 | 77,415,002 | |||||||||
WTI Crude Oil—NYMEX, expires December 2022 | 5,924 | 413,672,920 | 22,670,746 | |||||||||
$ | 147,455,525 | |||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex | 0.18 | % | 01/06/20 | $ | 172,174,920 | $ | 6,039,121 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | 120,411,487 | 4,393,163 | ||||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex | 0.23 | 01/06/20 | 115,540,626 | 4,210,281 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | 64,308,537 | 2,253,037 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | 113,574,303 | 4,918,988 | ||||||||||||
Total Unrealized Appreciation | $ | 21,814,590 | ||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | % | 01/06/22 | $ | 148,013,752 | $ | 9,839,441 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 01/06/22 | 209,403,677 | 13,920,431 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 01/06/22 | 256,365,929 | 17,042,319 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 01/06/22 | 139,690,137 | 9,295,046 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 01/06/22 | 207,959,236 | 13,831,056 | ||||||||||||
Total Unrealized Appreciation | | $ | 63,928,293 | |||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 76 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/03/19 † | $ | 15,000,000 | $ | 14,999,078 | ||||
2.287 % due01/17/19 † | 91,000,000 | 90,912,794 | ||||||
2.260 % due01/31/19 † | 90,000,000 | 89,834,697 | ||||||
2.400 % due02/14/19 † | 85,000,000 | 84,756,331 | ||||||
Total short-term U.S. government and agency obligations (cost $ 280,497,709 ) | $ | 280,502,900 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2019 | 3,121 | $ | 142,692,120 | $ | (14,040,301 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex | 0.18 | % | 01/07/19 | $ | 192,061,821 | $ | (22,752,565 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/07/19 | 112,179,333 | (15,691,687 | ) | |||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex | 0.23 | 01/07/19 | 113,997,533 | (13,836,386 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/07/19 | 38,382,074 | (5,206,589 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/07/19 | 137,242,162 | (15,279,898 | ) | |||||||||||
Total Unrealized Depreciation | $ | (72,767,125 | ) | |||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 7,627,706 | $ | 7,041,517 | $ | 5,982,049 | ||||||
Expenses | ||||||||||||
Management fee | 3,612,580 | 3,918,014 | 7,120,247 | |||||||||
Brokerage commissions | 150,542 | 100,695 | 241,263 | |||||||||
Total expenses | 3,763,122 | 4,018,709 | 7,361,510 | |||||||||
Net investment income (loss) | 3,864,584 | 3,022,808 | (1,379,461 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 22,428,157 | (3,149,395 | ) | 28,048,922 | ||||||||
Swap agreements | 121,742,316 | 24,906,389 | (5,902,710 | ) | ||||||||
Short-term U.S. government and agency obligations | 18,336 | (2,307 | ) | (14,496 | ) | |||||||
Net realized gain (loss) | 144,188,809 | 21,754,687 | 22,131,716 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 14,805,876 | (25,986,280 | ) | 6,408,814 | ||||||||
Swap agreements | 94,581,715 | (135,005,486 | ) | 6,879,790 | ||||||||
Short-term U.S. government and agency obligations | 8,747 | 32,342 | (30,855 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 109,396,338 | (160,959,424 | ) | 13,257,749 | ||||||||
Net realized and unrealized gain (loss) | 253,585,147 | (139,204,737 | ) | 35,389,465 | ||||||||
Net income (loss) | $ | 257,449,731 | $ | (136,181,929 | ) | $ | 34,010,004 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 368,399,654 | $ | 524,445,526 | $ | 933,731,860 | ||||||
Addition of 34,050,000, 24,600,000 and 68,500,000 shares, respectively | 569,843,253 | 518,136,436 | 1,156,816,574 | |||||||||
Redemption of 47,050,000, 18,550,000 and 86,352,616 shares, respectively | (885,848,056 | ) | (538,000,379 | ) | (1,600,112,912 | ) | ||||||
Net addition (redemption) of (13,000,000), 6,050,000 and (17,852,616) shares, respectively | (316,004,803 | ) | (19,863,943 | ) | (443,296,338 | ) | ||||||
Net investment income (loss) | 3,864,584 | 3,022,808 | (1,379,461 | ) | ||||||||
Net realized gain (loss) | 144,188,809 | 21,754,687 | 22,131,716 | |||||||||
Change in net unrealized appreciation (depreciation) | 109,396,338 | (160,959,424 | ) | 13,257,749 | ||||||||
Net income (loss) | 257,449,731 | (136,181,929 | ) | 34,010,004 | ||||||||
Shareholders’ equity, end of period | $ | 309,844,582 | $ | 368,399,654 | $ | 524,445,526 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 257,449,731 | $ | (136,181,929 | ) | $ | 34,010,004 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (3,985,480,476 | ) | (15,528,795,124 | ) | (6,401,999,444 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 4,072,626,713 | 15,714,465,442 | 6,833,376,973 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (6,731,717 | ) | (6,627,281 | ) | (5,888,775 | ) | ||||||
Net realized gain (loss) on investments | (18,336 | ) | 2,307 | 14,496 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (94,590,462 | ) | 134,973,144 | (6,848,935 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | 190,440 | 2,051,561 | (2,242,001 | ) | ||||||||
Decrease (Increase) in interest receivable | (60,707 | ) | (62,514 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | (29,037 | ) | (128,585 | ) | (397,278 | ) | ||||||
Increase (Decrease) in brokerage commissions payable | — | — | (2,332 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | (45,759 | ) | 311,815 | (1,993,438 | ) | |||||||
Net cash provided by (used in) operating activities | 243,310,390 | 180,008,836 | 448,029,270 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 582,834,917 | 505,144,772 | 1,156,816,574 | |||||||||
Payment on shares redeemed | (885,848,056 | ) | (547,464,799 | ) | (1,616,527,496 | ) | ||||||
Net cash provided by (used in) financing activities | (303,013,139 | ) | (42,320,027 | ) | (459,710,922 | ) | ||||||
Net increase (decrease) in cash | (59,702,749 | ) | 137,688,809 | (11,681,652 | ) | |||||||
Cash, beginning of period | 148,018,312 | 10,329,503 | 22,011,155 | |||||||||
Cash, end of period | $ | 88,315,563 | $ | 148,018,312 | $ | 10,329,503 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 27,528,924 and $8,380,716 , respectively) | $ | 27,530,314 | $ | 8,380,427 | ||||
Cash | 7,072,257 | 731,158 | ||||||
Segregated cash balances with brokers for futures contracts | 10,546,805 | 6,299,444 | ||||||
Receivable from capital shares sold | — | 2,528,757 | ||||||
Receivable on open futures contracts | 37,024 | — | ||||||
Interest receivable | 10,591 | 11,508 | ||||||
Total assets | 45,196,991 | 17,951,294 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 3,309,741 | ||||||
Payable to Sponsor | 36,786 | 24,113 | ||||||
Total liabilities | 36,786 | 3,333,854 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 45,160,205 | 14,617,440 | ||||||
Total liabilities and shareholders’ equity | $ | 45,196,991 | $ | 17,951,294 | ||||
Shares outstanding | 5,378,150 | 578,150 | ||||||
Net asset value per share | $ | 8.40 | $ | 25.28 | ||||
Market value per share (Note 2) | $ | 8.34 | $ | 25.82 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 61 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/09/20 | $ | 6,000,000 | $ | 5,998,390 | ||||
1.547 % due01/30/20 | 5,500,000 | 5,493,615 | ||||||
1.514 % due02/06/20 | 7,843,000 | 7,831,600 | ||||||
1.519 % due02/13/20 | 8,221,000 | 8,206,709 | ||||||
Total short-term U.S. government and agency obligations (cost $ 27,528,924 ) | $ | 27,530,314 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(24% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.085% due 01/07/2 1† | $ | 200,000,000 | $ | 199,999,260 | ||||
0.073% due 01/28/21 † | 20,000,000 | 19,999,134 | ||||||
Total short-term U.S. government and agency obligations (cost $219,996,153) | $ | 219,998,394 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2020 | 4,185 | $ | 90,312,300 | $ | (2,652,228 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2021 | 10,134 | $ | 492,816,420 | $ | 28,561,931 | |||||||
WTI Crude Oil—NYMEX, expires June 2021 | 9,783 | 475,747,290 | 73,681,595 | |||||||||
WTI Crude Oil—NYMEX, expires December 2021 | 9,650 | 460,112,000 | 42,320,513 | |||||||||
$ | 144,564,039 | |||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.50 | % | 01/06/21 | $ | 28,462,300 | $ | 1,377,243 | |||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.45 | 01/06/21 | 226,338,741 | 10,959,227 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 01/06/21 | 34,593,561 | 1,679,334 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 01/06/21 | 87,117,995 | 4,226,391 | ||||||||||||
Total Unrealized Appreciation | $ | 18,242,195 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 57 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.635 % due01/03/19 | $ | 800,000 | $ | 799,951 | ||||
1.884 % due01/17/19 | 700,000 | 699,329 | ||||||
1.924 % due01/31/19 | 900,000 | 898,347 | ||||||
2.362 % due02/14/19 | 6,000,000 | 5,982,800 | ||||||
Total short-term U.S. government and agency obligations (cost $ 8,380,716 ) | $ | 8,380,427 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2019 | 1,025 | $ | 29,222,750 | $ | (10,323,163 | ) |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 589,183 | $ | 489,924 | $ | 339,079 | ||||||
Expenses | ||||||||||||
Management fee | 297,043 | 305,706 | 446,589 | |||||||||
Brokerage commissions | 129,752 | 87,899 | 126,252 | |||||||||
Total expenses | 426,795 | 393,605 | 572,841 | |||||||||
Net investment income (loss) | 162,388 | 96,319 | (233,762 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (32,380,194 | ) | 21,092,864 | (40,793,265 | ) | |||||||
Short-term U.S. government and agency obligations | (24 | ) | (31 | ) | (1,021 | ) | ||||||
Net realized gain (loss) | (32,380,218 | ) | 21,092,833 | (40,794,286 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 7,670,935 | (17,548,973 | ) | 4,689,090 | ||||||||
Short-term U.S. government and agency obligations | 1,679 | 1,941 | (2,494 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 7,672,614 | (17,547,032 | ) | 4,686,596 | ||||||||
Net realized and unrealized gain (loss) | (24,707,604 | ) | 3,545,801 | (36,107,690 | ) | |||||||
Net income (loss) | $ | (24,545,216 | ) | $ | 3,642,120 | $ | (36,341,452 | ) | ||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 14,617,440 | $ | 63,268,950 | $ | 43,203,386 | ||||||
Addition of 8,250,000 ,1,600,000 and2,510,000 shares, respectively | 115,544,309 | 53,884,378 | 106,004,594 | |||||||||
Redemption of 3,450,000 ,2,960,284 and1,030,000 shares, respectively | (60,456,328 | ) | (106,178,008 | ) | (49,597,578 | ) | ||||||
Net addition (redemption) of 4,800,000 ,(1,360,284) and1,480,000 shares, respectively | 55,087,981 | (52,293,630 | ) | 56,407,016 | ||||||||
Net investment income (loss) | 162,388 | 96,319 | (233,762 | ) | ||||||||
Net realized gain (loss) | (32,380,218 | ) | 21,092,833 | (40,794,286 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 7,672,614 | (17,547,032 | ) | 4,686,596 | ||||||||
Net income (loss) | (24,545,216 | ) | 3,642,120 | (36,341,452 | ) | |||||||
Shareholders’ equity, end of period | $ | 45,160,205 | $ | 14,617,440 | $ | 63,268,950 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (24,545,216 | ) | $ | 3,642,120 | $ | (36,341,452 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (409,196,437 | ) | (1,789,009,201 | ) | (400,640,972 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 390,337,650 | 1,831,997,907 | 386,173,028 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (289,445 | ) | (405,867 | ) | (313,279 | ) | ||||||
Net realized gain (loss) on investments | 24 | 31 | 1,021 | |||||||||
Change in unrealized appreciation (depreciation) on investments | (1,679 | ) | (1,941 | ) | 2,494 | |||||||
Decrease (Increase) in receivable on futures contracts | (37,024 | ) | 1,520,156 | (1,520,156 | ) | |||||||
Decrease (Increase) in interest receivable | 917 | (11,508 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | 12,673 | (19,992 | ) | 8,069 | ||||||||
Increase (Decrease) in brokerage commissions payable | — | — | (433 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | (3,309,741 | ) | 3,309,741 | (1,528,005 | ) | |||||||
Net cash provided by (used in) operating activities | (47,028,278 | ) | 51,021,446 | (54,159,685 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 118,073,066 | 51,682,061 | 105,678,154 | |||||||||
Payment on shares redeemed | (60,456,328 | ) | (110,389,802 | ) | (45,385,784 | ) | ||||||
Net cash provided by (used in) financing activities | 57,616,738 | (58,707,741 | ) | 60,292,370 | ||||||||
Net increase (decrease) in cash | 10,588,460 | (7,686,295 | ) | 6,132,685 | ||||||||
Cash, beginning of period | 7,030,602 | 14,716,897 | 8,584,212 | |||||||||
Cash, end of period | $ | 17,619,062 | $ | 7,030,602 | $ | 14,716,897 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 3,970,204 and $1,496,665 , respectively) | $ | 3,970,412 | $ | 1,496,658 | ||||
Cash | 1,206,437 | 5,068,270 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 921,000 | 921,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 109,997 | 61,971 | ||||||
Interest receivable | 1,496 | 6,718 | ||||||
Total assets | 6,209,342 | 7,554,617 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 4,918 | 6,015 | ||||||
Unrealized depreciation on foreign currency forward contracts | — | 4,033 | ||||||
Total liabilities | 4,918 | 10,048 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 6,204,424 | 7,544,569 | ||||||
Total liabilities and shareholders’ equity | $ | 6,209,342 | $ | 7,554,617 | ||||
Shares outstanding | 450,000 | 500,000 | ||||||
Net asset value per share | $ | 13.79 | $ | 15.09 | ||||
Market value per share (Note 2) | $ | 13.77 | $ | 15.12 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 64 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/09/20 | $ | 1,000,000 | $ | 999,732 | ||||
1.547 % due01/30/20 | 1,000,000 | 998,839 | ||||||
1.514 % due02/06/20 | 964,000 | 962,599 | ||||||
1.519 % due02/13/20 | 1,011,000 | 1,009,242 | ||||||
Total short-term U.S. government and agency obligations (cost $ 3,970,204 ) | $ | 3,970,412 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/10/20 | 5,436,377 | $ | 6,100,637 | $ | 54,679 | ||||||||||
Euro with UBS AG | 01/10/20 | 5,589,416 | 6,272,376 | 55,318 | ||||||||||||
Total Unrealized Appreciation | $ | 109,997 | ||||||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 20 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.635 % due01/03/19 | $ | 200,000 | $ | 199,988 | ||||
1.884 % due01/17/19 | 100,000 | 99,904 | ||||||
1.924 % due01/31/19 | 200,000 | 199,633 | ||||||
2.427 % due02/14/19 | 1,000,000 | 997,133 | ||||||
Total short-term U.S. government and agency obligations (cost $ 1,496,665 ) | $ | 1,496,658 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/11/19 | 7,046,525 | $ | 8,079,203 | $ | 28,315 | ||||||||||
Euro with UBS AG | 01/11/19 | 6,507,700 | 7,461,414 | 33,656 | ||||||||||||
Total Unrealized Appreciation | $ | 61,971 | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/11/19 | (206,300 | ) | $ | (236,533 | ) | $ | (2,106 | ) | |||||||
Euro with UBS AG | 01/11/19 | (203,200 | ) | (232,979 | ) | (1,927 | ) | |||||||||
Total Unrealized Depreciation | $ | (4,033 | ) | |||||||||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 121,071 | $ | 112,904 | $ | 94,761 | ||||||
Expenses | ||||||||||||
Management fee | 62,543 | 82,081 | 124,543 | |||||||||
Total expenses | 62,543 | 82,081 | 124,543 | |||||||||
Net investment income (loss) | 58,528 | 30,823 | (29,782 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (722,691 | ) | (1,063,823 | ) | 2,212,313 | |||||||
Short-term U.S. government and agency obligations | — | 7 | (87 | ) | ||||||||
Net realized gain (loss) | (722,691 | ) | (1,063,816 | ) | 2,212,226 | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 52,059 | (206,214 | ) | 838,162 | ||||||||
Short-term U.S. government and agency obligations | 215 | 353 | (462 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 52,274 | (205,861 | ) | 837,700 | ||||||||
Net realized and unrealized gain (loss) | (670,417 | ) | (1,269,677 | ) | 3,049,926 | |||||||
Net income (loss) | $ | (611,889 | ) | $ | (1,238,854 | ) | $ | 3,020,144 | ||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 7,544,569 | $ | 9,591,516 | $ | 11,914,585 | ||||||
Addition of 100,000, 150,000 and 1,600,000 shares, respectively | 1,422,682 | 2,653,492 | 25,220,169 | |||||||||
Redemption of 150,000, 200,000 and 1,900,000 shares, respectively | (2,150,938 | ) | (3,461,585 | ) | (30,563,382 | ) | ||||||
Net addition (redemption) of (50,000), (50,000) and (300,000) shares, respectively | (728,256 | ) | (808,093 | ) | (5,343,213 | ) | ||||||
Net investment income (loss) | 58,528 | 30,823 | (29,782 | ) | ||||||||
Net realized gain (loss) | (722,691 | ) | (1,063,816 | ) | 2,212,226 | |||||||
Change in net unrealized appreciation (depreciation) | 52,274 | (205,861 | ) | 837,700 | ||||||||
Net income (loss) | (611,889 | ) | (1,238,854 | ) | 3,020,144 | |||||||
Shareholders’ equity, end of period | $ | 6,204,424 | $ | 7,544,569 | $ | 9,591,516 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (611,889 | ) | $ | (1,238,854 | ) | $ | 3,020,144 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (69,587,460 | ) | (444,810,526 | ) | (57,793,329 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 67,150,000 | 450,399,612 | 62,783,137 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (36,079 | ) | (89,149 | ) | (94,761 | ) | ||||||
Net realized gain (loss) on investments | — | (7 | ) | 87 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (52,274 | ) | 205,861 | (837,700 | ) | |||||||
Decrease (Increase) in interest receivable | 5,222 | (6,718 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | (1,097 | ) | (1,283 | ) | (2,331 | ) | ||||||
Net cash provided by (used in) operating activities | (3,133,577 | ) | 4,458,936 | 7,075,247 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 1,422,682 | 2,653,492 | 25,220,169 | |||||||||
Payment on shares redeemed | (2,150,938 | ) | (3,461,585 | ) | (30,563,382 | ) | ||||||
Net cash provided by (used in) financing activities | (728,256 | ) | (808,093 | ) | (5,343,213 | ) | ||||||
Net increase (decrease) in cash | (3,861,833 | ) | 3,650,843 | 1,732,034 | ||||||||
Cash, beginning of period | 5,989,270 | 2,338,427 | 606,393 | |||||||||
Cash, end of period | $ | 2,127,437 | $ | 5,989,270 | $ | 2,338,427 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 66,174,584 and $41,941,207 , respectively) | $ | 66,177,998 | $ | 41,941,734 | ||||
Cash | 36,455,823 | 32,035,747 | ||||||
Segregated cash balances with brokers for futures contracts | 2,070,900 | 179,296 | ||||||
Segregated cash balances with brokers for forward agreements | — | 8,883,000 | ||||||
Unrealized appreciation on swap agreements | 5,890,260 | — | ||||||
Unrealized appreciation on forward agreements | — | 4,253,301 | ||||||
Receivable on open futures contracts | 170,073 | — | ||||||
Interest receivable | 45,921 | 15,303 | ||||||
Total assets | 110,810,975 | 87,308,381 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 3,712,654 | ||||||
Payable on open futures contracts | — | 7,990 | ||||||
Payable to Sponsor | 84,943 | 64,443 | ||||||
Total liabilities | 84,943 | 3,785,087 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 110,726,032 | 83,523,294 | ||||||
Total liabilities and shareholders’ equity | $ | 110,810,975 | $ | 87,308,381 | ||||
Shares outstanding | 2,250,000 | 2,250,000 | ||||||
Net asset value per share | $ | 49.21 | $ | 37.12 | ||||
Market value per share (Note 2) | $ | 49.05 | $ | 37.41 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 60 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/09/20 † | $ | 14,000,000 | $ | 13,996,244 | ||||
1.547 % due01/30/20 † | 19,000,000 | 18,977,940 | ||||||
1.514 % due02/06/20 | 16,237,000 | 16,213,400 | ||||||
1.519 % due02/13/20 | 17,020,000 | 16,990,414 | ||||||
Total short-term U.S. government and agency obligations (cost $ 66,174,584 ) | $ | 66,177,998 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2020 | 438 | $ | 66,711,780 | $ | 2,248,514 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/20 | $ | 60,437,683 | $ | 2,300,665 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/20 | 44,172,192 | 1,681,492 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/20 | 50,125,199 | 1,908,103 | ||||||||||||
Total Unrealized Appreciation | $ | 5,890,260 | ||||||||||||||
** |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 488,829 | $ | 1,930,769 | $ | 7,627,706 | ||||||
Expenses | ||||||||||||
Management fee | 10,774,039 | 9,256,478 | 3,612,580 | |||||||||
Brokerage commissions | 871,807 | 2,144,028 | 150,542 | |||||||||
Futures account fees | 798,214 | 1,491,895 | — | |||||||||
Non-recurring fees and expenses | 27,975 | 61,679 | — | |||||||||
Total expenses | 12,472,035 | 12,954,080 | 3,763,122 | |||||||||
Net investment income (loss) | (11,983,206 | ) | (11,023,311 | ) | 3,864,584 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 696,172,213 | 349,362,849 | 22,428,157 | |||||||||
Swap agreements | 256,577,496 | (1,037,821,211 | ) | 121,742,316 | ||||||||
Short-term U.S. government and agency obligations | 76,422 | 159,318 | 18,336 | |||||||||
Net realized gain (loss) | 952,826,131 | (688,299,044 | ) | 144,188,809 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 2,891,486 | 143,798,464 | 14,805,876 | |||||||||
Swap agreements | 45,686,098 | (3,572,395 | ) | 94,581,715 | ||||||||
Short-term U.S. government and agency obligations | (44,983 | ) | (11,697 | ) | 8,747 | |||||||
Change in net unrealized appreciation (depreciation) | 48,532,601 | 140,214,372 | 109,396,338 | |||||||||
Net realized and unrealized gain (loss) | 1,001,358,732 | (548,084,672 | ) | 253,585,147 | ||||||||
Net income (loss) | $ | 989,375,526 | $ | (559,107,983 | ) | $ | 257,449,731 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 902,739,250 | $ | 309,844,582 | $ | 368,399,654 | ||||||
Addition of 7,300,000, 120,812,000 and 1,362,000 shares, respectively | 448,859,664 | 3,910,951,510 | 569,843,253 | |||||||||
Redemption of 19,300,000, 96,609,679 and 1,882,000 shares, respectively | (1,237,190,870 | ) | (2,758,948,859 | ) | (885,848,056 | ) | ||||||
Net addition (redemption) of (12,000,000), 24,202,321 and (520,000) shares, respectively | (788,331,206 | ) | 1,152,002,651 | (316,004,803 | ) | |||||||
Net investment income (loss) | (11,983,206 | ) | (11,023,311 | ) | 3,864,584 | |||||||
Net realized gain (loss) | 952,826,131 | (688,299,044 | ) | 144,188,809 | ||||||||
Change in net unrealized appreciation (depreciation) | 48,532,601 | 140,214,372 | 109,396,338 | |||||||||
Net income (loss) | 989,375,526 | (559,107,983 | ) | 257,449,731 | ||||||||
Shareholders’ equity, end of period | $ | 1,103,783,570 | $ | 902,739,250 | $ | 309,844,582 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 989,375,526 | $ | (559,107,983 | ) | $ | 257,449,731 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (2,786,468,099 | ) | (629,750,456 | ) | (3,985,480,476 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,158,071,076 | 611,325,152 | 4,072,626,713 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (330,711 | ) | (1,310,006 | ) | (6,731,717 | ) | ||||||
Net realized ( gain) loss on investments | (76,422 | ) | (159,318 | ) | (18,336 | ) | ||||||
Change in unrealized ( appreciation) depreciation on investments | (45,641,115 | ) | 3,584,092 | (94,590,462 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | 1,611,608 | (1,611,608 | ) | 190,440 | ||||||||
Decrease (Increase) in interest receivable | 17,865 | 101,833 | (60,707 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 122,010 | 470,756 | (29,037 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 24,677 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 25,317,560 | (266,056 | ) | (45,759 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (37,042 | ) | 37,042 | — | ||||||||
Net cash provided by (used in) operating activities | 341,986,933 | (576,686,552 | ) | 243,310,390 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 448,859,664 | 3,910,951,510 | 582,834,917 | |||||||||
Payment on shares redeemed | (1,240,818,804 | ) | (2,755,320,925 | ) | (885,848,056 | ) | ||||||
Net cash provided by (used in) financing activities | (791,959,140 | ) | 1,155,630,585 | (303,013,139 | ) | |||||||
Net increase (decrease) in cash | (449,972,207 | ) | 578,944,033 | (59,702,749 | ) | |||||||
Cash, beginning of period | 667,259,596 | 88,315,563 | 148,018,312 | |||||||||
Cash, end of period | $ | 217,287,389 | $ | 667,259,596 | $ | 88,315,563 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $90,936,719 and $29,999,585, respectively) | $ | 90,922,438 | $ | 29,999,889 | ||||
Cash | 6,846,634 | 92,972,312 | ||||||
Segregated cash balances with brokers for futures contracts | 47,289,091 | 44,320,410 | ||||||
Receivable from capital shares sold | 20,448,741 | — | ||||||
Receivable on open futures contracts | 33,998,620 | 13,775,851 | ||||||
Interest receivable | 1,130 | 4,326 | ||||||
Total assets | 199,506,654 | 181,072,788 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 11,132,546 | ||||||
Payable on open futures contracts | 5,403,658 | — | ||||||
Brokerage commissions and futures account fees payable | 63,628 | — | ||||||
Payable to Sponsor | 147,190 | 139,455 | ||||||
Non-recurring fees and expenses payable | — | 416 | ||||||
Total liabilities | 5,614,476 | 11,272,417 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 193,892,178 | 169,800,371 | ||||||
Total liabilities and shareholders’ equity | $ | 199,506,654 | $ | 181,072,788 | ||||
Shares outstanding | 7,587,527 | 8,087,527 | ||||||
Net asset value per share | $ | 25.55 | $ | 21.00 | ||||
Market value per share (Note 2) | $ | 26.09 | $ | 21.07 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 50 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/03/19 † | $ | 2,000,000 | $ | 1,999,877 | ||||
2.307 % due01/17/19 † | 28,000,000 | 27,973,167 | ||||||
1.898 % due01/31/19 † | 3,000,000 | 2,994,490 | ||||||
2.349 % due02/14/19 † | 9,000,000 | 8,974,200 | ||||||
Total short-term U.S. government and agency obligations (cost $ 41,941,207 ) | $ | 41,941,734 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(47% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 | $ | 10,000,000 | $ | 9,999,811 | ||||
0.051% due 02/17/22 | 49,000,000 | 48,996,937 | ||||||
0.223% due 11/03/22 | 32,000,000 | 31,925,690 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $90,936,719) | $ | 90,922,438 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2019 | 47 | $ | 6,022,110 | $ | 72,670 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2022 | 10,905 | $ | 387,890,850 | $ | (8,206,161 | ) |
^^ | Rates shown represent discount rate at the time of purchase. |
Rate Paid (Received) * | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold | 2.85 | % | 01/07/19 | $ | 50,300 | $ | 64,366,395 | $ | 1,682,026 | |||||||||||
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold | 3.30 | 01/07/19 | 36,620 | 46,862,980 | 1,223,528 | |||||||||||||||
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold | 3.02 | 01/07/19 | 1,000 | 1,279,640 | 61,260 | |||||||||||||||
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold | 2.90 | 01/07/19 | 37,900 | 48,497,598 | 1,286,487 | |||||||||||||||
Total Unrealized Appreciation | $4,253,301 | |||||||||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.085% due 01/07/21 | $ | 30,000,000 | $ | 29,999,889 | ||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $29,999,585) | $ | 29,999,889 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2021 | 13,444 | $ | 339,595,440 | $ | 6,500,721 |
^^ |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 50,091 | $ | 206,527 | $ | 589,183 | ||||||
Expenses | ||||||||||||
Management fee | 1,031,508 | 674,810 | 297,043 | |||||||||
Brokerage commissions | 352,618 | 377,630 | 129,752 | |||||||||
Futures account fees | 275,824 | 92,442 | — | |||||||||
Non-recurring fees and expenses | 0 | 1,545 | — | |||||||||
Total expenses | 1,659,950 | 1,146,427 | 426,795 | |||||||||
Net investment income (loss) | (1,609,859 | ) | (939,900 | ) | 162,388 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (51,858,807 | ) | (53,327,855 | ) | (32,380,194 | ) | ||||||
Short-term U.S. government and agency obligations | 8,324 | 1,058 | (24 | ) | ||||||||
Net realized gain (loss) | (51,850,483 | ) | (53,326,797 | ) | (32,380,218 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (14,706,882 | ) | 9,152,949 | 7,670,935 | ||||||||
Short-term U.S. government and agency obligations | (14,585 | ) | (1,086 | ) | 1,679 | |||||||
Change in net unrealized appreciation (depreciation) | (14,721,467 | ) | 9,151,863 | 7,672,614 | ||||||||
Net realized and unrealized gain (loss) | (66,571,950 | ) | (44,174,934 | ) | (24,707,604 | ) | ||||||
Net income (loss) | $ | (68,181,809 | ) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | |||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 169,800,371 | $ | 45,160,205 | $ | 14,617,440 | ||||||
Addition of 15,350,000, 16,685,000 and 825,000 shares, respectively | 613,708,303 | 457,281,516 | 115,544,309 | |||||||||
Redemption of 15,850,000, 9,135,288 and 345,000 shares, respectively | (521,434,687 | ) | (287,526,516 | ) | (60,456,328 | ) | ||||||
Net addition (redemption) of (500,000), 7,549,712 and 480,000 shares, respectively | 92,273,616 | 169,755,000 | 55,087,981 | |||||||||
Net investment income (loss) | (1,609,859 | ) | (939,900 | ) | 162,388 | |||||||
Net realized gain (loss) | (51,850,483 | ) | (53,326,797 | ) | (32,380,218 | ) | ||||||
Change in net unrealized appreciation (depreciation) | (14,721,467 | ) | 9,151,863 | 7,672,614 | ||||||||
Net income (loss) | (68,181,809 | ) | (45,114,834 | ) | (24,545,216 | ) | ||||||
Shareholders’ equity, end of period | $ | 193,892,178 | $ | 169,800,371 | $ | 45,160,205 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (68,181,809 | ) | $ | (45,114,834 | ) | $ | (24,545,216 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (289,900,679 | ) | (115,881,108 | ) | (409,196,437 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 229,000,330 | 113,563,630 | 390,337,650 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (28,461 | ) | (152,125 | ) | (289,445 | ) | ||||||
Net realized ( gain) loss on investments | (8,324 | ) | (1,058 | ) | 24 | |||||||
Change in unrealized ( appreciation) depreciation on investments | 14,585 | 1,086 | (1,679 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | (20,222,769 | ) | (13,738,827 | ) | (37,024 | ) | ||||||
Decrease (Increase) in interest receivable | 3,196 | 6,265 | 917 | |||||||||
Increase (Decrease) in payable to Sponsor | 7,735 | 102,669 | 12,673 | |||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 63,628 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 5,403,658 | — | (3,309,741 | ) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (416 | ) | 416 | — | ||||||||
Net cash provided by (used in) operating activities | (143,849,326 | ) | (61,213,886 | ) | (47,028,278 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 593,259,562 | 457,281,516 | 118,073,066 | |||||||||
Payment on shares redeemed | (532,567,233 | ) | (276,393,970 | ) | (60,456,328 | ) | ||||||
Net cash provided by (used in) financing activities | 60,692,329 | 180,887,546 | 57,616,738 | |||||||||
Net increase (decrease) in cash | (83,156,997 | ) | 119,673,660 | 10,588,460 | ||||||||
Cash, beginning of period | 137,292,722 | 17,619,062 | 7,030,602 | |||||||||
Cash, end of period | $ | 54,135,725 | $ | 137,292,722 | $ | 17,619,062 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $998,130 and $—, respectively) | $ | 997,678 | $ | — | ||||
Cash | 6,891,458 | 4,045,092 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 691,000 | 607,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 84,150 | 89,103 | ||||||
Interest receivable | 153 | 162 | ||||||
Total assets | 8,664,439 | 4,741,357 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 3,846 | 3,625 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,498 | 367 | ||||||
Non-recurring fees and expenses payable | — | 15 | ||||||
Total liabilities | 5,344 | 4,007 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 8,659,095 | 4,737,350 | ||||||
Total liabilities and shareholders’ equity | $ | 8,664,439 | $ | 4,741,357 | ||||
Shares outstanding | 650,000 | 300,000 | ||||||
Net asset value per share | $ | 13.32 | $ | 15.79 | ||||
Market value per share (Note 2) | $ | 13.33 | $ | 15.81 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(12% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 | $ | 1,000,000 | $ | 997,678 | ||||
Total short-term U.S. government and agency obligations (cost $998,130) | $ | 997,678 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/14/22 | 4,308,921 | $ | 4,903,655 | $ | 10,301 | ||||||||||
Euro with UBS AG | 01/14/22 | 11,055,502 | 12,581,426 | 73,849 | ||||||||||||
Total Unrealized Appreciation | | $ | 84,150 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 01/14/22 | (138,000 | ) | $ | (157,048 | ) | $ | (1,498 | ) | |||||||
Total Unrealized Depreciation | $ | (1,498 | ) | |||||||||||||
^ |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,798,692 | $ | 1,437,347 | $ | 766,560 | ||||||
Expenses | ||||||||||||
Management fee | 884,410 | 811,581 | 902,841 | |||||||||
Brokerage commissions | 11,345 | 135 | 48 | |||||||||
Total expenses | 895,755 | 811,716 | 902,889 | |||||||||
Net investment income (loss) | 902,937 | 625,631 | (136,329 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 2,697,508 | (21,640 | ) | 2,839 | ||||||||
Swap agreements | 12,099,826 | — | — | |||||||||
Forward agreements | 4,790,603 | (7,323,366 | ) | 11,481,571 | ||||||||
Short-term U.S. government and agency obligations | 402 | (172 | ) | 691 | ||||||||
Net realized gain (loss) | 19,588,339 | (7,345,178 | ) | 11,485,101 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 2,175,844 | 67,190 | 24,440 | |||||||||
Swap agreements | 5,890,260 | — | — | |||||||||
Forward agreements | (4,253,301 | ) | 606,946 | 8,077,462 | ||||||||
Short-term U.S. government and agency obligations | 2,887 | 6,050 | (5,441 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 3,815,690 | 680,186 | 8,096,461 | |||||||||
Net realized and unrealized gain (loss) | 23,404,029 | (6,664,992 | ) | 19,581,562 | ||||||||
Net income (loss) | $ | 24,306,966 | $ | (6,039,361 | ) | $ | 19,445,233 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 83,523,294 | $ | 93,708,748 | $ | 92,127,200 | ||||||
Addition of 900,000, 550,000 and 650,000 shares, respectively | 38,466,355 | 20,994,687 | 23,949,465 | |||||||||
Redemption of 900,000, 650,000 and 1,100,000 shares, respectively | (35,570,583 | ) | (25,140,780 | ) | (41,813,150 | ) | ||||||
Net addition (redemption) of –, (100,000) and (450,000) shares, respectively | 2,895,772 | (4,146,093 | ) | (17,863,685 | ) | |||||||
Net investment income (loss) | 902,937 | 625,631 | (136,329 | ) | ||||||||
Net realized gain (loss) | 19,588,339 | (7,345,178 | ) | 11,485,101 | ||||||||
Change in net unrealized appreciation (depreciation) | 3,815,690 | 680,186 | 8,096,461 | |||||||||
Net income (loss) | 24,306,966 | (6,039,361 | ) | 19,445,233 | ||||||||
Shareholders’ equity, end of period | $ | 110,726,032 | $ | 83,523,294 | $ | 93,708,748 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 24,306,966 | $ | (6,039,361 | ) | $ | 19,445,233 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (909,144,427 | ) | (4,562,780,642 | ) | (909,157,323 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 886,380,072 | 4,611,119,917 | 916,390,856 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,468,620 | ) | (1,390,287 | ) | (766,506 | ) | ||||||
Net realized gain (loss) on investments | (402 | ) | 172 | (691 | ) | |||||||
Change in unrealized appreciation (depreciation) on investments | (1,639,846 | ) | (612,996 | ) | (8,072,021 | ) | ||||||
Decrease (Increase) in receivable on futures contracts | (170,073 | ) | 2,420 | (2,420 | ) | |||||||
Decrease (Increase) in interest receivable | (30,618 | ) | (15,303 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | 20,500 | (6,331 | ) | (1,811 | ) | |||||||
Increase (Decrease) in payable on futures contracts | (7,990 | ) | 7,990 | (1,280 | ) | |||||||
Net cash provided by (used in) operating activities | (1,754,438 | ) | 40,285,579 | 17,834,037 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 38,466,355 | 20,994,687 | 23,949,465 | |||||||||
Payment on shares redeemed | (39,283,237 | ) | (21,428,126 | ) | (41,813,150 | ) | ||||||
Net cash provided by (used in) financing activities | (816,882 | ) | (433,439 | ) | (17,863,685 | ) | ||||||
Net increase (decrease) in cash | (2,571,320 | ) | 39,852,140 | (29,648 | ) | |||||||
Cash, beginning of period | 41,098,043 | 1,245,903 | 1,275,551 | |||||||||
Cash, end of period | $ | 38,526,723 | $ | 41,098,043 | $ | 1,245,903 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 135,537,081 and $123,793,893 , respectively) | $ | 135,544,101 | $ | 123,795,806 | ||||
Cash | 71,876,942 | 29,951,685 | ||||||
Segregated cash balances with brokers for futures contracts | 7,181,720 | 521,057 | ||||||
Segregated cash balances with brokers for forward agreements | — | 21,435,000 | ||||||
Unrealized appreciation on swap agreements | 25,135,898 | — | ||||||
Unrealized appreciation on forward agreements | — | 26,301,717 | ||||||
Interest receivable | 91,720 | 16,306 | ||||||
Total assets | 239,830,381 | 202,021,571 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 398,936 | 47,576 | ||||||
Payable to Sponsor | 176,603 | 149,619 | ||||||
Total liabilities | 575,539 | 197,195 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 239,254,842 | 201,824,376 | ||||||
Total liabilities and shareholders’ equity | $ | 239,830,381 | $ | 202,021,571 | ||||
Shares outstanding | 7,546,526 | 7,646,526 | ||||||
Net asset value per share | $ | 31.70 | $ | 26.39 | ||||
Market value per share (Note 2) | $ | 31.65 | $ | 26.37 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 57 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/09/20 † | $ | 29,000,000 | $ | 28,992,219 | ||||
1.547 % due01/30/20 † | 40,000,000 | 39,953,560 | ||||||
1.514 % due02/06/20 | 32,568,000 | 32,520,662 | ||||||
1.519 % due02/13/20 | 34,137,000 | 34,077,660 | ||||||
Total short-term U.S. government and agency obligations (cost $ 135,537,081 ) | $ | 135,544,101 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2020 | 1,316 | $ | 117,920,180 | $ | 5,724,549 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/20 | $ | 152,640,569 | $ | 10,329,244 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 01/06/20 | 83,225,484 | 5,925,755 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/20 | 124,680,616 | 8,880,899 | ||||||||||||
Total Unrealized Appreciation | $ 25,135,898 | |||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/15/21 | 2,210,921 | $ | 2,701,671 | $ | 22,950 | ||||||||||
Euro with UBS AG | 01/15/21 | 5,664,502 | 6,921,830 | 66,153 | ||||||||||||
Total Unrealized Appreciation | | $ | 89,103 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 01/15/21 | (122,000 | ) | $ | (149,080 | ) | $ | (367 | ) | |||||||
Total Unrealized Depreciation | $ | (367 | ) | |||||||||||||
^ |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,922 | $ | 16,819 | $ | 121,071 | ||||||
Expenses | ||||||||||||
Management fee | 37,450 | 44,302 | 62,543 | |||||||||
Non-recurring fees and expenses | — | 123 | — | |||||||||
Total expenses | 37,450 | 44,425 | 62,543 | |||||||||
Net investment income (loss) | (35,528 | ) | (27,606 | ) | 58,528 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (500,185 | ) | 504,035 | (722,691 | ) | |||||||
Short-term U.S. government and agency obligations | 1,250 | — | — | |||||||||
Net realized gain (loss) | (498,935 | ) | 504,035 | (722,691 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (6,084 | ) | (21,261 | ) | 52,059 | |||||||
Short-term U.S. government and agency obligations | (452 | ) | (208 | ) | 215 | |||||||
Change in net unrealized appreciation (depreciation) | (6,536 | ) | (21,469 | ) | 52,274 | |||||||
Net realized and unrealized gain (loss) | (505,471 | ) | 482,566 | (670,417 | ) | |||||||
Net income (loss) | $ | (540,999 | ) | $ | 454,960 | $ | (611,889 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 4,737,350 | $ | 6,204,424 | $ | 7,544,569 | ||||||
Addition of 500,000, 250,000 and 100,000 shares, respectively | 6,745,474 | 3,616,577 | 1,422,682 | |||||||||
Redemption of 150,000, 400,000 and 150,000 shares, respectively | (2,282,730 | ) | (5,538,611 | ) | (2,150,938 | ) | ||||||
Net addition (redemption) of 350,000, (150,000) and (50,000) shares, respectively | 4,462,744 | (1,922,034 | ) | (728,256 | ) | |||||||
Net investment income (loss) | (35,528 | ) | (27,606 | ) | 58,528 | |||||||
Net realized gain (loss) | (498,935 | ) | 504,035 | (722,691 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (6,536 | ) | (21,469 | ) | 52,274 | |||||||
Net income (loss) | (540,999 | ) | 454,960 | (611,889 | ) | |||||||
Shareholders’ equity, end of period | $ | 8,659,095 | $ | 4,737,350 | $ | 6,204,424 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (540,999 | ) | $ | 454,960 | $ | (611,889 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (4,997,449 | ) | (1,395,795 | ) | (69,587,460 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 4,001,250 | 5,375,000 | 67,150,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (681 | ) | (9,001 | ) | (36,079 | ) | ||||||
Net realized (gain) loss on investments | (1,250 | ) | — | — | ||||||||
Change in unrealized ( appreciation) depreciation on investments | 6,536 | 21,469 | (52,274 | ) | ||||||||
Decrease (Increase) in interest receivable | 9 | 1,334 | 5,222 | |||||||||
Increase (Decrease) in payable to Sponsor | 221 | (1,293 | ) | (1,097 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (15 | ) | 15 | — | ||||||||
Net cash provided by (used in) operating activities | (1,532,378 | ) | 4,446,689 | (3,133,577 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 6,745,474 | 3,616,577 | 1,422,682 | |||||||||
Payment on shares redeemed | (2,282,730 | ) | (5,538,611 | ) | (2,150,938 | ) | ||||||
Net cash provided by (used in) financing activities | 4,462,744 | (1,922,034 | ) | (728,256 | ) | |||||||
Net increase (decrease) in cash | 2,930,366 | 2,524,655 | (3,861,833 | ) | ||||||||
Cash, beginning of period | 4,652,092 | 2,127,437 | 5,989,270 | |||||||||
Cash, end of period | $ | 7,582,458 | $ | 4,652,092 | $ | 2,127,437 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $207,964,168 and $74,998,283, respectively) | $ | 207,956,320 | $ | 74,999,467 | ||||
Cash | 9,328,332 | 164,381,859 | ||||||
Segregated cash balances with brokers for futures contracts | 6,093,750 | 11,581,250 | ||||||
Segregated cash balances with brokers for swap agreements | — | 7,489,000 | ||||||
Unrealized appreciation on swap agreements | 8,639,188 | 5,140,980 | ||||||
Receivable on open futures contracts | 944,644 | 148,784 | ||||||
Interest receivable | 690 | 6,531 | ||||||
Total assets | 232,962,924 | 263,747,871 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and futures account fees payable | 4,034 | – | ||||||
Payable to Sponsor | 178,356 | 206,394 | ||||||
Non-recurring fees and expenses payable | — | 1,004 | ||||||
Total liabilities | 182,390 | 207,398 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 232,780,534 | 263,540,473 | ||||||
Total liabilities and shareholders’ equity | $ | 232,962,924 | $ | 263,747,871 | ||||
Shares outstanding | 3,900,000 | 3,900,000 | ||||||
Net asset value per share | $ | 59.69 | $ | 67.57 | ||||
Market value per share (Note 2) | $ | 59.81 | $ | 68.20 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(89% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 50,000,000 | $ | 49,999,055 | ||||
0.043% due 02/17/22 † | 119,000,000 | 118,992,563 | ||||||
0.041% due 03/17/22 | 25,000,000 | 24,997,213 | ||||||
0.223% due 11/03/22 | 14,000,000 | 13,967,489 | ||||||
Total short-term U.S. government and agency obligations (cost $207,964,168) | $ | 207,956,320 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures—COMEX, expires February 2022 | 775 | $ | 141,716,500 | $ | 654,894 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/22 | $ | 111,470,102 | $ | 2,974,490 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/22 | 96,328,238 | 2,570,443 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/22 | 115,958,326 | 3,094,255 | ||||||||||||
Total Unrealized Appreciation | $ | 8,639,188 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* |
** |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 61 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607 % due01/03/19 † | $ | 8,000,000 | $ | 7,999,508 | ||||
2.285 % due01/17/19 † | 47,000,000 | 46,954,960 | ||||||
2.241 % due01/31/19 † | 38,000,000 | 37,930,206 | ||||||
2.364 % due02/14/19 † | 31,000,000 | 30,911,132 | ||||||
Total short-term U.S. government and agency obligations (cost $ 123,793,893 ) | $ | 123,795,806 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(28% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.091% due 01/07/21 † | $ | 50,000,000 | $ | 49,999,815 | ||||
0.110% due 01/14/21 † | 25,000,000 | 24,999,652 | ||||||
Total short-term U.S. government and agency obligations (cost $74,998,283) | $ | 74,999,467 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2019 | 129 | $ | 10,023,300 | $ | 340,736 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures—COMEX, expires February 2021 | 995 | $ | 188,562,450 | $ | 2,646,874 |
Rate Paid (Received) * | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver | 3.05 | % | 01/07/19 | $ | 9,480,000 | $ | 146,687,832 | $ | 9,662,061 | |||||||||||
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver | 3.65 | 01/07/19 | 8,070,800 | 124,892,402 | 8,418,745 | |||||||||||||||
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver | 3.17 | 01/07/19 | 100,000 | 1,547,320 | 118,797 | |||||||||||||||
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver | 3.68 | 01/07/19 | 7,786,000 | 120,486,014 | 8,102,114 | |||||||||||||||
Total Unrealized Appreciation | $ 26,301,717 | |||||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/21 | $ | 116,501,753 | $ | 1,770,050 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/21 | 100,676,400 | 1,529,612 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/21 | 121,192,569 | 1,841,318 | ||||||||||||
Total Unrealized Appreciation | $ | 5,140,980 | ||||||||||||||
† |
All or partial amount pledged as collateral for |
^ |
^^ | Rates shown represent discount rate at the time of purchase. |
* |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 3,823,565 | $ | 3,490,072 | $ | 2,142,183 | ||||||
Expenses | ||||||||||||
Management fee | 1,928,478 | 2,020,586 | 2,551,877 | |||||||||
Brokerage commissions | 38,814 | 307 | 58 | |||||||||
Brokerage fees | 3 | — | — | |||||||||
Total expenses | 1,967,295 | 2,020,893 | 2,551,935 | |||||||||
Net investment income (loss) | 1,856,270 | 1,469,179 | (409,752 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 2,780,204 | (32,131 | ) | (21,522 | ) | |||||||
Swap agreements | (779,534 | ) | — | — | ||||||||
Forward agreements | 32,366,374 | (57,456,395 | ) | (31,741,312 | ) | |||||||
Short-term U.S. government and agency obligations | 7,099 | (1,203 | ) | 207 | ||||||||
Net realized gain (loss) | 34,374,143 | (57,489,729 | ) | (31,762,627 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 5,383,813 | 339,136 | 28,960 | |||||||||
Swap agreements | 25,135,898 | — | — | |||||||||
Forward agreements | (26,301,717 | ) | 4,566,383 | 42,711,523 | ||||||||
Short-term U.S. government and agency obligations | 5,107 | 25,666 | (28,112 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 4,223,101 | 4,931,185 | 42,712,371 | |||||||||
Net realized and unrealized gain (loss) | 38,597,244 | (52,558,544 | ) | 10,949,744 | ||||||||
Net income (loss) | $ | 40,453,514 | $ | (51,089,365 | ) | $ | 10,539,992 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 201,824,376 | $ | 258,244,696 | $ | 275,779,940 | ||||||
Addition of 2,300,000 , 2,100,000 and 1,550,000 shares, respectively | 62,741,459 | 56,650,169 | 50,514,699 | |||||||||
Redemption of 2,400,000, 2,150,000 and 2,100,000 shares, respectively | (65,764,507 | ) | (61,981,124 | ) | (78,589,935 | ) | ||||||
Net addition (redemption) of (100,000), (50,000) and (550,000) shares, respectively | (3,023,048 | ) | (5,330,955 | ) | (28,075,236 | ) | ||||||
Net investment income (loss) | 1,856,270 | 1,469,179 | (409,752 | ) | ||||||||
Net realized gain (loss) | 34,374,143 | (57,489,729 | ) | (31,762,627 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 4,223,101 | 4,931,185 | 42,712,371 | |||||||||
Net income (loss) | 40,453,514 | (51,089,365 | ) | 10,539,992 | ||||||||
Shareholders’ equity, end of period | $ | 239,254,842 | $ | 201,824,376 | $ | 258,244,696 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 40,453,514 | $ | (51,089,365 | ) | $ | 10,539,992 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,737,254,759 | ) | (7,425,415,370 | ) | (2,227,503,877 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,728,644,437 | 7,540,649,737 | 2,289,337,181 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,125,767 | ) | (3,423,994 | ) | (2,142,126 | ) | ||||||
Net realized gain (loss) on investments | (7,099 | ) | 1,203 | (207 | ) | |||||||
Change in unrealized appreciation (depreciation) on investments | 1,160,712 | (4,592,049 | ) | (42,683,411 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | — | 2,220 | (2,220 | ) | ||||||||
Decrease (Increase) in interest receivable | (75,414 | ) | (16,306 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | 26,984 | (37,038 | ) | (34,624 | ) | |||||||
Increase (Decrease) in payable on futures contracts | 351,360 | 47,576 | (2,290 | ) | ||||||||
Net cash provided by (used in) operating activities | 30,173,968 | 56,126,614 | 27,508,418 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 62,741,459 | 56,650,169 | 50,514,699 | |||||||||
Payment on shares redeemed | (65,764,507 | ) | (65,335,975 | ) | (75,235,084 | ) | ||||||
Net cash provided by (used in) financing activities | (3,023,048 | ) | (8,685,806 | ) | (24,720,385 | ) | ||||||
Net increase (decrease) in cash | 27,150,920 | 47,440,808 | 2,788,033 | |||||||||
Cash, beginning of period | 51,907,742 | 4,466,934 | 1,678,901 | |||||||||
Cash, end of period | $ | 79,058,662 | $ | 51,907,742 | $ | 4,466,934 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 179,736,532 and $–, respectively) | $ | 179,749,262 | $ | — | ||||
Cash | 179,318,928 | 104,967,557 | ||||||
Segregated cash balances with brokers for futures contracts | 175,258,401 | 70,020,038 | ||||||
Segregated cash balances with brokers for swap agreements | 6,984,000 | 27,933,000 | ||||||
Receivable from capital shares sold | 87,500 | 8,149,949 | ||||||
Receivable on open futures contracts | 20,666,579 | 11,407,017 | ||||||
Interest receivable | 212,666 | 106,307 | ||||||
Total assets | 562,277,336 | 222,583,868 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 34,019,820 | 6,745,146 | ||||||
Payable to Sponsor | 411,729 | 202,902 | ||||||
Unrealized depreciation on swap agreements | 209,784 | 1,330,949 | ||||||
Total liabilities | 34,641,333 | 8,278,997 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 527,636,003 | 214,304,871 | ||||||
Total liabilities and shareholders’ equity | $ | 562,277,336 | $ | 222,583,868 | ||||
Shares outstanding | 41,630,912 | 2,630,912 | ||||||
Net asset value per share | $ | 12.67 | $ | 81.46 | ||||
Market value per share (Note 2) | $ | 12.89 | $ | 81.73 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 34 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547% due 01/30/20 † | $ | 83,000,000 | $ | 82,903,637 | ||||
1.462% due 02/06/20 † | 50,000,000 | 49,927,325 | ||||||
1.618% due 02/13/20 † | 47,000,000 | 46,918,300 | ||||||
Total short-term U.S. government and agency obligations (cost $ 179,736,532 ) | $ | 179,749,262 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - C boe , expires January 2020 | 29,402 | $ | 430,004,250 | $ | (44,377,309 | ) | ||||||
VIX Futures - C boe , expires February 2020 | 20,358 | 338,451,750 | (2,019,472 | ) | ||||||||
$ | (46,396,781 | ) | ||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 2.61 | % | 01/29/20 | $ | 23,078,793 | $ | (209,784 | ) | ||||||||
Total Unrealized Depreciation | $ | (209,784 | ) | |||||||||||||
** |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 92,581 | $ | 594,847 | $ | 1,798,692 | ||||||
Expenses | ||||||||||||
Management fee | 2,262,422 | 1,916,092 | 884,410 | |||||||||
Brokerage commissions | 41,241 | 39,462 | 11,345 | |||||||||
Futures account fees | 77,793 | 59,069 | — | |||||||||
Non-recurring fees and expenses | — | 4,754 | — | |||||||||
Total expenses | 2,381,456 | 2,019,377 | 895,755 | |||||||||
Net investment income (loss) | (2,288,875 | ) | (1,424,530 | ) | 902,937 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (12,433,003 | ) | 4,738,126 | 2,697,508 | ||||||||
Swap agreements | (18,911,561 | ) | 30,713,920 | 12,099,826 | ||||||||
Forward agreements | — | — | 4,790,603 | |||||||||
Short-term U.S. government and agency obligations | 20,618 | — | 402 | |||||||||
Net realized gain (loss) | (31,323,946 | ) | 35,452,046 | 19,588,339 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (1,991,980 | ) | 398,360 | 2,175,844 | ||||||||
Swap agreements | 3,498,208 | (749,280 | ) | 5,890,260 | ||||||||
Forward agreements | — | — | (4,253,301 | ) | ||||||||
Short-term U.S. government and agency obligations | (9,032 | ) | (2,230 | ) | 2,887 | |||||||
Change in net unrealized appreciation (depreciation) | 1,497,196 | (353,150 | ) | 3,815,690 | ||||||||
Net realized and unrealized gain (loss) | (29,826,750 | ) | 35,098,896 | 23,404,029 | ||||||||
Net income (loss) | $ | (32,115,625 | ) | $ | 33,674,366 | $ | 24,306,966 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 263,540,473 | $ | 110,726,032 | $ | 83,523,294 | ||||||
Addition of 1,350,000, 3,500,000 and 900,000 shares, respectively | 80,907,462 | 227,961,338 | 38,466,355 | |||||||||
Redemption of 1,350,000, 1,850,000 and 900,000 shares, respectively | (79,551,776 | ) | (108,821,263 | ) | (35,570,583 | ) | ||||||
Net addition (redemption) of 0, 1,650,000 and 0 shares, respectively | 1,355,686 | 119,140,075 | 2,895,772 | |||||||||
Net investment income (loss) | (2,288,875 | ) | (1,424,530 | ) | 902,937 | |||||||
Net realized gain (loss) | (31,323,946 | ) | 35,452,046 | 19,588,339 | ||||||||
Change in net unrealized appreciation (depreciation) | 1,497,196 | (353,150 | ) | 3,815,690 | ||||||||
Net income (loss) | (32,115,625 | ) | 33,674,366 | 24,306,966 | ||||||||
Shareholders’ equity, end of period | $ | 232,780,534 | $ | 263,540,473 | $ | 110,726,032 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (32,115,625 | ) | $ | 33,674,366 | $ | 24,306,966 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (630,901,758 | ) | (491,677,717 | ) | (909,144,427 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 498,020,144 | 483,257,000 | 886,380,072 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (63,653 | ) | (402,982 | ) | (1,468,620 | ) | ||||||
Net realized (gain) loss on investments | (20,618 | ) | — | (402 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (3,489,176 | ) | 751,510 | (1,639,846 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | (795,860 | ) | 21,289 | (170,073 | ) | |||||||
Decrease (Increase) in interest receivable | 5,841 | 39,390 | (30,618 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (28,038 | ) | 121,451 | 20,500 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 4,034 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | — | — | (7,990 | ) | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (1,004 | ) | 1,004 | — | ||||||||
Net cash provided by (used in) operating activities | (169,385,713 | ) | 25,785,311 | (1,754,438 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 80,907,462 | 227,961,338 | 38,466,355 | |||||||||
Payment on shares redeemed | (79,551,776 | ) | (108,821,263 | ) | (39,283,237 | ) | ||||||
Net cash provided by (used in) financing activities | 1,355,686 | 119,140,075 | (816,882 | ) | ||||||||
Net increase (decrease) in cash | (168,030,027 | ) | 144,925,386 | (2,571,320 | ) | |||||||
Cash, beginning of period | 183,452,109 | 38,526,723 | 41,098,043 | |||||||||
Cash, end of period | $ | 15,422,082 | $ | 183,452,109 | $ | 38,526,723 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $451,896,236 and $244,987,251, respectively) | $ | 451,872,982 | $ | 244,993,989 | ||||
Cash | 10,985,565 | 301,951,458 | ||||||
Segregated cash balances with brokers for futures contracts | 14,502,938 | 66,062,502 | ||||||
Segregated cash balances with brokers for swap agreements | — | 78,388,000 | ||||||
Unrealized appreciation on swap agreements | 40,591,699 | 56,752,666 | ||||||
Receivable on open futures contracts | 1,384,919 | — | ||||||
Interest receivable | 1,582 | 10,698 | ||||||
Total assets | 519,339,685 | 748,159,313 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,483,770 | — | ||||||
Payable on open futures contracts | — | 2,312,939 | ||||||
Brokerage commissions and futures account fees payable | 9,833 | — | ||||||
Payable to Sponsor | 392,488 | 539,986 | ||||||
Non-recurring fees and expenses payable | — | 2,360 | ||||||
Total liabilities | 3,886,091 | 2,855,285 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 515,453,594 | 745,304,028 | ||||||
Total liabilities and shareholders’ equity | $ | 519,339,685 | $ | 748,159,313 | ||||
Shares outstanding | 14,796,526 | 14,696,526 | ||||||
Net asset value per share | $ | 34.84 | $ | 50.71 | ||||
Market value per share (Note 2) | $ | 34.74 | $ | 51.28 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(88% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.041% due 01/20/22 † | $ | 115,000,000 | $ | 114,997,827 | ||||
0.042% due 02/17/22 † | 159,000,000 | 158,990,062 | ||||||
0.044% due 03/17/22 † | 135,000,000 | 134,984,948 | ||||||
0.223% due 11/03/22 | 43,000,000 | 42,900,145 | ||||||
Total short-term U.S. government and agency obligations (cost $451,896,236) | $ | 451,872,982 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - C boe , expires January 2019 | 5,932 | $ | 143,406,100 | $ | 33,798,582 | |||||||
VIX Futures - C boe , expires February 2019 | 4,746 | 105,717,150 | (1,294,617 | ) | ||||||||
$ | 32,503,965 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures—COMEX, expires March 2022 | 1,345 | $ | 157,042,200 | $ | 2,506,545 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs International based on iPath S&P 500 VIX Short-Term Futures ETN IOPV | 2.51 | % | 01/26/19 | $ | 72,301,516 | $ | (1,330,949 | ) | ||||||||
Total Unrealized Depreciation | $ | (1,330,949 | ) | |||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/22 | $ | 232,088,114 | $ | 10,785,304 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 01/06/22 | 232,177,948 | 10,781,897 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/22 | 216,331,853 | 10,046,034 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/22 | 193,206,858 | 8,978,464 | ||||||||||||
Total Unrealized Appreciation | $ | 40,591,699 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 7,903,309 | $ | 3,853,146 | $ | 3,040,059 | ||||||
Expenses | ||||||||||||
Management fee | 4,819,171 | 3,966,185 | 3,960,999 | |||||||||
Brokerage commissions | 2,936,813 | 3,032,632 | 3,970,588 | |||||||||
Brokerage fees | 24,765 | — | 4,533 | |||||||||
Non-recurring fees and expenses | 27,508 | — | — | |||||||||
Total expenses | 7,808,257 | 6,998,817 | 7,936,120 | |||||||||
Net investment income (loss) | 95,052 | (3,145,671 | ) | (4,896,061 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (561,156,010 | ) | 379,449,269 | (1,020,750,851 | ) | |||||||
Swap agreements | (51,702,622 | ) | 10,551,473 | — | ||||||||
Short-term U.S. government and agency obligations | 18,591 | (7,731 | ) | (21,942 | ) | |||||||
Net realized gain (loss) | (612,840,041 | ) | 389,993,011 | (1,020,772,793 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (78,900,746 | ) | 66,970,085 | (26,493,883 | ) | |||||||
Swap agreements | 1,121,165 | (1,330,949 | ) | — | ||||||||
Short-term U.S. government and agency obligations | 12,730 | 13,265 | (8,993 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (77,766,851 | ) | 65,652,401 | (26,502,876 | ) | |||||||
Net realized and unrealized gain (loss) | (690,606,892 | ) | 455,645,412 | (1,047,275,669 | ) | |||||||
Net income (loss) | $ | (690,511,840 | ) | $ | 452,499,741 | $ | (1,052,171,730 | ) | ||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 214,304,871 | $ | 394,035,141 | $ | 515,758,754 | ||||||
Addition of 83,750,000, 38,280,000 and 17,117,000 shares, respectively | 2,454,259,697 | 2,228,542,993 | 2,602,989,881 | |||||||||
Redemption of 44,750,000, 43,274,536 and 10,084,629 shares, respectively | (1,450,416,725 | ) | (2,860,773,004 | ) | (1,672,541,764 | ) | ||||||
Net addition (redemption) of 39,000,000, ( 4,994,536 ) and 7,032,371 shares, respectively | 1,003,842,972 | (632,230,011 | ) | 930,448,117 | ||||||||
Net investment income (loss) | 95,052 | (3,145,671 | ) | (4,896,061 | ) | |||||||
Net realized gain (loss) | (612,840,041 | ) | 389,993,011 | (1,020,772,793 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (77,766,851 | ) | 65,652,401 | (26,502,876 | ) | |||||||
Net income (loss) | (690,511,840 | ) | 452,499,741 | (1,052,171,730 | ) | |||||||
Shareholders’ equity, end of period | $ | 527,636,003 | $ | 214,304,871 | $ | 394,035,141 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (690,511,840 | ) | $ | 452,499,741 | $ | (1,052,171,730 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (5,261,759,239 | ) | (15,074,656,207 | ) | (4,416,383,420 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 5,085,520,200 | 15,363,705,730 | 4,566,387,313 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,478,902 | ) | (1,510,857 | ) | (2,896,165 | ) | ||||||
Net realized gain (loss) on investments | (18,591 | ) | 7,731 | 21,942 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (1,133,895 | ) | 1,317,684 | 8,993 | ||||||||
Decrease (Increase) in receivable on futures contracts | (9,259,562 | ) | 6,171,434 | 18,388,740 | ||||||||
Decrease (Increase) in interest receivable | (106,359 | ) | (106,307 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | 208,827 | (141,390 | ) | (79,981 | ) | |||||||
Increase (Decrease) in payable on futures contracts | 27,274,674 | 6,745,146 | — | |||||||||
Net cash provided by (used in) operating activities | (853,264,687 | ) | 754,032,705 | (886,724,308 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 2,462,322,146 | 2,220,909,974 | 2,602,472,951 | |||||||||
Payment on shares redeemed | (1,450,416,725 | ) | (2,860,773,004 | ) | (1,709,331,303 | ) | ||||||
Net cash provided by (used in) financing activities | 1,011,905,421 | (639,863,030 | ) | 893,141,648 | ||||||||
Net increase (decrease) in cash | 158,640,734 | 114,169,675 | 6,417,340 | |||||||||
Cash, beginning of period | 202,920,595 | 88,750,920 | 82,333,580 | |||||||||
Cash, end of period | $ | 361,561,329 | $ | 202,920,595 | $ | 88,750,920 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,808,030 and $–, respectively) | $ | 1,808,104 | $ | — | ||||
Cash | 3,283,138 | 2,419,531 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 500,000 | 307,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | — | 179,187 | ||||||
Receivable from capital shares sold | — | 2,846,576 | ||||||
Interest receivable | 4,726 | 3,941 | ||||||
Total assets | 5,595,968 | 5,756,235 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 4,475 | 2,443 | ||||||
Unrealized depreciation on foreign currency forward contracts | 10,529 | 2,076 | ||||||
Total liabilities | 15,004 | 4,519 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 5,580,964 | 5,751,716 | ||||||
Total liabilities and shareholders’ equity | $ | 5,595,968 | $ | 5,756,235 | ||||
Shares outstanding | 99,970 | 99,970 | ||||||
Net asset value per share | $ | 55.83 | $ | 57.53 | ||||
Market value per share (Note 2) | $ | 55.83 | $ | 57.55 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 32 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.514% due 02/06/20 | $ | 884,000 | $ | 882,715 | ||||
1.519% due 02/13/20 | 927,000 | 925,389 | ||||||
Total short-term U.S. government and agency obligations (cost $ 1,808,030 ) | $ | 1,808,104 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.094% due 01/07/21 † | $ | 95,000,000 | $ | 94,999,649 | ||||
0.110% due 01/14/21 † | 50,000,000 | 49,999,305 | ||||||
0.113% due 01/28/21 † | 50,000,000 | 49,997,835 | ||||||
0.112% due 02/04/21 † | 50,000,000 | 49,997,200 | ||||||
Total short-term U.S. government and agency obligations (cost $244,987,251) | $ | 244,993,989 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures—COMEX, expires March 2021 | 3,971 | $ | 524,410,259 | $ | 37,190,212 |
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/10/20 | 325,804,302 | $ | 2,999,073 | $ | (2,404 | ) | |||||||||
Yen with UBS AG | 01/10/20 | 888,782,738 | 8,181,365 | (7,841 | ) | |||||||||||
$ | (10,245 | ) | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 01/10/20 | (6,892,531 | ) | $ | (63,447 | ) | $ | (284 | ) | |||||||
$ | (284 | ) | ||||||||||||||
Total Unrealized Depreciation | $ | (10,529 | ) | |||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/21 | $ | 294,747,134 | $ | 18,010,776 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 01/06/21 | 211,716,341 | 12,930,574 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/21 | 239,421,584 | 12,353,706 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/21 | 220,234,368 | 13,457,610 | ||||||||||||
Total Unrealized Appreciation | �� | $ | 56,752,666 | |||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, |
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/11/19 | 314,867,300 | $ | 2,873,778 | $ | 73,705 | ||||||||||
Yen with UBS AG | 01/11/19 | 955,546,600 | 8,721,224 | 105,482 | ||||||||||||
Total Unrealized Appreciation | $ | 179,187 | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 01/11/19 | (10,055,200 | ) | $ | (91,773 | ) | $ | (2,076 | ) | |||||||
Total Unrealized Depreciation | $ | (2,076 | ) | |||||||||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 78,463 | $ | 26,930 | $ | 28,639 | ||||||
Expenses | ||||||||||||
Management fee | 39,949 | 27,913 | 50,521 | |||||||||
Total expenses | 39,949 | 27,913 | 50,521 | |||||||||
Net investment income (loss) | 38,514 | (983 | ) | (21,882 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 58,152 | (170,364 | ) | (46,195 | ) | |||||||
Short-term U.S. government and agency obligations | (162 | ) | — | (83 | ) | |||||||
Net realized gain (loss) | 57,990 | (170,364 | ) | (46,278 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (187,640 | ) | 211,935 | 307,252 | ||||||||
Short-term U.S. government and agency obligations | 74 | 283 | (58 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (187,566 | ) | 212,218 | 307,194 | ||||||||
Net realized and unrealized gain (loss) | (129,576 | ) | 41,854 | 260,916 | ||||||||
Net income (loss) | $ | (91,062 | ) | $ | 40,871 | $ | 239,034 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 5,751,716 | $ | 2,864,269 | $ | 5,540,957 | ||||||
Addition of 200,000, 50,000 and – shares, respectively | 11,322,305 | 2,846,576 | — | |||||||||
Redemption of 200,000, – and 50,000 shares, respectively | (11,401,995 | ) | — | (2,915,722 | ) | |||||||
Net addition (redemption) of –, 50,000 and (50,000) shares, respectively | (79,690 | ) | 2,846,576 | (2,915,722 | ) | |||||||
Net investment income (loss) | 38,514 | (983 | ) | (21,882 | ) | |||||||
Net realized gain (loss) | 57,990 | (170,364 | ) | (46,278 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (187,566 | ) | 212,218 | 307,194 | ||||||||
Net income (loss) | (91,062 | ) | 40,871 | 239,034 | ||||||||
Shareholders’ equity, end of period | $ | 5,580,964 | $ | 5,751,716 | $ | 2,864,269 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (91,062 | ) | $ | 40,871 | $ | 239,034 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (42,675,552 | ) | (41,486,414 | ) | (16,968,159 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 40,888,736 | 43,500,000 | 20,281,603 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (21,376 | ) | (15,370 | ) | (28,639 | ) | ||||||
Net realized gain (loss) on investments | 162 | — | 83 | |||||||||
Change in unrealized appreciation (depreciation) on investments | 187,566 | (212,218 | ) | (307,194 | ) | |||||||
Decrease (Increase) in interest receivable | (785 | ) | (3,941 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | 2,032 | 131 | (2,225 | ) | ||||||||
Net cash provided by (used in) operating activities | (1,710,279 | ) | 1,823,059 | 3,214,503 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 14,168,881 | — | — | |||||||||
Payment on shares redeemed | (11,401,995 | ) | — | (2,915,722 | ) | |||||||
Net cash provided by (used in) financing activities | 2,766,886 | — | (2,915,722 | ) | ||||||||
Net increase (decrease) in cash | 1,056,607 | 1,823,059 | 298,781 | |||||||||
Cash, beginning of period | 2,726,531 | 903,472 | 604,691 | |||||||||
Cash, end of period | $ | 3,783,138 | $ | 2,726,531 | $ | 903,472 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $47,190,714 and $20,979,000, respectively) | $ | 47,193,110 | $ | 20,979,876 | ||||
Cash | 12,393,273 | 38,690,241 | ||||||
Segregated cash balances with brokers for futures contracts | 13,388,080 | 24,892,125 | ||||||
Receivable from capital shares sold | — | 2,597,148 | ||||||
Receivable on open futures contracts | — | 551,842 | ||||||
Interest receivable | 25,542 | 17,308 | ||||||
Total assets | 73,000,005 | 87,728,540 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,075,764 | — | ||||||
Payable to Sponsor | 64,912 | 61,498 | ||||||
Total liabilities | 2,140,676 | 61,498 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 70,859,329 | 87,667,042 | ||||||
Total liabilities and shareholders’ equity | $ | 73,000,005 | $ | 87,728,540 | ||||
Shares outstanding | 3,300,000 | 6,700,000 | ||||||
Net asset value per share | $ | 21.47 | $ | 13.08 | ||||
Market value per share (Note 2) | $ | 21.60 | $ | 13.47 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 67 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 9,000,000 | $ | 8,997,585 | ||||
1.547% due 01/30/20 | 13,000,000 | 12,984,908 | ||||||
1.514% due 02/06/20 | 12,328,000 | 12,310,081 | ||||||
1.519% due 02/13/20 | 12,923,000 | 12,900,536 | ||||||
Total short-term U.S. government and agency obligations (cost $47,190,714) | $ | 47,193,110 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2020 | 3,498 | $ | 212,573,460 | $ | 7,266,550 |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 24 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.342% due 01/17/19 | $ | 21,000,000 | $ | 20,979,876 | ||||
Total short-term U.S. government and agency obligations (cost $20,979,000) | $ | 20,979,876 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2019 | 5,751 | $ | 262,935,720 | $ | (23,451,361 | ) |
Year Ended December 31, | January 13, 2017 (Inception) through December 31, 2017 | |||||||||||
2019 | 2018 | |||||||||||
Investment Income | ||||||||||||
Interest | $ | 2,114,130 | $ | 351,928 | $ | 9,696 | ||||||
Expenses | ||||||||||||
Management fee | 1,049,564 | 277,762 | — | |||||||||
Brokerage commissions | 334,485 | 86,561 | 34,408 | |||||||||
Brokerage fees | — | — | 67 | |||||||||
Offering costs | — | 52,846 | 119,081 | |||||||||
Limitation by Sponsor | — | (26,957 | ) | (24,342 | ) | |||||||
Total expenses | 1,384,049 | 390,212 | 129,214 | |||||||||
Net investment income (loss) | 730,081 | (38,284 | ) | (119,518 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 69,170,933 | (37,435,672 | ) | 6,018,618 | ||||||||
Short-term U.S. government and agency obligations | 7,318 | — | — | |||||||||
Net realized gain (loss) | 69,178,251 | (37,435,672 | ) | 6,018,618 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 30,717,911 | (24,869,359 | ) | 1,417,998 | ||||||||
Short-term U.S. government and agency obligations | 1,520 | 876 | — | |||||||||
Change in net unrealized appreciation (depreciation) | 30,719,431 | (24,868,483 | ) | 1,417,998 | ||||||||
Net realized and unrealized gain (loss) | 99,897,682 | (62,304,155 | ) | 7,436,616 | ||||||||
Net income (loss) | $ | 100,627,763 | $ | (62,342,439 | ) | $ | 7,317,098 | |||||
Year Ended December 31, | January 13, 2017 (Inception) through December 31, 2017 | |||||||||||
2019 | 2018 | |||||||||||
Shareholders’ equity, beginning of period | $ | 87,667,042 | $ | 11,335,483 | $ | — | ||||||
Addition of 15,150,000, 7,250,000 and 1,750,008 shares, respectively | 251,308,636 | 186,003,485 | 40,659,738 | |||||||||
Redemption of 18,550,000, 850,008 and 1,450,000 shares, respectively | (368,744,112 | ) | (47,329,487 | ) | (36,641,353 | ) | ||||||
Net addition (redemption) of (3,400,000), 6,399,992 and 300,008 shares, respectively | (117,435,476 | ) | 138,673,998 | 4,018,385 | ||||||||
Net investment income (loss) | 730,081 | (38,284 | ) | (119,518 | ) | |||||||
Net realized gain (loss) | 69,178,251 | (37,435,672 | ) | 6,018,618 | ||||||||
Change in net unrealized appreciation (depreciation) | 30,719,431 | (24,868,483 | ) | 1,417,998 | ||||||||
Net income (loss) | 100,627,763 | (62,342,439 | ) | 7,317,098 | ||||||||
Shareholders’ equity, end of period | $ | 70,859,329 | $ | 87,667,042 | $ | 11,335,483 | ||||||
Year Ended December 31, | January 13, 2017 (Inception) through December 31, 2017 | |||||||||||
2019 | 2018 | |||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 100,627,763 | $ | (62,342,439 | ) | $ | 7,317,098 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,874,262,579 | ) | (2,621,719,773 | ) | — | |||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,849,526,465 | 2,601,000,000 | — | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,468,282 | ) | (259,227 | ) | — | |||||||
Net realized gain (loss) on investments | (7,318 | ) | — | — | ||||||||
Change in unrealized appreciation (depreciation) on investments | (1,520 | ) | (876 | ) | — | |||||||
Decrease (Increase) in receivable on futures contracts | 551,842 | (262,447 | ) | (289,395 | ) | |||||||
Decrease (Increase) in receivable in Limitation by Sponsor | — | 24,342 | (24,342 | ) | ||||||||
Decrease (Increase) in interest receivable | (8,234 | ) | (17,308 | ) | — | |||||||
Cash paid for offering costs | — | — | (171,927 | ) | ||||||||
Amortization of offering costs | — | 52,846 | 119,081 | |||||||||
Increase (Decrease) in payable to Sponsor | 3,414 | 61,498 | — | |||||||||
Increase (Decrease) in payable on futures contracts | 2,075,764 | — | — | |||||||||
Net cash provided by (used in) operating activities | 77,037,315 | (83,463,384 | ) | 6,950,515 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 253,905,784 | 183,406,337 | 40,659,738 | |||||||||
Payment on shares redeemed | (368,744,112 | ) | (47,329,487 | ) | (36,641,353 | ) | ||||||
Net cash provided by (used in) financing activities | (114,838,328 | ) | 136,076,850 | 4,018,385 | ||||||||
Net increase (decrease) in cash | (37,801,013 | ) | 52,613,466 | 10,968,900 | ||||||||
Cash, beginning of period | 63,582,366 | 10,968,900 | — | |||||||||
Cash, end of period | $ | 25,781,353 | $ | 63,582,366 | $ | 10,968,900 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 57,372,196 and $–, respectively) | $ | 57,375,132 | $ | — | ||||
Cash | 14,418,802 | 13,456,117 | ||||||
Segregated cash balances with brokers for futures contracts | 17,524,681 | 5,303,112 | ||||||
Securities sold receivable | 3,883 | — | ||||||
Receivable on open futures contracts | 2,120,078 | — | ||||||
Interest receivable | 20,691 | 13,748 | ||||||
Total assets | 91,463,267 | 18,772,977 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 89,382 | ||||||
Payable to Sponsor | 74,120 | 18,496 | ||||||
Total liabilities | 74,120 | 107,878 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 91,389,147 | 18,665,099 | ||||||
Total liabilities and shareholders’ equity | $ | 91,463,267 | $ | 18,772,977 | ||||
Shares outstanding | 8,574,906 | 374,906 | ||||||
Net asset value per share | $ | 10.66 | $ | 49.79 | ||||
Market value per share (Note 2) | $ | 10.58 | $ | 48.43 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 63 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 13,000,000 | $ | 12,996,512 | ||||
1.547% due 01/30/20 | 13,000,000 | 12,984,907 | ||||||
1.514% due 02/06/20 | 15,352,000 | 15,329,686 | ||||||
1.519% due 02/13/20 | 16,092,000 | 16,064,027 | ||||||
Total short-term U.S. government and agency obligations (cost $ 57,372,196 ) | $ | 57,375,132 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2020 | 4,511 | $ | 274,133,470 | $ | (8,358,056 | ) |
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2019 | 1,225 | $ | 56,007,000 | $ | 7,019,475 |
Year Ended December 31, | January 13, 2017 (Inception) through December 31, 2017 | |||||||||||
2019 | 2018 | |||||||||||
Investment Income | ||||||||||||
Interest | $ | 562,435 | $ | 190,658 | $ | 5,930 | ||||||
Expenses | ||||||||||||
Management fee | 312,430 | 176,390 | — | |||||||||
Brokerage commissions | 146,608 | 70,338 | 32,624 | |||||||||
Brokerage fees | — | — | 135 | |||||||||
Offering costs | — | 52,797 | 119,070 | |||||||||
Limitation by Sponsor | — | (176 | ) | (35,309 | ) | |||||||
Total expenses | 459,038 | 299,349 | 116,520 | |||||||||
Net investment income (loss) | 103,397 | (108,691 | ) | (110,590 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (2,410,550 | ) | 7,377,281 | (7,046,628 | ) | |||||||
Short-term U.S. government and agency obligations | 6,030 | — | — | |||||||||
Net realized gain (loss) | (2,404,520 | ) | 7,377,281 | (7,046,628 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (15,377,531 | ) | 10,007,630 | (2,988,155 | ) | |||||||
Short-term U.S. government and agency obligations | 2,936 | — | — | |||||||||
Change in net unrealized appreciation (depreciation) | (15,374,595 | ) | 10,007,630 | (2,988,155 | ) | |||||||
Net realized and unrealized gain (loss) | (17,779,115 | ) | 17,384,911 | (10,034,783 | ) | |||||||
Net income (loss) | $ | (17,675,718 | ) | $ | 17,276,220 | $ | (10,145,373 | ) | ||||
Year Ended December 31, | January 13, 2017 (Inception) through December 31, 2017 | |||||||||||
2019 | 2018 | |||||||||||
Shareholders’ equity, beginning of period | $ | 18,665,099 | $ | 21,161,176 | $ | – | ||||||
Addition of 20,600,000, 2,637,500 and 575,002 shares, respectively | 304,935,397 | 62,030,238 | 38,429,372 | |||||||||
Redemption of 12,400,000, 2,762,596 and 75,000 shares, respectively | (214,535,631 | ) | (81,802,535 | ) | (7,122,823 | ) | ||||||
Net addition (redemption) of 8,200,000 , (125,096 ) and500,002 shares, respectively | 90,399,766 | (19,772,297 | ) | 31,306,549 | ||||||||
Net investment income (loss) | 103,397 | (108,691 | ) | (110,590 | ) | |||||||
Net realized gain (loss) | (2,404,520 | ) | 7,377,281 | (7,046,628 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (15,374,595 | ) | 10,007,630 | (2,988,155 | ) | |||||||
Net income (loss) | (17,675,718 | ) | 17,276,220 | (10,145,373 | ) | |||||||
Shareholders’ equity, end of period | $ | 91,389,147 | $ | 18,665,099 | $ | 21,161,176 | ||||||
Year Ended December 31, | January 13, 2017 (Inception) through December 31, 2017 | |||||||||||
2019 | 2018 | |||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (17,675,718 | ) | $ | 17,276,220 | $ | (10,145,373 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (450,571,483 | ) | (1,258,898,672 | ) | — | |||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 393,485,809 | 1,259,000,000 | — | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (280,492 | ) | (101,328 | ) | — | |||||||
Net realized gain (loss) on investments | (6,030 | ) | — | — | ||||||||
Change in unrealized appreciation (depreciation) on investments | (2,936 | ) | — | — | ||||||||
Decrease (Increase) in securities sold receivable | (3,883 | ) | — | — | ||||||||
Decrease (Increase) in receivable on futures contracts | (2,120,078 | ) | — | — | ||||||||
Decrease (Increase) in receivable in Limitation by Sponsor | — | 35,309 | (35,309 | ) | ||||||||
Decrease (Increase) in interest receivable | (6,943 | ) | (13,748 | ) | — | |||||||
Cash paid for offering costs | — | — | (171,867 | ) | ||||||||
Amortization of offering costs | — | 52,797 | 119,070 | |||||||||
Increase (Decrease) in payable to Sponsor | 55,624 | 18,496 | — | |||||||||
Increase (Decrease) in payable on futures contracts | (89,382 | ) | (437,716 | ) | 527,098 | |||||||
Net cash provided by (used in) operating activities | (77,215,512 | ) | 16,931,358 | (9,706,381 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 304,935,397 | 62,030,238 | 38,429,372 | |||||||||
Payment on shares redeemed | (214,535,631 | ) | (81,802,535 | ) | (7,122,823 | ) | ||||||
Net cash provided by (used in) financing activities | 90,399,766 | (19,772,297 | ) | 31,306,549 | ||||||||
Net increase (decrease) in cash | 13,184,254 | (2,840,939 | ) | 21,600,168 | ||||||||
Cash, beginning of period | 18,759,229 | 21,600,168 | — | |||||||||
Cash, end of period | $ | 31,943,483 | $ | 18,759,229 | $ | 21,600,168 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 3,931,268 and $299,548 , respectively) | $ | 3,931,474 | $ | 299,537 | ||||
Cash | 1,506,673 | 10,321,256 | ||||||
Segregated cash balances with brokers for futures contracts | 211,200 | 433,125 | ||||||
Receivable on open futures contracts | — | 6,300 | ||||||
Interest receivable | 1,707 | 8,475 | ||||||
Total assets | 5,651,054 | 11,068,693 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 37,725 | — | ||||||
Payable to Sponsor | 4,717 | 8,360 | ||||||
Total liabilities | 42,442 | 8,360 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 5,608,612 | 11,060,333 | ||||||
Total liabilities and shareholders’ equity | $ | 5,651,054 | $ | 11,068,693 | ||||
Shares outstanding | 100,000 | 200,000 | ||||||
Net asset value per share | $ | 56.09 | $ | 55.30 | ||||
Market value per share (Note 2) | $ | 55.88 | $ | 54.92 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 70 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 1,000,000 | $ | 999,732 | ||||
1.547% due 01/30/20 | 1,000,000 | 998,839 | ||||||
1.514% due 02/06/20 | 945,000 | 943,626 | ||||||
1.519% due 02/13/20 | 991,000 | 989,277 | ||||||
Total short-term U.S. government and agency obligations (cost $ 3,931,268 ) | $ | 3,931,474 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2020 | 160 | $ | 11,260,800 | $ | (224,000 | ) |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 3 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.884% due 01/17/19 | $ | 100,000 | $ | 99,904 | ||||
1.924% due 01/31/19 | 200,000 | 199,633 | ||||||
Total short-term U.S. government and agency obligations (cost $ 299,548 ) | $ | 299,537 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures - CME, expires March 2019 | 315 | $ | 22,213,800 | $ | 511,825 |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 159,039 | $ | 119,098 | $ | 85,306 | ||||||
Expenses | ||||||||||||
Management fee | 72,858 | 75,944 | 123,234 | |||||||||
Brokerage commissions | 5,856 | 6,408 | 8,846 | |||||||||
Total expenses | 78,714 | 82,352 | 132,080 | |||||||||
Net investment income (loss) | 80,325 | 36,746 | (46,774 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 833,171 | 128,451 | (866,771 | ) | ||||||||
Short-term U.S. government and agency obligations | 28 | (247 | ) | (178 | ) | |||||||
Net realized gain (loss) | 833,199 | 128,204 | (866,949 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (735,825 | ) | 1,405,045 | (2,075,560 | ) | |||||||
Short-term U.S. government and agency obligations | 217 | 983 | (718 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (735,608 | ) | 1,406,028 | (2,076,278 | ) | |||||||
Net realized and unrealized gain (loss) | 97,591 | 1,534,232 | (2,943,227 | ) | ||||||||
Net income (loss) | $ | 177,916 | $ | 1,570,978 | $ | (2,990,001 | ) | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 11,060,333 | $ | 13,702,102 | $ | 16,613,473 | ||||||
Addition of 50,000, 100,000 and 100,000 shares, respectively | 3,004,977 | 5,028,505 | 4,801,797 | |||||||||
Redemption of 150,000, 200,000 and 100,000 shares, respectively | (8,634,614 | ) | (9,241,252 | ) | (4,723,167 | ) | ||||||
Net addition (redemption) of ( 100,000 ), (100,000 ) and – shares, respectively | (5,629,637 | ) | (4,212,747 | ) | 78,630 | |||||||
Net investment income (loss) | 80,325 | 36,746 | (46,774 | ) | ||||||||
Net realized gain (loss) | 833,199 | 128,204 | (866,949 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (735,608 | ) | 1,406,028 | (2,076,278 | ) | |||||||
Net income (loss) | 177,916 | 1,570,978 | (2,990,001 | ) | ||||||||
Shareholders’ equity, end of period | $ | 5,608,612 | $ | 11,060,333 | $ | 13,702,102 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 177,916 | $ | 1,570,978 | $ | (2,990,001 | ) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (132,612,765 | ) | (304,025,708 | ) | (88,399,815 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 129,028,715 | 315,798,003 | 89,408,839 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (47,642 | ) | (87,192 | ) | (84,205 | ) | ||||||
Net realized gain (loss) on investments | (28 | ) | 247 | 178 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (217 | ) | (983 | ) | 718 | |||||||
Decrease (Increase) in receivable on futures contracts | 6,300 | (6,300 | ) | — | ||||||||
Decrease (Increase) in interest receivable | 6,768 | (8,475 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | (3,643 | ) | (2,889 | ) | (1,706 | ) | ||||||
Increase (Decrease) in payable on futures contracts | 37,725 | (52,950 | ) | 20,610 | ||||||||
Net cash provided by (used in) operating activities | (3,406,871 | ) | 13,184,731 | (2,045,382 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 3,004,977 | 5,028,505 | 4,801,797 | |||||||||
Payment on shares redeemed | (8,634,614 | ) | (9,241,252 | ) | (4,723,167 | ) | ||||||
Net cash provided by (used in) financing activities | (5,629,637 | ) | (4,212,747 | ) | 78,630 | |||||||
Net increase (decrease) in cash | (9,036,508 | ) | 8,971,984 | (1,966,752 | ) | |||||||
Cash, beginning of period | 10,754,381 | 1,782,397 | 3,749,149 | |||||||||
Cash, end of period | $ | 1,717,873 | $ | 10,754,381 | $ | 1,782,397 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 62,196,121 and $27,967,127 , respectively) | $ | 62,199,283 | $ | 27,967,534 | ||||
Cash | 50,856,757 | 22,869,986 | ||||||
Segregated cash balances with brokers for futures contracts | 7,239,420 | 2,746,147 | ||||||
Segregated cash balances with brokers for swap agreements | 3,813,000 | 14,356,000 | ||||||
Unrealized appreciation on swap agreements | — | 20,646,726 | ||||||
Receivable from capital shares sold | 4,267,015 | 25,458,885 | ||||||
Receivable on open futures contracts | 1,144,404 | 432,627 | ||||||
Interest receivable | 54,165 | 36,428 | ||||||
Total assets | 129,574,044 | 114,514,333 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 48,600 | ||||||
Payable to Sponsor | 88,432 | 88,422 | ||||||
Unrealized depreciation on swap agreements | 4,033,931 | — | ||||||
Total liabilities | 4,122,363 | 137,022 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 125,451,681 | 114,377,311 | ||||||
Total liabilities and shareholders’ equity | $ | 129,574,044 | $ | 114,514,333 | ||||
Shares outstanding | 10,289,884 | 3,839,884 | ||||||
Net asset value per share | $ | 12.19 | $ | 29.79 | ||||
Market value per share (Note 2) | $ | 12.15 | $ | 29.28 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 50 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 13,000,000 | $ | 12,996,512 | ||||
1.547% due 01/30/20 † | 15,000,000 | 14,982,585 | ||||||
1.514% due 02/06/20 | 16,734,000 | 16,709,677 | ||||||
1.519% due 02/13/20 † | 17,541,000 | 17,510,509 | ||||||
Total short-term U.S. government and agency obligations (cost $ 62,196,121 ) | $ | 62,199,283 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2020 | 1,864 | $ | 113,275,280 | $ | (3,118,689 | ) |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex | 0.18 | % | 01/06/20 | $ | (39,727,981 | ) | $ | (1,401,797 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | (37,407,865 | ) | (793,395 | ) | ||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex | 0.23 | 01/06/20 | (31,487,418 | ) | (815,341 | ) | ||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | (9,213,127 | ) | (325,459 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/06/20 | (19,757,339 | ) | (697,939 | ) | ||||||||||
Total Unrealized Depreciation | $ | (4,033,931 | ) | |||||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
* |
** |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 261,655 | $ | 1,134,396 | $ | 3,823,565 | ||||||
Expenses | ||||||||||||
Management fee | 5,912,386 | 3,944,697 | 1,928,478 | |||||||||
Brokerage commissions | 145,545 | 141,650 | 38,814 | |||||||||
Futures account fees | 296,749 | 215,791 | 3 | |||||||||
Non-recurring fees and expenses | — | 6,303 | — | |||||||||
Total expenses | 6,354,680 | 4,308,441 | 1,967,295 | |||||||||
Net investment income (loss) | (6,093,025 | ) | (3,174,045 | ) | 1,856,270 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (37,880,546 | ) | 60,388,914 | 2,780,204 | ||||||||
Swap agreements | (134,594,684 | ) | 86,825,518 | (779,534 | ) | |||||||
Forward agreements | — | — | 32,366,374 | |||||||||
Short-term U.S. government and agency obligations | 27,351 | 1,039 | 7,099 | |||||||||
Net realized gain (loss) | (172,447,879 | ) | 147,215,471 | 34,374,143 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (34,683,667 | ) | 31,465,663 | 5,383,813 | ||||||||
Swap agreements | (16,160,967 | ) | 31,616,768 | 25,135,898 | ||||||||
Forward agreements | — | — | (26,301,717 | ) | ||||||||
Short-term U.S. government and agency obligations | (29,992 | ) | (282 | ) | 5,107 | |||||||
Change in net unrealized appreciation (depreciation) | (50,874,626 | ) | 63,082,149 | 4,223,101 | ||||||||
Net realized and unrealized gain (loss) | (223,322,505 | ) | 210,297,620 | 38,597,244 | ||||||||
Net income (loss) | $ | (229,415,530 | ) | $ | 207,123,575 | $ | 40,453,514 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 745,304,028 | $ | 239,254,842 | $ | 201,824,376 | ||||||
Addition of 4,500,000, 13,500,000 and 2,300,000 shares, respectively | 206,892,549 | 582,867,657 | 62,741,459 | |||||||||
Redemption of 4,400,000, 6,350,000 and 2,400,000 shares, respectively | (207,327,453 | ) | (283,942,046 | ) | (65,764,507 | ) | ||||||
Net addition (redemption) of 100,000, 7,150,000 and (100,000) shares, respectively | (434,904 | ) | 298,925,611 | (3,023,048 | ) | |||||||
Net investment income (loss) | (6,093,025 | ) | (3,174,045 | ) | 1,856,270 | |||||||
Net realized gain (loss) | (172,447,879 | ) | 147,215,471 | 34,374,143 | ||||||||
Change in net unrealized appreciation (depreciation) | (50,874,626 | ) | 63,082,149 | 4,223,101 | ||||||||
Net income (loss) | (229,415,530 | ) | 207,123,575 | 40,453,514 | ||||||||
Shareholders’ equity, end of period | $ | 515,453,594 | $ | 745,304,028 | $ | 239,254,842 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (229,415,530 | ) | $ | 207,123,575 | $ | 40,453,514 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,706,698,844 | ) | (874,359,829 | ) | (1,737,254,759 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,500,025,772 | 765,701,010 | 1,728,644,437 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (208,562 | ) | (790,312 | ) | (3,125,767 | ) | ||||||
Net realized (gain) loss on investments | (27,351 | ) | (1,039 | ) | (7,099 | ) | ||||||
Change in unrealized (appreciation) depreciation on investments | 16,190,959 | (31,616,486 | ) | 1,160,712 | ||||||||
Decrease (Increase) in receivable on open futures contracts | (1,384,919 | ) | — | — | ||||||||
Decrease (Increase) in interest receivable | 9,116 | 81,022 | (75,414 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (147,498 | ) | 363,383 | 26,984 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 9,833 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | (2,312,939 | ) | 1,914,003 | 351,360 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (2,360 | ) | 2,360 | — | ||||||||
Net cash provided by (used in) operating activities | (423,962,323 | ) | 68,417,687 | 30,173,968 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 206,892,549 | 582,867,657 | 62,741,459 | |||||||||
Payment on shares redeemed | (203,843,683 | ) | (283,942,046 | ) | (65,764,507 | ) | ||||||
Net cash provided by (used in) financing activities | 3,048,866 | 298,925,611 | (3,023,048 | ) | ||||||||
Net increase (decrease) in cash | (420,913,457 | ) | 367,343,298 | 27,150,920 | ||||||||
Cash, beginning of period | 446,401,960 | 79,058,662 | 51,907,742 | |||||||||
Cash, end of period | $ | 25,488,503 | $ | 446,401,960 | $ | 79,058,662 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $221,725,609 and $244,990,791, respectively) | $ | 221,660,593 | $ | 244,995,969 | ||||
Cash | 108,688,034 | 181,991,996 | ||||||
Segregated cash balances with brokers for futures contracts | 463,432,845 | 879,704,000 | ||||||
Segregated cash balances with brokers for swap agreements | — | 7,976,000 | ||||||
Receivable from capital shares sold | — | 49,086,388 | ||||||
Receivable on open futures contracts | 33,597,688 | 16,422,512 | ||||||
Interest receivable | 5,060 | 7,054 | ||||||
Total assets | 827,384,220 | 1,380,183,919 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 9,447,456 | 22,424,475 | ||||||
Brokerage commissions and futures account fees payable | 167,855 | 485,039 | ||||||
Payable to Sponsor | 611,836 | 1,040,582 | ||||||
Unrealized depreciation on swap agreements | 477,437 | 24,807 | ||||||
Non-recurring fees and expenses payable | — | 4,817 | ||||||
Total liabilities | 10,704,584 | 23,979,720 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 816,679,636 | 1,356,204,199 | ||||||
Total liabilities and shareholders’ equity | $ | 827,384,220 | $ | 1,380,183,919 | ||||
Shares outstanding (Note 1) | 65,828,420 | 12,713,091 | ||||||
Net asset value per share (Note 1) | $ | 12.41 | $ | 106.68 | ||||
Market value per share (Note 1)(Note 2) | $ | 12.43 | $ | 106.50 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 24 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/03/19 † | $ | 5,000,000 | $ | 4,999,692 | ||||
2.212% due 01/17/19 † | 15,000,000 | 14,985,625 | ||||||
1.898% due 01/31/19 † | 5,000,000 | 4,990,817 | ||||||
2.427% due 02/14/19 | 3,000,000 | 2,991,400 | ||||||
Total short-term U.S. government and agency obligations (cost $ 27,967,127 ) | $ | 27,967,534 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(27% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.046% due 01/20/22 | $ | 25,000,000 | $ | 24,999,527 | ||||
0.053% due 02/17/22 † | 28,000,000 | 27,998,250 | ||||||
0.051% due 03/17/22 | 25,000,000 | 24,997,213 | ||||||
0.223% due 11/03/22 | 144,000,000 | 143,665,603 | ||||||
Total short-term U.S. government and agency obligations (cost $221,725,609) | $ | 221,660,593 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2022 | 34,949 | $ | 687,604,101 | $ | (112,392,632 | ) | ||||||
VIX Futures—Cboe, expires February 2022 | 22,236 | 488,536,038 | (13,964,125 | ) | ||||||||
$ | (126,356,757 | ) | ||||||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires March 2019 | 641 | $ | 29,306,520 | $ | 3,272,155 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 0.98 | % | 01/31/22 | $ | 48,872,875 | $ | (477,437 | ) | ||||||||
Total Unrealized Depreciation | $ | (477,437 | ) | |||||||||||||
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex | 0.18 | % | 01/07/19 | $ | (67,986,223 | ) | $ | 8,336,367 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/07/19 | (43,744,157 | ) | 2,752,372 | |||||||||||
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex | 0.23 | 01/07/19 | (31,327,722 | ) | 4,237,960 | |||||||||||
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/07/19 | (13,980,566 | ) | 1,891,050 | |||||||||||
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex | 0.25 | 01/07/19 | (42,493,832 | ) | 3,428,977 | |||||||||||
Total Unrealized Appreciation | $ | 20,646,726 | ||||||||||||||
† |
All or partial amount pledged as collateral for swap |
^ |
^^ | Rates shown represent discount rate at the time of purchase. |
* |
** |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,570,676 | $ | 2,758,399 | $ | 1,661,295 | ||||||
Expenses | ||||||||||||
Management fee | 769,401 | 1,663,576 | 1,934,688 | |||||||||
Brokerage commissions | 91,476 | 56,193 | 82,258 | |||||||||
Total expenses | 860,877 | 1,719,769 | 2,016,946 | |||||||||
Net investment income (loss) | 709,799 | 1,038,630 | (355,651 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (13,850,702 | ) | (3,836,970 | ) | (599,457 | ) | ||||||
Swap agreements | (400,998 | ) | (38,203,116 | ) | (5,891,603 | ) | ||||||
Short-term U.S. government and agency obligations | 4,244 | 103 | (448 | ) | ||||||||
Net realized gain (loss) | (14,247,456 | ) | (42,039,983 | ) | (6,491,508 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (6,390,844 | ) | 7,234,803 | (2,535,833 | ) | |||||||
Swap agreements | (24,680,657 | ) | 51,253,868 | (18,400,261 | ) | |||||||
Short-term U.S. government and agency obligations | 2,755 | 22,739 | (21,889 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (31,068,746 | ) | 58,511,410 | (20,957,983 | ) | |||||||
Net realized and unrealized gain (loss) | (45,316,202 | ) | 16,471,427 | (27,449,491 | ) | |||||||
Net income (loss) | $ | (44,606,403 | ) | $ | 17,510,057 | $ | (27,805,142 | ) | ||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 114,377,311 | $ | 225,843,284 | $ | 200,958,303 | ||||||
Addition of 25,950,000, 13,300,000 and 14,500,000 shares, respectively | 397,696,425 | 247,024,351 | 510,910,744 | |||||||||
Redemption of 19,500,000, 18,750,000 and 11,550,000 shares, respectively | (342,015,652 | ) | (376,000,381 | ) | (458,220,621 | ) | ||||||
Net addition (redemption) of 6,450,000, ( 5,450,000 ) and2,950,000 shares, respectively | 55,680,773 | (128,976,030 | ) | 52,690,123 | ||||||||
Net investment income (loss) | 709,799 | 1,038,630 | (355,651 | ) | ||||||||
Net realized gain (loss) | (14,247,456 | ) | (42,039,983 | ) | (6,491,508 | ) | ||||||
Change in net unrealized appreciation (depreciation) | (31,068,746 | ) | 58,511,410 | (20,957,983 | ) | |||||||
Net income (loss) | (44,606,403 | ) | 17,510,057 | (27,805,142 | ) | |||||||
Shareholders’ equity, end of period | $ | 125,451,681 | $ | 114,377,311 | $ | 225,843,284 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (44,606,403 | ) | $ | 17,510,057 | $ | (27,805,142 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,412,477,845 | ) | (6,792,763,547 | ) | (2,520,968,339 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,379,275,846 | 7,020,979,617 | 2,474,635,036 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,022,751 | ) | (2,513,939 | ) | (1,641,472 | ) | ||||||
Net realized gain (loss) on investments | (4,244 | ) | (103 | ) | 448 | |||||||
Change in unrealized appreciation (depreciation) on investments | 24,677,902 | (51,276,607 | ) | 18,422,150 | ||||||||
Decrease (Increase) in receivable on futures contracts | (711,777 | ) | (432,627 | ) | — | |||||||
Decrease (Increase) in interest receivable | (17,737 | ) | (36,428 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | 10 | (102,279 | ) | 27,810 | ||||||||
Increase (Decrease) in payable on futures contracts | (48,600 | ) | (645,187 | ) | 680,185 | |||||||
Net cash provided by (used in) operating activities | (54,935,599 | ) | 190,718,957 | (56,649,324 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 418,888,295 | 221,565,466 | 510,910,744 | |||||||||
Payment on shares redeemed | (342,015,652 | ) | (376,000,381 | ) | (458,220,621 | ) | ||||||
Net cash provided by (used in) financing activities | 76,872,643 | (154,434,915 | ) | 52,690,123 | ||||||||
Net increase (decrease) in cash | 21,937,044 | 36,284,042 | (3,959,201 | ) | ||||||||
Cash, beginning of period | 39,972,133 | 3,688,091 | 7,647,292 | |||||||||
Cash, end of period | $ | 61,909,177 | $ | 39,972,133 | $ | 3,688,091 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 5,154,603 and $299,715 , respectively) | $ | 5,154,876 | $ | 299,714 | ||||
Cash | 4,438,331 | 11,046,280 | ||||||
Segregated cash balances with brokers for futures contracts | 2,932,560 | 7,709,942 | ||||||
Receivable on open futures contracts | — | 3,096,239 | ||||||
Interest receivable | 6,522 | 11,379 | ||||||
Total assets | 12,532,289 | 22,163,554 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 4,321,588 | ||||||
Payable on open futures contracts | 6,826 | — | ||||||
Payable to Sponsor | 9,860 | 16,525 | ||||||
Total liabilities | 16,686 | 4,338,113 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 12,515,603 | 17,825,441 | ||||||
Total liabilities and shareholders’ equity | $ | 12,532,289 | $ | 22,163,554 | ||||
Shares outstanding | 324,832 | 824,832 | ||||||
Net asset value per share | $ | 38.53 | $ | 21.61 | ||||
Market value per share (Note 2) | $ | 38.82 | $ | 21.22 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 41 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.629% due 01/09/20 | $ | 1,600,000 | $ | 1,599,571 | ||||
1.514% due 02/06/20 | 1,739,000 | 1,736,472 | ||||||
1.519% due 02/13/20 | 1,822,000 | 1,818,833 | ||||||
Total short-term U.S. government and agency obligations (cost $ 5,154,603 ) | $ | 5,154,876 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2020 | 1,160 | $ | 25,032,800 | $ | 672,329 |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.088% due 01/07/21 | $ | 145,000,000 | $ | 144,999,464 | ||||
0.110% due 01/14/21 † | 50,000,000 | 49,999,305 | ||||||
0.112% due 02/04/21 | 50,000,000 | 49,997,200 | ||||||
Total short-term U.S. government and agency obligations (cost $244,990,791) | $ | 244,995,969 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2021 | 40,738 | $ | 964,472,150 | $ | (31,701,350 | ) | ||||||
VIX Futures—Cboe, expires February 2021 | 40,764 | 1,042,539,300 | (16,823,316 | ) | ||||||||
$ | (48,524,666 | ) | ||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 1.00 | % | 01/27/21 | $ | 25,901,097 | $ | (24,807 | ) | ||||||||
Total Unrealized Depreciation | | $ | (24,807 | ) | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 2 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.635% due 01/03/19 | $ | 100,000 | $ | 99,994 | ||||
1.884% due 01/17/19 | 100,000 | 99,904 | ||||||
1.924% due 01/31/19 | 100,000 | 99,816 | ||||||
Total short-term U.S. government and agency obligations (cost $ 299,715 ) | $ | 299,714 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires March 2019 | 1,250 | $ | 35,637,500 | $ | 10,837,989 |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 167,939 | $ | 121,027 | $ | 38,651 | ||||||
Expenses | ||||||||||||
Management fee | 83,978 | 84,418 | 63,534 | |||||||||
Brokerage commissions | 54,544 | 41,063 | 29,529 | |||||||||
Brokerage fees | — | — | 39 | |||||||||
Total expenses | 138,522 | 125,481 | 93,102 | |||||||||
Net investment income (loss) | 29,417 | (4,454 | ) | (54,451 | ) | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 19,286,567 | (14,147,964 | ) | 4,762,532 | ||||||||
Short-term U.S. government and agency obligations | — | — | (783 | ) | ||||||||
Net realized gain (loss) | 19,286,567 | (14,147,964 | ) | 4,761,749 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (10,165,660 | ) | 11,935,038 | (615,018 | ) | |||||||
Short-term U.S. government and agency obligations | 274 | (85 | ) | 121 | ||||||||
Change in net unrealized appreciation (depreciation) | (10,165,386 | ) | 11,934,953 | (614,897 | ) | |||||||
Net realized and unrealized gain (loss) | 9,121,181 | (2,213,011 | ) | 4,146,852 | ||||||||
Net income (loss) | $ | 9,150,598 | $ | (2,217,465 | ) | $ | 4,092,401 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 17,825,441 | $ | 6,902,743 | $ | 4,038,794 | ||||||
Addition of 1,200,000, 2,500,000 and 650,000 shares, respectively | 30,089,484 | 53,822,972 | 23,216,158 | |||||||||
Redemption of 1,700,000, 1,850,000 and 650,000 shares, respectively | (44,549,920 | ) | (40,682,809 | ) | (24,444,610 | ) | ||||||
Net addition (redemption) of ( 500,000 ), 650,000 and – shares, respectively | (14,460,436 | ) | 13,140,163 | (1,228,452 | ) | |||||||
Net investment income (loss) | 29,417 | (4,454 | ) | (54,451 | ) | |||||||
Net realized gain (loss) | 19,286,567 | (14,147,964 | ) | 4,761,749 | ||||||||
Change in net unrealized appreciation (depreciation) | (10,165,386 | ) | 11,934,953 | (614,897 | ) | |||||||
Net income (loss) | 9,150,598 | (2,217,465 | ) | 4,092,401 | ||||||||
Shareholders’ equity, end of period | $ | 12,515,603 | $ | 17,825,441 | $ | 6,902,743 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 9,150,598 | $ | (2,217,465 | ) | $ | 4,092,401 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (202,154,543 | ) | (695,820,495 | ) | (98,949,414 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 197,350,000 | 699,600,000 | 97,881,796 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (50,345 | ) | (79,553 | ) | (33,644 | ) | ||||||
Net realized gain (loss) on investments | — | — | 783 | |||||||||
Change in unrealized appreciation (depreciation) on investments | (274 | ) | 85 | (121 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | 3,096,239 | (3,096,239 | ) | 105,872 | ||||||||
Decrease (Increase) in interest receivable | 4,857 | (11,379 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | (6,665 | ) | 13,415 | (261 | ) | |||||||
Increase (Decrease) in brokerage commissions and fees payable | — | — | (144 | ) | ||||||||
Increase (Decrease) in payable on futures contracts | 6,826 | (104,104 | ) | 104,104 | ||||||||
Net cash provided by (used in) operating activities | 7,396,693 | (1,715,735 | ) | 3,201,372 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 30,089,484 | 53,822,972 | 23,216,158 | |||||||||
Payment on shares redeemed | (48,871,508 | ) | (36,361,221 | ) | (24,444,610 | ) | ||||||
Net cash provided by (used in) financing activities | (18,782,024 | ) | 17,461,751 | (1,228,452 | ) | |||||||
Net increase (decrease) in cash | (11,385,331 | ) | 15,746,016 | 1,972,920 | ||||||||
Cash, beginning of period | 18,756,222 | 3,010,206 | 1,037,286 | |||||||||
Cash, end of period | $ | 7,370,891 | $ | 18,756,222 | $ | 3,010,206 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 78,586,073 and $121,798,837 , respectively) | $ | 78,590,100 | $ | 121,801,685 | ||||
Cash | 44,280,278 | 33,215,995 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | — | 3,138,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 115,751 | 104,074 | ||||||
Interest receivable | 60,723 | 15,999 | ||||||
Total assets | 123,046,852 | 158,275,753 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,427,020 | ||||||
Payable to Sponsor | 99,508 | 128,696 | ||||||
Unrealized depreciation on foreign currency forward contracts | 2,366,171 | 1,599,878 | ||||||
Total liabilities | 2,465,679 | 4,155,594 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 120,581,173 | 154,120,159 | ||||||
Total liabilities and shareholders’ equity | $ | 123,046,852 | $ | 158,275,753 | ||||
Shares outstanding | 4,500,000 | 6,350,000 | ||||||
Net asset value per share | $ | 26.80 | $ | 24.27 | ||||
Market value per share (Note 2) | $ | 26.80 | $ | 24.25 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 65 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 16,000,000 | $ | 15,995,707 | ||||
1.547% due 01/30/20 † | 22,000,000 | 21,974,458 | ||||||
1.514% due 02/06/20 | 19,864,000 | 19,835,128 | ||||||
1.519% due 02/13/20 † | 20,821,000 | 20,784,807 | ||||||
Total short-term U.S. government and agency obligations (cost $ 78,586,073 ) | $ | 78,590,100 | ||||||
Foreign Currency Forward Contracts ^ | ||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with UBS AG | 01/10/20 | 19,396,955 | $ | 21,767,031 | $ | 115,751 | ||||||||||
Total Unrealized Appreciation | $ | 115,751 | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/10/20 | (112,762,143 | ) | $ | (126,540,324 | ) | $ | (1,134,162 | ) | |||||||
Euro with UBS AG | 01/10/20 | (122,358,446 | ) | (137,309,180 | ) | (1,232,009 | ) | |||||||||
Total Unrealized Depreciation | $ | (2,366,171 | ) | |||||||||||||
^ |
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 79 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.689% due 01/03/19 † | $ | 6,000,000 | $ | 5,999,631 | ||||
2.305% due 01/17/19 † | 43,000,000 | 42,958,793 | ||||||
2.297% due 01/31/19 † | 51,000,000 | 50,906,328 | ||||||
2.363% due 02/14/19 † | 22,000,000 | 21,936,933 | ||||||
Total short-term U.S. government and agency obligations (cost $ 121,798,837 ) | $ | 121,801,685 | ||||||
Foreign Currency Forward Contracts ^ | ||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 01/11/19 | 11,497,100 | $ | 13,182,017 | $ | 54,842 | ||||||||||
Euro with UBS AG | 01/11/19 | 33,071,100 | 37,917,719 | 49,232 | ||||||||||||
Total Unrealized Appreciation | $ | 104,074 | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/11/19 | (152,127,525 | ) | $ | (174,422,043 | ) | $ | (664,844 | ) | |||||||
Euro with UBS AG | 01/11/19 | (161,054,700 | ) | (184,657,508 | ) | (935,034 | ) | |||||||||
Total Unrealized Depreciation | $ | (1,599,878 | ) | |||||||||||||
* |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 2,822,207 | $ | 3,045,321 | $ | 2,048,455 | ||||||
Expenses | ||||||||||||
Management fee | 1,293,377 | 1,720,827 | 2,445,170 | |||||||||
Total expenses | 1,293,377 | 1,720,827 | 2,445,170 | |||||||||
Net investment income (loss) | 1,528,830 | 1,324,494 | (396,715 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 13,745,299 | 18,953,455 | (39,691,680 | ) | ||||||||
Short-term U.S. government and agency obligations | 1,909 | (219 | ) | (3,785 | ) | |||||||
Net realized gain (loss) | 13,747,208 | 18,953,236 | (39,695,465 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (754,616 | ) | 4,848,465 | (22,507,200 | ) | |||||||
Short-term U.S. government and agency obligations | 1,179 | 20,890 | (20,263 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (753,437 | ) | 4,869,355 | (22,527,463 | ) | |||||||
Net realized and unrealized gain (loss) | 12,993,771 | 23,822,591 | (62,222,928 | ) | ||||||||
Net income (loss) | $ | 14,522,601 | $ | 25,147,085 | $ | (62,619,643 | ) | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 154,120,159 | $ | 202,548,197 | $ | 349,392,650 | ||||||
Addition of 1,050,000, 1,700,000 and 2,400,000 shares, respectively | 27,861,560 | 37,244,830 | 54,352,755 | |||||||||
Redemption of 2,900,000, 4,900,000 and 5,750,000 shares, respectively | (75,923,147 | ) | (110,819,953 | ) | (138,577,565 | ) | ||||||
Net addition (redemption) of ( 1,850,000 ), (3,200,000 ) and (3,350,000 ) shares, respectively | (48,061,587 | ) | (73,575,123 | ) | (84,224,810 | ) | ||||||
Net investment income (loss) | 1,528,830 | 1,324,494 | (396,715 | ) | ||||||||
Net realized gain (loss) | 13,747,208 | 18,953,236 | (39,695,465 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (753,437 | ) | 4,869,355 | (22,527,463 | ) | |||||||
Net income (loss) | 14,522,601 | 25,147,085 | (62,619,643 | ) | ||||||||
Shareholders’ equity, end of period | $ | 120,581,173 | $ | 154,120,159 | $ | 202,548,197 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 14,522,601 | $ | 25,147,085 | $ | (62,619,643 | ) | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,454,451,994 | ) | (5,771,042,956 | ) | (2,213,830,667 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,500,077,958 | 5,856,785,001 | 2,348,460,695 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,411,291 | ) | (2,752,893 | ) | (2,048,455 | ) | ||||||
Net realized gain (loss) on investments | (1,909 | ) | 219 | 3,785 | ||||||||
Change in unrealized appreciation (depreciation) on investments | 753,437 | (4,869,355 | ) | 22,527,463 | ||||||||
Decrease (Increase) in interest receivable | (44,724 | ) | (15,999 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | (29,188 | ) | (42,899 | ) | (119,503 | ) | ||||||
Net cash provided by (used in) operating activities | 58,414,890 | 103,208,203 | 92,373,675 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 27,861,560 | 37,244,830 | 54,352,755 | |||||||||
Payment on shares redeemed | (78,350,167 | ) | (108,392,933 | ) | (145,349,037 | ) | ||||||
Net cash provided by (used in) financing activities | (50,488,607 | ) | (71,148,103 | ) | (90,996,282 | ) | ||||||
Net increase (decrease) in cash | 7,926,283 | 32,060,100 | 1,377,393 | |||||||||
Cash, beginning of period | 36,353,995 | 4,293,895 | 2,916,502 | |||||||||
Cash, end of period | $ | 44,280,278 | $ | 36,353,995 | $ | 4,293,895 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ 12,354,582 and $3,989,775 , respectively) | $ | 12,355,192 | $ | 3,989,563 | ||||
Cash | 8,993,715 | 12,563,184 | ||||||
Segregated cash balances with brokers for futures contracts | 358,200 | 38,148 | ||||||
Segregated cash balances with brokers for forward agreements | — | 2,502,000 | ||||||
Segregated cash balances with brokers for swap agreements | 544,000 | — | ||||||
Receivable on open futures contracts | — | 1,700 | ||||||
Interest receivable | 11,691 | 10,500 | ||||||
Total assets | 22,262,798 | 19,105,095 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 25,211 | — | ||||||
Payable to Sponsor | 17,218 | 15,312 | ||||||
Unrealized depreciation on swap agreements | 1,172,809 | — | ||||||
Unrealized depreciation on forward agreements | — | 990,786 | ||||||
Total liabilities | 1,215,238 | 1,006,098 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 21,047,560 | 18,098,997 | ||||||
Total liabilities and shareholders’ equity | $ | 22,262,798 | $ | 19,105,095 | ||||
Shares outstanding | 396,977 | 246,978 | ||||||
Net asset value per share | $ | 53.02 | $ | 73.28 | ||||
Market value per share (Note 2) | $ | 53.21 | $ | 72.84 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 59 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 2,000,000 | $ | 1,999,463 | ||||
1.547% due 01/30/20 † | 3,000,000 | 2,996,517 | ||||||
1.514% due 02/06/20 | 3,599,000 | 3,593,769 | ||||||
1.519% due 02/13/20 † | 3,772,000 | 3,765,443 | ||||||
Total short-term U.S. government and agency obligations (cost $ 12,354,582 ) | $ | 12,355,192 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2020 | 76 | $ | 11,575,560 | $ | (391,570 | ) |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/20 | $ | (13,940,590 | ) | $ | (534,714 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 01/06/20 | (6,884,579 | ) | (263,870 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/20 | (9,756,431 | ) | (374,225 | ) | ||||||||||
Total Unrealized Depreciation | $ | (1,172,809 | ) | |||||||||||||
** |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 249,487 | $ | 1,707,491 | $ | 7,903,309 | ||||||
Expenses | ||||||||||||
Management fee | 11,128,589 | 8,835,385 | 4,819,171 | |||||||||
Brokerage commissions | 5,427,481 | 3,620,606 | 2,936,813 | |||||||||
Futures account fees | 3,850,402 | 2,860,084 | 24,765 | |||||||||
Non-recurring fees and expenses | — | 15,297 | 27,508 | |||||||||
Total expenses | 20,406,472 | 15,331,372 | 7,808,257 | |||||||||
Net investment income (loss) | (20,156,985 | ) | (13,623,881 | ) | 95,052 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (1,860,561,641 | ) | (634,239,605 | ) | (561,156,010 | ) | ||||||
Swap agreements | (122,952,954 | ) | 1,997,567 | (51,702,622 | ) | |||||||
Short-term U.S. government and agency obligations | 99,746 | — | 18,591 | |||||||||
Net realized gain (loss) | (1,983,414,849 | ) | (632,242,038 | ) | (612,840,041 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (77,832,091 | ) | (2,127,885 | ) | (78,900,746 | ) | ||||||
Swap agreements | (452,630 | ) | 184,977 | 1,121,165 | ||||||||
Short-term U.S. government and agency obligations | (70,194 | ) | (7,552 | ) | 12,730 | |||||||
Change in net unrealized appreciation (depreciation) | (78,354,915 | ) | (1,950,460 | ) | (77,766,851 | ) | ||||||
Net realized and unrealized gain (loss) | (2,061,769,764 | ) | (634,192,498 | ) | (690,606,892 | ) | ||||||
Net income (loss) | $ | (2,081,926,749 | ) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | |||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 1,356,204,199 | $ | 527,636,003 | $ | 214,304,871 | ||||||
Addition of 135,235,000, 15,405,000 and 8,375,000 shares, respectively (Note 1) | 4,325,482,924 | 3,359,993,617 | 2,454,259,697 | |||||||||
Redemption of 82,119,671, 6,855,000 and 4,475,000 shares, respectively (Note 1) | (2,783,080,738 | ) | (1,883,609,042 | ) | (1,450,416,725 | ) | ||||||
Net addition (redemption) of 53,115,329, 8,550,000 and 3,900,000 shares, respectively (Note 1) | 1,542,402,186 | 1,476,384,575 | 1,003,842,972 | |||||||||
Net investment income (loss) | (20,156,985 | ) | (13,623,881 | ) | 95,052 | |||||||
Net realized gain (loss) | (1,983,414,849 | ) | (632,242,038 | ) | (612,840,041 | ) | ||||||
Change in net unrealized appreciation (depreciation) | (78,354,915 | ) | (1,950,460 | ) | (77,766,851 | ) | ||||||
Net income (loss) | (2,081,926,749 | ) | (647,816,379 | ) | (690,511,840 | ) | ||||||
Shareholders’ equity, end of period | $ | 816,679,636 | $ | 1,356,204,199 | $ | 527,636,003 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (2,081,926,749 | ) | $ | (647,816,379 | ) | $ | (690,511,840 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,538,510,892 | ) | (965,269,478 | ) | (5,261,759,239 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,562,047,456 | 901,000,000 | 5,085,520,200 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (171,636 | ) | (984,781 | ) | (3,478,902 | ) | ||||||
Net realized (gain) loss on investments | (99,746 | ) | — | (18,591 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 522,824 | (177,425 | ) | (1,133,895 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | (17,175,176 | ) | 4,244,067 | (9,259,562 | ) | |||||||
Decrease (Increase) in interest receivable | 1,994 | 205,612 | (106,359 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (428,746 | ) | 628,853 | 208,827 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (317,184 | ) | 485,039 | — | ||||||||
Increase (Decrease) in payable on open futures contracts | (12,977,019 | ) | (11,595,345 | ) | 27,274,674 | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (4,817 | ) | 4,817 | — | ||||||||
Net cash provided by (used in) operating activities | (2,089,039,691 | ) | (719,275,020 | ) | (853,264,687 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 4,374,569,312 | 3,310,994,729 | 2,462,322,146 | |||||||||
Payment on shares redeemed | (2,783,080,738 | ) | (1,883,609,042 | ) | (1,450,416,725 | ) | ||||||
Net cash provided by (used in) financing activities | 1,591,488,574 | 1,427,385,687 | 1,011,905,421 | |||||||||
Net increase (decrease) in cash | (497,551,117 | ) | 708,110,667 | 158,640,734 | ||||||||
Cash, beginning of period | 1,069,671,996 | 361,561,329 | 202,920,595 | |||||||||
Cash, end of period | $ | 572,120,879 | $ | 1,069,671,996 | $ | 361,561,329 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Cash | $ | 2,232,820 | $ | 2,618,696 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 225,000 | 306,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 821 | 67,235 | ||||||
Interest receivable | 95 | 111 | ||||||
Total assets | 2,458,736 | 2,992,042 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 1,954 | 2,384 | ||||||
Unrealized depreciation on foreign currency forward contracts | 93,933 | 148 | ||||||
Non-recurring fees and expenses payable | — | 11 | ||||||
Total liabilities | 95,887 | 2,543 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 2,362,849 | 2,989,499 | ||||||
Total liabilities and shareholders’ equity | $ | 2,458,736 | $ | 2,992,042 | ||||
Shares outstanding | 49,970 | 49,970 | ||||||
Net asset value per share | $ | 47.29 | $ | 59.83 | ||||
Market value per share (Note 2) | $ | 47.29 | $ | 59.82 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 22 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.885% due 01/31/19 † | $ | 1,000,000 | $ | 998,163 | ||||
2.349% due 02/14/19 † | 3,000,000 | 2,991,400 | ||||||
Total short-term U.S. government and agency obligations (cost $ 3,989,775 ) | $ | 3,989,563 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/14/22 | 316,556,517 | $ | 2,750,693 | $ | (54,919 | ) | |||||||||
Yen with UBS AG | 01/14/22 | 239,872,756 | 2,084,356 | (39,014 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (93,933 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 01/14/22 | (11,776,900 | ) | $ | (102,335 | ) | $ | 821 | ||||||||
Total Unrealized Appreciation | $ | 821 | ||||||||||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2019 | 10 | $ | 1,281,300 | $ | (31,780 | ) |
Forward Agreements ^ | ||||||||||||||||||||
Rate Paid (Received) * | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold | (2.35 | )% | 01/07/19 | $ | (11,200 | ) | $ | (14,332,080 | ) | $ | (380,655 | ) | ||||||||
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold | (2.45 | ) | 01/07/19 | (7,598 | ) | (9,723,237 | ) | (258,134 | ) | |||||||||||
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold | (2.12 | ) | 01/07/19 | (1,000 | ) | (1,279,640 | ) | (63,076 | ) | |||||||||||
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold | (2.10 | ) | 01/07/19 | (7,450 | ) | (9,533,169 | ) | (288,921 | ) | |||||||||||
Total Unrealized Depreciation | $ | (990,786 | ) | |||||||||||||||||
^ |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 380,158 | $ | 423,926 | $ | 283,917 | ||||||
Expenses | ||||||||||||
Management fee | 188,089 | 252,524 | 344,734 | |||||||||
Brokerage commissions | 5,355 | 61 | 48 | |||||||||
Total expenses | 193,444 | 252,585 | 344,782 | |||||||||
Net investment income (loss) | 186,714 | 171,341 | (60,865 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (1,183,722 | ) | 21,620 | (2,987 | ) | |||||||
Swap agreements | (2,891,389 | ) | — | — | ||||||||
Forward agreements | (1,118,149 | ) | 1,301,959 | (6,990,570 | ) | |||||||
Short-term U.S. government and agency obligations | 692 | 152 | (1,208 | ) | ||||||||
Net realized gain (loss) | (5,192,568 | ) | 1,323,731 | (6,994,765 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (359,790 | ) | (26,320 | ) | (24,440 | ) | ||||||
Swap agreements | (1,172,809 | ) | — | — | ||||||||
Forward agreements | 990,786 | 497,473 | (4,521,825 | ) | ||||||||
Short-term U.S. government and agency obligations | 822 | 1,514 | (2,006 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (540,991 | ) | 472,667 | (4,548,271 | ) | |||||||
Net realized and unrealized gain (loss) | (5,733,559 | ) | 1,796,398 | (11,543,036 | ) | |||||||
Net income (loss) | $ | (5,546,845 | ) | $ | 1,967,739 | $ | (11,603,901 | ) | ||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 18,098,997 | $ | 31,497,410 | $ | 63,653,647 | ||||||
Addition of 600,000, 250,000 and 350,000 shares, respectively | 39,522,691 | 16,527,151 | 26,178,336 | |||||||||
Redemption of 450,001, 450,000 and 600,000 shares, respectively | (31,027,283 | ) | (31,893,303 | ) | (46,730,672 | ) | ||||||
Net addition (redemption) of 149,999, ( 200,000 ) and (250,000 ) shares, respectively | 8,495,408 | (15,366,152 | ) | (20,552,336 | ) | |||||||
Net investment income (loss) | 186,714 | 171,341 | (60,865 | ) | ||||||||
Net realized gain (loss) | (5,192,568 | ) | 1,323,731 | (6,994,765 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (540,991 | ) | 472,667 | (4,548,271 | ) | |||||||
Net income (loss) | (5,546,845 | ) | 1,967,739 | (11,603,901 | ) | |||||||
Shareholders’ equity, end of period | $ | 21,047,560 | $ | 18,098,997 | $ | 31,497,410 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (5,546,845 | ) | $ | 1,967,739 | $ | (11,603,901 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (348,134,747 | ) | (1,471,021,129 | ) | (259,713,980 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 339,976,425 | 1,499,398,357 | 288,557,288 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (205,793 | ) | (387,225 | ) | (283,867 | ) | ||||||
Net realized gain (loss) on investments | (692 | ) | (152 | ) | 1,208 | |||||||
Change in unrealized appreciation (depreciation) on investments | 181,201 | (498,987 | ) | 4,523,831 | ||||||||
Decrease (Increase) in receivable on futures contracts | 1,700 | (1,700 | ) | 1,280 | ||||||||
Decrease (Increase) in interest receivable | (1,191 | ) | (10,500 | ) | – | |||||||
Increase (Decrease) in payable to Sponsor | 1,906 | (9,944 | ) | (30,538 | ) | |||||||
Increase (Decrease) in payable on futures contracts | 25,211 | (2,420 | ) | 2,420 | ||||||||
Net cash provided by (used in) operating activities | (13,702,825 | ) | 29,434,039 | 21,453,741 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 39,522,691 | 16,527,151 | 26,178,336 | |||||||||
Payment on shares redeemed | (31,027,283 | ) | (31,893,303 | ) | (46,730,672 | ) | ||||||
Net cash provided by (used in) financing activities | 8,495,408 | (15,366,152 | ) | (20,552,336 | ) | |||||||
Net increase (decrease) in cash | (5,207,417 | ) | 14,067,887 | 901,405 | ||||||||
Cash, beginning of period | 15,103,332 | 1,035,445 | 134,040 | |||||||||
Cash, end of period | $ | 9,895,915 | $ | 15,103,332 | $ | 1,035,445 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $9,162,163 and $3,294,789, respectively) | $ | 9,162,867 | $ | 3,294,766 | ||||
Cash | 5,300,012 | 5,677,665 | ||||||
Segregated cash balances with brokers for futures contracts | 148,200 | 44,431 | ||||||
Segregated cash balances with brokers for forward agreements | — | 4,554,000 | ||||||
Segregated cash balances with brokers for swap agreements | 1,198,000 | — | ||||||
Receivable on open futures contracts | 4,800 | — | ||||||
Interest receivable | 4,326 | 7,847 | ||||||
Total assets | 15,818,205 | 13,578,709 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 18,516 | 5,720 | ||||||
Payable to Sponsor | 11,622 | 11,115 | ||||||
Unrealized depreciation on swap agreements | 1,953,904 | — | ||||||
Unrealized depreciation on forward agreements | — | 1,793,011 | ||||||
Total liabilities | 1,984,042 | 1,809,846 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 13,834,163 | 11,768,863 | ||||||
Total liabilities and shareholders’ equity | $ | 15,818,205 | $ | 13,578,709 | ||||
Shares outstanding | 516,976 | 316,976 | ||||||
Net asset value per share | $ | 26.76 | $ | 37.13 | ||||
Market value per share (Note 2) | $ | 26.80 | $ | 37.10 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(66% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 2,000,000 | $ | 1,999,463 | ||||
1.547% due 01/30/20 | 2,000,000 | 1,997,678 | ||||||
1.564% due 02/06/20 † | 2,526,000 | 2,522,329 | ||||||
1.565% due 02/13/20 † | 2,648,000 | 2,643,397 | ||||||
Total short-term U.S. government and agency obligations (cost $9,162,163) | $ | 9,162,867 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/15/21 | 332,532,517 | $ | 3,220,935 | $ | 34,265 | ||||||||||
Yen with UBS AG | 01/15/21 | 287,552,756 | 2,785,258 | 32,970 | ||||||||||||
Total Unrealized Appreciation | | $ | 67,235 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 01/15/21 | (2,700,000 | ) | $ | (26,152 | ) | $ | (148 | ) | |||||||
Total Unrealized Depreciation | $ | (148 | ) | |||||||||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2020 | 27 | $ | 2,419,335 | $ | (82,181 | ) |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/20 | $ | (9,595,700 | ) | $ | (788,313 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 01/06/20 | (4,926,137 | ) | (401,324 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/20 | (10,687,683 | ) | (764,267 | ) | ||||||||||
Total Unrealized Depreciation | $ | (1,953,904 | ) | |||||||||||||
^ |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,187 | $ | 9,427 | $ | 78,463 | ||||||
Expenses | ||||||||||||
Management fee | 24,974 | 27,655 | 39,949 | |||||||||
Non-recurring fees and expenses | — | 89 | — | |||||||||
Total expenses | 24,974 | 27,744 | 39,949 | |||||||||
Net investment income (loss) | (23,787 | ) | (18,317 | ) | 38,514 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (442,767 | ) | 95,324 | 58,152 | ||||||||
Short-term U.S. government and agency obligations | 103 | — | (162 | ) | ||||||||
Net realized gain (loss) | (442,664 | ) | 95,324 | 57,990 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | (160,199 | ) | 77,616 | (187,640 | ) | |||||||
Short-term U.S. government and agency obligations | — | (74 | ) | 74 | ||||||||
Change in net unrealized appreciation (depreciation) | (160,199 | ) | 77,542 | (187,566 | ) | |||||||
Net realized and unrealized gain (loss) | (602,863 | ) | 172,866 | (129,576 | ) | |||||||
Net income (loss) | $ | (626,650 | ) | $ | 154,549 | $ | (91,062 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 2,989,499 | $ | 5,580,964 | $ | 5,751,716 | ||||||
Addition of 0, – and 200,000 shares, respectively | — | — | 11,322,305 | |||||||||
Redemption of 0, 50,000 and 200,000 shares, respectively | — | (2,746,014 | ) | (11,401,995 | ) | |||||||
Net addition (redemption) of 0, (50,000) and – shares, respectively | — | (2,746,014 | ) | (79,690 | ) | |||||||
Net investment income (loss) | (23,787 | ) | (18,317 | ) | 38,514 | |||||||
Net realized gain (loss) | (442,664 | ) | 95,324 | 57,990 | ||||||||
Change in net unrealized appreciation (depreciation) | (160,199 | ) | 77,542 | (187,566 | ) | |||||||
Net income (loss) | (626,650 | ) | 154,549 | (91,062 | ) | |||||||
Shareholders’ equity, end of period | $ | 2,362,849 | $ | 2,989,499 | $ | 5,580,964 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (626,650 | ) | $ | 154,549 | $ | (91,062 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,499,740 | ) | (99,700 | ) | (42,675,552 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,500,103 | 1,911,000 | 40,888,736 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (260 | ) | (3,270 | ) | (21,376 | ) | ||||||
Net realized (gain) loss on investments | (103 | ) | — | 162 | ||||||||
Change in unrealized (appreciation) depreciation on investments | 160,199 | (77,542 | ) | 187,566 | ||||||||
Decrease (Increase) in interest receivable | 16 | 4,615 | (785 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (430 | ) | (2,091 | ) | 2,032 | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (11 | ) | 11 | — | ||||||||
Net cash provided by (used in) operating activities | (466,876 | ) | 1,887,572 | (1,710,279 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | — | — | 14,168,881 | |||||||||
Payment on shares redeemed | — | (2,746,014 | ) | (11,401,995 | ) | |||||||
Net cash provided by (used in) financing activities | — | (2,746,014 | ) | 2,766,886 | ||||||||
Net increase (decrease) in cash | (466,876 | ) | (858,442 | ) | 1,056,607 | |||||||
Cash, beginning of period | 2,924,696 | 3,783,138 | 2,726,531 | |||||||||
Cash, end of period | $ | 2,457,820 | $ | 2,924,696 | $ | 3,783,138 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,869 and $—, respectively) | $ | 1,999,875 | $ | — | ||||
Cash | 310,565 | 2,133,707 | ||||||
Segregated cash balances with brokers for futures contracts | 117,920 | 100,320 | ||||||
Interest receivable | 16 | 119 | ||||||
Total assets | 2,428,376 | 2,234,146 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 13,735 | 9,118 | ||||||
Payable to Sponsor | 2,018 | 2,370 | ||||||
Non-recurring fees and expenses payable | — | 19 | ||||||
Total liabilities | 15,753 | 11,507 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 2,412,623 | 2,222,639 | ||||||
Total liabilities and shareholders’ equity | $ | 2,428,376 | $ | 2,234,146 | ||||
Shares outstanding | 50,000 | 50,000 | ||||||
Net asset value per share | $ | 48.25 | $ | 44.45 | ||||
Market value per share (Note 2) | $ | 48.41 | $ | 43.89 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(83% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.050% due 02/17/22 | $ | 2,000,000 | $ | 1,999,875 | ||||
Total short-term U.S. government and agency obligations (cost $1,999,869) | $ | 1,999,875 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures—CME, expires March 2022 | 67 | $ | 4,876,260 | $ | (65,155 | ) |
^^ | Rates shown represent discount rate at the time of purchase. |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Australian Dollar Fx Currency Futures—CME, expires March 2021 | 57 | $ | 4,389,000 | $ | (138,950 | ) |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,414 | $ | 20,907 | $ | 159,039 | ||||||
Expenses | ||||||||||||
Management fee | 27,977 | 52,950 | 72,858 | |||||||||
Brokerage commissions | 2,443 | 4,429 | 5,856 | |||||||||
Non-recurring fees and expenses | — | 196 | — | |||||||||
Total expenses | 30,420 | 57,575 | 78,714 | |||||||||
Net investment income (loss) | (29,006 | ) | (36,668 | ) | 80,325 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 191,674 | (1,032,184 | ) | 833,171 | ||||||||
Short-term U.S. government and agency obligations | 1,222 | — | 28 | |||||||||
Net realized gain (loss) | 192,896 | (1,032,184 | ) | 833,199 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 73,795 | 85,050 | (735,825 | ) | ||||||||
Short-term U.S. government and agency obligations | 6 | (206 | ) | 217 | ||||||||
Change in net unrealized appreciation (depreciation) | 73,801 | 84,844 | (735,608 | ) | ||||||||
Net realized and unrealized gain (loss) | 266,697 | (947,340 | ) | 97,591 | ||||||||
Net income (loss) | $ | 237,691 | $ | (984,008 | ) | $ | 177,916 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 2,222,639 | $ | 5,608,612 | $ | 11,060,333 | ||||||
Addition of 50,000, — and 50,000 shares, respectively | 2,373,262 | — | 3,004,977 | |||||||||
Redemption of 50,000, 50,000 and 150,000 shares, respectively | (2,420,969 | ) | (2,401,965 | ) | (8,634,614 | ) | ||||||
Net addition (redemption) of 0, (50,000) and (100,000) shares, respectively | (47,707 | ) | (2,401,965 | ) | (5,629,637 | ) | ||||||
Net investment income (loss) | (29,006 | ) | (36,668 | ) | 80,325 | |||||||
Net realized gain (loss) | 192,896 | (1,032,184 | ) | 833,199 | ||||||||
Change in net unrealized appreciation (depreciation) | 73,801 | 84,844 | (735,608 | ) | ||||||||
Net income (loss) | 237,691 | (984,008 | ) | 177,916 | ||||||||
Shareholders’ equity, end of period | $ | 2,412,623 | $ | 2,222,639 | $ | 5,608,612 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 237,691 | $ | (984,008 | ) | $ | 177,916 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,998,458 | ) | (498,498 | ) | (132,612,765 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 4,436,000 | 129,028,715 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (189 | ) | (6,234 | ) | (47,642 | ) | ||||||
Net realized (gain) loss on investments | (1,222 | ) | — | (28 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (6 | ) | 206 | (217 | ) | |||||||
Decrease (Increase) in receivable on open futures contracts | — | — | 6,300 | |||||||||
Decrease (Increase) in interest receivable | 103 | 1,588 | 6,768 | |||||||||
Increase (Decrease) in payable to Sponsor | (352 | ) | (2,347 | ) | (3,643 | ) | ||||||
Increase (Decrease) in payable on open futures contracts | 4,617 | (28,607 | ) | 37,725 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (19 | ) | 19 | — | ||||||||
Net cash provided by (used in) operating activities | (1,757,835 | ) | 2,918,119 | (3,406,871 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 2,373,262 | — | 3,004,977 | |||||||||
Payment on shares redeemed | (2,420,969 | ) | (2,401,965 | ) | (8,634,614 | ) | ||||||
Net cash provided by (used in) financing activities | (47,707 | ) | (2,401,965 | ) | (5,629,637 | ) | ||||||
Net increase (decrease) in cash | (1,805,542 | ) | 516,154 | (9,036,508 | ) | |||||||
Cash, beginning of period | 2,234,027 | 1,717,873 | 10,754,381 | |||||||||
Cash, end of period | $ | 428,485 | $ | 2,234,027 | $ | 1,717,873 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $55,932,300 and $–, respectively) | $ | 55,916,023 | $ | — | ||||
Cash | 29,602,412 | 74,317,150 | ||||||
Segregated cash balances with brokers for futures contracts | 24,841,141 | 22,608,223 | ||||||
Segregated cash balances with brokers for swap agreements | — | 188,000 | ||||||
Receivable on open futures contracts | 4,064,439 | 60,902 | ||||||
Interest receivable | 1,359 | 3,299 | ||||||
Total assets | 114,425,374 | 97,177,574 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 175,557 | 257,410 | ||||||
Brokerage commissions and futures account fees payable | 7,944 | — | ||||||
Payable to Sponsor | 74,271 | 80,580 | ||||||
Non-recurring fees and expenses payable | — | 351 | ||||||
Total liabilities | 257,772 | 338,341 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 114,167,602 | 96,839,233 | ||||||
Total liabilities and shareholders’ equity | $ | 114,425,374 | $ | 97,177,574 | ||||
Shares outstanding (Note 1) | 8,883,799 | 2,084,971 | ||||||
Net asset value per share (Note 1) | $ | 12.85 | $ | 46.45 | ||||
Market value per share (Note 1)(Note 2) | $ | 12.75 | $ | 46.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 | $ | 20,000,000 | $ | 19,999,622 | ||||
0.223% due 11/03/22 | 36,000,000 | 35,916,401 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $55,932,300) | $ | 55,916,023 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2022 | 1,013 | $ | 75,853,440 | $ | (5,755,191 | ) | ||||||
WTI Crude Oil—NYMEX, expires June 2022 | 1,046 | 76,745,020 | (3,203,554 | ) | ||||||||
WTI Crude Oil—NYMEX, expires December 2022 | 1,085 | 75,765,550 | 549,283 | |||||||||
$ | (8,409,462 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil—NYMEX, expires March 2021 | 1,373 | $ | 66,768,990 | $ | (3,556,290 | ) | ||||||
WTI Crude Oil—NYMEX, expires June 2021 | 1,326 | 64,483,380 | (6,787,790 | ) | ||||||||
WTI Crude Oil—NYMEX, expires December 2021 | 1,309 | 62,413,120 | (4,292,733 | ) | ||||||||
$ | (14,636,813 | ) | ||||||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 51,207 | $ | 268,844 | $ | 1,570,676 | ||||||
Expenses | ||||||||||||
Management fee | 847,440 | 1,021,787 | 769,401 | |||||||||
Brokerage commissions | 139,273 | 548,380 | 91,476 | |||||||||
Futures account fees | 103,661 | 161,612 | — | |||||||||
Non-recurring fees and expenses | — | 5,243 | — | |||||||||
Total expenses | 1,090,374 | 1,737,022 | 860,877 | |||||||||
Net investment income (loss) | (1,039,167 | ) | (1,468,178 | ) | 709,799 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (105,340,654 | ) | (28,626,990 | ) | (13,850,702 | ) | ||||||
Swap agreements | — | 41,576,107 | (400,998 | ) | ||||||||
Short-term U.S. government and agency obligations | 45,952 | (20 | ) | 4,244 | ||||||||
Net realized gain (loss) | (105,294,702 | ) | 12,949,097 | (14,247,456 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 6,227,351 | (11,518,124 | ) | (6,390,844 | ) | |||||||
Swap agreements | — | 4,033,931 | (24,680,657 | ) | ||||||||
Short-term U.S. government and agency obligations | (16,277 | ) | (3,162 | ) | 2,755 | |||||||
Change in net unrealized appreciation (depreciation) | 6,211,074 | (7,487,355 | ) | (31,068,746 | ) | |||||||
Net realized and unrealized gain (loss) | (99,083,628 | ) | 5,461,742 | (45,316,202 | ) | |||||||
Net income (loss) | $ | (100,122,795 | ) | $ | 3,993,564 | $ | (44,606,403 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 96,839,233 | $ | 125,451,681 | $ | 114,377,311 | ||||||
Addition of 13,387,500, 9,375,000 and 6,487,500 shares, respectively (Note 1) | 244,778,776 | 893,616,857 | 397,696,425 | |||||||||
Redemption of 6,588,672, 9,862,500 and 4,875,000 shares, respectively (Note 1) | (127,327,612 | ) | (926,222,869 | ) | (342,015,652 | ) | ||||||
Net addition (redemption) of 6,798,828, (487,500) and 1,612,500 shares, respectively (Note 1) | 117,451,164 | (32,606,012 | ) | 55,680,773 | ||||||||
Net investment income (loss) | (1,039,167 | ) | (1,468,178 | ) | 709,799 | |||||||
Net realized gain (loss) | (105,294,702 | ) | 12,949,097 | (14,247,456 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 6,211,074 | (7,487,355 | ) | (31,068,746 | ) | |||||||
Net income (loss) | (100,122,795 | ) | 3,993,564 | (44,606,403 | ) | |||||||
Shareholders’ equity, end of period | $ | 114,167,602 | $ | 96,839,233 | $ | 125,451,681 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (100,122,795 | ) | $ | 3,993,564 | $ | (44,606,403 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (206,906,890 | ) | (32,897,274 | ) | (1,412,477,845 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 151,041,035 | 95,246,647 | 1,379,275,846 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (20,493 | ) | (153,272 | ) | (1,022,751 | ) | ||||||
Net realized (gain) loss on investments | (45,952 | ) | 20 | (4,244 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 16,277 | (4,030,769 | ) | 24,677,902 | ||||||||
Decrease (Increase) in receivable on open futures contracts | (4,003,537 | ) | 1,083,502 | (711,777 | ) | |||||||
Decrease (Increase) in interest receivable | 1,940 | 50,866 | (17,737 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | (6,309 | ) | (7,852 | ) | 10 | |||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 7,944 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | (81,853 | ) | 257,410 | (48,600 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (351 | ) | 351 | — | ||||||||
Net cash provided by (used in) operating activities | (160,120,984 | ) | 63,543,193 | (54,935,599 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 244,778,776 | 897,883,872 | 418,888,295 | |||||||||
Payment on shares redeemed | (127,327,612 | ) | (926,222,869 | ) | (342,015,652 | ) | ||||||
Net cash provided by (used in) financing activities | 117,451,164 | (28,338,997 | ) | 76,872,643 | ||||||||
Net increase (decrease) in cash | (42,669,820 | ) | 35,204,196 | 21,937,044 | ||||||||
Cash, beginning of period | 97,113,373 | 61,909,177 | 39,972,133 | |||||||||
Cash, end of period | $ | 54,443,553 | $ | 97,113,373 | $ | 61,909,177 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $123,855,553 and $9,999,612, respectively) | $ | 123,821,548 | $ | 9,999,861 | ||||
Cash | 53,547,476 | 12,600,775 | ||||||
Segregated cash balances with brokers for futures contracts | 59,453,451 | 6,546,607 | ||||||
Receivable on open futures contracts | 30,090,351 | — | ||||||
Interest receivable | 1,749 | 548 | ||||||
Total assets | 266,914,575 | 29,147,791 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 15,986,002 | 2,604,177 | ||||||
Payable on open futures contracts | 8,542,438 | 1,543,700 | ||||||
Brokerage commissions and futures account fees payable | 46,867 | — | ||||||
Payable to Sponsor | 194,138 | 22,029 | ||||||
Non-recurring fees and expenses payable | — | 140 | ||||||
Total liabilities | 24,769,445 | 4,170,046 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 242,145,130 | 24,977,745 | ||||||
Total liabilities and shareholders’ equity | $ | 266,914,575 | $ | 29,147,791 | ||||
Shares outstanding (Note 9) | 3,914,966 | 104,966 | ||||||
Net asset value per share (Note 9) | $ | 61.85 | $ | 237.96 | ||||
Market value per share (Note 2) (Note 9) | $ | 60.55 | $ | 236.90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(51% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.051% due 02/17/22 | $ | 24,000,000 | $ | 23,998,500 | ||||
0.051% due 03/17/22 | 25,000,000 | 24,997,213 | ||||||
0.223% due 11/03/22 | 75,000,000 | 74,825,835 | ||||||
Total short-term U.S. government and agency obligations (cost $123,855,553) | $ | 123,821,548 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2022 | 13,619 | $ | 484,427,830 | $ | 13,436,251 |
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.110% due 01/14/21 | $ | 10,000,000 | $ | 9,999,861 | ||||
Total short-term U.S. government and agency obligations (cost $9,999,612) | $ | 9,999,861 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas—NYMEX, expires March 2021 | 1,978 | $ | 49,964,280 | $ | 379,310 |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 44,855 | $ | 59,046 | $ | 167,939 | ||||||
Expenses | ||||||||||||
Management fee | 1,104,237 | 308,058 | 83,978 | |||||||||
Brokerage commissions | 495,800 | 250,422 | 54,544 | |||||||||
Futures account fees | 212,771 | 49,672 | — | |||||||||
Non-recurring fees and expenses | — | 485 | — | |||||||||
Total expenses | 1,812,808 | 608,637 | 138,522 | |||||||||
Net investment income (loss) | (1,767,953 | ) | (549,591 | ) | 29,417 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | 9,180,867 | 21,345 | 19,286,567 | |||||||||
Short-term U.S. government and agency obligations | 3,035 | (491 | ) | — | ||||||||
Net realized gain (loss) | 9,183,902 | 20,854 | 19,286,567 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 13,056,941 | (293,019 | ) | (10,165,660 | ) | |||||||
Short-term U.S. government and agency obligations | (34,254 | ) | (24 | ) | 274 | |||||||
Change in net unrealized appreciation (depreciation) | 13,022,687 | (293,043 | ) | (10,165,386 | ) | |||||||
Net realized and unrealized gain (loss) | 22,206,589 | (272,189 | ) | 9,121,181 | ||||||||
Net income (loss) | $ | 20,438,636 | $ | (821,780 | ) | $ | 9,150,598 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 24,977,745 | $ | 12,515,603 | $ | 17,825,441 | ||||||
Addition of 12,020,000, 1,250,000 and 240,000 shares, respectively (Note 9) | 679,315,441 | 270,470,683 | 30,089,484 | |||||||||
Redemption of 8,210,000, 1,210,000 and 340,000 shares, respectively (Note 9) | (482,586,692 | ) | (257,186,761 | ) | (44,549,920 | ) | ||||||
Net addition (redemption) of 3,810,000, 40,000 and (100,000) shares, respectively (Note 9) | 196,728,749 | 13,283,922 | (14,460,436 | ) | ||||||||
Net investment income (loss) | (1,767,953 | ) | (549,591 | ) | 29,417 | |||||||
Net realized gain (loss) | 9,183,902 | 20,854 | 19,286,567 | |||||||||
Change in net unrealized appreciation (depreciation) | 13,022,687 | (293,043 | ) | (10,165,386 | ) | |||||||
Net income (loss) | 20,438,636 | (821,780 | ) | 9,150,598 | ||||||||
Shareholders’ equity, end of period | $ | 242,145,130 | $ | 24,977,745 | $ | 12,515,603 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 20,438,636 | $ | (821,780 | ) | $ | 9,150,598 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (298,825,010 | ) | (54,978,482 | ) | (202,154,543 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 184,998,514 | 50,159,669 | 197,350,000 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (26,410 | ) | (26,687 | ) | (50,345 | ) | ||||||
Net realized (gain) loss on investments | (3,035 | ) | 491 | — | ||||||||
Change in unrealized (appreciation) depreciation on investments | 34,254 | 24 | (274 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | (30,090,351 | ) | — | 3,096,239 | ||||||||
Decrease (Increase) in interest receivable | (1,201 | ) | 5,974 | 4,857 | ||||||||
Increase (Decrease) in payable to Sponsor | 172,109 | 12,169 | (6,665 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 46,867 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 6,998,738 | 1,536,874 | 6,826 | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (140 | ) | 140 | — | ||||||||
Net cash provided by (used in) operating activities | (116,257,029 | ) | (4,111,608 | ) | 7,396,693 | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 679,315,441 | 270,470,683 | 30,089,484 | |||||||||
Payment on shares redeemed | (469,204,867 | ) | (254,582,584 | ) | (48,871,508 | ) | ||||||
Net cash provided by (used in) financing activities | 210,110,574 | 15,888,099 | (18,782,024 | ) | ||||||||
Net increase (decrease) in cash | 93,853,545 | 11,776,491 | (11,385,331 | ) | ||||||||
Cash, beginning of period | 19,147,382 | 7,370,891 | 18,756,222 | |||||||||
Cash, end of period | $ | 113,000,927 | $ | 19,147,382 | $ | 7,370,891 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $46,968,288 and $9,999,612, respectively) | $ | 46,961,125 | $ | 9,999,861 | ||||
Cash | 7,554,065 | 42,133,228 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | — | 1,999,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 135,118 | 5,705 | ||||||
Interest receivable | 603 | 2,148 | ||||||
Total assets | 54,650,911 | 54,139,942 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 44,707 | 43,974 | ||||||
Unrealized depreciation on foreign currency forward contracts | 343,159 | 1,142,409 | ||||||
Non-recurring fees and expenses payable | — | 220 | ||||||
Total liabilities | 387,866 | 1,186,603 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 54,263,045 | 52,953,339 | ||||||
Total liabilities and shareholders’ equity | $ | 54,650,911 | $ | 54,139,942 | ||||
Shares outstanding | 2,100,000 | 2,350,000 | ||||||
Net asset value per share | $ | 25.84 | $ | 22.53 | ||||
Market value per share (Note 2) | $ | 25.86 | $ | 22.52 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(87% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 5,000,000 | $ | 4,999,905 | ||||
0.050% due 02/17/22 † | 26,000,000 | 25,998,375 | ||||||
0.223% due 11/03/22 | 16,000,000 | 15,962,845 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $46,968,288) | $ | 46,961,125 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with UBS AG | 01/14/22 | 17,360,000 | $ | 19,756,094 | $ | 135,118 | ||||||||||
Total Unrealized Appreciation | | $ | 135,118 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/14/22 | (47,563,263 | ) | $ | (54,128,130 | ) | $ | (83,325 | ) | |||||||
Euro with UBS AG | 01/14/22 | (65,034,199 | ) | (74,010,473 | ) | (259,834 | ) | |||||||||
Total Unrealized Depreciation | | $ | (343,159 | ) | ||||||||||||
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(19% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.110% due 01/14/21 † | $ | 10,000,000 | $ | 9,999,861 | ||||
Total short-term U.S. government and agency obligations (cost $9,999,612) | $ | 9,999,861 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with UBS AG | 01/15/21 | 13,080,000 | $ | 15,983,316 | $ | 5,705 | ||||||||||
Total Unrealized Appreciation | | $ | 5,705 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 01/15/21 | (37,401,263 | ) | $ | (45,703,079 | ) | $ | (388,233 | ) | |||||||
Euro with UBS AG | 01/15/21 | (62,356,199 | ) | (76,197,167 | ) | (754,176 | ) | |||||||||
Total Unrealized Depreciation | $ | (1,142,409 | ) | |||||||||||||
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 24,790 | $ | 499,520 | $ | 2,822,207 | ||||||
Expenses | ||||||||||||
Management fee | 480,737 | 783,692 | 1,293,377 | |||||||||
Non-recurring fees and expenses | — | 2,842 | — | |||||||||
Total expenses | 480,737 | 786,534 | 1,293,377 | |||||||||
Net investment income (loss) | (455,947 | ) | (287,014 | ) | 1,528,830 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 6,280,362 | (10,979,325 | ) | 13,745,299 | ||||||||
Short-term U.S. government and agency obligations | 31,420 | (14 | ) | 1,909 | ||||||||
Net realized gain (loss) | 6,311,782 | (10,979,339 | ) | 13,747,208 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 928,663 | 1,113,716 | (754,616 | ) | ||||||||
Short-term U.S. government and agency obligations | (7,412 | ) | (3,778 | ) | 1,179 | |||||||
Change in net unrealized appreciation (depreciation) | 921,251 | 1,109,938 | (753,437 | ) | ||||||||
Net realized and unrealized gain (loss) | 7,233,033 | (9,869,401 | ) | 12,993,771 | ||||||||
Net income (loss) | $ | 6,777,086 | $ | (10,156,415 | ) | $ | 14,522,601 | |||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 52,953,339 | $ | 120,581,173 | $ | 154,120,159 | ||||||
Addition of 1,050,000, 1,500,000 and 1,050,000 shares, respectively | 26,353,725 | 37,753,355 | 27,861,560 | |||||||||
Redemption of 1,300,000, 3,650,000 and 2,900,000 shares, respectively | (31,821,105 | ) | (95,224,774 | ) | (75,923,147 | ) | ||||||
Net addition (redemption) of (250,000), (2,150,000) and (1,850,000) shares, respectively | (5,467,380 | ) | (57,471,419 | ) | (48,061,587 | ) | ||||||
Net investment income (loss) | (455,947 | ) | (287,014 | ) | 1,528,830 | |||||||
Net realized gain (loss) | 6,311,782 | (10,979,339 | ) | 13,747,208 | ||||||||
Change in net unrealized appreciation (depreciation) | 921,251 | 1,109,938 | (753,437 | ) | ||||||||
Net income (loss) | 6,777,086 | (10,156,415 | ) | 14,522,601 | ||||||||
Shareholders’ equity, end of period | $ | 54,263,045 | $ | 52,953,339 | $ | 120,581,173 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 6,777,086 | $ | (10,156,415 | ) | $ | 14,522,601 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (131,953,354 | ) | (198,751,004 | ) | (1,454,451,994 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,031,384 | 267,684,953 | 1,500,077,958 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (15,286 | ) | (347,502 | ) | (2,411,291 | ) | ||||||
Net realized (gain) loss on investments | (31,420 | ) | 14 | (1,909 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (921,251 | ) | (1,109,938 | ) | 753,437 | |||||||
Decrease (Increase) in interest receivable | 1,545 | 58,575 | (44,724 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 733 | (55,534 | ) | (29,188 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (220 | ) | 220 | – | ||||||||
Net cash provided by (used in) operating activities | (31,110,783 | ) | 57,323,369 | 58,414,890 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 26,353,725 | 37,753,355 | 27,861,560 | |||||||||
Payment on shares redeemed | (31,821,105 | ) | (95,224,774 | ) | (78,350,167 | ) | ||||||
Net cash provided by (used in) financing activities | (5,467,380 | ) | (57,471,419 | ) | (50,488,607 | ) | ||||||
Net increase (decrease) in cash | (36,578,163 | ) | (148,050 | ) | 7,926,283 | |||||||
Cash, beginning of period | 44,132,228 | 44,280,278 | 36,353,995 | |||||||||
Cash, end of period | $ | 7,554,065 | $ | 44,132,228 | $ | 44,280,278 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $25,984,097 and $–, respectively) | $ | 25,980,516 | $ | — | ||||
Cash | 1,287,229 | 16,935,121 | ||||||
Segregated cash balances with brokers for futures contracts | 703,125 | 1,503,750 | ||||||
Segregated cash balances with brokers for swap agreements | — | 2,194,500 | ||||||
Receivable on open futures contracts | — | 1,317 | ||||||
Interest receivable | 434 | 742 | ||||||
Total assets | 27,971,304 | 20,635,430 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 92,537 | 12,410 | ||||||
Brokerage commissions and futures account fees payable | 294 | — | ||||||
Payable to Sponsor | 25,512 | 16,835 | ||||||
Unrealized depreciation on swap agreements | 993,117 | 268,728 | ||||||
Non-recurring fees and expenses payable | — | 81 | ||||||
Total liabilities | 1,111,460 | 298,054 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,859,844 | 20,337,376 | ||||||
Total liabilities and shareholders’ equity | $ | 27,971,304 | $ | 20,635,430 | ||||
Shares outstanding | 846,977 | 646,977 | ||||||
Net asset value per share | $ | 31.71 | $ | 31.43 | ||||
Market value per share (Note 2) | $ | 31.66 | $ | 31.14 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(97% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 5,000,000 | $ | 4,999,906 | ||||
0.050% due 02/17/22 † | 13,000,000 | 12,999,188 | ||||||
0.223% due 11/03/22 | 8,000,000 | 7,981,422 | ||||||
Total short-term U.S. government and agency obligations (cost $25,984,097) | $ | 25,980,516 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2022 | 93 | $ | 17,005,980 | $ | 158,079 |
Rate Paid (Received)* | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/22 | $ | (15,091,478 | ) | $ | (407,735 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 01/06/22 | (9,872,954 | ) | (266,413 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/22 | (11,805,955 | ) | (318,969 | ) | ||||||||||
Total Unrealized Depreciation | | $ | (993,117 | ) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, |
** |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(28% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/03/19 | $ | 700,000 | $ | 699,957 | ||||
1.856 % due01/17/19 | 700,000 | 699,329 | ||||||
1.898 % due01/31/19 † | 900,000 | 898,347 | ||||||
2.427 % due02/14/19 | 1,000,000 | 997,133 | ||||||
Total short-term U.S. government and agency obligations (cost $ 3,294,789 ) | $ | 3,294,766 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires February 2021 | 123 | $ | 23,309,730 | $ | (196,930 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 01/06/21 | $ | (5,159,914 | ) | $ | (80,068 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 01/06/21 | (5,337,170 | ) | (82,645 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/21 | (6,832,076 | ) | (106,015 | ) | ||||||||||
Total Unrealized Depreciation | | $ | (268,728 | ) | ||||||||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2019 | 11 | $ | 854,700 | $ | (44,917 | ) |
Forward Agreements ^ | ||||||||||||||||||||
Rate Paid (Received) * | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver | (2.55 | )% | 01/07/19 | $ | (399,000 | ) | $ | (6,173,887 | ) | $ | (566,050 | ) | ||||||||
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver | (2.80 | ) | 01/07/19 | (559,500 | ) | (8,658,038 | ) | (605,756 | ) | |||||||||||
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver | (2.27 | ) | 01/07/19 | (100,000 | ) | (1,547,320 | ) | (119,953 | ) | |||||||||||
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver | (2.78 | ) | 01/07/19 | (407,000 | ) | (6,298,203 | ) | (501,252 | ) | |||||||||||
Total Unrealized Depreciation | $ | (1,793,011 | ) | |||||||||||||||||
^ |
* |
** |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 279,294 | $ | 309,090 | $ | 157,745 | ||||||
Expenses | ||||||||||||
Management fee | 139,668 | 196,546 | 194,297 | |||||||||
Brokerage commissions | 7,713 | 72 | 48 | |||||||||
Total expenses | 147,381 | 196,618 | 194,345 | |||||||||
Net investment income (loss) | 131,913 | 112,472 | (36,600 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (409,222 | ) | 19,939 | 21,156 | ||||||||
Swap agreements | (1,991,050 | ) | — | — | ||||||||
Forward agreements | (2,144,498 | ) | 5,005,037 | 1,132,237 | ||||||||
Short-term U.S. government and agency obligations | 226 | (2,031 | ) | (932 | ) | |||||||
Net realized gain (loss) | (4,544,544 | ) | 5,022,945 | 1,152,461 | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (37,264 | ) | (43,267 | ) | (28,960 | ) | ||||||
Swap agreements | (1,953,904 | ) | — | — | ||||||||
Forward agreements | 1,793,011 | (76,848 | ) | (3,100,409 | ) | |||||||
Short-term U.S. government and agency obligations | 727 | 2,924 | (3,500 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (197,430 | ) | (117,191 | ) | (3,132,869 | ) | ||||||
Net realized and unrealized gain (loss) | (4,741,974 | ) | 4,905,754 | (1,980,408 | ) | |||||||
Net income (loss) | $ | (4,610,061 | ) | $ | 5,018,226 | $ | (2,017,008 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 13,048 | $ | 67,722 | $ | 380,158 | ||||||
Expenses | ||||||||||||
Management fee | 271,758 | 177,762 | 188,089 | |||||||||
Brokerage commissions | 11,667 | 7,882 | 5,355 | |||||||||
Futures account fees | 10,223 | 5,130 | — | |||||||||
Non-recurring fees and expenses | — | 580 | — | |||||||||
Total expenses | 293,648 | 191,354 | 193,444 | |||||||||
Net investment income (loss) | (280,600 | ) | (123,632 | ) | 186,714 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (2,690,736 | ) | (4,905,387 | ) | (1,183,722 | ) | ||||||
Swap agreements | 235,790 | (6,214,091 | ) | (2,891,389 | ) | |||||||
Forward agreements | — | — | (1,118,149 | ) | ||||||||
Short-term U.S. government and agency obligations | 6,395 | — | 692 | |||||||||
Net realized gain (loss) | (2,448,551 | ) | (11,119,478 | ) | (5,192,568 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 355,009 | 194,640 | (359,790 | ) | ||||||||
Swap agreements | (724,389 | ) | 904,081 | (1,172,809 | ) | |||||||
Forward agreements | — | — | 990,786 | |||||||||
Short-term U.S. government and agency obligations | (3,581 | ) | (610 | ) | 822 | |||||||
Change in net unrealized appreciation (depreciation) | (372,961 | ) | 1,098,111 | (540,991 | ) | |||||||
Net realized and unrealized gain (loss) | (2,821,512 | ) | (10,021,367 | ) | (5,733,559 | ) | ||||||
Net income (loss) | $ | (3,102,112 | ) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | |||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 11,768,863 | $ | 14,806,259 | $ | 23,017,656 | ||||||
Addition of 1,000,000, 800,000 and 850,000 shares, respectively | 35,269,175 | 27,656,086 | 26,717,920 | |||||||||
Redemption of 800,000, 950,000 and 1,000,000 shares, respectively | (28,593,814 | ) | (35,711,708 | ) | (32,912,309 | ) | ||||||
Net addition (redemption) of 200,000, (150,000) and (150,000) shares, respectively | 6,675,361 | (8,055,622 | ) | (6,194,389 | ) | |||||||
Net investment income (loss) | 131,913 | 112,472 | (36,600 | ) | ||||||||
Net realized gain (loss) | (4,544,544 | ) | 5,022,945 | 1,152,461 | ||||||||
Change in net unrealized appreciation (depreciation) | (197,430 | ) | (117,191 | ) | (3,132,869 | ) | ||||||
Net income (loss) | (4,610,061 | ) | 5,018,226 | (2,017,008 | ) | |||||||
Shareholders’ equity, end of period | $ | 13,834,163 | $ | 11,768,863 | $ | 14,806,259 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 20,337,376 | $ | 21,047,560 | $ | 18,098,997 | ||||||
Addition of 2,050,000, 1,650,000 and 600,000 shares, respectively | 71,200,336 | 56,542,664 | 39,522,691 | |||||||||
Redemption of 1,850,000, 1,400,000 and 450,001 shares, respectively | (61,575,756 | ) | (47,107,849 | ) | (31,027,283 | ) | ||||||
Net addition (redemption) of 200,000, 250,000 and 149,999 shares, respectively | 9,624,580 | 9,434,815 | 8,495,408 | |||||||||
Net investment income (loss) | (280,600 | ) | (123,632 | ) | 186,714 | |||||||
Net realized gain (loss) | (2,448,551 | ) | (11,119,478 | ) | (5,192,568 | ) | ||||||
Change in net unrealized appreciation (depreciation) | (372,961 | ) | 1,098,111 | (540,991 | ) | |||||||
Net income (loss) | (3,102,112 | ) | (10,144,999 | ) | (5,546,845 | ) | ||||||
Shareholders’ equity, end of period | $ | 26,859,844 | $ | 20,337,376 | $ | 21,047,560 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (4,610,061 | ) | $ | 5,018,226 | $ | (2,017,008 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (259,643,345 | ) | (906,025,439 | ) | (205,796,774 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 253,938,061 | 921,367,007 | 209,150,487 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (161,864 | ) | (285,580 | ) | (157,687 | ) | ||||||
Net realized gain (loss) on investments | (226 | ) | 2,031 | 932 | ||||||||
Change in unrealized appreciation (depreciation) on investments | 160,166 | 73,924 | 3,103,909 | |||||||||
Decrease (Increase) in receivable on futures contracts | (4,800 | ) | — | 2,290 | ||||||||
Decrease (Increase) in interest receivable | 3,521 | (7,847 | ) | — | ||||||||
Increase (Decrease) in payable to Sponsor | 507 | (5,971 | ) | (2,464 | ) | |||||||
Increase (Decrease) in payable on futures contracts | 12,796 | 3,500 | 2,220 | |||||||||
Net cash provided by (used in) operating activities | (10,305,245 | ) | 20,139,851 | 4,285,905 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 35,269,175 | 27,656,086 | 26,717,920 | |||||||||
Payment on shares redeemed | (28,593,814 | ) | (38,883,485 | ) | (29,740,532 | ) | ||||||
Net cash provided by (used in) financing activities | 6,675,361 | (11,227,399 | ) | (3,022,612 | ) | |||||||
Net increase (decrease) in cash | (3,629,884 | ) | 8,912,452 | 1,263,293 | ||||||||
Cash, beginning of period | 10,276,096 | 1,363,644 | 100,351 | |||||||||
Cash, end of period | $ | 6,646,212 | $ | 10,276,096 | $ | 1,363,644 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (3,102,112 | ) | $ | (10,144,999 | ) | $ | (5,546,845 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (61,976,861 | ) | (19,981,049 | ) | (348,134,747 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 36,006,161 | 32,371,000 | 339,976,425 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,002 | ) | (35,369 | ) | (205,793 | ) | ||||||
Net realized (gain) loss on investments | (6,395 | ) | — | (692 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 727,970 | (903,471 | ) | 181,201 | ||||||||
Decrease (Increase) in receivable on open futures contracts | 1,317 | (1,317 | ) | 1,700 | ||||||||
Decrease (Increase) in interest receivable | 308 | 10,949 | (1,191 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 8,677 | (383 | ) | 1,906 | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 294 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | 80,127 | (12,801 | ) | 25,211 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (81 | ) | 81 | — | ||||||||
Net cash provided by (used in) operating activities | (28,267,597 | ) | 1,302,641 | (13,702,825 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 71,200,336 | 56,542,664 | 39,522,691 | |||||||||
Payment on shares redeemed | (61,575,756 | ) | (47,107,849 | ) | (31,027,283 | ) | ||||||
Net cash provided by (used in) financing activities | 9,624,580 | 9,434,815 | 8,495,408 | |||||||||
Net increase (decrease) in cash | (18,643,017 | ) | 10,737,456 | (5,207,417 | ) | |||||||
Cash, beginning of period | 20,633,371 | 9,895,915 | 15,103,332 | |||||||||
Cash, end of period | $ | 1,990,354 | $ | 20,633,371 | $ | 9,895,915 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $25,541,523 and $34,950,807, respectively) | $ | 25,542,823 | $ | 34,951,229 | ||||
Cash | 12,507,112 | 21,879,254 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | — | 1,691,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 95,899 | 678,152 | ||||||
Interest receivable | 19,330 | 14,973 | ||||||
Total assets | 38,165,164 | 59,214,608 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 32,844 | 49,037 | ||||||
Unrealized depreciation on foreign currency forward contracts | — | 3,801,896 | ||||||
Total liabilities | 32,844 | 3,850,933 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 38,132,320 | 55,363,675 | ||||||
Total liabilities and shareholders’ equity | $ | 38,165,164 | $ | 59,214,608 | ||||
Shares outstanding | 499,290 | 749,290 | ||||||
Net asset value per share | $ | 76.37 | $ | 73.89 | ||||
Market value per share (Note 2) | $ | 76.35 | $ | 73.86 | ||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $22,995,121 and $–, respectively) | $ | 22,994,261 | $ | — | ||||
Cash | 1,829,901 | 18,919,314 | ||||||
Segregated cash balances with brokers for futures contracts | 1,081,575 | 1,503,250 | ||||||
Segregated cash balances with brokers for swap agreements | 2,572,000 | 11,732,485 | ||||||
Receivable on open futures contracts | 15,446 | 39,445 | ||||||
Interest receivable | 378 | 814 | ||||||
Total assets | 28,493,561 | 32,195,308 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 5,840 | 86,282 | ||||||
Brokerage commissions and futures account fees payable | 747 | — | ||||||
Payable to Sponsor | 28,560 | 25,557 | ||||||
Unrealized depreciation on swap agreements | 1,921,414 | 3,197,561 | ||||||
Non-recurring fees and expenses payable | — | 133 | ||||||
Total liabilities | 1,956,561 | 3,309,533 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,537,000 | 28,885,775 | ||||||
Total liabilities and shareholders’ equity | $ | 28,493,561 | $ | 32,195,308 | ||||
Shares outstanding (Note 1) | 991,329 | 1,041,744 | ||||||
Net asset value per share (Note 1) | $ | 26.77 | $ | 27.73 | ||||
Market value per share (Note 1)(Note 2) | $ | 26.84 | $ | 27.40 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(67% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.607% due 01/09/20 | $ | 5,000,000 | $ | 4,998,658 | ||||
1.547% due 01/30/20 † | 7,000,000 | 6,991,873 | ||||||
1.514% due 02/06/20 | 6,627,000 | 6,617,368 | ||||||
1.519% due 02/13/20 | 6,947,000 | 6,934,924 | ||||||
Total short-term U.S. government and agency obligations (cost $25,541,523) | $ | 25,542,823 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(87% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 5,000,000 | $ | 4,999,905 | ||||
0.050% due 02/17/22 † | 16,000,000 | 15,999,000 | ||||||
0.223% due 11/03/22 | 2,000,000 | 1,995,356 | ||||||
Total short-term U.S. government and agency obligations (cost $22,995,121) | $ | 22,994,261 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2022 | 103 | $ | 12,026,280 | $ | 652,493 |
Foreign Currency Forward Contracts ^ | ||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/10/20 | 1,025,624,482 | $ | 9,441,012 | $ | 36,292 | ||||||||||
$ | 36,292 | |||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/10/20 | (4,448,656,033 | ) | $ | (40,950,479 | ) | $ | 32,828 | ||||||||
Yen with UBS AG | 01/10/20 | (4,893,578,348 | ) | (45,046,049 | ) | 26,779 | ||||||||||
$ | 59,607 | |||||||||||||||
Total Unrealized Appreciation | $ | 95,899 | ||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/22 | $ | (7,855,856 | ) | $ | (367,632 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 01/06/22 | (10,400,384 | ) | (486,710 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/22 | (8,223,463 | ) | (385,104 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/22 | (14,572,793 | ) | (681,968 | ) | ||||||||||
Total Unrealized Depreciation | $ | (1,921,414 | ) | |||||||||||||
† |
^ |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of December 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 63 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.689 % due01/03/19 † | $ | 2,000,000 | $ | 1,999,877 | ||||
2.307 % due01/17/19 † | 23,000,000 | 22,977,959 | ||||||
1.976 % due01/31/19 † | 2,000,000 | 1,996,327 | ||||||
2.349 % due02/14/19 † | 8,000,000 | 7,977,066 | ||||||
Total short-term U.S. government and agency obligations (cost $ 34,950,807 ) | $ | 34,951,229 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires March 2021 | 89 | $ | 11,753,339 | $ | (220,076 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 01/06/21 | $ | (19,685,715 | ) | $ | (1,208,988 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 01/06/21 | (15,107,629 | ) | (927,829 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 01/06/21 | (3,402,233 | ) | (579,421 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 01/06/21 | (7,837,258 | ) | (481,323 | ) | ||||||||||
Total Unrealized Depreciation | $ | (3,197,561 | ) | |||||||||||||
Foreign Currency Forward Contracts ^ | ||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 01/11/19 | 1,459,634,700 | $ | 13,322,009 | $ | 330,465 | ||||||||||
Yen with UBS AG | 01/11/19 | 2,446,453,800 | 22,328,658 | 347,687 | ||||||||||||
Total Unrealized Appreciation | $ | 678,152 | ||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/11/19 | (7,490,711,300 | ) | $ | (68,367,332 | ) | $ | (1,755,536 | ) | |||||||
Yen with UBS AG | 01/11/19 | (8,547,990,500 | ) | (78,017,066 | ) | (2,046,360 | ) | |||||||||
Total Unrealized Depreciation | $ | (3,801,896 | ) | |||||||||||||
^ |
* | Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 12,422 | $ | 52,402 | $ | 279,294 | ||||||
Expenses | ||||||||||||
Management fee | 330,111 | 237,140 | 139,668 | |||||||||
Brokerage commissions | 26,469 | 22,323 | 7,713 | |||||||||
Futures account fees | 25,766 | 14,141 | — | |||||||||
Non-recurring fees and expenses | — | 454 | — | |||||||||
Total expenses | 382,346 | 274,058 | 147,381 | |||||||||
Net investment income (loss) | (369,924 | ) | (221,656 | ) | 131,913 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (2,577,082 | ) | (4,571,982 | ) | (409,222 | ) | ||||||
Swap agreements | 2,554,615 | (12,277,833 | ) | (1,991,050 | ) | |||||||
Forward agreements | — | — | (2,144,498 | ) | ||||||||
Short-term U.S. government and agency obligations | 4,672 | — | 226 | |||||||||
Net realized gain (loss) | (17,795 | ) | (16,849,815 | ) | (4,544,544 | ) | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 872,569 | (137,895 | ) | (37,264 | ) | |||||||
Swap agreements | 1,276,147 | (1,243,657 | ) | (1,953,904 | ) | |||||||
Forward agreements | — | — | 1,793,011 | |||||||||
Short-term U.S. government and agency obligations | (860 | ) | (704 | ) | 727 | |||||||
Change in net unrealized appreciation (depreciation) | 2,147,856 | (1,382,256 | ) | (197,430 | ) | |||||||
Net realized and unrealized gain (loss) | 2,130,061 | (18,232,071 | ) | (4,741,974 | ) | |||||||
Net income (loss) | $ | 1,760,137 | $ | (18,453,727 | ) | $ | (4,610,061 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 28,885,775 | $ | 13,834,163 | $ | 11,768,863 | ||||||
Addition of 4,650,000, 3,425,000 and 250,000 shares, respectively (Note 1) | 117,038,546 | 135,806,096 | 35,269,175 | |||||||||
Redemption of 4,700,415, 2,512,500 and 200,000 shares, respectively (Note 1) | (121,147,458 | ) | (102,300,757 | ) | (28,593,814 | ) | ||||||
Net addition (redemption) of (50,415), 912,500 and 50,000 shares, respectively (Note 1) | (4,108,912 | ) | 33,505,339 | 6,675,361 | ||||||||
Net investment income (loss) | (369,924 | ) | (221,656 | ) | 131,913 | |||||||
Net realized gain (loss) | (17,795 | ) | (16,849,815 | ) | (4,544,544 | ) | ||||||
Change in net unrealized appreciation (depreciation) | 2,147,856 | (1,382,256 | ) | (197,430 | ) | |||||||
Net income (loss) | 1,760,137 | (18,453,727 | ) | (4,610,061 | ) | |||||||
Shareholders’ equity, end of period | $ | 26,537,000 | $ | 28,885,775 | $ | 13,834,163 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 1,760,137 | $ | (18,453,727 | ) | $ | (4,610,061 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (67,987,944 | ) | (19,382,699 | ) | (259,643,345 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 45,004,575 | 28,574,000 | 253,938,061 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,080 | ) | (29,138 | ) | (161,864 | ) | ||||||
Net realized (gain) loss on investments | (4,672 | ) | — | (226 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | (1,275,287 | ) | 1,244,361 | 160,166 | ||||||||
Decrease (Increase) in receivable on open futures contracts | 23,999 | (34,645 | ) | (4,800 | ) | |||||||
Decrease (Increase) in interest receivable | 436 | 3,512 | 3,521 | |||||||||
Increase (Decrease) in payable to Sponsor | 3,003 | 13,935 | 507 | |||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 747 | — | — | |||||||||
Increase (Decrease) in payable on open futures contracts | (80,442 | ) | 67,766 | 12,796 | ||||||||
Increase (Decrease) in non-recurring fees and expenses payable | (133 | ) | 133 | — | ||||||||
Net cash provided by (used in) operating activities | (22,562,661 | ) | (7,996,502 | ) | (10,305,245 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 117,038,546 | 135,806,096 | 35,269,175 | |||||||||
Payment on shares redeemed | (121,147,458 | ) | (102,300,757 | ) | (28,593,814 | ) | ||||||
Net cash provided by (used in) financing activities | (4,108,912 | ) | 33,505,339 | 6,675,361 | ||||||||
Net increase (decrease) in cash | (26,671,573 | ) | 25,508,837 | (3,629,884 | ) | |||||||
Cash, beginning of period | 32,155,049 | 6,646,212 | 10,276,096 | |||||||||
Cash, end of period | $ | 5,483,476 | $ | 32,155,049 | $ | 6,646,212 | ||||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $20,990,068 and $–, respectively) | $ | 20,987,825 | $ | — | ||||
Cash | 3,003,251 | 21,470,564 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | — | 2,804,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 1,237,168 | 7,008 | ||||||
Interest receivable | 339 | 914 | ||||||
Total assets | 25,228,583 | 24,282,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 20,211 | 19,348 | ||||||
Unrealized depreciation on foreign currency forward contracts | 367,588 | 571,974 | ||||||
Non-recurring fees and expenses payable | — | 94 | ||||||
Total liabilities | 387,799 | 591,416 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 24,840,784 | 23,691,070 | ||||||
Total liabilities and shareholders’ equity | $ | 25,228,583 | $ | 24,282,486 | ||||
Shares outstanding | 299,290 | 349,290 | ||||||
Net asset value per share | $ | 83.00 | $ | 67.83 | ||||
Market value per share (Note 2) | $ | 82.99 | $ | 67.81 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(84% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 † | $ | 10,000,000 | $ | 9,999,811 | ||||
0.050% due 02/17/22 † | 6,000,000 | 5,999,625 | ||||||
0.223% due 11/03/22 | 5,000,000 | 4,988,389 | ||||||
Total short-term U.S. government and agency obligations (cost $20,990,068) | $ | 20,987,825 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/14/22 | 1,993,400,000 | $ | 17,321,496 | $ | (367,588 | ) | |||||||||
Total Unrealized Depreciation | | $ | (367,588 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/14/22 | (1,825,330,165 | ) | $ | (15,861,066 | ) | $ | 312,169 | ||||||||
Yen with UBS AG | 01/14/22 | (5,863,453,575 | ) | (50,950,028 | ) | 924,999 | ||||||||||
Total Unrealized Appreciation | $ | 1,237,168 | ||||||||||||||
† | All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of December 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 01/15/21 | 315,800,000 | $ | 3,058,862 | $ | 7,008 | ||||||||||
Total Unrealized Appreciation | | $ | 7,008 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 01/15/21 | (2,009,085,165 | ) | $ | (19,460,150 | ) | $ | (207,021 | ) | |||||||
Yen with UBS AG | 01/15/21 | (3,196,558,875 | ) | (30,962,109 | ) | (364,953 | ) | |||||||||
Total Unrealized Depreciation | $ | (571,974 | ) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 1,007,112 | $ | 1,399,342 | $ | 1,446,842 | ||||||
Expenses | ||||||||||||
Management fee | 451,638 | 791,468 | 1,802,816 | |||||||||
Total expenses | 451,638 | 791,468 | 1,802,816 | |||||||||
Net investment income (loss) | 555,474 | 607,874 | (355,974 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | (1,979,140 | ) | 2,111,627 | (8,729,472 | ) | |||||||
Short-term U.S. government and agency obligations | (539 | ) | 3 | (4,001 | ) | |||||||
Net realized gain (loss) | (1,979,679 | ) | 2,111,630 | (8,733,473 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 3,219,643 | (4,651,007 | ) | (15,217,674 | ) | |||||||
Short-term U.S. government and agency obligations | 878 | 10,722 | (9,478 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 3,220,521 | (4,640,285 | ) | (15,227,152 | ) | |||||||
Net realized and unrealized gain (loss) | 1,240,842 | (2,528,655 | ) | (23,960,625 | ) | |||||||
Net income (loss) | $ | 1,796,316 | $ | (1,920,781 | ) | $ | (24,316,599 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 12,708 | $ | 139,822 | $ | 1,007,112 | ||||||
Expenses | ||||||||||||
Management fee | 260,096 | 268,213 | 451,638 | |||||||||
Non-recurring fees and expenses | — | 811 | — | |||||||||
Total expenses | 260,096 | 269,024 | 451,638 | |||||||||
Net investment income (loss) | (247,388 | ) | (129,202 | ) | 555,474 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Foreign currency forward contracts | 4,102,966 | (2,619,441 | ) | (1,979,140 | ) | |||||||
Short-term U.S. government and agency obligations | 23,962 | — | (539 | ) | ||||||||
Net realized gain (loss) | 4,126,928 | (2,619,441 | ) | (1,979,679 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Foreign currency forward contracts | 1,434,546 | (660,865 | ) | 3,219,643 | ||||||||
Short-term U.S. government and agency obligations | (2,243 | ) | (1,300 | ) | 878 | |||||||
Change in net unrealized appreciation (depreciation) | 1,432,303 | (662,165 | ) | 3,220,521 | ||||||||
Net realized and unrealized gain (loss) | 5,559,231 | (3,281,606 | ) | 1,240,842 | ||||||||
Net income (loss) | $ | 5,311,843 | $ | (3,410,808 | ) | $ | 1,796,316 | |||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 55,363,675 | $ | 131,077,453 | $ | 276,781,747 | ||||||
Addition of 450,000, 100,000 and 1,000,000 shares, respectively | 34,403,213 | 7,078,646 | 76,657,434 | |||||||||
Redemption of 700,000, 1,100,000 and 2,700,000 shares, respectively | (53,430,884 | ) | (80,871,643 | ) | (198,045,129 | ) | ||||||
Net addition (redemption) of (250,000), (1,000,000) and (1,700,000) shares, respectively | (19,027,671 | ) | (73,792,997 | ) | (121,387,695 | ) | ||||||
Net investment income (loss) | 555,474 | 607,874 | (355,974 | ) | ||||||||
Net realized gain (loss) | (1,979,679 | ) | 2,111,630 | (8,733,473 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 3,220,521 | (4,640,285 | ) | (15,227,152 | ) | |||||||
Net income (loss) | 1,796,316 | (1,920,781 | ) | (24,316,599 | ) | |||||||
Shareholders’ equity, end of period | $ | 38,132,320 | $ | 55,363,675 | $ | 131,077,453 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 23,691,070 | $ | 38,132,320 | $ | 55,363,675 | ||||||
Addition of 200,000, 150,000 and 450,000 shares, respectively | 15,241,370 | 11,238,107 | 34,403,213 | |||||||||
Redemption of 250,000, 300,000 and 700,000 shares, respectively | (19,403,499 | ) | (22,268,549 | ) | (53,430,884 | ) | ||||||
Net addition (redemption) of (50,000), (150,000) and (250,000) shares, respectively | (4,162,129 | ) | (11,030,442 | ) | (19,027,671 | ) | ||||||
Net investment income (loss) | (247,388 | ) | (129,202 | ) | 555,474 | |||||||
Net realized gain (loss) | 4,126,928 | (2,619,441 | ) | (1,979,679 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 1,432,303 | (662,165 | ) | 3,220,521 | ||||||||
Net income (loss) | 5,311,843 | (3,410,808 | ) | 1,796,316 | ||||||||
Shareholders’ equity, end of period | $ | 24,840,784 | $ | 23,691,070 | $ | 38,132,320 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 1,796,316 | $ | (1,920,781 | ) | $ | (24,316,599 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (669,716,446 | ) | (3,738,985,179 | ) | (1,735,928,862 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 679,904,665 | 3,837,199,781 | 1,862,630,186 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (779,474 | ) | (1,320,754 | ) | (1,446,842 | ) | ||||||
Net realized gain (loss) on investments | 539 | (3 | ) | 4,001 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (3,220,521 | ) | 4,640,285 | 15,227,152 | ||||||||
Decrease (Increase) in interest receivable | (4,357 | ) | (14,973 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | (16,193 | ) | (57,826 | ) | (125,628 | ) | ||||||
Net cash provided by (used in) operating activities | 7,964,529 | 99,540,550 | 116,043,408 | |||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 34,403,213 | 7,078,646 | 76,657,434 | |||||||||
Payment on shares redeemed | (53,430,884 | ) | (84,631,626 | ) | (194,285,146 | ) | ||||||
Net cash provided by (used in) financing activities | (19,027,671 | ) | (77,552,980 | ) | (117,627,712 | ) | ||||||
Net increase (decrease) in cash | (11,063,142 | ) | 21,987,570 | (1,584,304 | ) | |||||||
Cash, beginning of period | 23,570,254 | 1,582,684 | 3,166,988 | |||||||||
Cash, end of period | $ | 12,507,112 | $ | 23,570,254 | $ | 1,582,684 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | 5,311,843 | $ | (3,410,808 | ) | $ | 1,796,316 | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (54,483,615 | ) | (46,753,062 | ) | (669,716,446 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 33,523,962 | 72,374,000 | 679,904,665 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (6,453 | ) | (79,415 | ) | (779,474 | ) | ||||||
Net realized (gain) loss on investments | (23,962 | ) | — | 539 | ||||||||
Change in unrealized (appreciation) depreciation on investments | (1,432,303 | ) | 662,165 | (3,220,521 | ) | |||||||
Decrease (Increase) in interest receivable | 575 | 18,416 | (4,357 | ) | ||||||||
Increase (Decrease) in payable to Sponsor | 863 | (13,496 | ) | (16,193 | ) | |||||||
Increase (Decrease) in non-recurring fees and expenses payable | (94 | ) | 94 | — | ||||||||
Net cash provided by (used in) operating activities | (17,109,184 | ) | 22,797,894 | 7,964,529 | ||||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 15,241,370 | 11,238,107 | 34,403,213 | |||||||||
Payment on shares redeemed | (19,403,499 | ) | (22,268,549 | ) | (53,430,884 | ) | ||||||
Net cash provided by (used in) financing activities | (4,162,129 | ) | (11,030,442 | ) | (19,027,671 | ) | ||||||
Net increase (decrease) in cash | (21,271,313 | ) | 11,767,452 | (11,063,142 | ) | |||||||
Cash, beginning of period | 24,274,564 | 12,507,112 | 23,570,254 | |||||||||
Cash, end of period | $ | 3,003,251 | $ | 24,274,564 | $ | 12,507,112 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $13,979,509 and $–, respectively) | $ | 13,980,559 | $ | — | ||||
Cash | 27,654,022 | 48,860,400 | ||||||
Segregated cash balances with brokers for futures contracts | 5,476,631 | 8,682,024 | ||||||
Interest receivable | 34,527 | 29,104 | ||||||
Total assets | 47,145,739 | 57,571,528 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 674,832 | ||||||
Payable on open futures contracts | 1,129,877 | 565,495 | ||||||
Payable to Sponsor | 29,278 | 32,080 | ||||||
Total liabilities | 1,159,155 | 1,272,407 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 45,986,584 | 56,299,121 | ||||||
Total liabilities and shareholders’ equity | $ | 47,145,739 | $ | 57,571,528 | ||||
Shares outstanding | 2,162,403 | 2,112,403 | ||||||
Net asset value per share | $ | 21.27 | $ | 26.65 | ||||
Market value per share (Note 2) | $ | 21.29 | $ | 26.74 | ||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $85,937,303 and $44,999,073, respectively) | $ | 85,922,969 | $ | 44,999,732 | ||||
Cash | 8,130,069 | 14,723,084 | ||||||
Segregated cash balances with brokers for futures contracts | 18,941,750 | 13,079,750 | ||||||
Receivable on open futures contracts | 63,397 | 247,077 | ||||||
Interest receivable | 1,097 | 643 | ||||||
Total assets | 113,059,282 | 73,050,286 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 915,787 | ||||||
Payable on open futures contracts | 94,495 | — | ||||||
Brokerage commissions and futures account fees payable | 7,124 | 10,395 | ||||||
Payable to Sponsor | 81,983 | 49,009 | ||||||
Total liabilities | 183,602 | 975,191 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 112,875,680 | 72,075,095 | ||||||
Total liabilities and shareholders’ equity | $ | 113,059,282 | $ | 73,050,286 | ||||
Shares outstanding | 3,687,403 | 1,962,403 | ||||||
Net asset value per share | $ | 30.61 | $ | 36.73 | ||||
Market value per share (Note 2) | $ | 30.57 | $ | 36.70 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 30 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547 % due01/30/20 | $ | 7,000,000 | $ | 6,991,873 | ||||
1.462 % due02/06/20 † | 3,000,000 | 2,995,639 | ||||||
1.618 % due02/13/20 | 4,000,000 | 3,993,047 | ||||||
Total short-term U.S. government and agency obligations (cost $ 13,979,509 ) | $ | 13,980,559 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(76% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.037% due 01/20/22 | $ | 15,000,000 | $ | 14,999,717 | ||||
0.051% due 02/17/22 | 39,000,000 | 38,997,562 | ||||||
0.223% due 11/03/22 | 32,000,000 | 31,925,690 | ||||||
Total short-term U.S. government and agency obligations (cost $85,937,303) | $ | 85,922,969 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires April 2022 | 907 | $ | 22,395,009 | $ | (233,089 | ) | ||||||
VIX Futures—Cboe, expires May 2022 | 1,484 | 37,466,251 | 642,035 | |||||||||
VIX Futures—Cboe, expires June 2022 | 1,484 | 37,944,099 | (1,015,473 | ) | ||||||||
VIX Futures—Cboe, expires July 2022 | 577 | 15,088,550 | (17,861 | ) | ||||||||
$ | (624,388 | ) | ||||||||||
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe , expires April 2020 | 511 | $ | 8,904,175 | $ | (863,150 | ) | ||||||
VIX Futures - Cboe , expires May 2020 | 865 | 15,202,375 | (874,085 | ) | ||||||||
VIX Futures - Cboe , expires June 2020 | 865 | 15,461,875 | (549,720 | ) | ||||||||
VIX Futures - Cboe , expires July 2020 | 354 | 6,416,250 | 6,130 | |||||||||
$ | (2,280,825 | ) | ||||||||||
^^ |
Rates shown represent discount rate at the time of purchase. |
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - C boe , expires April 2019 | 503 | $ | 10,550,425 | $ | 1,677,781 | |||||||
VIX Futures - Cboe , expires May 2019 | 906 | 18,799,500 | 1,368,915 | |||||||||
VIX Futures - Cboe , expires June 2019 | 906 | 18,618,300 | 841,460 | |||||||||
VIX Futures - Cboe , expires July 2019 | 403 | 8,332,025 | (130,050 | ) | ||||||||
$ | 3,758,106 | |||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(62% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.094% due 01/07/21 | $ | 35,000,000 | $ | 34,999,871 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations (cost $44,999,073) | $ | 44,999,732 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires April 2021 | 463 | $ | 12,014,850 | $ | (636,961 | ) | ||||||
VIX Futures—Cboe, expires May 2021 | 926 | 24,006,550 | (546,335 | ) | ||||||||
VIX Futures—Cboe, expires June 2021 | 926 | 24,006,550 | 147,915 | |||||||||
VIX Futures—Cboe, expires July 2021 | 463 | 12,038,000 | (98,235 | ) | ||||||||
$ | (1,133,616 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 903,643 | $ | 368,351 | $ | 256,920 | ||||||
Expenses | ||||||||||||
Management fee | 380,474 | 221,717 | 317,739 | |||||||||
Brokerage commissions | 29,956 | 30,306 | 20,988 | |||||||||
Total expenses | 410,430 | 252,023 | 338,727 | |||||||||
Net investment income (loss) | 493,213 | 116,328 | (81,807 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (6,228,652 | ) | 4,332,654 | (25,319,770 | ) | |||||||
Short-term U.S. government and agency obligations | 8 | — | (377 | ) | ||||||||
Net realized gain (loss) | (6,228,644 | ) | 4,332,654 | (25,320,147 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | (6,038,931 | ) | 5,973,386 | (927,035 | ) | |||||||
Short-term U.S. government and agency obligations | 1,050 | (187 | ) | 441 | ||||||||
Change in net unrealized appreciation (depreciation) | (6,037,881 | ) | 5,973,199 | (926,594 | ) | |||||||
Net realized and unrealized gain (loss) | (12,266,525 | ) | 10,305,853 | (26,246,741 | ) | |||||||
Net income (loss) | $ | (11,773,312 | ) | $ | 10,422,181 | $ | (26,328,548 | ) | ||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 41,362 | $ | 214,449 | $ | 903,643 | ||||||
Expenses | ||||||||||||
Management fee | 858,979 | 579,606 | 380,474 | |||||||||
Brokerage commissions | 66,076 | 65,093 | 29,956 | |||||||||
Futures account fees | 122,120 | 75,922 | – | |||||||||
Total expenses | 1,047,175 | 720,621 | 410,430 | |||||||||
Net investment income (loss) | (1,005,813 | ) | (506,172 | ) | 493,213 | |||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||
Net realized gain (loss) on | ||||||||||||
Futures contracts | (15,267,976 | ) | 15,454,616 | (6,228,652 | ) | |||||||
Short-term U.S. government and agency obligations | 22,182 | – | 8 | |||||||||
Net realized gain (loss) | (15,245,794 | ) | 15,454,616 | (6,228,644 | ) | |||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||
Futures contracts | 509,228 | 1,147,209 | (6,038,931 | ) | ||||||||
Short-term U.S. government and agency obligations | (14,993 | ) | (391 | ) | 1,050 | |||||||
Change in net unrealized appreciation (depreciation) | 494,235 | 1,146,818 | (6,037,881 | ) | ||||||||
Net realized and unrealized gain (loss) | (14,751,559 | ) | 16,601,434 | (12,266,525 | ) | |||||||
Net income (loss) | $ | (15,757,372 | ) | $ | 16,095,262 | $ | (11,773,312 | ) | ||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Shareholders’ equity, beginning of period | $ | 56,299,121 | $ | 26,347,948 | $ | 45,818,914 | ||||||
Addition of 1,400,000, 2,325,000 and 950,000 shares, respectively | 31,405,087 | 56,218,143 | 26,311,779 | |||||||||
Redemption of 1,350,000, 1,450,000 and 800,000 shares, respectively | (29,944,312 | ) | (36,689,151 | ) | (19,454,197 | ) | ||||||
Net addition (redemption) of 50,000, 875,000 and 150,000 shares, respectively | 1,460,775 | 19,528,992 | 6,857,582 | |||||||||
Net investment income (loss) | 493,213 | 116,328 | (81,807 | ) | ||||||||
Net realized gain (loss) | (6,228,644 | ) | 4,332,654 | (25,320,147 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (6,037,881 | ) | 5,973,199 | (926,594 | ) | |||||||
Net income (loss) | (11,773,312 | ) | 10,422,181 | (26,328,548 | ) | |||||||
Shareholders’ equity, end of period | $ | 45,986,584 | $ | 56,299,121 | $ | 26,347,948 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Shareholders’ equity, beginning of period | $ | 72,075,095 | $ | 45,986,584 | $ | 56,299,121 | ||||||
Addition of 3,100,000, 2,375,000 and 1,400,000 shares, respectively | 101,849,396 | 90,654,600 | 31,405,087 | |||||||||
Redemption of 1,375,000, 2,575,000 and 1,350,000 shares, respectively | (45,291,439 | ) | (80,661,351 | ) | (29,944,312 | ) | ||||||
Net addition (redemption) of 1,725,000, (200,000) and 50,000 shares, respectively | 56,557,957 | 9,993,249 | 1,460,775 | |||||||||
Net investment income (loss) | (1,005,813 | ) | (506,172 | ) | 493,213 | |||||||
Net realized gain (loss) | (15,245,794 | ) | 15,454,616 | (6,228,644 | ) | |||||||
Change in net unrealized appreciation (depreciation) | 494,235 | 1,146,818 | (6,037,881 | ) | ||||||||
Net income (loss) | (15,757,372 | ) | 16,095,262 | (11,773,312 | ) | |||||||
Shareholders’ equity, end of period | $ | 112,875,680 | $ | 72,075,095 | $ | 45,986,584 | ||||||
Year Ended December 31, | ||||||||||||
2019 | 2018 | 2017 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (11,773,312 | ) | $ | 10,422,181 | $ | (26,328,548 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (1,178,141,659 | ) | (2,159,804,178 | ) | (943,753,668 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,164,579,598 | 2,181,000,000 | 968,489,510 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (417,440 | ) | (202,494 | ) | (243,058 | ) | ||||||
Net realized gain (loss) on investments | (8 | ) | — | 377 | ||||||||
Change in unrealized appreciation (depreciation) on investments | (1,050 | ) | 187 | (441 | ) | |||||||
Decrease (Increase) in receivable on futures contracts | — | 170,015 | 72,526 | |||||||||
Decrease (Increase) in interest receivable | (5,423 | ) | (29,104 | ) | — | |||||||
Increase (Decrease) in payable to Sponsor | (2,802 | ) | 8,449 | (8,941 | ) | |||||||
Increase (Decrease) in payable on futures contracts | 564,382 | 565,495 | — | |||||||||
Net cash provided by (used in) operating activities | (25,197,714 | ) | 32,130,551 | (1,772,243 | ) | |||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 31,405,087 | 56,218,143 | 26,311,779 | |||||||||
Payment on shares redeemed | (30,619,144 | ) | (37,072,628 | ) | (20,480,908 | ) | ||||||
Net cash provided by (used in) financing activities | 785,943 | 19,145,515 | 5,830,871 | |||||||||
Net increase (decrease) in cash | (24,411,771 | ) | 51,276,066 | 4,058,628 | ||||||||
Cash, beginning of period | 57,542,424 | 6,266,358 | 2,207,730 | |||||||||
Cash, end of period | $ | 33,130,653 | $ | 57,542,424 | $ | 6,266,358 | ||||||
Year Ended December 31, | ||||||||||||
2021 | 2020 | 2019 | ||||||||||
Cash flow from operating activities | ||||||||||||
Net income (loss) | $ | (15,757,372 | ) | $ | 16,095,262 | $ | (11,773,312 | ) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||
Purchases of short-term U.S. government and agency obligations | (183,916,661 | ) | (116,503,878 | ) | (1,178,141,659 | ) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 143,022,182 | 85,600,000 | 1,164,579,598 | |||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (21,569 | ) | (115,686 | ) | (417,440 | ) | ||||||
Net realized (gain) loss on investments | (22,182 | ) | — | (8 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments | 14,993 | 391 | (1,050 | ) | ||||||||
Decrease (Increase) in receivable on open futures contracts | 183,680 | (247,077 | ) | — | ||||||||
Decrease (Increase) in interest receivable | (454 | ) | 33,884 | (5,423 | ) | |||||||
Increase (Decrease) in payable to Sponsor | 32,974 | 19,731 | (2,802 | ) | ||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (3,271 | ) | 10,395 | — | ||||||||
Increase (Decrease) in payable on open futures contracts | 94,495 | (1,129,877 | ) | 564,382 | ||||||||
Net cash provided by (used in) operating activities | (56,373,185 | ) | (16,236,855 | ) | (25,197,714 | ) | ||||||
Cash flow from financing activities | ||||||||||||
Proceeds from addition of shares | 101,849,396 | 90,654,600 | 31,405,087 | |||||||||
Payment on shares redeemed | (46,207,226 | ) | (79,745,564 | ) | (30,619,144 | ) | ||||||
Net cash provided by (used in) financing activities | 55,642,170 | 10,909,036 | 785,943 | |||||||||
Net increase (decrease) in cash | (731,015 | ) | (5,327,819 | ) | (24,411,771 | ) | ||||||
Cash, beginning of period | 27,802,834 | 33,130,653 | 57,542,424 | |||||||||
Cash, end of period | $ | 27,071,819 | $ | 27,802,834 | $ | 33,130,653 | ||||||
December 31, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $96,862,355 and $114,780,333, respectively) | $ | 96,868,817 | $ | 114,785,002 | ||||
Cash | 87,829,341 | 23,538,353 | ||||||
Segregated cash balances with brokers for futures contracts | 107,106,000 | 15,855,066 | ||||||
Receivable on open futures contracts | 909,042 | 912,016 | ||||||
Interest receivable | 123,538 | 16,966 | ||||||
Total assets | 292,836,738 | 155,107,403 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 12,920,593 | 5,489,302 | ||||||
Payable to Sponsor | 123,642 | 70,986 | ||||||
Total liabilities | 13,044,235 | 5,560,288 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 279,792,503 | 149,547,115 | ||||||
Total liabilities and shareholders’ equity | $ | 292,836,738 | $ | 155,107,403 | ||||
Shares outstanding | 22,751,317 | 3,876,317 | ||||||
Net asset value per share | $ | 12.30 | $ | 38.58 | ||||
Market value per share (Note 2) | $ | 12.43 | $ | 38.61 | ||||
December 31, 2021 | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $150,887,871 and $84,998,436, respectively) | $ | 150,861,898 | $ | 84,999,583 | ||||
Cash | 11,013,736 | 71,736,247 | ||||||
Segregated cash balances with brokers for futures contracts | 104,947,080 | 134,825,900 | ||||||
Receivable from capital shares sold | 3,026,614 | 0 | ||||||
Receivable on open futures contracts | 2,115,232 | 2,295,585 | ||||||
Interest receivable | 1,774 | 2,815 | ||||||
Total assets | 271,966,334 | 293,860,130 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,037,391 | 231,900 | ||||||
Brokerage commissions and futures account fees payable | 38,926 | 81,049 | ||||||
Payable to Sponsor | 186,853 | 156,632 | ||||||
Total liabilities | 2,263,170 | 469,581 | ||||||
Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 269,703,164 | 293,390,549 | ||||||
Total liabilities and shareholders’ equity | $ | 271,966,334 | $ | 293,860,130 | ||||
Shares outstanding (Note 1) | 17,832,826 | 5,331,579 | ||||||
Net asset value per share (Note 1) | $ | 15.12 | $ | 55.03 | ||||
Market value per share (Note 1)(Note 2) | $ | 15.17 | $ | 54.96 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 35 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
1.547 % due01/30/20 | $ | 53,000,000 | $ | 52,938,467 | ||||
1.462 % due02/06/20 † | 24,000,000 | 23,965,116 | ||||||
1.618 % due02/13/20 | 20,000,000 | 19,965,234 | ||||||
Total short-term U.S. government and agency obligations (cost $ 96,862,355 ) | $ | 96,868,817 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(56% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.039% due 01/20/22 | $ | 55,000,000 | $ | 54,998,961 | ||||
0.052% due 02/17/22 | 38,000,000 | 37,997,625 | ||||||
0.223% due 11/03/22 | 58,000,000 | 57,865,312 | ||||||
Total short-term U.S. government and agency obligations (cost $150,887,871) | $ | 150,861,898 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2022 | 8,015 | $ | 157,691,117 | $ | (26,665,175 | ) | ||||||
VIX Futures—Cboe, expires February 2022 | 5,101 | 112,071,521 | (3,465,444 | ) | ||||||||
$ | (30,130,619 | ) | ||||||||||
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - CBOE, expires January 2020 | 10,706 | $ | 156,575,250 | $ | (15,238,139 | ) | ||||||
VIX Futures - CBOE, expires February 2020 | 7,415 | 123,274,375 | (155,872 | ) | ||||||||
$ | (15,394,011 | ) | ||||||||||
^^ |
Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 77 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.314 % due01/17/19 † | $ | 50,000,000 | $ | 49,952,085 | ||||
2.326 % due01/31/19 † | 40,000,000 | 39,926,532 | ||||||
2.389 % due02/28/19 | 25,000,000 | 24,906,385 | ||||||
Total short-term U.S. government and agency obligations (cost $ 114,780,333 ) | $ | 114,785,002 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(29% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.096% due 01/07/21 | $ | 75,000,000 | $ | 74,999,722 | ||||
0.110% due 01/14/21 | 10,000,000 | 9,999,861 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $84,998,436) | $ | 84,999,583 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures—Cboe, expires January 2021 | 5,948 | $ | 140,818,900 | $ | (3,915,763 | ) | ||||||
VIX Futures—Cboe, expires February 2021 | 5,953 | 152,247,975 | (2,448,327 | ) | ||||||||
$ | (6,364,090 | ) | ||||||||||
Futures Contracts Purchased | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - C boe , expires January 2019 | 3,561 | $ | 86,087,175 | $ | 18,392,959 | |||||||
VIX Futures - C boe , expires February 2019 | 2,849 | 63,461,475 | (1,014,514 | ) | ||||||||
$ | 17,378,445 | |||||||||||
See accompanying notes to financial statements. F-108 PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS
See accompanying notes to financial statements. F-109 |