☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
7501
21
Title of | Trading Symbol(s) | Name of each exchange on which registered | ||
ProShares Short VIX Short-Term Futures ETF | SVXY | Cboe BZX Exchange | ||
ProShares Ultra Bloomberg Crude Oil | UCO | NYSE Arca | ||
BOIL | NYSE Arca | |||
NYSE Arca | ||||
ProShares Ultra Gold | UGL | NYSE Arca | ||
ProShares Ultra Silver | AGQ | NYSE Arca | ||
ProShares Ultra VIX Short-Term Futures ETF | UVXY | Cboe BZX Exchange | ||
ProShares Ultra Yen | YCL | 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 | Cboe BZX Exchange | ||
ProShares VIX Short-Term Futures ETF | VIXY | Cboe BZX Exchange |
Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||
Emerging Growth Company | ☐ |
Page | ||||
197 | ||||
Index | ||||
Documents | Page | |||
Statements of Financial Condition, | ||||
6 | ||||
11 | ||||
16 | ||||
21 | ||||
26 | ||||
36 | ||||
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 4,200,621 | $ | 4,536,425 | ||||
Segregated cash balances with brokers for futures contracts | 4,438,775 | 17,235,855 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 186,716,429 | 147,991,233 | ||||||
Receivable on open futures contracts | — | 4,484,270 | ||||||
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|
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| |||||
Total assets | 195,355,825 | 174,247,783 | ||||||
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| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 3,913,679 | — | ||||||
Payable to Sponsor | 77,327 | 87,637 | ||||||
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|
|
| |||||
Total liabilities | 3,991,006 | 87,637 | ||||||
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| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 191,364,819 | 174,160,146 | ||||||
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|
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| |||||
Total liabilities and shareholders’ equity | $ | 195,355,825 | $ | 174,247,783 | ||||
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| |||||
Shares outstanding (Note 1) | 5,876,317 | 2,052,363 | ||||||
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| |||||
Net asset value per share (Note 1) | $ | 32.57 | $ | 84.86 | ||||
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| |||||
Market value per share (Note 1) (Note 2) | $ | 32.53 | $ | 85.04 | ||||
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|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively) | $ | 89,727,034 | $ | 144,307,676 | ||||
Cash | 62,993,244 | 6,852,395 | ||||||
Segregated cash balances with brokers for futures contracts | 110,594,314 | 127,094,546 | ||||||
Receivable on open futures contracts | 18,825,539 | 67,086,947 | ||||||
Interest receivable | 432,544 | 475,930 | ||||||
Total assets | 282,572,675 | 345,817,494 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,861,814 | ||||||
Brokerage commissions and futures account fees payable | 8,756 | 21,576 | ||||||
Payable to Sponsor | 210,652 | 342,466 | ||||||
Total liabilities | 219,408 | 6,225,856 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 282,353,267 | 339,591,638 | ||||||
Total liabilities and shareholders’ equity | $ | 282,572,675 | $ | 345,817,494 | ||||
Shares outstanding | 3,334,307 | 5,784,307 | ||||||
Net asset value per share | $ | 84.68 | $ | 58.71 | ||||
Market value per share (Note 2) | $ | 84.68 | $ | 58.68 | ||||
SEPTEMBER
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
U.S. Treasury Bills^^: | ||||||||
0.998% due 10/05/17 | $ | 7,000,000 | $ | 6,999,568 | ||||
1.043% due 10/12/17 | 18,000,000 | 17,995,300 | ||||||
0.928% due 10/19/17 | 11,000,000 | 10,995,222 | ||||||
1.037% due 10/26/17† | 35,000,000 | 34,978,185 | ||||||
1.013% due 11/02/17† | 7,000,000 | 6,994,243 | ||||||
1.023% due 11/09/17† | 4,000,000 | 3,995,947 | ||||||
0.988% due 11/16/17† | 29,000,000 | 28,965,383 | ||||||
0.962% due 11/30/17† | 13,000,000 | 12,979,014 | ||||||
1.033% due 12/07/17† | 7,000,000 | 6,987,359 | ||||||
0.987% due 12/14/17† | 11,000,000 | 10,978,586 | ||||||
1.001% due 01/11/18 | 12,000,000 | 11,966,165 | ||||||
1.040% due 02/01/18 | 33,000,000 | 32,881,457 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations (cost $186,708,857) | $ | 186,716,429 | ||||||
|
|
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 | $ | 15,000,000 | $ | 14,993,694 | ||||
4.959% due 07/13/23 | 25,000,000 | 24,964,895 | ||||||
5.104% due 08/01/23 | 25,000,000 | 24,897,695 | ||||||
4.972% due 08/08/23 | 25,000,000 | 24,870,750 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $89,711,485) | $ | 89,727,034 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
VIX Futures—CBOE, expires October 2017 | 9,373 | $ | 109,429,775 | $ | (16,948,916 | ) | ||||||
VIX Futures—CBOE, expires November 2017 | 6,252 | 81,432,300 | (1,380,405 | ) | ||||||||
|
| |||||||||||
$ | (18,329,321 | ) | ||||||||||
|
|
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 5,241 | $ | 78,672,651 | $ | 21,799,615 | |||||||
VIX Futures - Cboe, expires August 2023 | 3,810 | 62,485,143 | 2,129,590 | |||||||||
$ | 23,929,205 | |||||||||||
^^ | Rates shown |
OPERATIO
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 379,082 | $ | 144,244 | $ | 786,305 | $ | 324,819 | ||||||||
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| |||||||||
Expenses | ||||||||||||||||
Management fee | 381,123 | 474,982 | 1,004,091 | 1,210,844 | ||||||||||||
Brokerage commissions and fees | 59,243 | 76,959 | 138,487 | 229,993 | ||||||||||||
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|
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| |||||||||
Total expenses | 440,366 | 551,941 | 1,142,578 | 1,440,837 | ||||||||||||
|
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|
| |||||||||
Net investment income (loss) | (61,284 | ) | (407,697 | ) | (356,273 | ) | (1,116,018 | ) | ||||||||
|
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|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (27,447,205 | ) | (101,785,229 | ) | (126,202,705 | ) | (134,345,928 | ) | ||||||||
Short-term U.S. government and agency obligations | 419 | 3,946 | (943 | ) | 6,237 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (27,446,786 | ) | (101,781,283 | ) | (126,203,648 | ) | (134,339,691 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (17,219,461 | ) | 6,786,934 | (17,860,669 | ) | (8,475,358 | ) | |||||||||
Short-term U.S. government and agency obligations | 3,094 | 24,829 | 6,384 | 35,549 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (17,216,367 | ) | 6,811,763 | (17,854,285 | ) | (8,439,809 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (44,663,153 | ) | (94,969,520 | ) | (144,057,933 | ) | (142,779,500 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (44,724,437 | ) | $ | (95,377,217 | ) | $ | (144,414,206 | ) | $ | (143,895,518 | ) | ||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,437,210 | $ | 225,134 | $ | 4,546,332 | $ | 319,477 | ||||||||
Expenses | ||||||||||||||||
Management fee | 617,036 | 1,034,361 | 1,182,813 | 2,020,898 | ||||||||||||
Brokerage commissions | 123,422 | 177,552 | 249,925 | 365,250 | ||||||||||||
Futures account fees | — | 107,221 | — | 324,251 | ||||||||||||
Total expenses | 740,458 | 1,319,134 | 1,432,738 | 2,710,399 | ||||||||||||
Net investment income (loss) | 1,696,752 | (1,094,000 | ) | 3,113,594 | (2,390,922 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 65,228,142 | (13,029,194 | ) | 94,832,290 | (54,129,808 | ) | ||||||||||
Short-term U.S. government and agency obligations | (25,811 | ) | (76,018 | ) | (25,811 | ) | (86,512 | ) | ||||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | 94,806,479 | (54,216,320 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 9,658,017 | (34,466,848 | ) | 12,836,824 | (29,757,664 | ) | ||||||||||
Short-term U.S. government and agency obligations | 15,084 | (40,932 | ) | (8,546 | ) | (452,209 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | 12,828,278 | (30,209,873 | ) | ||||||||||
Net realized and unrealized gain (loss) | 74,875,432 | (47,612,992 | ) | 107,634,757 | (84,426,193 | ) | ||||||||||
Net income (loss) | $ | 76,572,184 | $ | (48,706,992 | ) | $ | 110,748,351 | $ | (86,817,115 | ) | ||||||
STATEMENT
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 174,160,146 | ||
Addition of 6,125,000 shares (Note 1) | 274,586,934 | |||
Redemption of 2,301,046 shares (Note 1) | (112,968,055 | ) | ||
|
| |||
Net addition (redemption) of 3,823,954 shares (Note 1) | 161,618,879 | |||
|
| |||
Net investment income (loss) | (356,273 | ) | ||
Net realized gain (loss) | (126,203,648 | ) | ||
Change in net unrealized appreciation/depreciation | (17,854,285 | ) | ||
|
| |||
Net income (loss) | (144,414,206 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 191,364,819 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 295,340,393 | $ | 495,588,849 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively | 38,020,154 | 75,921,860 | 185,319,488 | 232,437,331 | ||||||||||||
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively | (127,579,464 | ) | (119,158,761 | ) | (353,306,210 | ) | (165,787,854 | ) | ||||||||
Net addition (redemption) of (1,300,000 ), (700,000), (2,450,000) and 1,500,000 shares, respectively | (89,559,310 | ) | (43,236,901 | ) | (167,986,722 | ) | 66,649,477 | |||||||||
Net investment income (loss) | 1,696,752 | (1,094,000 | ) | 3,113,594 | (2,390,922 | ) | ||||||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | 94,806,479 | (54,216,320 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | 12,828,278 | (30,209,873 | ) | ||||||||||
Net income (loss) | 76,572,184 | (48,706,992 | ) | 110,748,351 | (86,817,115 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 282,353,267 | $ | 403,644,956 | $ | 282,353,267 | $ | 403,644,956 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 110,748,351 | $ | (86,817,115 | ) | |||
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 | (278,358,687 | ) | (569,767,938 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 334,826,194 | 565,832,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,921,222 | ) | (206,220 | ) | ||||
Net realized (gain) loss on investments | 25,811 | 86,512 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,546 | 452,209 | ||||||
Decrease (Increase) in receivable on open futures contracts | 48,261,408 | (6,253,293 | ) | |||||
Decrease (Increase) in interest receivable | 43,386 | (73,181 | ) | |||||
Increase (Decrease) in payable to Sponsor | (131,814 | ) | (2,886 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (12,820 | ) | (92,191 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | 1,735,890 | ||||||
Net cash provided by (used in) operating activities | 213,489,153 | (95,105,412 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 185,319,488 | 232,437,331 | ||||||
Payment on shares redeemed | (359,168,024 | ) | (171,912,984 | ) | ||||
Net cash provided by (used in) financing activities | (173,848,536 | ) | 60,524,347 | |||||
Net increase (decrease) in cash | 39,640,617 | (34,581,065 | ) | |||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 173,587,558 | $ | 148,429,919 | ||||
ULTRA BLOOMBERG CRUDE OIL
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (144,414,206 | ) | $ | (143,895,518 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 12,797,080 | (2,370,400 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (634,948,674 | ) | (742,783,009 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 597,015,224 | 622,882,786 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (786,305 | ) | (324,819 | ) | ||||
Net realized gain (loss) on investments | 943 | (6,237 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (6,384 | ) | (35,549 | ) | ||||
Decrease (Increase) in receivable on futures contracts | 4,484,270 | 1,105,799 | ||||||
Increase (Decrease) in payable to Sponsor | (10,310 | ) | 85,931 | |||||
Increase (Decrease) in payable on futures contracts | 3,913,679 | — | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (161,954,683 | ) | (265,341,016 | ) | ||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 274,586,934 | 461,486,395 | ||||||
Payment on shares redeemed | (112,968,055 | ) | (195,044,482 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 161,618,879 | 266,441,913 | ||||||
|
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| |||||
Net increase (decrease) in cash | (335,804 | ) | 1,100,897 | |||||
Cash, beginning of period | 4,536,425 | 2,124,103 | ||||||
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| |||||
Cash, end of period | $ | 4,200,621 | $ | 3,225,000 | ||||
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|
|
FINANCIAL CONDITION
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively) | $ | 413,997,952 | $ | 313,465,007 | ||||
Cash | 67,718,783 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 75,508,570 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 182,681,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | — | 74,159,577 | ||||||
Receivable on open futures contracts | 2,846,634 | 8,466,027 | ||||||
Interest receivable | 449,770 | 618,549 | ||||||
Total assets | 743,203,454 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,186,903 | 13,545,014 | ||||||
Payable on open futures contracts | 1,541,204 | — | ||||||
Brokerage commissions and futures account fees payable | 7,646 | 7,154 | ||||||
Payable to Sponsor | 581,092 | 662,979 | ||||||
Unrealized depreciation on swap agreements | 1,692,241 | — | ||||||
Total liabilities | 5,009,086 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 738,194,368 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 743,203,454 | $ | 873,309,421 | ||||
Shares outstanding (Note 1) | 31,093,096 | 28,393,096 | ||||||
Net asset value per share (Note 1) | $ | 23.74 | $ | 30.26 | ||||
Market value per share (Note 1) (Note 2) | $ | 23.65 | $ | 30.31 | ||||
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 314,842 | $ | 1,155,115 | ||||
Segregated cash balances with brokers for futures contracts | 7,454,800 | 1,052,615 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 35,955,278 | 45,486,235 | ||||||
Receivable from capital shares sold | 1,890,685 | — | ||||||
Receivable on open futures contracts | — | 242,541 | ||||||
|
|
|
| |||||
Total assets | 45,615,605 | 47,936,506 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,085,020 | ||||||
Payable on open futures contracts | 539,598 | — | ||||||
Payable to Sponsor | 28,584 | 32,572 | ||||||
|
|
|
| |||||
Total liabilities | 568,182 | 2,117,592 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 45,047,423 | 45,818,914 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 45,615,605 | $ | 47,936,506 | ||||
|
|
|
| |||||
Shares outstanding | 1,787,403 | 1,087,403 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 25.20 | $ | 42.14 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 25.17 | $ | 42.34 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES VIXMID-TERM FUTURES ETF
ULTRA BLOOMBERG CRUDE OIL
SEPTEMBER
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
U.S. Treasury Bills^^: | ||||||||
0.992% due 10/26/17 | $ | 13,000,000 | $ | 12,991,897 | ||||
1.013% due 11/02/17 | 5,000,000 | 4,995,888 | ||||||
1.023% due 11/09/17 | 2,000,000 | 1,997,973 | ||||||
0.977% due 11/16/17 | 9,000,000 | 8,989,257 | ||||||
1.001% due 01/11/18 | 7,000,000 | 6,980,263 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 35,955,278 | ||||||
|
|
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(56% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 100,000,000 | $ | 99,957,960 | ||||
4.959% due 07/13/23 † | 40,000,000 | 39,943,832 | ||||||
5.242% due 07/18/23 † | 100,000,000 | 99,789,580 | ||||||
5.251% due 07/25/23 | 75,000,000 | 74,769,690 | ||||||
5.104% due 08/01/23 | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 † | 50,000,000 | 49,741,500 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $413,892,685) | $ | 413,997,952 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
VIX Futures—CBOE, expires January 2018 | 582 | $ | 8,599,050 | $ | (697,300 | ) | ||||||
VIX Futures—CBOE, expires February 2018 | 971 | 14,783,475 | (652,385 | ) | ||||||||
VIX Futures—CBOE, expires March 2018 | 971 | 15,341,800 | (547,765 | ) | ||||||||
VIX Futures—CBOE, expires April 2018 | 388 | 6,314,700 | (44,190 | ) | ||||||||
|
| |||||||||||
$ | (1,941,640 | ) | ||||||||||
|
|
See accompanying notes to financial statements.
PROSHARES VIXMID-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 71,551 | $ | 29,706 | $ | 164,138 | $ | 63,804 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 80,574 | 108,438 | 235,818 | 251,163 | ||||||||||||
Brokerage commissions and fees | 6,764 | 10,935 | 11,815 | 23,544 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 87,338 | 119,373 | 247,633 | 274,707 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (15,787 | ) | (89,667 | ) | (83,495 | ) | (210,903 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (3,965,084 | ) | (4,899,530 | ) | (19,180,135 | ) | (5,248,725 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 144 | (527 | ) | 132 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (3,965,084 | ) | (4,899,386 | ) | (19,180,662 | ) | (5,248,593 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 364,615 | (1,149,750 | ) | (653,395 | ) | (1,917,790 | ) | |||||||||
Short-term U.S. government and agency obligations | 1,342 | 8,365 | 2,167 | 9,742 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 365,957 | (1,141,385 | ) | (651,228 | ) | (1,908,048 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (3,599,127 | ) | (6,040,771 | ) | (19,831,890 | ) | (7,156,641 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (3,614,914 | ) | $ | (6,130,438 | ) | $ | (19,915,385 | ) | $ | (7,367,544 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES VIXMID-TERM FUTURES ETF
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 45,818,914 | ||
Addition of 850,000 shares | 23,977,024 | |||
Redemption of 150,000 shares | (4,833,130 | ) | ||
|
| |||
Net addition (redemption) of 700,000 shares | 19,143,894 | |||
|
| |||
Net investment income (loss) | (83,495 | ) | ||
Net realized gain (loss) | (19,180,662 | ) | ||
Change in net unrealized appreciation/depreciation | (651,228 | ) | ||
|
| |||
Net income (loss) | (19,915,385 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 45,047,423 | ||
|
|
See accompanying notes to financial statements.
PROSHARES VIXMID-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (19,915,385 | ) | $ | (7,367,544 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (6,402,185 | ) | (823,975 | ) | ||||
Purchases of short-term U.S. government and agency obligations | (149,796,234 | ) | (132,528,541 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 159,492,969 | 104,309,090 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (164,138 | ) | (63,804 | ) | ||||
Net realized gain (loss) on investments | 527 | (132 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (2,167 | ) | (9,742 | ) | ||||
Decrease (Increase) in receivable on futures contracts | 242,541 | 42,188 | ||||||
Increase (Decrease) in payable to Sponsor | (3,988 | ) | 21,005 | |||||
Increase (Decrease) in payable on futures contracts | 539,598 | 258,839 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (16,008,462 | ) | (36,162,616 | ) | ||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 22,086,339 | 48,406,580 | ||||||
Payment on shares redeemed | (6,918,150 | ) | (9,794,863 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 15,168,189 | 38,611,717 | ||||||
|
|
|
| |||||
Net increase (decrease) in cash | (840,273 | ) | 2,449,101 | |||||
Cash, beginning of period | 1,155,115 | 671,791 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 314,842 | $ | 3,120,892 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 4,098,464 | $ | 1,850,760 | ||||
Segregated cash balances with brokers for futures contracts | 316,834,247 | 55,323,984 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 770,134,521 | 170,396,436 | ||||||
Receivable on open futures contracts | 57,550,026 | 1,059,418 | ||||||
|
|
|
| |||||
Total assets | 1,148,617,258 | 228,630,598 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 107,724,462 | — | ||||||
Payable on open futures contracts | — | 325,000 | ||||||
Payable to Sponsor | 1,018,886 | 230,211 | ||||||
|
|
|
| |||||
Total liabilities | 108,743,348 | 555,211 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,039,873,910 | 228,075,387 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 1,148,617,258 | $ | 228,630,598 | ||||
|
|
|
| |||||
Shares outstanding (Note 1) | 11,100,000 | 5,000,000 | ||||||
|
|
|
| |||||
Net asset value per share (Note 1) | $ | 93.68 | $ | 45.62 | ||||
|
|
|
| |||||
Market value per share (Note 1) (Note 2) | $ | 93.75 | $ | 45.49 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
U.S. Treasury Bills^^: | ||||||||
1.041% due 10/19/17 | $ | 47,000,000 | $ | 46,979,583 | ||||
1.048% due 10/26/17 | 78,000,000 | 77,951,383 | ||||||
1.001% due 11/02/17 | 115,000,000 | 114,905,424 | ||||||
1.029% due 11/09/17 | 199,000,000 | 198,798,353 | ||||||
0.986% due 11/16/17† | 160,000,000 | 159,809,008 | ||||||
0.999% due 11/24/17 | 10,000,000 | 9,985,499 | ||||||
1.005% due 11/30/17† | 73,000,000 | 72,882,156 | ||||||
1.023% due 12/07/17† | 30,000,000 | 29,945,826 | ||||||
0.987% due 12/14/17† | 50,000,000 | 49,902,665 | ||||||
1.001% due 01/11/18 | 9,000,000 | 8,974,624 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 770,134,521 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
VIX Futures—CBOE, expires October 2017 | 51,224 | $ | 598,040,200 | $ | 86,369,735 | |||||||
VIX Futures—CBOE, expires November 2017 | 34,126 | 444,491,150 | 7,874,300 | |||||||||
|
| |||||||||||
$ | 94,244,035 | |||||||||||
|
|
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil - NYMEX, expires September 2023 | 2,315 | $ | 163,855,700 | $ | 534,428 | |||||||
WTI Crude Oil - NYMEX, expires December 2023 | 2,393 | 168,467,200 | 3,955,084 | |||||||||
WTI Crude Oil - NYMEX, expires June 2024 | 2,478 | 171,031,560 | 4,928,794 | |||||||||
$ | 9,418,306 | |||||||||||
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 | % | 07/06/23 | $ | 172,685,565 | $ | (303,753 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 07/06/23 | 214,703,580 | (377,662 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 07/06/23 | 179,707,950 | (316,105 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 07/06/23 | 162,974,521 | (275,938 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 07/06/23 | 242,623,120 | (418,783 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (1,692,241 | ) | ||||||||||||
† |
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,102,194 | $ | 248,974 | $ | 3,484,888 | $ | 848,132 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 2,376,444 | 951,001 | 4,636,720 | 3,561,744 | ||||||||||||
Brokerage commissions and fees | 1,366,561 | 469,401 | 2,761,371 | 1,522,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,743,005 | 1,420,402 | 7,398,091 | 5,084,603 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (1,640,811 | ) | (1,171,428 | ) | (3,913,203 | ) | (4,236,471 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 188,300,727 | 277,246,086 | 471,128,319 | 263,024,643 | ||||||||||||
Short-term U.S. government and agency obligations | 6,797 | (12,510 | ) | (4,461 | ) | (34,036 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 188,307,524 | 277,233,576 | 471,123,858 | 262,990,607 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 100,033,466 | (51,813,012 | ) | 104,553,646 | 16,663,427 | |||||||||||
Short-term U.S. government and agency obligations | 56,988 | 33,663 | 55,837 | 62,392 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 100,090,454 | (51,779,349 | ) | 104,609,483 | 16,725,819 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 288,397,978 | 225,454,227 | 575,733,341 | 279,716,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 286,757,167 | $ | 224,282,799 | $ | 571,820,138 | $ | 275,479,955 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 228,075,387 | ||
Addition of 46,750,000 shares (Note 1) | 3,330,265,694 | |||
Redemption of 40,650,000 shares (Note 1) | (3,090,287,309 | ) | ||
|
| |||
Net addition (redemption) of 6,100,000 shares (Note 1) | 239,978,385 | |||
|
| |||
Net investment income (loss) | (3,913,203 | ) | ||
Net realized gain (loss) | 471,123,858 | |||
Change in net unrealized appreciation/depreciation | 104,609,483 | |||
|
| |||
Net income (loss) | 571,820,138 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 1,039,873,910 | ||
|
|
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 571,820,138 | $ | 275,479,955 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (261,510,263 | ) | 75,585,025 | |||||
Purchases of short-term U.S. government and agency obligations | (3,392,906,218 | ) | (2,235,163,421 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 2,796,704,397 | 2,324,555,238 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (3,484,888 | ) | (848,132 | ) | ||||
Net realized gain (loss) on investments | 4,461 | 34,036 | ||||||
Change in unrealized appreciation/depreciation on investments | (55,837 | ) | (62,392 | ) | ||||
Decrease (Increase) in receivable on futures contracts | (56,490,608 | ) | (4,571,788 | ) | ||||
Increase (Decrease) in payable to Sponsor | 788,675 | (183,417 | ) | |||||
Increase (Decrease) in payable on futures contracts | (325,000 | ) | (1,420,271 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (345,455,143 | ) | 433,404,833 | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,330,265,694 | 2,183,650,607 | ||||||
Payment on shares redeemed | (2,982,562,847 | ) | (2,616,476,208 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 347,702,847 | (432,825,601 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in cash | 2,247,704 | 579,232 | ||||||
Cash, beginning of period | 1,850,760 | 5,150,976 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 4,098,464 | $ | 5,730,208 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 2,610,772 | $ | 10,969,955 | ||||
Segregated cash balances with brokers for futures contracts | 17,599,725 | 71,363,625 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 521,315,100 | 434,671,795 | ||||||
Receivable from capital shares sold | 14,450,792 | — | ||||||
Receivable on open futures contracts | — | 35,967,191 | ||||||
|
|
|
| |||||
Total assets | 555,976,389 | 552,972,566 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 36,789,539 | ||||||
Payable on open futures contracts | 20,456,567 | — | ||||||
Payable to Sponsor | 424,090 | 424,273 | ||||||
|
|
|
| |||||
Total liabilities | 20,880,657 | 37,213,812 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 535,095,732 | 515,758,754 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 555,976,389 | $ | 552,972,566 | ||||
|
|
|
| |||||
Shares outstanding (Note 1) | 25,927,238 | 2,965,383 | ||||||
|
|
|
| |||||
Net asset value per share (Note 1) | $ | 20.64 | $ | 173.93 | ||||
|
|
|
| |||||
Market value per share (Note 1) (Note 2) | $ | 20.60 | $ | 175.00 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
U.S. Treasury Bills^^: | ||||||||
1.011% due 10/05/17† | $ | 15,023,000 | $ | 15,022,073 | ||||
1.067% due 10/12/17† | 20,000,000 | 19,994,778 | ||||||
1.081% due 10/19/17† | 46,000,000 | 45,980,017 | ||||||
1.000% due 10/26/17† | 47,000,000 | 46,970,705 | ||||||
1.013% due 11/02/17† | 13,000,000 | 12,989,309 | ||||||
0.957% due 11/09/17† | 20,000,000 | 19,979,734 | ||||||
0.986% due 11/16/17† | 97,000,000 | 96,884,211 | ||||||
0.999% due 11/30/17† | 128,000,000 | 127,793,370 | ||||||
1.002% due 12/07/17† | 66,000,000 | 65,880,817 | ||||||
1.000% due 12/14/17† | 20,000,000 | 19,961,066 | ||||||
1.001% due 01/11/18† | 50,000,000 | 49,859,020 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 521,315,100 | ||||||
|
|
Futures Contracts Purchased
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
VIX Futures—CBOE, expires October 2017 | 52,495 | $ | 612,879,125 | $ | (93,982,537 | ) | ||||||
VIX Futures—CBOE, expires November 2017 | 35,008 | 455,979,200 | (7,780,494 | ) | ||||||||
|
| |||||||||||
$ | (101,763,031 | ) | ||||||||||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 866,857 | $ | 400,731 | $ | 1,833,411 | $ | 1,227,394 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 1,040,567 | 1,625,260 | 2,880,339 | 5,006,558 | ||||||||||||
Brokerage commissions and fees | 1,150,806 | 1,102,098 | 2,819,322 | 3,228,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 2,191,373 | 2,727,358 | 5,699,661 | 8,235,321 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (1,324,516 | ) | (2,326,627 | ) | (3,866,250 | ) | (7,007,927 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (126,532,816 | ) | (745,101,700 | ) | (646,036,987 | ) | (1,269,233,467 | ) | ||||||||
Short-term U.S. government and agency obligations | (5,866 | ) | 16,032 | (26,617 | ) | 24,626 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (126,538,682 | ) | (745,085,668 | ) | (646,063,604 | ) | (1,269,208,841 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (95,515,562 | ) | 138,973,918 | (93,790,794 | ) | (51,163,549 | ) | |||||||||
Short-term U.S. government and agency obligations | 21,523 | 27,300 | 34,039 | 8,737 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (95,494,039 | ) | 139,001,218 | (93,756,755 | ) | (51,154,812 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (222,032,721 | ) | (606,084,450 | ) | (739,820,359 | ) | (1,320,363,653 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (223,357,237 | ) | $ | (608,411,077 | ) | $ | (743,686,609 | ) | $ | (1,327,371,580 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 515,758,754 | ||
Addition of 51,185,000 shares (Note 1) | 2,109,762,890 | |||
Redemption of 28,223,145 shares (Note 1) | (1,346,739,303 | ) | ||
|
| |||
Net addition (redemption) of 22,961,855 shares (Note 1) | 763,023,587 | |||
|
| |||
Net investment income (loss) | (3,866,250 | ) | ||
Net realized gain (loss) | (646,063,604 | ) | ||
Change in net unrealized appreciation/depreciation | (93,756,755 | ) | ||
|
| |||
Net income (loss) | (743,686,609 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 535,095,732 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (743,686,609 | ) | $ | (1,327,371,580 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 53,763,900 | 14,767,485 | ||||||
Purchases of short-term U.S. government and agency obligations | (2,355,267,451 | ) | (3,719,826,671 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 2,270,464,979 | 3,505,716,134 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (1,833,411 | ) | (1,221,489 | ) | ||||
Net realized gain (loss) on investments | 26,617 | (24,626 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (34,039 | ) | (8,737 | ) | ||||
Decrease (Increase) in receivable on futures contracts | 35,967,191 | 17,995,478 | ||||||
Increase (Decrease) in payable to Sponsor | (183 | ) | 51,617 | |||||
Increase (Decrease) in payable on futures contracts | 20,456,567 | 31,416,387 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (720,142,439 | ) | (1,478,506,002 | ) | ||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,095,312,098 | 3,689,719,713 | ||||||
Payment on shares redeemed | (1,383,528,842 | ) | (2,208,691,466 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 711,783,256 | 1,481,028,247 | ||||||
|
|
|
| |||||
Net increase (decrease) in cash | (8,359,183 | ) | 2,522,245 | |||||
Cash, beginning of period | 10,969,955 | 9,081,964 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 2,610,772 | $ | 11,604,209 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 3,636,946 | $ | 2,715,772 | ||||
Segregated cash balances with brokers for futures contracts | 5,000,160 | 4,931,520 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 246,666,306 | 205,694,385 | ||||||
Receivable on open futures contracts | 123,680 | — | ||||||
|
|
|
| |||||
Total assets | 255,427,092 | 213,341,677 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,359,173 | — | ||||||
Payable on open futures contracts | — | 13,602 | ||||||
Payable to Sponsor | 162,517 | 162,891 | ||||||
Unrealized depreciation on swap agreements | 13,678,377 | 12,206,881 | ||||||
|
|
|
| |||||
Total liabilities | 17,200,067 | 12,383,374 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 238,227,025 | 200,958,303 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 255,427,092 | $ | 213,341,677 | ||||
|
|
|
| |||||
Shares outstanding | 7,089,884 | 6,339,884 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 33.60 | $ | 31.70 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 33.73 | $ | 31.65 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
U.S. Treasury Bills^^: | ||||||||
1.062% due 10/05/17 | $ | 16,000,000 | $ | 15,999,013 | ||||
1.065% due 10/12/17 | 19,000,000 | 18,995,039 | ||||||
1.070% due 10/19/17† | 53,000,000 | 52,976,977 | ||||||
1.042% due 10/26/17† | 20,000,000 | 19,987,534 | ||||||
1.013% due 11/02/17† | 6,000,000 | 5,995,066 | ||||||
1.079% due 11/09/17† | 11,000,000 | 10,988,854 | ||||||
0.986% due 11/16/17† | 11,000,000 | 10,986,869 | ||||||
0.962% due 11/30/17† | 22,000,000 | 21,964,485 | ||||||
0.991% due 12/07/17† | 13,000,000 | 12,976,525 | ||||||
0.989% due 12/14/17† | 34,000,000 | 33,933,812 | ||||||
1.002% due 01/04/18 | 14,000,000 | 13,962,714 | ||||||
1.040% due 02/01/18 | 28,000,000 | 27,899,418 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 246,666,306 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
WTI Crude Oil—NYMEX, expires November 2017 | 1,894 | $ | 97,862,980 | $ | (5,367,489 | ) |
Swap Agreements^
Rate Paid (Received)* | Termination Date | Notional Amount at Value** | Unrealized Appreciation (Depreciation) | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Crude OilSub-Index | (0.18 | )% | 10/05/17 | $ | (149,040,494 | ) | $ | (6,092,070 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Crude OilSub-Index | (0.25 | ) | 10/05/17 | (109,832,549 | ) | (3,900,635 | ) | |||||||||
Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index | (0.25 | ) | 10/05/17 | (12,927,229 | ) | (514,835 | ) | |||||||||
Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index | (0.25 | ) | 10/05/17 | (106,765,884 | ) | (3,170,837 | ) | |||||||||
|
| |||||||||||||||
$ | (13,678,377 | ) | ||||||||||||||
|
|
All or partial amount pledged as collateral for swap |
^ | The positions and counterparties herein are as of |
^^ | Rates shown |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 458,896 | $ | 112,015 | $ | 998,438 | $ | 345,514 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 456,582 | 405,879 | 1,374,438 | 1,291,075 | ||||||||||||
Brokerage commissions and fees | 17,992 | 27,568 | 50,772 | 125,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 474,574 | 433,447 | 1,425,210 | 1,416,402 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (15,678 | ) | (321,432 | ) | (426,772 | ) | (1,070,888 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,020,543 | ) | 7,108,871 | 12,625,049 | (1,439,525 | ) | ||||||||||
Swap agreements | (3,398,264 | ) | 43,172,623 | 37,182,481 | (35,456,689 | ) | ||||||||||
Short-term U.S. government and agency obligations | (107 | ) | 3,798 | (1,590 | ) | (4,796 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (9,418,914 | ) | 50,285,292 | 49,805,940 | (36,901,010 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (4,525,726 | ) | (4,602,457 | ) | (3,940,674 | ) | (6,846,490 | ) | ||||||||
Swap agreements | (25,931,072 | ) | (28,373,775 | ) | (1,471,496 | ) | (22,977,481 | ) | ||||||||
Short-term U.S. government and agency obligations | 10,122 | 12,429 | 13,678 | 26,286 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (30,446,676 | ) | (32,963,803 | ) | (5,398,492 | ) | (29,797,685 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (39,865,590 | ) | 17,321,489 | 44,407,448 | (66,698,695 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (39,881,268 | ) | $ | 17,000,057 | $ | 43,980,676 | $ | (67,769,583 | ) | ||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 5,878,092 | $ | 1,264,011 | $ | 11,886,000 | $ | 1,572,891 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,744,998 | 3,098,904 | 3,619,616 | 6,183,716 | ||||||||||||
Brokerage commissions | 94,303 | 140,210 | 188,647 | 335,751 | ||||||||||||
Futures account fees | — | 109,601 | — | 362,288 | ||||||||||||
Total expenses | 1,839,301 | 3,348,715 | 3,808,263 | 6,881,755 | ||||||||||||
Net investment income (loss) | 4,038,791 | (2,084,704 | ) | 8,077,737 | (5,308,864 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 29,371,809 | 244,497,710 | 40,205,833 | 510,907,542 | ||||||||||||
Swap agreements | (105,727,226 | ) | 118,798,382 | (30,780,823 | ) | 651,811,620 | ||||||||||
Short-term U.S. government and agency obligations | (59,378 | ) | (4,653 | ) | (59,378 | ) | (7,789 | ) | ||||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | 9,365,632 | 1,162,711,373 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (20,075,857 | ) | (187,136,364 | ) | (16,873,410 | ) | (89,000,726 | ) | ||||||||
Swap agreements | 65,510,145 | (24,001,881 | ) | (75,851,818 | ) | (216,215,448 | ) | |||||||||
Short-term U.S. government and agency obligations | 104,869 | (405,864 | ) | 53,943 | (991,922 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | (92,671,285 | ) | (306,208,096 | ) | |||||||||
Net realized and unrealized gain (loss) | (30,875,638 | ) | 151,747,330 | (83,305,653 | ) | 856,503,277 | ||||||||||
Net income (loss) | $ | (26,836,847 | ) | $ | 149,662,626 | $ | (75,227,916 | ) | $ | 851,194,413 | ||||||
STATEMENT
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 200,958,303 | ||
Addition of 10,700,000 shares | 398,064,737 | |||
Redemption of 9,950,000 shares | (404,776,691 | ) | ||
|
| |||
Net addition (redemption) of 750,000 shares | (6,711,954 | ) | ||
|
| |||
Net investment income (loss) | (426,772 | ) | ||
Net realized gain (loss) | 49,805,940 | |||
Change in net unrealized appreciation/depreciation | (5,398,492 | ) | ||
|
| |||
Net income (loss) | 43,980,676 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 238,227,025 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 811,668,456 | $ | 1,336,980,685 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1) | 353,363,209 | 72,419,653 | 812,713,784 | 402,736,686 | ||||||||||||
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1) | (400,000,450 | ) | (498,195,726 | ) | (858,385,774 | ) | (1,296,847,431 | ) | ||||||||
Net addition (redemption) of 500,000, (9,750,000) , 2,700,000 and (25,750,000) shares, respectively (Note 1) | (46,637,241 | ) | (425,776,073 | ) | (45,671,990 | ) | (894,110,745 | ) | ||||||||
Net investment income (loss) | 4,038,791 | (2,084,704 | ) | 8,077,737 | (5,308,864 | ) | ||||||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | 9,365,632 | 1,162,711,373 | |||||||||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | (92,671,285 | ) | (306,208,096 | ) | |||||||||
Net income (loss) | (26,836,847 | ) | 149,662,626 | (75,227,916 | ) | 851,194,413 | ||||||||||
Shareholders’ equity, end of period | $ | 738,194,368 | $ | 1,060,867,238 | $ | 738,194,368 | $ | 1,060,867,238 | ||||||||
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 43,980,676 | $ | (67,769,583 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (68,640 | ) | 3,477,760 | |||||
Decrease (Increase) in segregated cash balances with brokers for swap agreements | — | (1,128,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (866,640,949 | ) | (831,968,058 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 826,679,554 | 768,766,626 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (998,438 | ) | (345,514 | ) | ||||
Net realized gain (loss) on investments | 1,590 | 4,796 | ||||||
Change in unrealized appreciation/depreciation on investments | 1,457,818 | 22,951,195 | ||||||
Decrease (Increase) in receivable on futures contracts | (123,680 | ) | — | |||||
Increase (Decrease) in payable to Sponsor | (374 | ) | 34,948 | |||||
Increase (Decrease) in brokerage commissions and fees payable | — | (6,947 | ) | |||||
Increase (Decrease) in payable for investments purchased | — | 1,736,880 | ||||||
Increase (Decrease) in payable on futures contracts | (13,602 | ) | (34,842 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 4,273,955 | (104,280,739 | ) | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 398,064,737 | 752,995,105 | ||||||
Payment on shares redeemed | (401,417,518 | ) | (648,311,713 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (3,352,781 | ) | 104,683,392 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | 921,174 | 402,653 | ||||||
Cash, beginning of period | 2,715,772 | 598,645 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 3,636,946 | $ | 1,001,298 | ||||
|
|
|
|
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (75,227,916 | ) | $ | 851,194,413 | |||
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 | (8,286,191,814 | ) | (4,782,347,856 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 8,193,611,806 | 5,104,987,142 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,958,372 | ) | (1,304,714 | ) | ||||
Net realized (gain) loss on investments | 59,378 | 7,789 | ||||||
Change in unrealized (appreciation) depreciation on investments | 75,797,875 | 217,207,370 | ||||||
Decrease (Increase) in receivable on open futures contracts | 5,619,393 | — | ||||||
Decrease (Increase) in interest receivable | 168,779 | (210,318 | ) | |||||
Increase (Decrease) in payable to Sponsor | (81,887 | ) | 174,702 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 492 | (12,077 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 1,541,204 | (4,104,319 | ) | |||||
Net cash provided by (used in) operating activities | (92,661,062 | ) | 1,385,592,132 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 812,713,784 | 402,736,686 | ||||||
Payment on shares redeemed | (870,743,885 | ) | (1,276,766,479 | ) | ||||
Net cash provided by (used in) financing activities | (58,030,101 | ) | (874,029,793 | ) | ||||
Net increase (decrease) in cash | (150,691,163 | ) | 511,562,339 | |||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 325,909,098 | $ | 728,849,728 | ||||
STATEMENTULTRA BLOOMBERG NATURAL GAS
September 30, 2017 (unaudited) | ||||
Assets | ||||
Cash | $ | 13,475,988 | ||
Segregated cash balances with brokers for futures contracts | 2,418,240 | |||
Offering costs (Note 5) | 71,150 | |||
Limitation by Sponsor | 34,903 | |||
|
| |||
Total assets | 16,000,281 | |||
|
| |||
Liabilities and shareholders’ equity | ||||
Liabilities | ||||
Payable on open futures contracts | 83,153 | |||
Payable for offering costs | 148,400 | |||
|
| |||
Total liabilities | 231,553 | |||
|
| |||
Commitments and Contingencies (Note 2) | ||||
Shareholders’ equity | ||||
Shareholders’ equity | 15,768,728 | |||
|
| |||
Total liabilities and shareholders’ equity | $ | 16,000,281 | ||
|
| |||
Shares outstanding | 900,008 | |||
|
| |||
Net asset value per share | $ | 17.52 | ||
|
| |||
Market value per share (Note 2) | $ | 17.63 | ||
|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively) | $ | 298,783,390 | $ | 263,260,158 | ||||
Cash | 193,070,994 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 405,057,584 | 163,045,170 | ||||||
Segregated cash balances with brokers for swap agreements | 83,160,000 | — | ||||||
Unrealized appreciation on swap agreements | 46,088,257 | — | ||||||
Receivable on open futures contracts | 117,556,776 | 149,650,221 | ||||||
Interest receivable | 1,694,276 | 653,922 | ||||||
Total assets | 1,145,411,277 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,473,947 | 1,826,653 | ||||||
Payable on open futures contracts | — | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 69,389 | 35,242 | ||||||
Payable to Sponsor | 846,663 | 450,514 | ||||||
Total liabilities | 4,389,999 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,141,021,278 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 1,145,411,277 | $ | 590,298,965 | ||||
Shares outstanding (Note 1) | 16,421,876 | 1,614,376 | ||||||
Net asset value per share (Note 1) | $ | 69.48 | $ | 363.08 | ||||
Market value per share (Note 1) (Note 2) | $ | 68.99 | $ | 355.60 | ||||
ULTRA BLOOMBERG NATURAL GAS
SEPTEMBER
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(26% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.242% due 07/18/23 | $ | 100,000,000 | $ | 99,789,580 | ||||
5.104% due 08/01/23 | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 | 50,000,000 | 49,741,500 | ||||||
5.161% due 08/10/23 | 100,000,000 | 99,456,920 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $298,722,860) | $ | 298,783,390 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
WTI Crude Oil—NYMEX, expires November 2017 | 916 | $ | 47,329,720 | $ | (2,423,370 | ) |
See accompanying notes to financial statements.
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, 2017 | January 13, 2017 (Inception) through September 30, 2017 | |||||||
Investment Income | ||||||||
Expenses | ||||||||
Brokerage commissions and fees | $ | 9,395 | $ | 17,296 | ||||
Offering costs | 37,405 | 77,250 | ||||||
Limitation by Sponsor | (12,787 | ) | (34,903 | ) | ||||
|
|
|
| |||||
Total expenses | 34,013 | 59,643 | ||||||
|
|
|
| |||||
Net investment income (loss) | (34,013 | ) | (59,643 | ) | ||||
|
|
|
| |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (1,540,337 | ) | 232,006 | |||||
|
|
|
| |||||
Net realized gain (loss) | (1,540,337 | ) | 232,006 | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on | ||||||||
Futures contracts | (2,178,096 | ) | (2,423,370 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (2,178,096 | ) | (2,423,370 | ) | ||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | (3,718,433 | ) | (2,191,364 | ) | ||||
|
|
|
| |||||
Net income (loss) | $ | (3,752,446 | ) | $ | (2,251,007 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at January 13, 2017 (Inception) | $ | — | ||
Addition of 1,050,008 shares | 22,510,278 | |||
Redemption of 150,000 shares | (4,490,543 | ) | ||
|
| |||
Net addition (redemption) of 900,008 shares | 18,019,735 | |||
|
| |||
Net investment income (loss) | (59,643 | ) | ||
Net realized gain (loss) | 232,006 | |||
Change in net unrealized appreciation/depreciation | (2,423,370 | ) | ||
|
| |||
Net income (loss) | (2,251,007 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 15,768,728 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*
STATEMENT OF CASH FLOWS
(unaudited)
January 13, 2017 (Inception) through September 30, 2017 | ||||
Cash flow from operating activities | ||||
Net income (loss) | $ | (2,251,007 | ) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (2,418,240 | ) | ||
Decrease (Increase) in Limitation by Sponsor | (34,903 | ) | ||
Change in offering cost | (71,150 | ) | ||
Increase (Decrease) in payable on futures contracts | 83,153 | |||
Increase (Decrease) in payable for offering costs | 148,400 | |||
|
| |||
Net cash provided by (used in) operating activities | (4,543,747 | ) | ||
|
| |||
Cash flow from financing activities | ||||
Proceeds from addition of shares | 22,510,278 | |||
Payment on shares redeemed | (4,490,543 | ) | ||
|
| |||
Net cash provided by (used in) financing activities | 18,019,735 | |||
|
| |||
Net increase (decrease) in cash | 13,475,988 | |||
Cash, beginning of period | — | |||
|
| |||
Cash, end of period | $ | 13,475,988 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 2,116,845 | $ | 326,631 | ||||
Segregated cash balances with brokers for futures contracts | 780,120 | 710,655 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 2,998,697 | 2,899,151 | ||||||
Receivable on open futures contracts | 31,017 | 105,872 | ||||||
|
|
|
| |||||
Total assets | 5,926,679 | 4,042,309 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and fees payable | — | 144 | ||||||
Payable to Sponsor | 5,245 | 3,371 | ||||||
|
|
|
| |||||
Total liabilities | 5,245 | 3,515 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 5,921,434 | 4,038,794 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 5,926,679 | $ | 4,042,309 | ||||
|
|
|
| |||||
Shares outstanding | 174,832 | 174,832 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 33.87 | $ | 23.10 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 33.64 | $ | 23.05 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | $ | 3,000,000 | $ | 2,998,697 | ||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 2,998,697 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Natural Gas—NYMEX, expires November 2017 | 394 | $ | 11,847,580 | $ | 348,521 |
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 11,436 | $ | 2,395 | $ | 25,909 | $ | 16,513 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 18,019 | 13,043 | 51,110 | 70,066 | ||||||||||||
Brokerage commissions and fees | 7,316 | 8,608 | 19,673 | 53,910 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 25,335 | 21,651 | 70,783 | 123,976 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (13,899 | ) | (19,256 | ) | (44,874 | ) | (107,463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (151,368 | ) | (101,997 | ) | 1,756,252 | 455,516 | ||||||||||
Short-term U.S. government and agency obligations | (75 | ) | 434 | (334 | ) | 3,438 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (151,443 | ) | (101,563 | ) | 1,755,918 | 458,954 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 615,201 | 712,984 | 830,552 | 2,803,566 | ||||||||||||
Short-term U.S. government and agency obligations | 555 | (161 | ) | 249 | (75 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 615,756 | 712,823 | 830,801 | 2,803,491 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 464,313 | 611,260 | 2,586,719 | 3,262,445 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 450,414 | $ | 592,004 | $ | 2,541,845 | $ | 3,154,982 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 4,038,794 | ||
Addition of 300,000 shares | 9,317,576 | |||
Redemption of 300,000 shares | (9,976,781 | ) | ||
|
| |||
Net addition (redemption) of 0 shares | (659,205 | ) | ||
|
| |||
Net investment income (loss) | (44,874 | ) | ||
Net realized gain (loss) | 1,755,918 | |||
Change in net unrealized appreciation/depreciation | 830,801 | |||
|
| |||
Net income (loss) | 2,541,845 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 5,921,434 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 2,541,845 | $ | 3,154,982 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (69,465 | ) | 917,015 | |||||
Purchases of short-term U.S. government and agency obligations | (17,971,116 | ) | (42,200,053 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 17,897,394 | 45,636,490 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (25,909 | ) | (16,513 | ) | ||||
Net realized gain (loss) on investments | 334 | (3,438 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (249 | ) | 75 | |||||
Decrease (Increase) in receivable on futures contracts | 74,855 | (159,924 | ) | |||||
Increase (Decrease) in payable to Sponsor | 1,874 | (6,510 | ) | |||||
Increase (Decrease) in brokerage commissions and fees payable | (144 | ) | (1,499 | ) | ||||
Increase (Decrease) in payable on futures contracts | — | (785,170 | ) | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 2,449,419 | 6,535,455 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 9,317,576 | 37,311,510 | ||||||
Payment on shares redeemed | (9,976,781 | ) | (44,580,216 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (659,205 | ) | (7,268,706 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | 1,790,214 | (733,251 | ) | |||||
Cash, beginning of period | 326,631 | 1,099,140 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 2,116,845 | $ | 365,889 | ||||
|
|
|
|
See accompanying notes to financial statements.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 1,104,112 | $ | 120,840 | ||||
Segregated cash balances with brokers for futures contracts | 10,780 | 13,200 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 34,940,087 | 60,540,555 | ||||||
Unrealized appreciation on forward agreements | 2,961,605 | 3,033,566 | ||||||
Receivable on open futures contracts | 600 | 1,280 | ||||||
|
|
|
| |||||
Total assets | 39,017,184 | 63,709,441 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,563,259 | — | ||||||
Payable to Sponsor | 27,142 | 55,794 | ||||||
|
|
|
| |||||
Total liabilities | 3,590,401 | 55,794 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 35,426,783 | 63,653,647 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 39,017,184 | $ | 63,709,441 | ||||
|
|
|
| |||||
Shares outstanding | 496,978 | 696,978 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 71.28 | $ | 91.33 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 71.55 | $ | 90.54 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.062% due 10/05/17† | $ | 11,000,000 | $ | 10,999,321 | ||||
0.991% due 11/30/17† | 2,000,000 | 1,996,771 | ||||||
0.972% due 12/07/17† | 3,000,000 | 2,994,583 | ||||||
0.987% due 12/14/17† | 5,000,000 | 4,990,267 | ||||||
1.002% due 01/04/18 | 6,000,000 | 5,984,020 | ||||||
1.001% due 01/11/18 | 5,000,000 | 4,985,902 | ||||||
1.040% due 02/01/18 | 3,000,000 | 2,989,223 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 34,940,087 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Gold Futures—COMEX, expires December 2017 | 2 | $ | 256,960 | $ | (9,540 | ) |
Forward Agreements^
Rate Paid (Received)* | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value** | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold | (1.30 | )% | 10/05/17 | $ | (16,100 | ) | $ | (20,663,223 | ) | $ | 1,045,390 | |||||||||
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold | (1.06 | ) | 10/05/17 | (16,898 | ) | (21,687,062 | ) | 835,086 | ||||||||||||
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold | (1.01 | ) | 10/05/17 | (4,800 | ) | (6,160,368 | ) | 267,146 | ||||||||||||
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold | (1.05 | ) | 10/05/17 | (17,250 | ) | (22,138,823 | ) | 813,983 | ||||||||||||
|
| |||||||||||||||||||
$ | 2,961,605 | |||||||||||||||||||
|
|
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires September 2023 | 71,349 | $ | 1,979,221,260 | $ | 248,335,437 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex | 0.50 | % | 07/06/23 | $ | 148,091,216 | $ | 22,537,665 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 07/06/23 | 101,183,890 | 15,398,946 | ||||||||||||
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex | 0.32 | 07/06/23 | 52,717,728 | 8,028,280 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 07/06/23 | 810,173 | 123,366 | ||||||||||||
Total Unrealized Appreciation | | $ | 46,088,257 | |||||||||||||
^ | The positions and counterparties herein are as of |
^^ | Rates shown |
* | Reflects the floating financing rate, as of |
See accompanying notes to financial statements.
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 85,802 | $ | 44,515 | $ | 202,149 | $ | 118,780 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 86,766 | 163,622 | 268,125 | 469,612 | ||||||||||||
Brokerage commissions and fees | 10 | 8 | 39 | 33 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 86,776 | 163,630 | 268,164 | 469,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (974 | ) | (119,115 | ) | (66,015 | ) | (350,865 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (640 | ) | (7,340 | ) | 5,119 | (45,820 | ) | |||||||||
Forward agreements | (2,643,515 | ) | (10,289,193 | ) | (10,944,071 | ) | (29,919,349 | ) | ||||||||
Short-term U.S. government and agency obligations | (96 | ) | 164 | (1,168 | ) | (779 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (2,644,251 | ) | (10,296,369 | ) | (10,940,120 | ) | (29,965,948 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (6,520 | ) | 9,400 | (28,520 | ) | (3,420 | ) | |||||||||
Forward agreements | 305,626 | 9,761,395 | (71,961 | ) | (228,387 | ) | ||||||||||
Short-term U.S. government and agency obligations | 1,228 | 2,460 | 493 | 6,758 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 300,334 | 9,773,255 | (99,988 | ) | (225,049 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (2,343,917 | ) | (523,114 | ) | (11,040,108 | ) | (30,190,997 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (2,344,891 | ) | $ | (642,229 | ) | $ | (11,106,123 | ) | $ | (30,541,862 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT GOLD
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 63,653,647 | ||
Addition of 300,000 shares | 22,375,636 | |||
Redemption of 500,000 shares | (39,496,377 | ) | ||
|
| |||
Net addition (redemption) of (200,000) shares | (17,120,741 | ) | ||
|
| |||
Net investment income (loss) | (66,015 | ) | ||
Net realized gain (loss) | (10,940,120 | ) | ||
Change in net unrealized appreciation/depreciation | (99,988 | ) | ||
|
| |||
Net income (loss) | (11,106,123 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 35,426,783 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (11,106,123 | ) | $ | (30,541,862 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 2,420 | 79,370 | ||||||
Decrease (Increase) in segregated cash balances with brokers for forward agreements | — | (7,835,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (136,758,217 | ) | (205,754,520 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 162,560,129 | 212,008,993 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (202,119 | ) | (118,780 | ) | ||||
Net realized gain (loss) on investments | 1,168 | 779 | ||||||
Change in unrealized appreciation/depreciation on investments | 71,468 | 221,629 | ||||||
Decrease (Increase) in receivable on futures contracts | 680 | (1,320 | ) | |||||
Increase (Decrease) in payable to Sponsor | (28,652 | ) | (625 | ) | ||||
Increase (Decrease) in payable on futures contracts | — | (80 | ) | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 14,540,754 | (31,941,416 | ) | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 22,375,636 | 79,236,729 | ||||||
Payment on shares redeemed | (35,933,118 | ) | (47,301,845 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (13,557,482 | ) | 31,934,884 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | 983,272 | (6,532 | ) | |||||
Cash, beginning of period | 120,840 | 151,638 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 1,104,112 | $ | 145,106 | ||||
|
|
|
|
See accompanying notes to financial statements.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 2,077,196 | $ | 86,051 | ||||
Segregated cash balances with brokers for futures contracts | 12,980 | 14,300 | ||||||
Segregated cash balances with brokers for forward agreements | 738,500 | — | ||||||
Short-term U.S. government and agency obligations (Note 3) | 17,966,229 | 21,550,319 | ||||||
Unrealized appreciation on forward agreements | 2,152,433 | 1,384,246 | ||||||
Receivable on open futures contracts | 1,510 | 2,290 | ||||||
|
|
|
| |||||
Total assets | 22,948,848 | 23,037,206 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 15,171 | 19,550 | ||||||
|
|
|
| |||||
Total liabilities | 15,171 | 19,550 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 22,933,677 | 23,017,656 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 22,948,848 | $ | 23,037,206 | ||||
|
|
|
| |||||
Shares outstanding | 716,976 | 616,976 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 31.99 | $ | 37.31 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 32.78 | $ | 38.76 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.088% due 10/26/17† | $ | 4,000,000 | $ | 3,997,507 | ||||
0.962% due 11/30/17† | 6,000,000 | 5,990,314 | ||||||
1.012% due 12/07/17† | 4,000,000 | 3,992,777 | ||||||
1.040% due 02/01/18 | 4,000,000 | 3,985,631 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 17,966,229 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Silver Futures—COMEX, expires December 2017 | 2 | $ | 166,760 | $ | 4,940 |
Forward Agreements^
Rate Paid (Received)* | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value** | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver | (1.40 | )% | 10/05/17 | $ | (953,000 | ) | $ | (16,071,964 | ) | $ | 775,445 | |||||||||
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver | (1.18 | ) | 10/05/17 | (786,500 | ) | (13,263,851 | ) | 671,956 | ||||||||||||
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver | (1.14 | ) | 10/05/17 | (156,000 | ) | (2,630,862 | ) | 143,987 | ||||||||||||
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver | (1.13 | ) | 10/05/17 | (814,000 | ) | (13,727,622 | ) | 561,045 | ||||||||||||
|
| |||||||||||||||||||
$2,152,433 | ||||||||||||||||||||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 44,411 | $ | 22,794 | $ | 103,317 | $ | 71,536 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 46,737 | 86,864 | 143,542 | 281,605 | ||||||||||||
Brokerage commissions and fees | 10 | 8 | 39 | 33 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 46,747 | 86,872 | 143,581 | 281,638 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (2,336 | ) | (64,078 | ) | (40,264 | ) | (210,102 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (2,193 | ) | (15,410 | ) | 18,357 | (44,810 | ) | |||||||||
Forward agreements | (464,978 | ) | (14,850,460 | ) | (2,711,677 | ) | (26,610,382 | ) | ||||||||
Short-term U.S. government and agency obligations | (46 | ) | 65 | (190 | ) | (2,307 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (467,217 | ) | (14,865,805 | ) | (2,693,510 | ) | (26,657,499 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 2,560 | 10,700 | (22,370 | ) | (7,450 | ) | ||||||||||
Forward agreements | (396,316 | ) | 9,496,558 | 768,187 | (4,259,746 | ) | ||||||||||
Short-term U.S. government and agency obligations | 29 | 2,046 | (33 | ) | 3,511 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (393,727 | ) | 9,509,304 | 745,784 | (4,263,685 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (860,944 | ) | (5,356,501 | ) | (1,947,726 | ) | (30,921,184 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (863,280 | ) | $ | (5,420,579 | ) | $ | (1,987,990 | ) | $ | (31,131,286 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT SILVER
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 23,017,656 | ||
Addition of 700,000 shares | 22,025,198 | |||
Redemption of 600,000 shares | (20,121,187 | ) | ||
|
| |||
Net addition (redemption) of 100,000 shares | 1,904,011 | |||
|
| |||
Net investment income (loss) | (40,264 | ) | ||
Net realized gain (loss) | (2,693,510 | ) | ||
Change in net unrealized appreciation/depreciation | 745,784 | |||
|
| |||
Net income (loss) | (1,987,990 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 22,933,677 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,987,990 | ) | $ | (31,131,286 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 1,320 | (110 | ) | |||||
Decrease (Increase) in segregated cash balances with brokers for forward agreements | (738,500 | ) | (1,544,000 | ) | ||||
Purchases of short-term U.S. government and agency obligations | (91,865,007 | ) | (126,343,449 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 95,552,158 | 138,366,905 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (103,284 | ) | (71,536 | ) | ||||
Net realized gain (loss) on investments | 190 | 2,307 | ||||||
Change in unrealized appreciation/depreciation on investments | (768,154 | ) | 4,256,235 | |||||
Decrease (Increase) in receivable on futures contracts | 780 | 390 | ||||||
Increase (Decrease) in payable to Sponsor | (4,379 | ) | (14,530 | ) | ||||
Increase (Decrease) in payable on futures contracts | — | 930 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 87,134 | (16,478,144 | ) | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 22,025,198 | 67,362,064 | ||||||
Payment on shares redeemed | (20,121,187 | ) | (51,232,577 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 1,904,011 | 16,129,487 | ||||||
|
|
|
| |||||
Net increase (decrease) in cash | 1,991,145 | (348,657 | ) | |||||
Cash, beginning of period | 86,051 | 514,784 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 2,077,196 | $ | 166,127 | ||||
|
|
|
|
See accompanying notes to financial statements.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 1,990,375 | $ | 2,292,012 | ||||
Segregated cash balances with brokers for futures contracts | 127,050 | 402,600 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 5,998,433 | 13,164,828 | ||||||
|
|
|
| |||||
Total assets | 8,115,858 | 15,859,440 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 16,156 | 76,666 | ||||||
Payable to Sponsor | 6,264 | 12,686 | ||||||
|
|
|
| |||||
Total liabilities | 22,420 | 89,352 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 8,093,438 | 15,770,088 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 8,115,858 | $ | 15,859,440 | ||||
|
|
|
| |||||
Shares outstanding | 200,000 | 350,000 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 40.47 | $ | 45.06 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 40.56 | $ | 45.12 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.089% due 10/12/17 | $ | 6,000,000 | $ | 5,998,433 | ||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 5,998,433 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Euro Fx Currency Futures—CME, expires December 2017 | 55 | $ | 8,156,844 | $ | 106,206 |
See accompanying notes to financial statements.
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 18,865 | $ | 8,177 | $ | 57,345 | $ | 22,846 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 21,606 | 36,752 | 92,259 | 116,244 | ||||||||||||
Brokerage commissions and fees | 330 | 580 | 1,433 | 2,009 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 21,936 | 37,332 | 93,692 | 118,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (3,071 | ) | (29,155 | ) | (36,347 | ) | (95,407 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (599,482 | ) | 327,212 | (1,334,988 | ) | (199,588 | ) | |||||||||
Short-term U.S. government and agency obligations | (107 | ) | (2 | ) | (384 | ) | 31 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (599,589 | ) | 327,210 | (1,335,372 | ) | (199,557 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 291,787 | (488,475 | ) | (26,694 | ) | (270,444 | ) | |||||||||
Short-term U.S. government and agency obligations | 326 | 1,265 | 404 | 1,652 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 292,113 | (487,210 | ) | (26,290 | ) | (268,792 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (307,476 | ) | (160,000 | ) | (1,361,662 | ) | (468,349 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (310,547 | ) | $ | (189,155 | ) | $ | (1,398,009 | ) | $ | (563,756 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES SHORT EURO
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 15,770,088 | ||
Redemption of 150,000 shares | (6,278,641 | ) | ||
|
| |||
Net addition (redemption) of (150,000) shares | (6,278,641 | ) | ||
|
| |||
Net investment income (loss) | (36,347 | ) | ||
Net realized gain (loss) | (1,335,372 | ) | ||
Change in net unrealized appreciation/depreciation | (26,290 | ) | ||
|
| |||
Net income (loss) | (1,398,009 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 8,093,438 | ||
|
|
See accompanying notes to financial statements.
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,398,009 | ) | $ | (563,756 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 275,550 | 116,820 | ||||||
Purchases of short-term U.S. government and agency obligations | (45,940,009 | ) | (42,155,511 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 53,163,769 | 44,640,933 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (57,345 | ) | (22,846 | ) | ||||
Net realized gain (loss) on investments | 384 | (31 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (404 | ) | (1,652 | ) | ||||
Decrease (Increase) in receivable on futures contracts | — | 84,235 | ||||||
Increase (Decrease) in payable to Sponsor | (6,422 | ) | (2,556 | ) | ||||
Increase (Decrease) in payable on futures contracts | (60,510 | ) | 32,813 | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 5,977,004 | 2,128,449 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | — | 2,109,382 | ||||||
Payment on shares redeemed | (6,278,641 | ) | (4,280,745 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (6,278,641 | ) | (2,171,363 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | (301,637 | ) | (42,914 | ) | ||||
Cash, beginning of period | 2,292,012 | 1,783,802 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 1,990,375 | $ | 1,740,888 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 729,356 | $ | 2,834,389 | ||||
Segregated cash balances with brokers for futures contracts | 370,040 | 914,760 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 7,997,911 | 12,909,619 | ||||||
Receivable on open futures contracts | 34,800 | — | ||||||
|
|
|
| |||||
Total assets | 9,132,107 | 16,658,768 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 32,340 | ||||||
Payable to Sponsor | 6,902 | 12,955 | ||||||
|
|
|
| |||||
Total liabilities | 6,902 | 45,295 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 9,125,205 | 16,613,473 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 9,132,107 | $ | 16,658,768 | ||||
|
|
|
| |||||
Shares outstanding | 200,000 | 300,000 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 45.63 | $ | 55.38 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 45.85 | $ | 55.24 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.089% due 10/12/17 | $ | 8,000,000 | $ | 7,997,911 | ||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 7,997,911 | ||||||
|
|
Futures Contracts Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Australian Dollar Fx Currency Futures—CME, expires December 2017 | 232 | $ | 18,179,520 | $ | 379,490 |
See accompanying notes to financial statements.
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 23,090 | $ | 12,198 | $ | 58,614 | $ | 32,241 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 24,991 | 42,820 | 94,837 | 136,306 | ||||||||||||
Brokerage commissions and fees | 1,555 | 3,267 | 6,088 | 11,011 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 26,546 | 46,087 | 100,925 | 147,317 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (3,456 | ) | (33,889 | ) | (42,311 | ) | (115,076 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (1,453,355 | ) | (318,842 | ) | (1,920,606 | ) | (2,462,334 | ) | ||||||||
Short-term U.S. government and agency obligations | (22 | ) | 1 | (177 | ) | 220 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (1,453,377 | ) | (318,841 | ) | (1,920,783 | ) | (2,462,114 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 837,800 | (971,687 | ) | (802,850 | ) | (495,700 | ) | |||||||||
Short-term U.S. government and agency obligations | (14 | ) | 561 | 843 | 2,074 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 837,786 | (971,126 | ) | (802,007 | ) | (493,626 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (615,591 | ) | (1,289,967 | ) | (2,722,790 | ) | (2,955,740 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (619,047 | ) | $ | (1,323,856 | ) | $ | (2,765,101 | ) | $ | (3,070,816 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 16,613,473 | ||
Redemption of 100,000 shares | (4,723,167 | ) | ||
|
| |||
Net addition (redemption) of (100,000) shares | (4,723,167 | ) | ||
|
| |||
Net investment income (loss) | (42,311 | ) | ||
Net realized gain (loss) | (1,920,783 | ) | ||
Change in net unrealized appreciation/depreciation | (802,007 | ) | ||
|
| |||
Net income (loss) | (2,765,101 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 9,125,205 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (2,765,101 | ) | $ | (3,070,816 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 544,720 | (845,815 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (57,937,852 | ) | (36,174,367 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 62,908,840 | 39,618,751 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (58,614 | ) | (32,241 | ) | ||||
Net realized gain (loss) on investments | 177 | (220 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (843 | ) | (2,074 | ) | ||||
Decrease (Increase) in receivable on futures contracts | (34,800 | ) | 52,491 | |||||
Increase (Decrease) in payable to Sponsor | (6,053 | ) | (2,874 | ) | ||||
Increase (Decrease) in payable on futures contracts | (32,340 | ) | 79,209 | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 2,618,134 | (377,956 | ) | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Payment on shares redeemed | (4,723,167 | ) | (314 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (4,723,167 | ) | (314 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | (2,105,033 | ) | (378,270 | ) | ||||
Cash, beginning of period | 2,834,389 | 1,958,996 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 729,356 | $ | 1,580,726 | ||||
|
|
|
|
See accompanying notes to financial statements.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 2,120,743 | $ | 2,916,502 | ||||
Short-term U.S. government and agency obligations (Note 3) | 219,684,550 | 337,375,787 | ||||||
Unrealized appreciation on foreign currency forward contracts | 4,465,552 | 16,519,070 | ||||||
Receivable from capital shares sold | 1,091,561 | — | ||||||
|
|
|
| |||||
Total assets | 227,362,406 | 356,811,359 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 6,771,472 | ||||||
Payable to Sponsor | 175,643 | 291,098 | ||||||
Unrealized depreciation on foreign currency forward contracts | 565,859 | 356,139 | ||||||
|
|
|
| |||||
Total liabilities | 741,502 | 7,418,709 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 226,620,904 | 349,392,650 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 227,362,406 | $ | 356,811,359 | ||||
|
|
|
| |||||
Shares outstanding | 10,450,000 | 12,900,000 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 21.69 | $ | 27.08 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 21.68 | $ | 27.08 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
0.998% due 10/05/17 | $ | 9,000,000 | $ | 8,999,445 | ||||
1.057% due 10/12/17† | 40,000,000 | 39,989,556 | ||||||
1.013% due 10/19/17† | 11,000,000 | 10,995,221 | ||||||
1.015% due 10/26/17† | 41,000,000 | 40,974,445 | ||||||
0.998% due 11/02/17 | 10,000,000 | 9,991,776 | ||||||
1.079% due 11/09/17† | 20,000,000 | 19,979,734 | ||||||
0.982% due 11/16/17† | 2,000,000 | 1,997,613 | ||||||
0.962% due 11/30/17† | 7,000,000 | 6,988,700 | ||||||
0.987% due 12/14/17† | 18,000,000 | 17,964,959 | ||||||
1.002% due 01/04/18 | 7,000,000 | 6,981,357 | ||||||
1.001% due 01/11/18 | 25,000,000 | 24,929,510 | ||||||
1.040% due 02/01/18 | 30,000,000 | 29,892,234 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 219,684,550 | ||||||
|
|
Foreign Currency Forward Contracts^
Settlement Date | Local Currency | Notional Amount at Value (USD) | Unrealized Appreciation (Depreciation) | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/17 | 3,175,800 | $ | 3,754,078 | $ | (42,918 | ) | |||||||||
Euro with UBS AG | 10/06/17 | 35,067,900 | 41,453,378 | (522,941 | ) | |||||||||||
|
| |||||||||||||||
$(565,859) | ||||||||||||||||
|
| |||||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/17 | (194,781,925 | ) | $ | (230,249,569 | ) | $ | 2,076,933 | ||||||||
Euro with UBS AG | 10/06/17 | (226,747,400 | ) | (268,035,604 | ) | 2,388,619 | ||||||||||
|
| |||||||||||||||
$4,465,552 | ||||||||||||||||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 559,862 | $ | 248,831 | $ | 1,452,945 | $ | 765,698 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 537,193 | 906,488 | 1,914,770 | 2,894,802 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 537,193 | 906,488 | 1,914,770 | 2,894,802 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 22,669 | (657,657 | ) | (461,825 | ) | (2,129,104 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (24,505,520 | ) | (5,537,097 | ) | (45,334,575 | ) | (60,591,547 | ) | ||||||||
Short-term U.S. government and agency obligations | (1,394 | ) | 1,655 | (3,856 | ) | 37 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (24,506,914 | ) | (5,535,442 | ) | (45,338,431 | ) | (60,591,510 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Foreign currency forward contracts | 10,103,133 | (2,518,631 | ) | (12,263,238 | ) | 30,435,313 | ||||||||||
Short-term U.S. government and agency obligations | 4,959 | 2,404 | 8,176 | 33,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 10,108,092 | (2,516,227 | ) | (12,255,062 | ) | 30,468,759 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (14,398,822 | ) | (8,051,669 | ) | (57,593,493 | ) | (30,122,751 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (14,376,153 | ) | $ | (8,709,326 | ) | $ | (58,055,318 | ) | $ | (32,251,855 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT EURO
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 349,392,650 | ||
Addition of 1,800,000 shares | 41,062,646 | |||
Redemption of 4,250,000 shares | (105,779,074 | ) | ||
|
| |||
Net addition (redemption) of (2,450,000) shares | (64,716,428 | ) | ||
|
| |||
Net investment income (loss) | (461,825 | ) | ||
Net realized gain (loss) | (45,338,431 | ) | ||
Change in net unrealized appreciation/depreciation | (12,255,062 | ) | ||
|
| |||
Net income (loss) | (58,055,318 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 226,620,904 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (58,055,318 | ) | $ | (32,251,855 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts | — | (15,803,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (1,194,312,964 | ) | (1,046,594,054 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 1,313,461,466 | 1,240,067,697 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (1,452,945 | ) | (765,698 | ) | ||||
Net realized gain (loss) on investments | 3,856 | (37 | ) | |||||
Change in unrealized appreciation/depreciation on investments | 12,255,062 | (30,468,759 | ) | |||||
Increase (Decrease) in payable to Sponsor | (115,455 | ) | (124,210 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 71,783,702 | 114,060,084 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 39,971,085 | 15,418,329 | ||||||
Payment on shares redeemed | (112,550,546 | ) | (139,665,636 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (72,579,461 | ) | (124,247,307 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | (795,759 | ) | (10,187,223 | ) | ||||
Cash, beginning of period | 2,916,502 | 10,372,583 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 2,120,743 | $ | 185,360 | ||||
|
|
|
|
See accompanying notes to financial statements.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 1,506,225 | $ | 3,166,988 | ||||
Short-term U.S. government and agency obligations (Note 3) | 137,818,917 | 257,102,313 | ||||||
Unrealized appreciation on foreign currency forward contracts | 9,817,020 | 16,870,357 | ||||||
|
|
|
| |||||
Total assets | 149,142,162 | 277,139,658 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 112,920 | 232,491 | ||||||
Unrealized depreciation on foreign currency forward contracts | 570,141 | 125,420 | ||||||
|
|
|
| |||||
Total liabilities | 683,061 | 357,911 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 148,459,101 | 276,781,747 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 149,142,162 | $ | 277,139,658 | ||||
|
|
|
| |||||
Shares outstanding | 1,999,290 | 3,449,290 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 74.26 | $ | 80.24 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 74.21 | $ | 80.25 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
0.998% due 10/05/17 | $ | 15,000,000 | $ | 14,999,075 | ||||
1.075% due 10/12/17† | 39,000,000 | 38,989,817 | ||||||
0.992% due 10/26/17 | 9,000,000 | 8,994,390 | ||||||
1.079% due 11/09/17† | 25,000,000 | 24,974,667 | ||||||
0.962% due 11/30/17† | 17,000,000 | 16,972,557 | ||||||
1.001% due 01/11/18 | 9,000,000 | 8,974,624 | ||||||
1.040% due 02/01/18 | 24,000,000 | 23,913,787 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 137,818,917 | ||||||
|
|
Foreign Currency Forward Contracts^
Settlement Date | Local Currency | Notional Amount at Value (USD) | Unrealized Appreciation (Depreciation) | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/17 | 571,833,200 | $ | 5,082,606 | $ | (229,963 | ) | |||||||||
Yen with UBS AG | 10/06/17 | 2,539,647,800 | 22,573,065 | (340,178 | ) | |||||||||||
|
| |||||||||||||||
$ | (570,141 | ) | ||||||||||||||
|
| |||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/17 | (17,548,070,400 | ) | $ | (155,971,917 | ) | $ | 4,818,307 | ||||||||
Yen with UBS AG | 10/06/17 | (18,981,034,100 | ) | (168,708,480 | ) | 4,998,713 | ||||||||||
|
| |||||||||||||||
$ | 9,817,020 | |||||||||||||||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 389,160 | $ | 155,603 | $ | 1,072,691 | $ | 328,442 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 376,339 | 563,817 | 1,468,775 | 1,462,231 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 376,339 | 563,817 | 1,468,775 | 1,462,231 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 12,821 | (408,214 | ) | (396,084 | ) | (1,133,789 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,067,853 | ) | (33,476,385 | ) | (17,529,013 | ) | (86,173,771 | ) | ||||||||
Short-term U.S. government and agency obligations | (1,081 | ) | (44 | ) | (3,903 | ) | (5,838 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (1,068,934 | ) | (33,476,429 | ) | (17,532,916 | ) | (86,179,609 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Foreign currency forward contracts | (83,509 | ) | 23,071,090 | (7,498,058 | ) | 14,006,768 | ||||||||||
Short-term U.S. government and agency obligations | 3,577 | 14,852 | 7,076 | 39,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (79,932 | ) | 23,085,942 | (7,490,982 | ) | 14,046,211 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (1,148,866 | ) | (10,390,487 | ) | (25,023,898 | ) | (72,133,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (1,136,045 | ) | $ | (10,798,701 | ) | $ | (25,419,982 | ) | $ | (73,267,187 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT YEN
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 276,781,747 | ||
Addition of 900,000 shares | 69,116,080 | |||
Redemption of 2,350,000 shares | (172,018,744 | ) | ||
|
| |||
Net addition (redemption) of (1,450,000) shares | (102,902,664 | ) | ||
|
| |||
Net investment income (loss) | (396,084 | ) | ||
Net realized gain (loss) | (17,532,916 | ) | ||
Change in net unrealized appreciation/depreciation | (7,490,982 | ) | ||
|
| |||
Net income (loss) | (25,419,982 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 148,459,101 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (25,419,982 | ) | $ | (73,267,187 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts | — | (1,274,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (919,771,798 | ) | (627,277,970 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 1,040,131,058 | 625,696,408 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (1,072,691 | ) | (328,442 | ) | ||||
Net realized gain (loss) on investments | 3,903 | 5,838 | ||||||
Change in unrealized appreciation/depreciation on investments | 7,490,982 | (14,046,211 | ) | |||||
Increase (Decrease) in payable to Sponsor | (119,571 | ) | (12,929 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 101,241,901 | (90,504,493 | ) | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 69,116,080 | 136,071,321 | ||||||
Payment on shares redeemed | (172,018,744 | ) | (45,072,219 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (102,902,664 | ) | 90,999,102 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | (1,660,763 | ) | 494,609 | |||||
Cash, beginning of period | 3,166,988 | 276,968 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 1,506,225 | $ | 771,577 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 3,555,077 | $ | 1,401,555 | ||||
Segregated cash balances with brokers for futures contracts | 15,457,200 | 20,609,600 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 562,359,737 | 885,050,007 | ||||||
Unrealized appreciation on swap agreements | 40,796,900 | 55,358,571 | ||||||
Receivable on open futures contracts | 503,050 | — | ||||||
|
|
|
| |||||
Total assets | 622,671,964 | 962,419,733 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 25,879,004 | ||||||
Payable on open futures contracts | — | 1,993,438 | ||||||
Brokerage commissions and fees payable | — | 2,332 | ||||||
Payable to Sponsor | 529,199 | 813,099 | ||||||
|
|
|
| |||||
Total liabilities | 529,199 | 28,687,873 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 622,142,765 | 933,731,860 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 622,671,964 | $ | 962,419,733 | ||||
|
|
|
| |||||
Shares outstanding | 34,761,317 | 40,013,933 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 17.90 | $ | 23.34 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 17.82 | $ | 23.36 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.053% due 10/05/17 | $ | 43,000,000 | $ | 42,997,347 | ||||
1.089% due 10/12/17 | 50,000,000 | 49,986,945 | ||||||
1.077% due 10/19/17† | 78,000,000 | 77,966,117 | ||||||
1.055% due 10/26/17† | 92,000,000 | 91,942,656 | ||||||
1.062% due 11/02/17† | 45,000,000 | 44,962,992 | ||||||
1.077% due 11/09/17† | 52,000,000 | 51,947,309 | ||||||
0.977% due 11/16/17† | 27,000,000 | 26,967,770 | ||||||
0.982% due 11/30/17† | 49,000,000 | 48,920,899 | ||||||
0.970% due 12/07/17† | 11,000,000 | 10,980,136 | ||||||
0.987% due 12/14/17† | 22,000,000 | 21,957,173 | ||||||
1.002% due 01/04/18 | 40,000,000 | 39,893,468 | ||||||
1.001% due 01/11/18 | 40,000,000 | 39,887,216 | ||||||
1.040% due 02/01/18 | 14,000,000 | 13,949,709 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 562,359,737 | ||||||
|
|
Futures Contracts Purchased
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
WTI Crude Oil—NYMEX, expires November 2017 | 5,855 | $ | 302,527,850 | $ | 13,817,653 |
Swap Agreements^
Rate Paid (Received)* | Termination Date | Notional Amount at Value** | Unrealized Appreciation (Depreciation) | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Crude OilSub-Index | 0.18 | % | 10/05/17 | $ | 332,458,695 | $ | 13,855,515 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Crude OilSub-Index | 0.25 | 10/05/17 | 242,703,814 | 11,965,958 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index | 0.25 | 10/05/17 | 115,090,880 | 4,548,744 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index | 0.25 | 10/05/17 | 251,436,908 | 10,426,683 | ||||||||||||
|
| |||||||||||||||
$ | 40,796,900 | |||||||||||||||
|
|
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
NATURAL GAS
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,819,809 | $ | 547,630 | $ | 4,436,888 | $ | 1,497,225 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 1,798,486 | 2,118,318 | 5,773,725 | 6,031,448 | ||||||||||||
Brokerage commissions and fees | 40,850 | 112,742 | 147,117 | 443,936 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,839,336 | 2,231,060 | 5,920,842 | 6,475,384 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (19,527 | ) | (1,683,430 | ) | (1,483,954 | ) | (4,978,159 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 21,413,080 | (51,064,247 | ) | (13,550,928 | ) | (14,115,761 | ) | |||||||||
Swap agreements | 24,084,165 | (195,154,381 | ) | (109,960,912 | ) | (118,756,695 | ) | |||||||||
Short-term U.S. government and agency obligations | (8,752 | ) | 2,107 | (15,001 | ) | (13,583 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 45,488,493 | (246,216,521 | ) | (123,526,841 | ) | (132,886,039 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 13,270,788 | 41,481,937 | 8,280,488 | 47,317,605 | ||||||||||||
Swap agreements | 99,552,339 | 124,100,958 | (14,561,671 | ) | 142,998,777 | |||||||||||
Short-term U.S. government and agency obligations | 6,372 | 8,186 | 35,634 | 34,191 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 112,829,499 | 165,591,081 | (6,245,549 | ) | 190,350,573 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 158,317,992 | (80,625,440 | ) | (129,772,390 | ) | 57,464,534 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 158,298,465 | $ | (82,308,870 | ) | $ | (131,256,344 | ) | $ | 52,486,375 | ||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 8,866,705 | $ | 146,470 | $ | 17,825,228 | $ | 186,051 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,588,571 | 534,624 | 4,916,981 | 931,234 | ||||||||||||
Brokerage commissions | 1,145,371 | 114,706 | 2,098,150 | 203,158 | ||||||||||||
Futures account fees | 211,785 | 63,213 | 399,478 | 134,330 | ||||||||||||
Total expenses | 3,945,727 | 712,543 | 7,414,609 | 1,268,722 | ||||||||||||
Net investment income (loss) | 4,920,978 | (566,073 | ) | 10,410,619 | (1,082,671 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (539,203,219 | ) | 164,990,694 | (1,639,994,302 | ) | 241,211,382 | ||||||||||
Swap agreements | (77,680,050 | ) | — | (38,520,261 | ) | — | ||||||||||
Short-term U.S. government and agency obligations | (3,646 | ) | — | (7,216 | ) | (3,452 | ) | |||||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | (1,678,521,779 | ) | 241,207,930 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 572,850,724 | (271,251,560 | ) | 558,949,406 | (186,220,796 | ) | ||||||||||
Swap agreements | 85,176,576 | — | 46,088,257 | — | ||||||||||||
Short-term U.S. government and agency obligations | 29,724 | (36,909 | ) | 9,671 | (199,929 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | 605,047,334 | (186,420,725 | ) | ||||||||||
Net realized and unrealized gain (loss) | 41,170,109 | (106,297,775 | ) | (1,073,474,445 | ) | 54,787,205 | ||||||||||
Net income (loss) | $ | 46,091,087 | $ | (106,863,848 | ) | $ | (1,063,063,826 | ) | $ | 53,704,534 | ||||||
STATEMENTNATURAL GAS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 933,731,860 | ||
Addition of 65,600,000 shares | 1,105,174,037 | |||
Redemption of 70,852,616 shares | (1,285,506,788 | ) | ||
|
| |||
Net addition (redemption) of (5,252,616) shares | (180,332,751 | ) | ||
|
| |||
Net investment income (loss) | (1,483,954 | ) | ||
Net realized gain (loss) | (123,526,841 | ) | ||
Change in net unrealized appreciation/depreciation | (6,245,549 | ) | ||
|
| |||
Net income (loss) | (131,256,344 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 622,142,765 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,139,983,773 | $ | 145,069,486 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1) | 814,876,179 | 549,486,344 | 3,160,825,013 | 637,366,699 | ||||||||||||
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1) | (859,929,761 | ) | (400,394,140 | ) | (1,542,891,022 | ) | (697,665,569 | ) | ||||||||
Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1) | (45,053,582 | ) | 149,092,204 | 1,617,933,991 | (60,298,870 | ) | ||||||||||
Net investment income (loss) | 4,920,978 | (566,073 | ) | 10,410,619 | (1,082,671 | ) | ||||||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | (1,678,521,779 | ) | 241,207,930 | ||||||||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | 605,047,334 | (186,420,725 | ) | ||||||||||
Net income (loss) | 46,091,087 | (106,863,848 | ) | (1,063,063,826 | ) | 53,704,534 | ||||||||||
Shareholders’ equity, end of period | $ | 1,141,021,278 | $ | 187,297,842 | $ | 1,141,021,278 | $ | 187,297,842 | ||||||||
NATURAL GAS
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (131,256,344 | ) | $ | 52,486,375 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 5,152,400 | 20,951,260 | ||||||
Decrease (Increase) in segregated cash balances with brokers for swap agreements | — | (26,365,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (3,682,731,284 | ) | (2,817,353,950 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 4,009,879,074 | 2,735,827,019 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (4,436,887 | ) | (1,497,225 | ) | ||||
Net realized gain (loss) on investments | 15,001 | 13,583 | ||||||
Change in unrealized appreciation/depreciation on investments | 14,526,037 | (143,032,968 | ) | |||||
Decrease (Increase) in receivable on futures contracts | (503,050 | ) | 1,997,369 | |||||
Decrease (Increase) in receivable for investments sold | — | (17,625,333 | ) | |||||
Increase (Decrease) in payable to Sponsor | (283,900 | ) | 59,439 | |||||
Increase (Decrease) in brokerage commissions and fees payable | (2,332 | ) | (14,848 | ) | ||||
Increase (Decrease) in payable on futures contracts | (1,993,438 | ) | — | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 208,365,277 | (194,554,279 | ) | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,105,174,037 | 879,143,549 | ||||||
Payment on shares redeemed | (1,311,385,792 | ) | (683,302,233 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (206,211,755 | ) | 195,841,316 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | 2,153,522 | 1,287,037 | ||||||
Cash, beginning of period | 1,401,555 | 4,008,379 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 3,555,077 | $ | 5,295,416 | ||||
|
|
|
|
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,063,063,826 | ) | $ | 53,704,534 | |||
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 | (10,025,950,123 | ) | (520,892,453 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 9,997,363,885 | 505,991,302 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (6,934,539 | ) | (119,696 | ) | ||||
Net realized (gain) loss on investments | 7,216 | 3,452 | ||||||
Change in unrealized (appreciation) depreciation on investments | (46,097,928 | ) | 199,929 | |||||
Decrease (Increase) in receivable on open futures contracts | 32,093,445 | 20,455,330 | ||||||
Decrease (Increase) in interest receivable | (1,040,354 | ) | (38,738 | ) | ||||
Increase (Decrease) in payable to Sponsor | 396,149 | 68,086 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 34,147 | (57,121 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,835,443 | ) | 26,800,768 | |||||
Net cash provided by (used in) operating activities | (1,115,027,371 | ) | 86,115,393 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,160,825,013 | 638,028,828 | ||||||
Payment on shares redeemed | (1,541,243,728 | ) | (691,677,317 | ) | ||||
Net cash provided by (used in) financing activities | 1,619,581,285 | (53,648,489 | ) | |||||
Net increase (decrease) in cash | 504,553,914 | 32,466,904 | ||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 681,288,578 | $ | 86,602,629 | ||||
STATEMENTULTRA EURO
September 30, 2017 (unaudited) | ||||
Assets | ||||
Cash | $ | 6,451,760 | ||
Segregated cash balances with brokers for futures contracts | 1,161,600 | |||
Receivable on open futures contracts | 42,870 | |||
Offering costs (Note 5) | 71,150 | |||
Limitation by Sponsor | 2,484 | |||
|
| |||
Total assets | 7,729,864 | |||
|
| |||
Liabilities and shareholders’ equity | ||||
Liabilities | ||||
Payable for offering costs | 148,400 | |||
|
| |||
Total liabilities | 148,400 | |||
|
| |||
Commitments and Contingencies (Note 2) | ||||
Shareholders’ equity | ||||
Shareholders’ equity | 7,581,464 | |||
|
| |||
Total liabilities and shareholders’ equity | $ | 7,729,864 | ||
|
| |||
Shares outstanding | 300,008 | |||
|
| |||
Net asset value per share | $ | 25.27 | ||
|
| |||
Market value per share (Note 2) | $ | 25.09 | ||
|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 6,440,727 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 833,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 241,390 | 514,115 | ||||||
Interest receivable | 28,208 | 40,421 | ||||||
Total assets | 7,543,325 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 6,188 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,702 | 98,459 | ||||||
Total liabilities | 7,890 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 7,535,435 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 7,543,325 | $ | 10,813,954 | ||||
Shares outstanding | 650,000 | 950,000 | ||||||
Net asset value per share | $ | 11.59 | $ | 11.27 | ||||
Market value per share (Note 2) | $ | 11.61 | $ | 11.26 | ||||
ULTRA EURO
SEPTEMBER
2023
Futures Contracts Purchased
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
WTI Crude Oil—NYMEX, expires November 2017 | 440 | $ | 22,734,800 | $ | 1,272,779 |
See accompanying notes to financial statements.
PROSHARES ULTRAPRO 3X CRUDE OIL ETF*
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, 2017 | January 13, 2017 (Inception) through September 30, 2017 | |||||||
Investment Income | ||||||||
Expenses | ||||||||
Brokerage commissions and fees | $ | 13,100 | $ | 24,374 | ||||
Offering costs | 37,405 | 77,250 | ||||||
Limitation by Sponsor | — | (2,484 | ) | |||||
Reduction in Limitation by Sponsor | 5,818 | — | ||||||
|
|
|
| |||||
Total expenses | 56,323 | 99,140 | ||||||
|
|
|
| |||||
Net investment income (loss) | (56,323 | ) | (99,140 | ) | ||||
|
|
|
| |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 4,971,742 | 3,137,907 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 4,971,742 | 3,137,907 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on | ||||||||
Futures contracts | 694,326 | 1,272,779 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 694,326 | 1,272,779 | ||||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | 5,666,068 | 4,410,686 | ||||||
|
|
|
| |||||
Net income (loss) | $ | 5,609,745 | $ | 4,311,546 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at January 13, 2017 (Inception) | $ | — | ||
Addition of 1,400,008 shares | 29,606,619 | |||
Redemption of 1,100,000 shares | (26,336,701 | ) | ||
|
| |||
Net addition (redemption) of 300,008 shares | 3,269,918 | |||
|
| |||
Net investment income (loss) | (99,140 | ) | ||
Net realized gain (loss) | 3,137,907 | |||
Change in net unrealized appreciation/depreciation | 1,272,779 | |||
|
| |||
Net income (loss) | 4,311,546 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 7,581,464 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRAPRO 3X CRUDE OIL ETF*
STATEMENT OF CASH FLOWS
(unaudited)
January 13, 2017 (Inception) through September 30, 2017 | ||||
Cash flow from operating activities | ||||
Net income (loss) | $ | 4,311,546 | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (1,161,600 | ) | ||
Decrease (Increase) in receivable on futures contracts | (42,870 | ) | ||
Decrease (Increase) in Limitation by Sponsor | (2,484 | ) | ||
Change in offering cost | (71,150 | ) | ||
Increase (Decrease) in payable for offering costs | 148,400 | |||
|
| |||
Net cash provided by (used in) operating activities | 3,181,842 | |||
|
| |||
Cash flow from financing activities | ||||
Proceeds from addition of shares | 29,606,619 | |||
Payment on shares redeemed | (26,336,701 | ) | ||
|
| |||
Net cash provided by (used in) financing activities | 3,269,918 | |||
|
| |||
Net increase (decrease) in cash | 6,451,760 | |||
Cash, beginning of period | — | |||
|
| |||
Cash, end of period | $ | 6,451,760 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 1,771,889 | $ | 971,442 | ||||
Segregated cash balances with brokers for futures contracts | 6,724,079 | 7,612,770 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 42,919,932 | 36,183,648 | ||||||
|
|
|
| |||||
Total assets | 51,415,900 | 44,767,860 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 319,094 | 1,528,005 | ||||||
Brokerage commissions and fees payable | — | 433 | ||||||
Payable to Sponsor | 37,189 | 36,036 | ||||||
|
|
|
| |||||
Total liabilities | 356,283 | 1,564,474 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 51,059,617 | 43,203,386 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 51,415,900 | $ | 44,767,860 | ||||
|
|
|
| |||||
Shares outstanding | 5,842,169 | 2,292,169 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 8.74 | $ | 18.85 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 8.80 | $ | 18.96 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.108% due 10/12/17 | $ | 2,000,000 | $ | 1,999,478 | ||||
1.013% due 10/19/17 | 3,000,000 | 2,998,697 | ||||||
0.992% due 10/26/17 | 7,000,000 | 6,995,637 | ||||||
1.013% due 11/02/17 | 5,000,000 | 4,995,888 | ||||||
1.023% due 11/09/17 | 2,000,000 | 1,997,973 | ||||||
0.987% due 12/14/17 | 7,000,000 | 6,986,373 | ||||||
1.001% due 01/11/18 | 9,000,000 | 8,974,624 | ||||||
1.040% due 02/01/18 | 8,000,000 | 7,971,262 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 42,919,932 | ||||||
|
|
Futures Contracts Purchased
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Natural Gas—NYMEX, expires November 2017 | 3,396 | $ | 102,117,720 | $ | (971,690 | ) |
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 93,039 | $ | 18,114 | $ | 199,874 | $ | 45,257 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 110,894 | 85,894 | 318,839 | 229,760 | ||||||||||||
Brokerage commissions and fees | 24,919 | 25,652 | 71,984 | 98,016 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 135,813 | 111,546 | 390,823 | 327,776 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (42,774 | ) | (93,432 | ) | (190,949 | ) | (282,519 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (2,014,548 | ) | 1,964,411 | (21,040,313 | ) | 6,591,697 | ||||||||||
Short-term U.S. government and agency obligations | (454 | ) | 264 | (1,126 | ) | (405 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (2,015,002 | ) | 1,964,675 | (21,041,439 | ) | 6,591,292 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (1,078,511 | ) | (8,409,834 | ) | (3,508,410 | ) | (7,752,693 | ) | ||||||||
Short-term U.S. government and agency obligations | 1,692 | 2,064 | 1,284 | 1,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (1,076,819 | ) | (8,407,770 | ) | (3,507,126 | ) | (7,750,780 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (3,091,821 | ) | (6,443,095 | ) | (24,548,565 | ) | (1,159,488 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (3,134,595 | ) | $ | (6,536,527 | ) | $ | (24,739,514 | ) | $ | (1,442,007 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
Shareholders’ equity, at December 31, 2016 | $ | 43,203,386 | ||
Addition of 6,600,000 shares | 66,608,730 | |||
Redemption of 3,050,000 shares | (34,012,985 | ) | ||
|
| |||
Net addition (redemption) of 3,550,000 shares | 32,595,745 | |||
|
| |||
Net investment income (loss) | (190,949 | ) | ||
Net realized gain (loss) | (21,041,439 | ) | ||
Change in net unrealized appreciation/depreciation | (3,507,126 | ) | ||
|
| |||
Net income (loss) | (24,739,514 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 51,059,617 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (24,739,514 | ) | $ | (1,442,007 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 888,691 | 1,947,056 | ||||||
Purchases of short-term U.S. government and agency obligations | (172,712,634 | ) | (89,354,690 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 166,176,382 | 90,362,175 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (199,874 | ) | (45,257 | ) | ||||
Net realized gain (loss) on investments | 1,126 | 405 | ||||||
Change in unrealized appreciation/depreciation on investments | (1,284 | ) | (1,913 | ) | ||||
Decrease (Increase) in receivable on futures contracts | — | 3,065,769 | ||||||
Increase (Decrease) in payable to Sponsor | 1,153 | 3,356 | ||||||
Increase (Decrease) in brokerage commissions and fees payable | (433 | ) | (1,236 | ) | ||||
Increase (Decrease) in payable on futures contracts | (1,208,911 | ) | 1,073,868 | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (31,795,298 | ) | 5,607,526 | |||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 66,608,730 | 24,550,026 | ||||||
Payment on shares redeemed | (34,012,985 | ) | (30,208,996 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 32,595,745 | (5,658,970 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in cash | 800,447 | (51,444 | ) | |||||
Cash, beginning of period | 971,442 | 1,411,137 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 1,771,889 | $ | 1,359,693 | ||||
|
|
|
|
See accompanying notes to financial statements.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 188,166 | $ | 1,262,351 | ||||
Segregated cash balances with brokers for futures contracts | 10,780 | 13,200 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 101,900,580 | 95,356,621 | ||||||
|
|
|
| |||||
Total assets | 102,099,526 | 96,632,172 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,980,452 | — | ||||||
Payable on open futures contracts | 780 | 1,280 | ||||||
Payable to Sponsor | 76,924 | 72,585 | ||||||
Unrealized depreciation on forward agreements | 8,453,427 | 4,431,107 | ||||||
|
|
|
| |||||
Total liabilities | 12,511,583 | 4,504,972 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 89,587,943 | 92,127,200 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 102,099,526 | $ | 96,632,172 | ||||
|
|
|
| |||||
Shares outstanding | 2,250,000 | 2,800,000 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 39.82 | $ | 32.90 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 39.60 | $ | 33.20 | ||||
|
|
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.018% due 10/05/17 | $ | 16,000,000 | $ | 15,999,013 | ||||
1.046% due 10/12/17† | 30,000,000 | 29,992,167 | ||||||
1.013% due 10/19/17† | 12,000,000 | 11,994,787 | ||||||
1.079% due 11/09/17† | 10,000,000 | 9,989,867 | ||||||
1.023% due 12/07/17† | 10,000,000 | 9,981,942 | ||||||
0.987% due 12/14/17† | 12,000,000 | 11,976,639 | ||||||
1.001% due 01/11/18 | 12,000,000 | 11,966,165 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 101,900,580 | ||||||
|
|
Futures Contracts Purchased
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Gold Futures—COMEX, expires December 2017 | 2 | $ | 256,960 | $ | 9,520 |
Rate Paid (Received)* | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value** | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold | 1.80 | % | 10/05/17 | $ | 44,400 | $ | 56,984,292 | $ | (2,994,458 | ) | ||||||||||
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold | 1.91 | 10/05/17 | 38,120 | 48,923,589 | (2,118,074 | ) | ||||||||||||||
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold | 1.91 | 10/05/17 | 18,000 | 23,101,380 | (1,015,643 | ) | ||||||||||||||
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold | 1.85 | 10/05/17 | 38,900 | 49,924,649 | (2,325,252 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (8,453,427 | ) | ||||||||||||||||||
|
|
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 | 07/14/23 | 7,784,921 | $ | 8,501,340 | $ | 129,303 | ||||||||||
Euro with UBS AG | 07/14/23 | 7,204,502 | 7,867,506 | 112,087 | ||||||||||||
Total Unrealized Appreciation | | $ | 241,390 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | (93,000 | ) | $ | (101,558 | ) | $ | (197 | ) | |||||||
Euro with UBS AG | 07/14/23 | (1,152,000 | ) | (1,258,014 | ) | (1,505 | ) | |||||||||
Total Unrealized Depreciation | | $ | (1,702 | ) | ||||||||||||
^ | The positions and counterparties herein are as of |
EURO
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 231,647 | $ | 72,710 | $ | 531,782 | $ | 178,730 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 224,583 | 245,192 | 692,340 | 665,265 | ||||||||||||
Brokerage commissions and fees | 10 | 8 | 39 | 33 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 224,593 | 245,200 | 692,379 | 665,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 7,054 | (172,490 | ) | (160,597 | ) | (486,568 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 600 | 7,280 | (5,221 | ) | 45,880 | |||||||||||
Forward agreements | 5,462,318 | 12,622,611 | 23,367,970 | 33,658,090 | ||||||||||||
Short-term U.S. government and agency obligations | (61 | ) | 193 | 487 | 296 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 5,462,857 | 12,630,084 | 23,363,236 | 33,704,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | 6,520 | (9,380 | ) | 28,480 | 3,400 | |||||||||||
Forward agreements | (555,941 | ) | (13,407,534 | ) | (4,022,320 | ) | (207,534 | ) | ||||||||
Short-term U.S. government and agency obligations | 3,100 | (6,051 | ) | 6,915 | (4,093 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (546,321 | ) | (13,422,965 | ) | (3,986,925 | ) | (208,227 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 4,916,536 | (792,881 | ) | 19,376,311 | 33,496,039 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 4,923,590 | $ | (965,371 | ) | $ | 19,215,714 | $ | 33,009,471 | |||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 88,182 | $ | 6,522 | $ | 185,419 | $ | 11,109 | ||||||||
Expenses | ||||||||||||||||
Management fee | 19,851 | 15,037 | 44,097 | 35,315 | ||||||||||||
Total expenses | 19,851 | 15,037 | 44,097 | 35,315 | ||||||||||||
Net investment income (loss) | 68,331 | (8,515 | ) | 141,322 | (24,206 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 78,291 | (446,365 | ) | 358,570 | (887,395 | ) | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | (5,949 | ) | |||||||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | 358,570 | (893,344 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (79,023 | ) | (282,077 | ) | (175,968 | ) | (415,047 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 787 | — | (4,668 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | (175,968 | ) | (419,715 | ) | ||||||||
Net realized and unrealized gain (loss) | (732 | ) | (727,655 | ) | 182,602 | (1,313,059 | ) | |||||||||
Net income (loss) | $ | 67,599 | $ | (736,170 | ) | $ | 323,924 | $ | (1,337,265 | ) | ||||||
STATEMENTEURO
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 92,127,200 | ||
Addition of 400,000 shares | 14,435,007 | |||
Redemption of 950,000 shares | (36,189,978 | ) | ||
|
| |||
Net addition (redemption) of (550,000) shares | (21,754,971 | ) | ||
|
| |||
Net investment income (loss) | (160,597 | ) | ||
Net realized gain (loss) | 23,363,236 | |||
Change in net unrealized appreciation/depreciation | (3,986,925 | ) | ||
|
| |||
Net income (loss) | 19,215,714 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 89,587,943 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 8,616,433 | $ | 6,236,982 | $ | 10,704,662 | $ | 8,659,095 | ||||||||
Addition of –, 450,000, 200,000 and 550,000 shares, respectively | — | 5,052,555 | 2,296,437 | 6,368,822 | ||||||||||||
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively | (1,148,597 | ) | (1,137,741 | ) | (5,789,588 | ) | (4,275,026 | ) | ||||||||
Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively | (1,148,597 | ) | 3,914,814 | (3,493,151 | ) | 2,093,796 | ||||||||||
Net investment income (loss) | 68,331 | (8,515 | ) | 141,322 | (24,206 | ) | ||||||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | 358,570 | (893,344 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | (175,968 | ) | (419,715 | ) | ||||||||
Net income (loss) | 67,599 | (736,170 | ) | 323,924 | (1,337,265 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 7,535,435 | $ | 9,415,626 | $ | 7,535,435 | $ | 9,415,626 | ||||||||
EURO
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 19,215,714 | $ | 33,009,471 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 2,420 | (3,630 | ) | |||||
Decrease (Increase) in segregated cash balances with brokers for forward agreements | — | (394,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (364,397,565 | ) | (268,415,817 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 358,392,755 | 238,529,754 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (531,747 | ) | (178,730 | ) | ||||
Net realized gain (loss) on investments | (487 | ) | (296 | ) | ||||
Change in unrealized appreciation/depreciation on investments | 4,015,405 | 211,627 | ||||||
Decrease (Increase) in receivable on futures contracts | — | 80 | ||||||
Increase (Decrease) in payable to Sponsor | 4,339 | 21,293 | ||||||
Increase (Decrease) in payable on futures contracts | (500 | ) | 1,780 | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 16,700,334 | 2,781,532 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 14,435,007 | 6,445,287 | ||||||
Payment on shares redeemed | (32,209,526 | ) | (9,370,304 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (17,774,519 | ) | (2,925,017 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | (1,074,185 | ) | (143,485 | ) | ||||
Cash, beginning of period | 1,262,351 | 251,524 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 188,166 | $ | 108,039 | ||||
|
|
|
|
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 323,924 | $ | (1,337,265 | ) | |||
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 | — | (5,984,289 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 2,290,249 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (9,602 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 175,968 | 419,715 | ||||||
Decrease (Increase) in interest receivable | 12,213 | (1,382 | ) | |||||
Increase (Decrease) in payable to Sponsor | (4,645 | ) | 2,121 | |||||
Net cash provided by (used in) operating activities | 507,460 | (4,614,504 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 6,368,822 | ||||||
Payment on shares redeemed | (5,789,588 | ) | (4,275,026 | ) | ||||
Net cash provided by (used in) financing activities | (3,493,151 | ) | 2,093,796 | |||||
Net increase (decrease) in cash | (2,985,691 | ) | (2,520,708 | ) | ||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 7,273,727 | $ | 5,061,750 | ||||
GOLD
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 2,616,377 | $ | 1,664,601 | ||||
Segregated cash balances with brokers for futures contracts | 12,980 | 14,300 | ||||||
Short-term U.S. government and agency obligations (Note 3) | 270,629,525 | 295,300,799 | ||||||
|
|
|
| |||||
Total assets | 273,258,882 | 296,979,700 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,070 | 2,290 | ||||||
Payable to Sponsor | 207,828 | 221,281 | ||||||
Unrealized depreciation on forward agreements | 28,243,802 | 20,976,189 | ||||||
|
|
|
| |||||
Total liabilities | 28,453,700 | 21,199,760 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 244,805,182 | 275,779,940 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 273,258,882 | $ | 296,979,700 | ||||
|
|
|
| |||||
Shares outstanding | 7,196,526 | 8,246,526 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 34.02 | $ | 33.44 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 33.15 | $ | 32.09 | ||||
|
|
|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively) | $ | 134,714,723 | $ | 129,123,489 | ||||
Cash | 15,660,964 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 4,415,600 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 32,723,000 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | — | 6,496,466 | ||||||
Receivable on open futures contracts | 496,067 | 8,169 | ||||||
Interest receivable | 107,021 | 126,595 | ||||||
Total assets | 188,117,375 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 147,761 | 140,350 | ||||||
Unrealized depreciation on swap agreements | 7,053,083 | — | ||||||
Total liabilities | 7,200,844 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 180,916,531 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 188,117,375 | $ | 173,664,486 | ||||
Shares outstanding | 3,100,000 | 3,150,000 | ||||||
Net asset value per share | $ | 58.36 | $ | 55.09 | ||||
Market value per share (Note 2) | $ | 58.24 | $ | 55.27 | ||||
GOLD
SEPTEMBER
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.015% due 10/05/17 | $ | 23,000,000 | $ | 22,998,581 | ||||
1.056% due 10/12/17† | 31,000,000 | 30,991,906 | ||||||
1.013% due 10/19/17† | 20,000,000 | 19,991,312 | ||||||
1.036% due 10/26/17† | 26,000,000 | 25,983,794 | ||||||
1.076% due 11/02/17† | 11,000,000 | 10,990,954 | ||||||
1.079% due 11/09/17† | 13,000,000 | 12,986,827 | ||||||
0.977% due 11/16/17† | 7,000,000 | 6,991,644 | ||||||
0.962% due 11/30/17† | 12,000,000 | 11,980,629 | ||||||
1.004% due 12/07/17† | 40,000,000 | 39,927,768 | ||||||
0.987% due 12/14/17† | 50,000,000 | 49,902,665 | ||||||
1.002% due 01/04/18 | 9,000,000 | 8,976,030 | ||||||
1.001% due 01/11/18 | 15,000,000 | 14,957,706 | ||||||
1.040% due 02/01/18 | 14,000,000 | 13,949,709 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 270,629,525 | ||||||
|
|
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(74% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 50,000,000 | $ | 49,978,980 | ||||
4.959% due 07/13/23 † | 20,000,000 | 19,971,916 | ||||||
5.242% due 07/18/23 | 15,000,000 | 14,968,437 | ||||||
5.104% due 08/01/23 † | 50,000,000 | 49,795,390 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $134,680,616) | $ | 134,714,723 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Silver Futures—COMEX, expires December 2017 | 2 | $ | 166,760 | $ | (4,940 | ) |
Forward Agreements^
Rate Paid (Received)* | Settlement Date | Commitment to (Deliver)/Receive | Notional Amount at Value** | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver | 1.90 | % | 10/05/17 | $ | 9,604,000 | $ | 161,967,618 | $ | (9,405,158 | ) | ||||||||||
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver | 2.03 | 10/05/17 | 7,795,800 | 131,471,490 | (7,478,422 | ) | ||||||||||||||
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver | 2.04 | 10/05/17 | 3,784,000 | 63,815,268 | (3,531,263 | ) | ||||||||||||||
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver | 2.03 | 10/05/17 | 7,836,000 | 132,149,438 | (7,828,959 | ) | ||||||||||||||
|
| |||||||||||||||||||
$(28,243,802) | ||||||||||||||||||||
|
|
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Gold Futures - COMEX, expires August 2023 | 530 | $ | 102,258,200 | $ | (5,385,731 | ) |
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 | % | 07/06/23 | $ | 111,454,930 | $ | (3,028,491 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | 52,937,566 | (1,438,439 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | 95,175,948 | (2,586,153 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (7,053,083 | ) | ||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of |
^^ | Rates shown |
* | Reflects the floating financing rate, as of |
** | For |
GOLD
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 612,838 | $ | 277,478 | $ | 1,497,007 | $ | 587,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 612,285 | 978,671 | 1,971,071 | 2,300,935 | ||||||||||||
Brokerage commissions and fees | 10 | 9 | 49 | 36 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 612,295 | 978,680 | 1,971,120 | 2,300,971 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 543 | (701,202 | ) | (474,113 | ) | (1,713,227 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 2,157 | 15,260 | (18,669 | ) | 50,360 | |||||||||||
Forward agreements | 1,062,113 | 119,357,106 | 20,345,685 | 174,820,159 | ||||||||||||
Short-term U.S. government and agency obligations | (722 | ) | 336 | (524 | ) | 2,562 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 1,063,548 | 119,372,702 | 20,326,492 | 174,873,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (2,560 | ) | (10,650 | ) | 22,420 | 10,510 | ||||||||||
Forward agreements | 7,162,153 | (88,229,820 | ) | (7,267,613 | ) | 9,815,906 | ||||||||||
Short-term U.S. government and agency obligations | 4,781 | 4,068 | 11,441 | 17,811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 7,164,374 | (88,236,402 | ) | (7,233,752 | ) | 9,844,227 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 8,227,922 | 31,136,300 | 13,092,740 | 184,717,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 8,228,465 | $ | 30,435,098 | $ | 12,618,627 | $ | 183,004,081 | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,983,196 | $ | 319,154 | $ | 3,632,210 | $ | 414,267 | ||||||||
Expenses | ||||||||||||||||
Management fee | 474,261 | 716,148 | 901,375 | 1,387,563 | ||||||||||||
Brokerage commissions | 6,925 | 14,064 | 15,540 | 35,723 | ||||||||||||
Futures account fees | — | 8,664 | — | 28,169 | ||||||||||||
Total expenses | 481,186 | 738,876 | 916,915 | 1,451,455 | ||||||||||||
Net investment income (loss) | 1,502,010 | (419,722 | ) | 2,715,295 | (1,037,188 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 5,160,588 | (28,896,339 | ) | 7,921,167 | (8,706,319 | ) | ||||||||||
Swap agreements | 12,035,981 | (29,004,744 | ) | 20,075,298 | 8,623,832 | |||||||||||
Short-term U.S. government and agency obligations | (28,462 | ) | — | (28,462 | ) | — | ||||||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | 27,968,003 | (82,487 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (10,482,142 | ) | 3,312,504 | (8,627,819 | ) | (4,587,403 | ) | |||||||||
Swap agreements | (22,406,342 | ) | 1,658,698 | (13,549,549 | ) | (15,091,046 | ) | |||||||||
Short-term U.S. government and agency obligations | 33,642 | (159 | ) | 10,905 | (171,019 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | (22,166,463 | ) | (19,849,468 | ) | |||||||||
Net realized and unrealized gain (loss) | (15,686,735 | ) | (52,930,040 | ) | 5,801,540 | (19,931,955 | ) | |||||||||
Net income (loss) | $ | (14,184,725 | ) | $ | (53,349,762 | ) | $ | 8,516,835 | $ | (20,969,143 | ) | |||||
STATEMENTGOLD
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 275,779,940 | ||
Addition of 950,000 shares | 31,641,699 | |||
Redemption of 2,000,000 shares | (75,235,084 | ) | ||
|
| |||
Net addition (redemption) of (1,050,000) shares | (43,593,385 | ) | ||
|
| |||
Net investment income (loss) | (474,113 | ) | ||
Net realized gain (loss) | 20,326,492 | |||
Change in net unrealized appreciation/depreciation | (7,233,752 | ) | ||
|
| |||
Net income (loss) | 12,618,627 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 244,805,182 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 201,161,529 | $ | 355,029,822 | $ | 173,524,136 | $ | 232,780,534 | ||||||||
Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively | 3,236,120 | 6,573,039 | 28,209,474 | 102,257,715 | ||||||||||||
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively | (9,296,393 | ) | (68,314,246 | ) | (29,333,914 | ) | (74,130,253 | ) | ||||||||
Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively | (6,060,273 | ) | (61,741,207 | ) | (1,124,440 | ) | 28,127,462 | |||||||||
Net investment income (loss) | 1,502,010 | (419,722 | ) | 2,715,295 | (1,037,188 | ) | ||||||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | 27,968,003 | (82,487 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | (22,166,463 | ) | (19,849,468 | ) | |||||||||
Net income (loss) | (14,184,725 | ) | (53,349,762 | ) | 8,516,835 | (20,969,143 | ) | |||||||||
Shareholders’ equity, end of period | $ | 180,916,531 | $ | 239,938,853 | $ | 180,916,531 | $ | 239,938,853 | ||||||||
GOLD
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 12,618,627 | $ | 183,004,081 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | 1,320 | 5,610 | ||||||
Decrease (Increase) in segregated cash balances with brokers for forward agreements | — | (2,561,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (1,281,165,030 | ) | (980,153,795 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 1,307,344,193 | 837,326,976 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (1,496,972 | ) | (587,744 | ) | ||||
Net realized gain (loss) on investments | 524 | (2,562 | ) | |||||
Change in unrealized appreciation/depreciation on investments | 7,256,172 | (9,833,717 | ) | |||||
Decrease (Increase) in receivable on futures contracts | — | (260 | ) | |||||
Increase (Decrease) in payable to Sponsor | (13,453 | ) | 112,343 | |||||
Increase (Decrease) in payable on futures contracts | (220 | ) | (1,875 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 44,545,161 | 27,308,057 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 31,641,699 | 55,483,218 | ||||||
Payment on shares redeemed | (75,235,084 | ) | (82,652,813 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (43,593,385 | ) | (27,169,595 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | 951,776 | 138,462 | ||||||
Cash, beginning of period | 1,664,601 | 243,900 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 2,616,377 | $ | 382,362 | ||||
|
|
|
|
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 8,516,835 | $ | (20,969,143 | ) | |||
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 | (492,848,662 | ) | (704,533,509 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 489,813,291 | 704,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,573,420 | ) | (377,637 | ) | ||||
Net realized (gain) loss on investments | 28,462 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 13,538,644 | 15,262,065 | ||||||
Decrease (Increase) in receivable on open futures contracts | (487,898 | ) | 944,644 | |||||
Decrease (Increase) in interest receivable | 19,574 | (31,715 | ) | |||||
Increase (Decrease) in payable to Sponsor | 7,411 | 24,571 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034 | ) | |||||
Increase (Decrease) in payable on open futures contracts | — | 1,022,544 | ||||||
Net cash provided by (used in) operating activities | 16,014,237 | (4,662,214 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 28,209,474 | 102,257,715 | ||||||
Payment on shares redeemed | (29,333,914 | ) | (71,305,703 | ) | ||||
Net cash provided by (used in) financing activities | (1,124,440 | ) | 30,952,012 | |||||
Net increase (decrease) in cash | 14,889,797 | 26,289,798 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 52,799,564 | $ | 41,711,880 | ||||
SILVER
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 2,929,230 | $ | 606,393 | ||||
Short-term U.S. government and agency obligations (Note 3) | 10,995,765 | 11,891,831 | ||||||
Unrealized appreciation on foreign currency forward contracts | 82,079 | 2,548 | ||||||
|
|
|
| |||||
Total assets | 14,007,074 | 12,500,772 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 10,027 | 9,629 | ||||||
Unrealized depreciation on foreign currency forward contracts | 291,439 | 576,558 | ||||||
|
|
|
| |||||
Total liabilities | 301,466 | 586,187 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 13,705,608 | 11,914,585 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 14,007,074 | $ | 12,500,772 | ||||
|
|
|
| |||||
Shares outstanding | 800,000 | 850,000 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 17.13 | $ | 14.02 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 17.10 | $ | 14.09 | ||||
|
|
|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively) | $ | 224,344,440 | $ | 228,657,634 | ||||
Cash | 43,579,042 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 19,465,500 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 85,841,000 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | — | 39,224,212 | ||||||
Receivable on open futures contracts | 1,635,164 | — | ||||||
Interest receivable | 270,810 | 300,712 | ||||||
Total assets | 375,135,956 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | — | 1,948,902 | ||||||
Payable to Sponsor | 298,935 | 344,467 | ||||||
Unrealized depreciation on swap agreements | 18,045,362 | — | ||||||
Total liabilities | 18,344,297 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 356,791,659 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 375,135,956 | $ | 418,194,629 | ||||
Shares outstanding | 13,196,526 | 13,046,526 | ||||||
Net asset value per share | $ | 27.04 | $ | 31.75 | ||||
Market value per share (Note 2) | $ | 26.95 | $ | 32.00 | ||||
SILVER
SEPTEMBER
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
U.S. Treasury Bills^^: | ||||||||
1.025% due 10/12/17† | $ | 6,000,000 | $ | 5,998,434 | ||||
1.070% due 10/19/17† | 5,000,000 | 4,997,331 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 10,995,765 | ||||||
|
|
Foreign Currency Forward Contracts^
Settlement Date | Local Currency | Notional Amount at Value (USD) | Unrealized Appreciation (Depreciation) | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/17 | 11,961,025 | $ | 14,138,996 | $ | (136,124 | ) | |||||||||
Euro with UBS AG | 10/06/17 | 17,574,000 | 20,774,032 | (155,315 | ) | |||||||||||
|
| |||||||||||||||
$ | (291,439 | ) | ||||||||||||||
|
| |||||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/17 | (1,663,500 | ) | $ | (1,966,405 | ) | $ | 33,031 | ||||||||
Euro with UBS AG | 10/06/17 | (4,680,700 | ) | (5,533,004 | ) | 49,048 | ||||||||||
|
| |||||||||||||||
$ | 82,079 | |||||||||||||||
|
|
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(63% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 25,000,000 | $ | 24,989,490 | ||||
4.959% due 07/13/23 † | 50,000,000 | 49,929,790 | ||||||
5.242% due 07/18/23 | 50,000,000 | 49,894,790 | ||||||
5.104% due 08/01/23 † | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 † | 25,000,000 | 24,870,750 | ||||||
5.161% due 08/10/23 | 25,000,000 | 24,864,230 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $224,295,385) | $ | 224,344,440 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Silver Futures - COMEX, expires September 2023 | 2,047 | $ | 235,609,700 | $ | (9,977,916 | ) |
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 | % | 07/06/23 | $ | 166,412,438 | $ | (6,281,114 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | 21,984,663 | (830,545 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | 149,157,444 | (5,634,927 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | 140,386,283 | (5,298,776 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (18,045,362 | ) | ||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of |
^^ | Rates shown |
* **
SILVER
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 30,171 | $ | 6,257 | $ | 69,923 | $ | 18,054 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 31,427 | 22,916 | 95,974 | 71,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 31,427 | 22,916 | 95,974 | 71,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (1,256 | ) | (16,659 | ) | (26,051 | ) | (53,805 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 1,259,663 | 46,252 | 2,666,172 | 1,155,961 | ||||||||||||
Short-term U.S. government and agency obligations | (13 | ) | 6 | 134 | 153 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 1,259,650 | 46,258 | 2,666,306 | 1,156,114 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Foreign currency forward contracts | (519,273 | ) | 118,030 | 364,650 | (654,504 | ) | ||||||||||
Short-term U.S. government and agency obligations | (331 | ) | (1,819 | ) | 205 | (452 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (519,604 | ) | 116,211 | 364,855 | (654,956 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 740,046 | 162,469 | 3,031,161 | 501,158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 738,790 | $ | 145,810 | $ | 3,005,110 | $ | 447,353 | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,701,182 | $ | 421,514 | $ | 7,075,578 | $ | 561,963 | ||||||||
Expenses | ||||||||||||||||
Management fee | 976,505 | 1,082,340 | 1,848,064 | 2,299,939 | ||||||||||||
Brokerage commissions | 47,075 | 28,732 | 73,637 | 59,283 | ||||||||||||
Futures account fees | — | 6,188 | — | 26,693 | ||||||||||||
Total expenses | 1,023,580 | 1,117,260 | 1,921,701 | 2,385,915 | ||||||||||||
Net investment income (loss) | 2,677,602 | (695,746 | ) | 5,153,877 | (1,823,952 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 17,097,790 | (10,869,422 | ) | 20,739,536 | (16,614,384 | ) | ||||||||||
Swap agreements | 47,564,510 | (145,324,753 | ) | 15,178,900 | (22,942,764 | ) | ||||||||||
Short-term U.S. government and agency obligations | (46,857 | ) | (1,174 | ) | (46,857 | ) | (1,164 | ) | ||||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | 35,871,579 | (39,558,312 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (38,652,527 | ) | (13,510,319 | ) | (39,404,490 | ) | (6,824,486 | ) | ||||||||
Swap agreements | (80,409,195 | ) | (36,561,200 | ) | (57,269,574 | ) | (101,003,629 | ) | ||||||||
Short-term U.S. government and agency obligations | 44,380 | (64,280 | ) | 8,842 | (343,929 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | (96,665,222 | ) | (108,172,044 | ) | ||||||||
Net realized and unrealized gain (loss) | (54,401,899 | ) | (206,331,148 | ) | (60,793,643 | ) | (147,730,356 | ) | ||||||||
Net income (loss) | $ | (51,724,297 | ) | $ | (207,026,894 | ) | $ | (55,639,766 | ) | $ | (149,554,308 | ) | ||||
STATEMENTSILVER
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 11,914,585 | ||
Addition of 1,200,000 shares | 18,469,355 | |||
Redemption of 1,250,000 shares | (19,683,442 | ) | ||
|
| |||
Net addition (redemption) of (50,000) shares | (1,214,087 | ) | ||
|
| |||
Net investment income (loss) | (26,051 | ) | ||
Net realized gain (loss) | 2,666,306 | |||
Change in net unrealized appreciation/depreciation | 364,855 | |||
|
| |||
Net income (loss) | 3,005,110 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 13,705,608 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 429,115,334 | $ | 558,375,841 | $ | 414,285,878 | $ | 515,453,594 | ||||||||
Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively | 20,692,563 | 26,625,358 | 71,924,842 | 65,659,299 | ||||||||||||
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively | (41,291,941 | ) | (22,396,790 | ) | (73,779,295 | ) | (75,981,070 | ) | ||||||||
Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively | (20,599,378 | ) | 4,228,568 | (1,854,453 | ) | (10,321,771 | ) | |||||||||
Net investment income (loss) | 2,677,602 | (695,746 | ) | 5,153,877 | (1,823,952 | ) | ||||||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | 35,871,579 | (39,558,312 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | (96,665,222 | ) | (108,172,044 | ) | ||||||||
Net income (loss) | (51,724,297 | ) | (207,026,894 | ) | (55,639,766 | ) | (149,554,308 | ) | ||||||||
Shareholders’ equity, end of period | $ | 356,791,659 | $ | 355,577,515 | $ | 356,791,659 | $ | 355,577,515 | ||||||||
SILVER
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 3,005,110 | $ | 447,353 | ||||
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 | (40,818,978 | ) | (36,177,928 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 41,785,306 | 38,263,779 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (69,923 | ) | (18,054 | ) | ||||
Net realized gain (loss) on investments | (134 | ) | (153 | ) | ||||
Change in unrealized appreciation/depreciation on investments | (364,855 | ) | 654,956 | |||||
Increase (Decrease) in payable to Sponsor | 398 | (2,532 | ) | |||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 3,536,924 | 3,167,421 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 18,469,355 | 831,691 | ||||||
Payment on shares redeemed | (19,683,442 | ) | (4,027,778 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (1,214,087 | ) | (3,196,087 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | 2,322,837 | (28,666 | ) | |||||
Cash, beginning of period | 606,393 | 227,310 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 2,929,230 | $ | 198,644 | ||||
|
|
|
|
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (55,639,766 | ) | $ | (149,554,308 | ) | ||
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 | (2,203,304,232 | ) | (1,255,430,782 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,212,588,221 | 1,416,997,680 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (5,008,810 | ) | (497,182 | ) | ||||
Net realized (gain) loss on investments | 46,857 | 1,164 | ||||||
Change in unrealized (appreciation) depreciation on investments | 57,260,732 | 101,347,558 | ||||||
Decrease (Increase) in receivable on open futures contracts | (1,635,164 | ) | 1,384,919 | |||||
Decrease (Increase) in interest receivable | 29,902 | (55,579 | ) | |||||
Increase (Decrease) in payable to Sponsor | (45,532 | ) | (78,578 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (9,833 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,948,902 | ) | 2,248,743 | |||||
Net cash provided by (used in) operating activities | 2,343,306 | 116,353,802 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 71,924,842 | 64,418,960 | ||||||
Payment on shares redeemed | (75,394,677 | ) | (79,464,840 | ) | ||||
Net cash provided by (used in) financing activities | (3,469,835 | ) | (15,045,880 | ) | ||||
Net increase (decrease) in cash | (1,126,529 | ) | 101,307,922 | |||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 148,885,542 | $ | 126,796,425 | ||||
VIX SHORT-TERM FUTURES ETF
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 1,542,516 | $ | 604,691 | ||||
Short-term U.S. government and agency obligations (Note 3) | 4,662,411 | 5,282,879 | ||||||
Unrealized appreciation on foreign currency forward contracts | 12,351 | 379 | ||||||
|
|
|
| |||||
Total assets | 6,217,278 | 5,887,949 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 4,698 | 4,537 | ||||||
Unrealized depreciation on foreign currency forward contracts | 407,660 | 342,455 | ||||||
|
|
|
| |||||
Total liabilities | 412,358 | 346,992 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 5,804,920 | 5,540,957 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 6,217,278 | $ | 5,887,949 | ||||
|
|
|
| |||||
Shares outstanding | 99,970 | 99,970 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 58.07 | $ | 55.43 | ||||
|
|
|
| |||||
Market value per share (Note 2) | $ | 58.17 | $ | 55.52 | ||||
|
|
|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively) | $ | — | $ | 34,732,372 | ||||
Cash | 116,071,941 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 222,756,461 | 323,761,025 | ||||||
Receivable on open futures contracts | 50,445,515 | 209,470,270 | ||||||
Interest receivable | 952,517 | 1,246,402 | ||||||
Total assets | 390,226,434 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,056,385 | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 44,656 | 58,772 | ||||||
Payable to Sponsor | 361,334 | 570,429 | ||||||
Total liabilities | 2,462,375 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 387,764,059 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 390,226,434 | $ | 640,296,551 | ||||
Shares outstanding (Note 1) | 20,977,842 | 9,307,842 | ||||||
Net asset value per share (Note 1) | $ | 18.48 | $ | 68.69 | ||||
Market value per share (Note 1) (Note 2) | $ | 18.49 | $ | 68.60 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 21,591 | $ | 324,102,501 | $ | (69,897,187 | ) | ||||||
VIX Futures - Cboe, expires August 2023 | 15,704 | 257,550,311 | (9,932,533 | ) | ||||||||
$ | (79,829,720 | ) | ||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 4,750,595 | $ | 430,670 | $ | 9,167,250 | $ | 525,931 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,330,081 | 2,293,738 | 2,703,851 | 4,254,915 | ||||||||||||
Brokerage commissions | 712,511 | 970,211 | 1,490,212 | 1,906,969 | ||||||||||||
Futures account fees | 126,999 | 444,123 | 250,360 | 1,226,811 | ||||||||||||
Total expenses | 2,169,591 | 3,708,072 | 4,444,423 | 7,388,695 | ||||||||||||
Net investment income (loss) | 2,581,004 | (3,277,402 | ) | 4,722,827 | (6,862,764 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (426,304,544 | ) | 91,039,435 | (608,537,974 | ) | 349,477,533 | ||||||||||
Swap agreements | — | — | — | 22,556,586 | ||||||||||||
Short-term U.S. government and agency obligations | 4,188 | (337,934 | ) | (3,590 | ) | (353,087 | ) | |||||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | (608,541,564 | ) | 371,681,032 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (45,320,517 | ) | 196,657,178 | (43,274,267 | ) | 161,801,275 | ||||||||||
Swap agreements | — | — | — | 477,437 | ||||||||||||
Short-term U.S. government and agency obligations | 5,340 | 78,171 | (3,383 | ) | (544,247 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | (43,277,650 | ) | 161,734,465 | ||||||||||
Net realized and unrealized gain (loss) | (471,615,533 | ) | 287,436,850 | (651,819,214 | ) | 533,415,497 | ||||||||||
Net income (loss) | $ | (469,034,529 | ) | $ | 284,159,448 | $ | (647,096,387 | ) | $ | 526,552,733 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 535,980,236 | $ | 1,127,608,641 | $ | 639,318,362 | $ | 816,679,636 | ||||||||
Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1) | 455,030,425 | 799,757,076 | 891,490,874 | 1,971,472,943 | ||||||||||||
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1) | (134,212,073 | ) | (1,235,841,632 | ) | (495,948,790 | ) | (2,339,021,779 | ) | ||||||||
Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1) | 320,818,352 | (436,084,556 | ) | 395,542,084 | (367,548,836 | ) | ||||||||||
Net investment income (loss) | 2,581,004 | (3,277,402 | ) | 4,722,827 | (6,862,764 | ) | ||||||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | (608,541,564 | ) | 371,681,032 | ||||||||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | (43,277,650 | ) | 161,734,465 | ||||||||||
Net income (loss) | (469,034,529 | ) | 284,159,448 | (647,096,387 | ) | 526,552,733 | ||||||||||
Shareholders’ equity, end of period | $ | 387,764,059 | $ | 975,683,533 | $ | 387,764,059 | $ | 975,683,533 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (647,096,387 | ) | $ | 526,552,733 | |||
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 | (1,156,102,958 | ) | (1,476,792,269 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,192,359,088 | 1,454,556,289 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,530,731 | ) | (252,157 | ) | ||||
Net realized (gain) loss on investments | 3,590 | 353,166 | ||||||
Change in unrealized (appreciation) depreciation on investments | 3,383 | 66,810 | ||||||
Decrease (Increase) in receivable on open futures contracts | 159,024,755 | (225,561,488 | ) | |||||
Decrease (Increase) in interest receivable | 293,885 | (193,393 | ) | |||||
Increase (Decrease) in payable to Sponsor | (209,095 | ) | 126,268 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (14,116 | ) | (96,420 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 1,707,397 | (9,447,456 | ) | |||||
Net cash provided by (used in) operating activities | (451,561,189 | ) | 269,312,083 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 891,490,874 | 1,969,293,116 | ||||||
Payment on shares redeemed | (495,948,790 | ) | (2,339,021,779 | ) | ||||
Net cash provided by (used in) financing activities | 395,542,084 | (369,728,663 | ) | |||||
Net increase (decrease) in cash | (56,019,105 | ) | (100,416,580 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 338,828,402 | $ | 471,704,299 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 11,390,854 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,767,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 18,889 | 1,152,834 | ||||||
Interest receivable | 39,252 | 39,204 | ||||||
Total assets | 13,215,995 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 8,505 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 876,516 | 168,285 | ||||||
Total liabilities | 885,021 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 12,330,974 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 13,215,995 | $ | 13,993,996 | ||||
Shares outstanding | 449,970 | 399,970 | ||||||
Net asset value per share | $ | 27.40 | $ | 34.54 | ||||
Market value per share (Note 2) | $ | 27.42 | $ | 34.56 | ||||
SEPTEMBER
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
(80% of shareholders’ equity) |
| |||||||
U.S. Treasury Bills^^: | ||||||||
1.089% due 10/12/17† | $ | 673,000 | $ | 672,824 | ||||
0.962% due 11/30/17 | 2,000,000 | 1,996,771 | ||||||
1.040% due 02/01/18 | 2,000,000 | 1,992,816 | ||||||
|
| |||||||
Total short-term U.S. government and agency obligations (cost $4,662,497) | $ | 4,662,411 | ||||||
|
|
Settlement Date | Local Currency | Notional Amount at Value (USD) | Unrealized Appreciation (Depreciation) | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/17 | 735,730,100 | $ | 6,539,365 | $ | (218,377 | ) | |||||||||
Yen with UBS AG | 10/06/17 | 652,357,100 | 5,798,323 | (189,283 | ) | |||||||||||
|
| |||||||||||||||
$ | (407,660 | ) | ||||||||||||||
|
| |||||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/17 | (23,286,700 | ) | $ | (206,978 | ) | $ | 1,919 | ||||||||
Yen with UBS AG | 10/06/17 | (57,172,300 | ) | (508,163 | ) | 10,432 | ||||||||||
|
| |||||||||||||||
$ | 12,351 | |||||||||||||||
|
|
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 | 07/14/23 | 1,507,359,517 | $ | 10,470,698 | $ | (407,188 | ) | |||||||||
Yen with UBS AG | 07/14/23 | 2,188,352,856 | 15,201,139 | (469,328 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (876,516 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | (1,461 | ) | $ | (10 | ) | $ | — | ||||||||
Yen with UBS AG | 07/14/23 | (158,537,000 | ) | (1,101,259 | ) | 18,889 | ||||||||||
Total Unrealized Appreciation | | $ | 18,889 | |||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 114,980 | $ | 3,064 | $ | 235,098 | $ | 3,937 | ||||||||
Expenses | ||||||||||||||||
Management fee | 25,330 | 8,036 | 55,890 | 13,465 | ||||||||||||
Total expenses | 25,330 | 8,036 | 55,890 | 13,465 | ||||||||||||
Net investment income (loss) | 89,650 | (4,972 | ) | 179,208 | (9,528 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (880,249 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | — | 1,548 | ||||||||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (878,701 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (1,348,109 | ) | 154,501 | (1,842,176 | ) | 15,962 | ||||||||||
Short-term U.S. government and agency obligations | — | (2,316 | ) | — | (5,142 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | (1,842,176 | ) | 10,820 | ||||||||||
Net realized and unrealized gain (loss) | (2,118,251 | ) | (609,293 | ) | (2,911,126 | ) | (867,881 | ) | ||||||||
Net income (loss) | $ | (2,028,601 | ) | $ | (614,265 | ) | $ | (2,731,918 | ) | $ | (877,409 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 9,915,083 | $ | 2,099,705 | $ | 13,814,796 | $ | 2,362,849 | ||||||||
Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively | 4,444,492 | 3,539,333 | 6,257,118 | 3,539,333 | ||||||||||||
Redemption of –, –, 150,000 and – shares, respectively | — | — | (5,009,022 | ) | — | |||||||||||
Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively | 4,444,492 | 3,539,333 | 1,248,096 | 3,539,333 | ||||||||||||
Net investment income (loss) | 89,650 | (4,972 | ) | 179,208 | (9,528 | ) | ||||||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (878,701 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | (1,842,176 | ) | 10,820 | ||||||||||
Net income (loss) | (2,028,601 | ) | (614,265 | ) | (2,731,918 | ) | (877,409 | ) | ||||||||
Shareholders’ equity, end of period | $ | 12,330,974 | $ | 5,024,773 | $ | 12,330,974 | $ | 5,024,773 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (2,731,918 | ) | $ | (877,409 | ) | ||
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 | — | (995,769 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (2,342 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 1,842,176 | (10,820 | ) | |||||
Decrease (Increase) in interest receivable | (48 | ) | (1,269 | ) | ||||
Increase (Decrease) in payable to Sponsor | (2,410 | ) | 1,139 | |||||
Net cash provided by (used in) operating activities | (892,200 | ) | (1,886,470 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 6,257,118 | 3,539,333 | ||||||
Payment on shares redeemed | (5,009,022 | ) | — | |||||
Net cash provided by (used in) financing activities | 1,248,096 | 3,539,333 | ||||||
Net increase (decrease) in cash | 355,896 | 1,652,863 | ||||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 13,157,854 | $ | 4,110,683 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively) | $ | 74,852,080 | $ | 89,426,935 | ||||
Cash | 5,264,925 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 36,646,185 | 65,184,460 | ||||||
Receivable from capital shares sold | 2,561,440 | 41,694 | ||||||
Receivable on open futures contracts | — | 1,604,847 | ||||||
Interest receivable | 119,269 | 384,856 | ||||||
Total assets | 119,443,899 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 5,187,383 | 1,257,090 | ||||||
Payable on open futures contracts | 1,300,062 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 3,914 | 4,134 | ||||||
Payable to Sponsor | 97,588 | 208,602 | ||||||
Total liabilities | 6,588,947 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 112,854,952 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 119,443,899 | $ | 231,269,843 | ||||
Shares outstanding (Note 1) | 4,405,220 | 9,305,220 | ||||||
Net asset value per share (Note 1) | $ | 25.62 | $ | 23.93 | ||||
Market value per share (Note 1) (Note 2) | $ | 25.70 | $ | 23.85 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(66% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 | $ | 25,000,000 | $ | 24,989,490 | ||||
4.959% due 07/13/23 | 25,000,000 | 24,964,895 | ||||||
5.104% due 08/01/23 | 25,000,000 | 24,897,695 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $74,834,094) | $ | 74,852,080 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil - NYMEX, expires September 2023 | 1,038 | $ | 73,469,640 | $ | 877,640 | |||||||
WTI Crude Oil - NYMEX, expires December 2023 | 1,073 | 75,539,200 | 7,336,619 | |||||||||
WTI Crude Oil - NYMEX, expires June 2024 | 1,111 | 76,681,220 | 4,771,897 | |||||||||
$ | 12,986,156 | |||||||||||
^^ | Rates shown |
ULTRASHORT BLOOMBERG CRUDE OIL
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 10,221 | $ | 4,659 | $ | 21,407 | $ | 11,808 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 14,387 | 17,545 | 42,356 | 47,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 14,387 | 17,545 | 42,356 | 47,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (4,166 | ) | (12,886 | ) | (20,949 | ) | (35,548 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (4,492 | ) | 955,047 | 338,091 | 2,273,130 | |||||||||||
Short-term U.S. government and agency obligations | (53 | ) | 72 | (85 | ) | 72 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (4,545 | ) | 955,119 | 338,006 | 2,273,202 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Foreign currency forward contracts | (52,440 | ) | (764,447 | ) | (53,233 | ) | (268,290 | ) | ||||||||
Short-term U.S. government and agency obligations | (332 | ) | 679 | 139 | 716 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | (52,772 | ) | (763,768 | ) | (53,094 | ) | (267,574 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | (57,317 | ) | 191,351 | 284,912 | 2,005,628 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | (61,483 | ) | $ | 178,465 | $ | 263,963 | $ | 1,970,080 | |||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,560,028 | $ | 289,299 | $ | 3,563,237 | $ | 343,206 | ||||||||
Expenses | ||||||||||||||||
Management fee | 359,177 | 946,110 | 844,057 | 1,438,757 | ||||||||||||
Brokerage commissions | 60,079 | 107,079 | 125,836 | 184,135 | ||||||||||||
Futures account fees | — | 85,802 | — | 155,979 | ||||||||||||
Total expenses | 419,256 | 1,138,991 | 969,893 | 1,778,871 | ||||||||||||
Net investment income (loss) | 1,140,772 | (849,692 | ) | 2,593,344 | (1,435,665 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 28,046,795 | (102,594,000 | ) | 55,661,074 | (209,076,101 | ) | ||||||||||
Short-term U.S. government and agency obligations | (12,271 | ) | — | (11,783 | ) | — | ||||||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | 55,649,291 | (209,076,101 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (8,229,852 | ) | 34,810,301 | 2,741,263 | 36,926,293 | |||||||||||
Short-term U.S. government and agency obligations | 13,244 | (53,187 | ) | (1,641 | ) | (240,137 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | 2,739,622 | 36,686,156 | |||||||||||
Net realized and unrealized gain (loss) | 19,817,916 | (67,836,886 | ) | 58,388,913 | (172,389,945 | ) | ||||||||||
Net income (loss) | $ | 20,958,688 | $ | (68,686,578 | ) | $ | 60,982,257 | $ | (173,825,610 | ) | ||||||
STATEMENTULTRASHORT BLOOMBERG CRUDE OIL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 5,540,957 | ||
Net investment income (loss) | (20,949 | ) | ||
Net realized gain (loss) | 338,006 | |||
Change in net unrealized appreciation/depreciation | (53,094 | ) | ||
|
| |||
Net income (loss) | 263,963 | |||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 5,804,920 | ||
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 144,762,563 | $ | 416,799,231 | $ | 222,697,337 | $ | 114,167,602 | ||||||||
Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1) | 149,281,563 | 278,861,920 | 277,187,438 | 788,890,799 | ||||||||||||
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1) | (202,147,862 | ) | (125,817,269 | ) | (448,012,080 | ) | (228,075,487 | ) | ||||||||
Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1) | (52,866,299 | ) | 153,044,651 | (170,824,642 | ) | 560,815,312 | ||||||||||
Net investment income (loss) | 1,140,772 | (849,692 | ) | 2,593,344 | (1,435,665 | ) | ||||||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | 55,649,291 | (209,076,101 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | 2,739,622 | 36,686,156 | |||||||||||
Net income (loss) | 20,958,688 | (68,686,578 | ) | 60,982,257 | (173,825,610 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 112,854,952 | $ | 501,157,304 | $ | 112,854,952 | $ | 501,157,304 | ||||||||
ULTRASHORT BLOOMBERG CRUDE OIL
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 263,963 | $ | 1,970,080 | ||||
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 | (16,968,160 | ) | (19,949,134 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 17,610,089 | 17,932,716 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (21,407 | ) | (11,808 | ) | ||||
Net realized gain (loss) on investments | 85 | (72 | ) | |||||
Change in unrealized appreciation/depreciation on investments | 53,094 | 267,574 | ||||||
Increase (Decrease) in payable to Sponsor | 161 | 1,405 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 937,825 | 210,761 | ||||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Payment on shares redeemed | — | (199 | ) | |||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | — | (199 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in cash | 937,825 | 210,562 | ||||||
Cash, beginning of period | 604,691 | 147,371 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 1,542,516 | $ | 357,933 | ||||
|
|
|
|
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 60,982,257 | $ | (173,825,610 | ) | |||
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 | (378,541,825 | ) | (988,742,468 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 394,924,819 | 812,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,821,563 | ) | (217,252 | ) | ||||
Net realized (gain) loss on investments | 11,783 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,641 | 240,137 | ||||||
Decrease (Increase) in receivable on open futures contracts | 1,604,847 | (28,947,961 | ) | |||||
Decrease (Increase) in interest receivable | 265,587 | (98,456 | ) | |||||
Increase (Decrease) in payable to Sponsor | (111,014 | ) | 264,125 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (220 | ) | 4,674 | |||||
Increase (Decrease) in payable on open futures contracts | (5,802,618 | ) | 11,507,191 | |||||
Net cash provided by (used in) operating activities | 71,513,694 | (367,815,620 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 274,667,692 | 788,890,799 | ||||||
Payment on shares redeemed | (444,081,787 | ) | (228,075,487 | ) | ||||
Net cash provided by (used in) financing activities | (169,414,095 | ) | 560,815,312 | |||||
Net increase (decrease) in cash | (97,900,401 | ) | 192,999,692 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 41,911,110 | $ | 247,443,245 | ||||
COMBINED ULTRASHORT BLOOMBERG NATURAL GAS
September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 59,037,500 | $ | 39,482,473 | ||||
Segregated cash balances with brokers for futures contracts | 378,413,556 | 180,212,984 | ||||||
Segregated cash balances with brokers for forward agreements | 738,500 | — | ||||||
Short-term U.S. government and agency obligations (Note 3) | 3,181,660,408 | 3,038,848,441 | ||||||
Unrealized appreciation on swap agreements | 40,796,900 | 55,358,571 | ||||||
Unrealized appreciation on forward agreements | 5,114,038 | 4,417,812 | ||||||
Unrealized appreciation on foreign currency forward contracts | 14,377,002 | 33,392,354 | ||||||
Receivable from capital shares sold | 17,433,038 | | — | | ||||
Receivable on open futures contracts | 58,287,553 | 41,862,862 | ||||||
Offering costs (Note 5) | 142,300 | | — | | ||||
Limitation by Sponsor | 37,387 | | — | | ||||
|
|
|
| |||||
Total assets | 3,756,038,182 | 3,393,575,497 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 118,627,346 | 71,525,035 | ||||||
Payable on open futures contracts | 25,331,097 | 3,972,621 | ||||||
Brokerage commissions and fees payable | | — | | 2,909 | ||||
Payable to Sponsor | 2,926,556 | 2,722,696 | ||||||
Payable for offering costs | 296,800 | | — | | ||||
Unrealized depreciation on swap agreements | 13,678,377 | 12,206,881 | ||||||
Unrealized depreciation on forward agreements | 36,697,229 | 25,407,296 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,835,099 | 1,400,572 | ||||||
|
|
|
| |||||
Total liabilities | 199,392,504 | 117,238,010 | ||||||
|
|
|
| |||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,556,645,678 | 3,276,337,487 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 3,756,038,182 | $ | 3,393,575,497 | ||||
|
|
|
| |||||
Shares outstanding | 118,168,916 | 90,235,707 | ||||||
|
|
|
|
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively) | $ | 34,829,828 | $ | 61,482,526 | ||||
Cash | 59,777,081 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 38,892,240 | 38,758,160 | ||||||
Receivable from capital shares sold | 2,752,997 | — | ||||||
Receivable on open futures contracts | 25,849,741 | 33,637,888 | ||||||
Interest receivable | 247,504 | 293,818 | ||||||
Total assets | 162,349,391 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 14,487,618 | 5,365,196 | ||||||
Payable on open futures contracts | 6,434,160 | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 8,448 | 7,497 | ||||||
Payable to Sponsor | 94,202 | 132,197 | ||||||
Total liabilities | 21,024,428 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 141,324,963 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 162,349,391 | $ | 139,896,772 | ||||
Shares outstanding (Note 1) | 2,566,856 | 4,966,856 | ||||||
Net asset value per share (Note 1) | $ | 55.06 | $ | 27.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 55.45 | $ | 27.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(25% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.104% due 08/01/23 | $ | 10,000,000 | $ | 9,959,078 | ||||
4.972% due 08/08/23 | 25,000,000 | 24,870,750 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $34,827,196) | $ | 34,829,828 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires September 2023 | 10,189 | $ | 282,642,860 | $ | (20,310,332 | ) |
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,344,889 | $ | 122,188 | $ | 2,531,641 | $ | 178,013 | ||||||||
Expenses | ||||||||||||||||
Management fee | 302,274 | 510,704 | 599,136 | 1,053,068 | ||||||||||||
Brokerage commissions | 233,647 | 144,907 | 443,288 | 365,858 | ||||||||||||
Futures account fees | 26,758 | 76,956 | 56,367 | 206,885 | ||||||||||||
Total expenses | 562,679 | 732,567 | 1,098,791 | 1,625,811 | ||||||||||||
Net investment income (loss) | 782,210 | (610,379 | ) | 1,432,850 | (1,447,798 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 48,736,428 | (282,646,685 | ) | 232,145,072 | (397,312,383 | ) | ||||||||||
Short-term U.S. government and agency obligations | 1,415 | (199 | ) | (1,263 | ) | (58,809 | ) | |||||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | 232,143,809 | (397,371,192 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (61,246,927 | ) | 228,166,248 | (106,199,730 | ) | 140,634,090 | ||||||||||
Short-term U.S. government and agency obligations | (3,173 | ) | (87,121 | ) | (10,168 | ) | (342,034 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | (106,209,898 | ) | 140,292,056 | ||||||||||
Net realized and unrealized gain (loss) | (12,512,257 | ) | (54,567,757 | ) | 125,933,911 | (257,079,136 | ) | |||||||||
Net income (loss) | $ | (11,730,047 | ) | $ | (55,178,136 | ) | $ | 127,366,761 | $ | (258,526,934 | ) | |||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 146,981,760 | $ | 250,340,837 | $ | 134,109,520 | $ | 242,145,130 | ||||||||
Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1) | 457,417,060 | 489,076,501 | 833,426,697 | 944,035,742 | ||||||||||||
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1) | (451,343,810 | ) | (472,415,756 | ) | (953,578,015 | ) | (715,830,492 | ) | ||||||||
Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1) | 6,073,250 | 16,660,745 | (120,151,318 | ) | 228,205,250 | |||||||||||
Net investment income (loss) | 782,210 | (610,379 | ) | 1,432,850 | (1,447,798 | ) | ||||||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | 232,143,809 | (397,371,192 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | (106,209,898 | ) | 140,292,056 | ||||||||||
Net income (loss) | (11,730,047 | ) | (55,178,136 | ) | 127,366,761 | (258,526,934 | ) | |||||||||
Shareholders’ equity, end of period | $ | 141,324,963 | $ | 211,823,446 | $ | 141,324,963 | $ | 211,823,446 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 127,366,761 | $ | (258,526,934 | ) | |||
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 | (119,017,542 | ) | (346,906,626 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 146,569,111 | 410,859,860 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (910,302 | ) | (110,657 | ) | ||||
Net realized (gain) loss on investments | 1,263 | 58,809 | ||||||
Change in unrealized (appreciation) depreciation on investments | 10,168 | 342,034 | ||||||
Decrease (Increase) in receivable on open futures contracts | 7,788,147 | (43,089,309 | ) | |||||
Decrease (Increase) in interest receivable | 46,314 | (35,299 | ) | |||||
Increase (Decrease) in payable to Sponsor | (37,995 | ) | (37,097 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 951 | (35,587 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 6,151,798 | (1,699,127 | ) | |||||
Net cash provided by (used in) operating activities | 167,968,674 | (239,179,933 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 830,673,700 | 944,035,742 | ||||||
Payment on shares redeemed | (944,455,593 | ) | (706,724,583 | ) | ||||
Net cash provided by (used in) financing activities | (113,781,893 | ) | 237,311,159 | |||||
Net increase (decrease) in cash | 54,186,781 | (1,868,774 | ) | |||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 98,669,321 | $ | 111,132,153 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively) | $ | — | $ | 39,996,624 | ||||
Cash | 45,515,144 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 7,024,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 29,100 | 193,192 | ||||||
Interest receivable | 192,965 | 109,830 | ||||||
Total assets | 52,761,330 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 42,155 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,787,874 | 2,654,448 | ||||||
Total liabilities | 1,830,029 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 50,931,301 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 52,761,330 | $ | 77,831,002 | ||||
Shares outstanding | 1,750,000 | 2,550,000 | ||||||
Net asset value per share | $ | 29.10 | $ | 29.46 | ||||
Market value per share (Note 2) | $ | 29.11 | $ | 29.45 | ||||
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 | 07/14/23 | 4,446,000 | $ | 4,855,150 | $ | (36,237 | ) | |||||||||
Euro with UBS AG | 07/14/23 | 12,460,000 | 13,606,649 | 29,100 | ||||||||||||
Total Unrealized Depreciation | | $ | (7,137 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | (51,941,263 | ) | $ | (56,721,233 | ) | $ | (836,536 | ) | |||||||
Euro with UBS AG | 07/14/23 | (58,308,199 | ) | (63,674,095 | ) | (915,101 | ) | |||||||||
Total Unrealized Depreciation | | $ | (1,751,637 | ) | ||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 593,746 | $ | 39,011 | $ | 1,240,866 | $ | 54,416 | ||||||||
Expenses | ||||||||||||||||
Management fee | 131,101 | 146,934 | 292,669 | 264,390 | ||||||||||||
Total expenses | 131,101 | 146,934 | 292,669 | 264,390 | ||||||||||||
Net investment income (loss) | 462,645 | (107,923 | ) | 948,197 | (209,974 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,607,263 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | 210,974 | ||||||||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,818,237 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 556,469 | 3,061,048 | 702,482 | 3,403,124 | ||||||||||||
Short-term U.S. government and agency obligations | — | (21,310 | ) | (4,802 | ) | (94,645 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | 697,680 | 3,308,479 | ||||||||||||
Net realized and unrealized gain (loss) | (489,473 | ) | 6,104,867 | (1,755,573 | ) | 9,126,716 | ||||||||||
Net income (loss) | $ | (26,828 | ) | $ | 5,996,944 | $ | (807,376 | ) | $ | 8,916,742 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 59,537,260 | $ | 50,498,084 | $ | 75,113,179 | $ | 54,263,045 | ||||||||
Addition of –, 500,000, 100,000 and 550,000 shares, respectively | — | 14,656,401 | 3,051,886 | 16,028,063 | ||||||||||||
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively | (8,579,131 | ) | (8,881,332 | ) | (26,426,388 | ) | (16,937,753 | ) | ||||||||
Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively | (8,579,131 | ) | 5,775,069 | (23,374,502 | ) | (909,690 | ) | |||||||||
Net investment income (loss) | 462,645 | (107,923 | ) | 948,197 | (209,974 | ) | ||||||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,818,237 | ||||||||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | 697,680 | 3,308,479 | ||||||||||||
Net income (loss) | (26,828 | ) | 5,996,944 | (807,376 | ) | 8,916,742 | ||||||||||
Shareholders’ equity, end of period | $ | 50,931,301 | $ | 62,270,097 | $ | 50,931,301 | $ | 62,270,097 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (807,376 | ) | $ | 8,916,742 | |||
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 | (54,925,175 | ) | (44,986,222 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 72,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (32,410 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (697,680 | ) | (3,308,479 | ) | ||||
Decrease (Increase) in interest receivable | (83,135 | ) | (17,256 | ) | ||||
Increase (Decrease) in payable to Sponsor | (21,220 | ) | 6,691 | |||||
Net cash provided by (used in) operating activities | 38,382,411 | 32,579,066 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 16,028,063 | ||||||
Payment on shares redeemed | (26,426,388 | ) | (16,937,753 | ) | ||||
Net cash provided by (used in) financing activities | (23,374,502 | ) | (909,690 | ) | ||||
Net increase (decrease) in cash | 15,007,909 | 31,669,376 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 52,539,265 | $ | 39,223,441 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,595,466 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 657,360 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 2,476,000 | 3,536,000 | ||||||
Unrealized appreciation on swap agreements | 440,571 | — | ||||||
Receivable on open futures contracts | 40,101 | — | ||||||
Interest receivable | 61,501 | 42,135 | ||||||
Total assets | 17,270,999 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,445,160 | — | ||||||
Payable on open futures contracts | 2,300 | 700 | ||||||
Payable to Sponsor | 14,161 | 12,854 | ||||||
Unrealized depreciation on swap agreements | — | 592,957 | ||||||
Total liabilities | 1,461,621 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 15,809,378 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 17,270,999 | $ | 16,062,548 | ||||
Shares outstanding | 546,977 | 496,977 | ||||||
Net asset value per share | $ | 28.90 | $ | 31.10 | ||||
Market value per share (Note 2) | $ | 28.96 | $ | 30.99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Gold Futures - COMEX, expires August 2023 | 79 | $ | 15,242,260 | $ | 970,805 |
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 | % | 07/06/23 | $ | (3,783,471 | ) | $ | 101,527 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 07/06/23 | (4,958,670 | ) | 133,231 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | (7,669,707 | ) | 205,813 | |||||||||||
Total Unrealized Appreciation | | $ | 440,571 | |||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of June 30, 2023, 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. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 184,052 | $ | 19,975 | $ | 316,614 | $ | 29,660 | ||||||||
Expenses | ||||||||||||||||
Management fee | 42,869 | 75,676 | 79,242 | 141,814 | ||||||||||||
Brokerage commissions | 1,605 | 2,985 | 2,966 | 5,796 | ||||||||||||
Futures account fees | — | 580 | — | 2,446 | ||||||||||||
Total expenses | 44,474 | 79,241 | 82,208 | 150,056 | ||||||||||||
Net investment income (loss) | 139,578 | (59,266 | ) | 234,406 | (120,396 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (562,109 | ) | 1,310,720 | (676,159 | ) | (680,529 | ) | |||||||||
Swap agreements | (991,042 | ) | 3,247,150 | (1,907,873 | ) | (1,070,274 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | — | 4 | ||||||||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | (2,584,032 | ) | (1,750,799 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 1,132,962 | 485,575 | 1,069,691 | 653,483 | ||||||||||||
Swap agreements | 1,625,959 | (187,339 | ) | 1,033,528 | 1,714,101 | |||||||||||
Short-term U.S. government and agency obligations | — | (8,285 | ) | — | (48,854 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | 2,103,219 | 2,318,730 | ||||||||||||
Net realized and unrealized gain (loss) | 1,205,770 | 4,847,821 | (480,813 | ) | 567,931 | |||||||||||
Net income (loss) | $ | 1,345,348 | $ | 4,788,555 | $ | (246,407 | ) | $ | 447,535 | |||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 16,049,273 | $ | 32,598,451 | $ | 15,456,037 | $ | 26,859,844 | ||||||||
Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively | 7,934,073 | 20,554,617 | 16,298,343 | 33,744,566 | ||||||||||||
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively | (9,519,316 | ) | (23,330,339 | ) | (15,698,595 | ) | (26,440,661 | ) | ||||||||
Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively | (1,585,243 | ) | (2,775,722 | ) | 599,748 | 7,303,905 | ||||||||||
Net investment income (loss) | 139,578 | (59,266 | ) | 234,406 | (120,396 | ) | ||||||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | (2,584,032 | ) | (1,750,799 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | 2,103,219 | 2,318,730 | ||||||||||||
Net income (loss) | 1,345,348 | 4,788,555 | (246,407 | ) | 447,535 | |||||||||||
Shareholders’ equity, end of period | $ | 15,809,378 | $ | 34,611,284 | $ | 15,809,378 | $ | 34,611,284 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (246,407 | ) | $ | 447,535 | |||
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 | — | (17,987,491 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 29,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (21,000 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,033,528 | ) | (1,665,247 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (40,101 | ) | (5,100 | ) | ||||
Decrease (Increase) in interest receivable | (19,366 | ) | (6,385 | ) | ||||
Increase (Decrease) in payable to Sponsor | 1,307 | (1,526 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (294 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 1,600 | (77,583 | ) | |||||
Net cash provided by (used in) operating activities | (1,336,495 | ) | 10,682,895 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 16,298,343 | 32,164,882 | ||||||
Payment on shares redeemed | (14,253,435 | ) | (26,440,661 | ) | ||||
Net cash provided by (used in) financing activities | 2,044,908 | 5,724,221 | ||||||
Net increase (decrease) in cash | 708,413 | 16,407,116 | ||||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 16,728,826 | $ | 18,397,470 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 12,006,167 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 1,325,250 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 6,881,000 | 7,875,000 | ||||||
Unrealized appreciation on swap agreements | 845,012 | — | ||||||
Receivable from capital shares sold | — | 972,789 | ||||||
Receivable on open futures contracts | 245,272 | 59,575 | ||||||
Interest receivable | 61,813 | 60,480 | ||||||
Total assets | 21,364,514 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 2,049,307 | — | ||||||
Payable on open futures contracts | 5,550 | — | ||||||
Payable to Sponsor | 19,184 | 20,705 | ||||||
Unrealized depreciation on swap agreements | — | 1,722,623 | ||||||
Total liabilities | 2,074,041 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 19,290,473 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 21,364,514 | $ | 33,676,127 | ||||
Shares outstanding | 941,329 | 1,641,329 | ||||||
Net asset value per share | $ | 20.49 | $ | 19.46 | ||||
Market value per share (Note 2) | $ | 20.58 | $ | 19.30 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Silver Futures - COMEX, expires September 2023 | 139 | $ | 15,998,900 | $ | 958,923 |
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 | % | 07/06/23 | $ | (2,676,258 | ) | $ | 100,100 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | (9,749,240 | ) | 364,653 | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | (7,708,614 | ) | 288,063 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | (2,464,968 | ) | 92,196 | |||||||||||
Total Unrealized Appreciation | | $ | 845,012 | |||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of June 30, 2023, 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. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 323,734 | $ | 18,743 | $ | 523,812 | $ | 27,663 | ||||||||
Expenses | ||||||||||||||||
Management fee | 82,417 | 62,381 | 142,585 | 123,334 | ||||||||||||
Brokerage commissions | 8,958 | 6,677 | 14,661 | 11,978 | ||||||||||||
Futures account fees | — | 1,169 | — | 4,443 | ||||||||||||
Total expenses | 91,375 | 70,227 | 157,246 | 139,755 | ||||||||||||
Net investment income (loss) | 232,359 | (51,484 | ) | 366,566 | (112,092 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 3,460,638 | 5,944,050 | 4,792,636 | 4,650,280 | ||||||||||||
Swap agreements | (2,347,042 | ) | 3,467,182 | (965,417 | ) | (2,612,794 | ) | |||||||||
Short-term U.S. government and agency obligations | (906 | ) | — | (906 | ) | (190 | ) | |||||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | 3,826,313 | 2,037,296 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 1,782,960 | 2,249,743 | 1,899,423 | 1,864,397 | ||||||||||||
Swap agreements | 3,867,334 | 1,599,944 | 2,567,635 | 3,794,452 | ||||||||||||
Short-term U.S. government and agency obligations | — | 3,625 | — | (15,885 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | 4,467,058 | 5,642,964 | ||||||||||||
Net realized and unrealized gain (loss) | 6,762,984 | 13,264,544 | 8,293,371 | 7,680,260 | ||||||||||||
Net income (loss) | $ | 6,995,343 | $ | 13,213,060 | $ | 8,659,937 | $ | 7,568,168 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 20,335,691 | $ | 23,406,516 | $ | 31,932,799 | $ | 26,537,000 | ||||||||
Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively | 41,523,335 | 17,707,417 | 55,312,875 | 43,267,561 | ||||||||||||
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively | (49,563,896 | ) | (21,274,153 | ) | (76,615,138 | ) | (44,319,889 | ) | ||||||||
Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively | (8,040,561 | ) | (3,566,736 | ) | (21,302,263 | ) | (1,052,328 | ) | ||||||||
Net investment income (loss) | 232,359 | (51,484 | ) | 366,566 | (112,092 | ) | ||||||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | 3,826,313 | 2,037,296 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | 4,467,058 | 5,642,964 | ||||||||||||
Net income (loss) | 6,995,343 | 13,213,060 | 8,659,937 | 7,568,168 | ||||||||||||
Shareholders’ equity, end of period | $ | 19,290,473 | $ | 33,052,840 | $ | 19,290,473 | $ | 33,052,840 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 8,659,937 | $ | 7,568,168 | ||||
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 | (14,880,254 | ) | (20,979,051 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 14,937,156 | 30,999,081 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (57,808 | ) | (21,212 | ) | ||||
Net realized (gain) loss on investments | 906 | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,567,635 | ) | (3,778,567 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (185,697 | ) | (176,048 | ) | ||||
Decrease (Increase) in interest receivable | (1,333 | ) | (4,807 | ) | ||||
Increase (Decrease) in payable to Sponsor | (1,521 | ) | (9,072 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (747 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 5,550 | (5,840 | ) | |||||
Net cash provided by (used in) operating activities | 5,909,301 | 13,592,095 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 56,285,664 | 41,679,928 | ||||||
Payment on shares redeemed | (74,565,831 | ) | (44,319,889 | ) | ||||
Net cash provided by (used in) financing activities | (18,280,167 | ) | (2,639,961 | ) | ||||
Net increase (decrease) in cash | (12,370,866 | ) | 10,952,134 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 20,212,417 | $ | 16,435,610 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||
Cash | 22,448,405 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,582,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,238,472 | 963,369 | ||||||
Interest receivable | 86,880 | 36,071 | ||||||
Total assets | 27,356,268 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,992 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 258,620 | 3,990,802 | ||||||
Total liabilities | 278,612 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 27,077,656 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 27,356,268 | $ | 28,101,626 | ||||
Shares outstanding (Note 1) | 398,580 | 398,580 | ||||||
Net asset value per share (Note 1) | $ | 67.94 | $ | 53.68 | ||||
Market value per share (Note 1) (Note 2) | $ | 67.95 | $ | 53.57 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 07/14/23 | 1,228,677,000 | $ | 8,534,862 | $ | (258,620 | ) | |||||||||
Total Unrealized Depreciation | | $ | (258,620 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | (3,428,392,165 | ) | $ | (23,814,929 | ) | $ | 890,062 | ||||||||
Yen with UBS AG | 07/14/23 | (5,596,567,574 | ) | (38,875,908 | ) | 1,348,410 | ||||||||||
Total Unrealized Appreciation | | $ | 2,238,472 | |||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 255,354 | $ | 26,913 | $ | 459,554 | $ | 36,312 | ||||||||
Expenses | ||||||||||||||||
Management fee | 58,179 | 93,181 | 108,991 | 153,001 | ||||||||||||
Total expenses | 58,179 | 93,181 | 108,991 | 153,001 | ||||||||||||
Net investment income (loss) | 197,175 | (66,268 | ) | 350,563 | (116,689 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 1,370,771 | 7,917,170 | 342,795 | 8,997,343 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | — | 102,971 | ||||||||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | 342,795 | 9,100,314 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 3,145,023 | (1,364,477 | ) | 5,007,285 | 101,925 | |||||||||||
Short-term U.S. government and agency obligations | — | (3,452 | ) | (2,761 | ) | (31,390 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | 5,004,524 | 70,535 | |||||||||||
Net realized and unrealized gain (loss) | 4,515,794 | 6,549,241 | 5,347,319 | 9,170,849 | ||||||||||||
Net income (loss) | $ | 4,712,969 | $ | 6,482,973 | $ | 5,697,882 | $ | 9,054,160 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 25,111,818 | $ | 27,726,701 | $ | 21,397,736 | $ | 24,840,784 | ||||||||
Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1) | 14,899,838 | 34,515,397 | 26,056,375 | 44,120,719 | ||||||||||||
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1) | (17,646,969 | ) | (23,156,189 | ) | (26,074,337 | ) | (32,446,781 | ) | ||||||||
Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1) | (2,747,131 | ) | 11,359,208 | (17,962 | ) | 11,673,938 | ||||||||||
Net investment income (loss) | 197,175 | (66,268 | ) | 350,563 | (116,689 | ) | ||||||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | 342,795 | 9,100,314 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | 5,004,524 | 70,535 | |||||||||||
Net income (loss) | 4,712,969 | 6,482,973 | 5,697,882 | 9,054,160 | ||||||||||||
Shareholders’ equity, end of period | $ | 27,077,656 | $ | 45,568,882 | $ | 27,077,656 | $ | 45,568,882 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 5,697,882 | $ | 9,054,160 | ||||
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 | — | (17,984,733 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 28,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (20,093 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (5,004,524 | ) | (70,535 | ) | ||||
Decrease (Increase) in interest receivable | (50,809 | ) | (12,261 | ) | ||||
Increase (Decrease) in payable to Sponsor | (9,641 | ) | 11,416 | |||||
Net cash provided by (used in) operating activities | 23,628,206 | 18,977,954 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 26,056,375 | 44,120,719 | ||||||
Payment on shares redeemed | (28,757,792 | ) | (32,446,781 | ) | ||||
Net cash provided by (used in) financing activities | (2,701,417 | ) | 11,673,938 | |||||
Net increase (decrease) in cash | 20,926,789 | 30,651,892 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 25,030,916 | $ | 33,655,143 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively) | $ | — | $ | 49,882,348 | ||||
Cash | 42,134,389 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 8,099,770 | 14,384,050 | ||||||
Receivable on open futures contracts | — | 142,794 | ||||||
Interest receivable | 189,748 | 88,180 | ||||||
Total assets | 50,423,907 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 962,275 | — | ||||||
Brokerage commissions and futures account fees payable | 4,683 | 3,688 | ||||||
Payable to Sponsor | 35,536 | 54,664 | ||||||
Total liabilities | 1,002,494 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 49,421,413 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 50,423,907 | $ | 84,073,311 | ||||
Shares outstanding | 2,412,403 | 2,762,403 | ||||||
Net asset value per share | $ | 20.49 | $ | 30.41 | ||||
Market value per share (Note 2) | $ | 20.48 | $ | 30.36 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 501 | $ | 9,192,799 | $ | (2,627,316 | ) | ||||||
VIX Futures - Cboe, expires November 2023 | 865 | 16,305,250 | (4,252,873 | ) | ||||||||
VIX Futures - Cboe, expires December 2023 | 865 | 16,564,750 | (2,707,689 | ) | ||||||||
VIX Futures - Cboe, expires January 2024 | 364 | 7,352,800 | (290,336 | ) | ||||||||
$ | (9,878,214 | ) | ||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 650,585 | $ | 52,826 | $ | 1,298,505 | $ | 76,749 | ||||||||
Expenses | ||||||||||||||||
Management fee | 134,066 | 210,584 | 284,189 | 426,247 | ||||||||||||
Brokerage commissions | 12,200 | 15,500 | 21,369 | 40,369 | ||||||||||||
Futures account fees | 11,856 | 10,906 | 23,296 | 46,394 | ||||||||||||
Total expenses | 158,122 | 236,990 | 328,854 | 513,010 | ||||||||||||
Net investment income (loss) | 492,463 | (184,164 | ) | 969,651 | (436,261 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,885 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | (336 | ) | |||||||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,549 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (9,677,526 | ) | 4,040,230 | (5,086,991 | ) | 3,705,055 | ||||||||||
Short-term U.S. government and agency obligations | 2,424 | (47,560 | ) | (5,651 | ) | (186,220 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | (5,092,642 | ) | 3,518,835 | ||||||||||
Net realized and unrealized gain (loss) | (16,618,435 | ) | 11,854,722 | (27,856,695 | ) | 16,172,384 | ||||||||||
Net income (loss) | $ | (16,125,972 | ) | $ | 11,670,558 | $ | (26,887,044 | ) | $ | 15,736,123 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 67,306,087 | $ | 97,869,914 | $ | 84,014,959 | $ | 112,875,680 | ||||||||
�� | ||||||||||||||||
Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively | 14,067,422 | 10,043,451 | 21,818,758 | 32,179,053 | ||||||||||||
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively | (15,826,124 | ) | (23,862,652 | ) | (29,525,260 | ) | (65,069,585 | ) | ||||||||
Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively | (1,758,702 | ) | (13,819,201 | ) | (7,706,502 | ) | (32,890,532 | ) | ||||||||
Net investment income (loss) | 492,463 | (184,164 | ) | 969,651 | (436,261 | ) | ||||||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,549 | ||||||||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | (5,092,642 | ) | 3,518,835 | ||||||||||
Net income (loss) | (16,125,972 | ) | 11,670,558 | (26,887,044 | ) | 15,736,123 | ||||||||||
Shareholders’ equity, end of period | $ | 49,421,413 | $ | 95,721,271 | $ | 49,421,413 | $ | 95,721,271 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (26,887,044 | ) | $ | 15,736,123 | |||
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 | (254,817,825 | ) | (51,992,010 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 305,000,000 | 105,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (305,478 | ) | (45,127 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 5,651 | 186,220 | ||||||
Decrease (Increase) in receivable on open futures contracts | 142,794 | (752,378 | ) | |||||
Decrease (Increase) in interest receivable | (101,568 | ) | (21,835 | ) | ||||
Increase (Decrease) in payable to Sponsor | (19,128 | ) | (20,792 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 995 | (7,124 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 962,275 | (94,495 | ) | |||||
Net cash provided by (used in) operating activities | 23,980,672 | 68,987,466 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 21,818,758 | 32,179,053 | ||||||
Payment on shares redeemed | (29,525,260 | ) | (65,069,585 | ) | ||||
Net cash provided by (used in) financing activities | (7,706,502 | ) | (32,890,532 | ) | ||||
Net increase (decrease) in cash | 16,274,170 | 36,096,934 | ||||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 50,234,159 | $ | 63,168,753 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively) | $ | 74,783,454 | $ | 89,347,714 | ||||
Cash | 50,424,148 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 88,397,850 | 91,634,942 | ||||||
Receivable on open futures contracts | 18,506,138 | 52,643,553 | ||||||
Interest receivable | 385,471 | 403,667 | ||||||
Total assets | 232,497,061 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | 2,131,494 | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 19,141 | 27,102 | ||||||
Payable to Sponsor | 118,596 | 155,130 | ||||||
Total liabilities | 2,269,231 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 230,227,830 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 232,497,061 | $ | 267,556,744 | ||||
Shares outstanding (Note 1) | 9,226,565 | 4,676,565 | ||||||
Net asset value per share (Note 1) | $ | 24.95 | $ | 57.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 24.96 | $ | 56.90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.959% due 07/13/23 | $ | 15,000,000 | $ | 14,978,937 | ||||
5.242% due 07/18/23 | 25,000,000 | 24,947,395 | ||||||
5.251% due 07/25/23 | 20,000,000 | 19,938,584 | ||||||
5.161% due 08/10/23 | 15,000,000 | 14,918,538 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $74,762,717) | $ | 74,783,454 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 8,545 | $ | 128,268,995 | $ | (26,123,108 | ) | ||||||
VIX Futures - Cboe, expires August 2023 | 6,216 | 101,944,265 | (3,849,779 | ) | ||||||||
$ | (29,972,887 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,440,291 | $ | 207,903 | $ | 4,560,852 | $ | 278,612 | ||||||||
Expenses | ||||||||||||||||
Management fee | 530,826 | 773,717 | 1,048,314 | 1,479,408 | ||||||||||||
Brokerage commissions | 95,391 | 171,182 | 191,888 | 287,656 | ||||||||||||
Futures account fees | 48,732 | 115,783 | 99,391 | 316,440 | ||||||||||||
Total expenses | 674,949 | 1,060,682 | 1,339,593 | 2,083,504 | ||||||||||||
Net investment income (loss) | 1,765,342 | (852,779 | ) | 3,221,259 | (1,804,892 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (127,229,299 | ) | 23,659,182 | (173,326,001 | ) | 77,393,309 | ||||||||||
Short-term U.S. government and agency obligations | (10,613 | ) | (397 | ) | (10,605 | ) | (300 | ) | ||||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | (173,336,606 | ) | 77,393,009 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (21,324,056 | ) | 46,680,364 | (20,176,064 | ) | 33,506,046 | ||||||||||
Short-term U.S. government and agency obligations | 20,803 | (79,587 | ) | 2,837 | (353,650 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | (20,173,227 | ) | 33,152,396 | ||||||||||
Net realized and unrealized gain (loss) | (148,543,165 | ) | 70,259,562 | (193,509,833 | ) | 110,545,405 | ||||||||||
Net income (loss) | $ | (146,777,823 | ) | $ | 69,406,783 | $ | (190,288,574 | ) | $ | 108,740,513 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 226,765,204 | $ | 404,950,400 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1) | 159,301,302 | 141,195,554 | 267,768,654 | 302,368,469 | ||||||||||||
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1) | (9,060,853 | ) | (273,838,421 | ) | (113,832,570 | ) | (339,097,830 | ) | ||||||||
Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1) | 150,240,449 | (132,642,867 | ) | 153,936,084 | (36,729,361 | ) | ||||||||||
Net investment income (loss) | 1,765,342 | (852,779 | ) | 3,221,259 | (1,804,892 | ) | ||||||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | (173,336,606 | ) | 77,393,009 | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | (20,173,227 | ) | 33,152,396 | ||||||||||
Net income (loss) | (146,777,823 | ) | 69,406,783 | (190,288,574 | ) | 108,740,513 | ||||||||||
Shareholders’ equity, end of period | $ | 230,227,830 | $ | 341,714,316 | $ | 230,227,830 | $ | 341,714,316 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (190,288,574 | ) | $ | 108,740,513 | |||
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 | (318,231,573 | ) | (772,834,858 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 334,754,108 | 753,998,870 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,966,043 | ) | (182,283 | ) | ||||
Net realized (gain) loss on investments | 10,605 | 300 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,837 | ) | 353,650 | |||||
Decrease (Increase) in receivable on open futures contracts | 34,137,415 | (36,332,848 | ) | |||||
Decrease (Increase) in interest receivable | 18,196 | (70,359 | ) | |||||
Increase (Decrease) in payable to Sponsor | (36,534 | ) | 32,486 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (7,961 | ) | (20,252 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 1,907,775 | (2,037,391 | ) | |||||
Net cash provided by (used in) operating activities | (139,705,423 | ) | 51,647,828 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 267,768,654 | 305,395,083 | ||||||
Payment on shares redeemed | (114,403,043 | ) | (339,097,830 | ) | ||||
Net cash provided by (used in) financing activities | 153,365,611 | (33,702,747 | ) | |||||
Net increase (decrease) in cash | 13,660,188 | 17,945,081 | ||||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 138,821,998 | $ | 133,905,897 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively) | $ | 1,346,032,901 | $ | 1,466,680,542 | ||||
Cash | 768,092,274 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 1,011,816,684 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 12,206,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 393,762,745 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 47,373,840 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,527,851 | 2,823,510 | ||||||
Receivable from capital shares sold | 5,314,437 | 1,014,483 | ||||||
Receivable on open futures contracts | 236,446,947 | 522,770,291 | ||||||
Interest receivable | 5,319,549 | 4,920,772 | ||||||
Total assets | 3,828,893,860 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 27,830,318 | 32,725,077 | ||||||
Payable on open futures contracts | 14,433,430 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 166,633 | 165,165 | ||||||
Payable to Sponsor | 2,902,544 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 26,790,686 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 2,924,712 | 6,911,994 | ||||||
Total liabilities | 75,048,323 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,753,845,537 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 3,828,893,860 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 111,471,547 | 89,444,047 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016* | 2017 | 2016* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 7,808,931 | $ | 2,361,927 | $ | 16,997,031 | $ | 6,523,319 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Management fee | 8,239,003 | 8,874,154 | 23,059,129 | 26,210,756 | ||||||||||||
Brokerage commissions and fees | 2,698,871 | 1,837,843 | 6,069,898 | 5,741,230 | ||||||||||||
Offering costs | 74,810 | — | 154,500 | — | ||||||||||||
Limitation by Sponsor | (12,787 | ) | — | (37,387 | ) | — | ||||||||||
Reduction in Limitation by Sponsor | 5,818 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 11,005,715 | 10,711,997 | 29,246,140 | 31,951,986 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (3,196,784 | ) | (8,350,070 | ) | (12,249,109 | ) | (25,428,667 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 44,960,735 | (616,625,175 | ) | (340,387,543 | ) | (1,157,016,680 | ) | |||||||||
Swap agreements | 20,685,901 | (152,532,535 | ) | (72,778,431 | ) | (154,872,473 | ) | |||||||||
Forward agreements | 3,415,938 | 106,840,064 | 30,057,907 | 151,948,518 | ||||||||||||
Foreign currency forward contracts | (24,318,202 | ) | (38,012,183 | ) | (59,859,325 | ) | (143,336,227 | ) | ||||||||
Short-term U.S. government and agency obligations | (11,633 | ) | 16,487 | (60,265 | ) | (24,164 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 44,732,739 | (700,313,342 | ) | (443,027,657 | ) | (1,303,301,026 | ) | |||||||||
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|
|
| |||||||||
Change in net unrealized appreciation/depreciation on | ||||||||||||||||
Futures contracts | (4,409,373 | ) | 120,520,628 | (8,069,381 | ) | (10,191,565 | ) | |||||||||
Swap agreements | 73,621,267 | 95,697,940 | (16,033,167 | ) | 120,033,888 | |||||||||||
Forward agreements | 6,515,522 | (82,379,401 | ) | (10,593,707 | ) | 5,120,239 | ||||||||||
Foreign currency forward contracts | 9,447,911 | 19,906,042 | (19,449,879 | ) | 43,519,287 | |||||||||||
Short-term U.S. government and agency obligations | 119,011 | 136,969 | 184,931 | 279,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 85,294,338 | 153,882,178 | (53,961,203 | ) | 158,761,348 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 130,027,077 | (546,431,164 | ) | (496,988,860 | ) | (1,144,539,678 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net income (loss) | $ | 126,830,293 | $ | (554,781,234 | ) | $ | (509,237,969 | ) | $ | (1,169,968,345 | ) | |||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 35,172,821 | $ | 3,593,473 | $ | 69,048,196 | $ | 4,620,355 | ||||||||
Expenses | ||||||||||||||||
Management fee | 9,417,542 | 11,608,051 | 18,671,870 | 22,225,008 | ||||||||||||
Brokerage commissions | 2,541,487 | 1,894,153 | 4,916,119 | 3,802,918 | ||||||||||||
Futures account fees | 426,130 | 1,030,206 | 828,892 | 2,835,129 | ||||||||||||
Total expenses | 12,385,159 | 14,532,410 | 24,416,881 | 28,863,055 | ||||||||||||
Net investment income (loss) | 22,787,662 | (10,938,937 | ) | 44,631,315 | (24,242,700 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (903,140,314 | ) | 101,692,223 | (1,989,000,881 | ) | 510,140,998 | ||||||||||
Swap agreements | (127,144,869 | ) | (48,816,783 | ) | (36,920,176 | ) | 656,366,206 | |||||||||
Foreign currency forward contracts | (367,022 | ) | 9,774,456 | (2,820,838 | ) | 12,836,962 | ||||||||||
Short-term U.S. government and agency obligations | (182,341 | ) | (420,375 | ) | (195,871 | ) | (192,800 | ) | ||||||||
Net realized gain (loss) | (1,030,834,546 | ) | 62,229,521 | (2,028,937,766 | ) | 1,179,151,366 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 370,415,259 | 10,131,053 | 337,853,836 | 62,770,119 | ||||||||||||
Swap agreements | 53,364,477 | (57,491,778 | ) | (96,981,521 | ) | (326,324,133 | ) | |||||||||
Foreign currency forward contracts | 2,274,360 | 1,568,995 | 3,691,623 | 3,105,964 | ||||||||||||
Short-term U.S. government and agency obligations | 266,337 | (768,379 | ) | 49,246 | (4,025,886 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 426,320,433 | (46,560,109 | ) | 244,613,184 | (264,473,936 | ) | ||||||||||
Net realized and unrealized gain (loss) | (604,514,113 | ) | 15,669,412 | (1,784,324,582 | ) | 914,677,430 | ||||||||||
Net income (loss) | $ | (581,726,451 | ) | $ | 4,730,475 | $ | (1,739,693,267 | ) | $ | 890,434,730 | ||||||
* | The operations include the activity of ProShares |
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
Shareholders’ equity, at December 31, 2016 | $ | 3,276,337,487 | ||
Addition of 196,810,016 shares | 7,589,000,140 | |||
Redemption of 168,876,807 shares | (6,799,453,980 | ) | ||
|
| |||
Net addition (redemption) of 27,933,209 shares | 789,546,160 | |||
|
| |||
Net investment income (loss) | (12,249,109 | ) | ||
Net realized gain (loss) | (443,027,657 | ) | ||
Change in net unrealized appreciation/depreciation | (53,961,203 | ) | ||
|
| |||
Net income (loss) | (509,237,969 | ) | ||
|
| |||
Shareholders’ equity, at September 30, 2017 | $ | 3,556,645,678 | ||
|
|
See accompanying notes to financial statements.
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
Nine Months Ended September 30, | ||||||||
2017 | 2016* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (509,237,969 | ) | $ | (1,169,968,345 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Decrease (Increase) in segregated cash balances with brokers for futures contracts | (198,200,572 | ) | 114,083,793 | |||||
Decrease (Increase) in segregated cash balances with brokers for swap agreements | — | (27,493,000 | ) | |||||
Decrease (Increase) in segregated cash balances with brokers for forward agreements | (738,500 | ) | (12,334,000 | ) | ||||
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts | — | (17,077,000 | ) | |||||
Purchases of short-term U.S. government and agency obligations | (15,422,910,140 | ) | (14,039,604,848 | ) | ||||
Proceeds from sales or maturities of short-term U.S government and agency obligations | 15,297,219,736 | 13,684,559,003 | ||||||
Net amortization and accretion on short-term U.S government and agency obligations | (16,996,897 | ) | (6,517,397 | ) | ||||
Net realized gain (loss) on investments | 60,265 | 24,164 | ||||||
Change in unrealized appreciation/depreciation on investments | 45,891,822 | (168,952,913 | ) | |||||
Decrease (Increase) in receivable from counterparty | — | (17,625,333 | ) | |||||
Decrease (Increase) in receivable on futures contracts | (16,424,691 | ) | 19,610,507 | |||||
Decrease (Increase) in Limitation by Sponsor | (37,387 | ) | — | |||||
Change in offering cost | (142,300 | ) | — | |||||
Increase (Decrease) in payable to Sponsor | 203,860 | 24,225 | ||||||
Increase (Decrease) in brokerage commissions and fees payable | (2,909 | ) | (24,694 | ) | ||||
Increase (Decrease) in payable for counterparty | — | 1,736,880 | ||||||
Increase (Decrease) in payable on futures contracts | 21,358,476 | 30,601,598 | ||||||
Increase (Decrease) in payable for offering costs | 296,800 | — | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (799,660,406 | ) | (1,608,957,360 | ) | ||||
|
|
|
| |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 7,571,567,102 | 8,446,268,126 | ||||||
Payment on shares redeemed | (6,752,351,669 | ) | (6,848,020,624 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 819,215,433 | 1,598,247,502 | ||||||
|
|
|
| |||||
Net increase (decrease) in cash | 19,555,027 | (10,709,858 | ) | |||||
Cash, beginning of period | 39,482,599 | 48,049,225 | ||||||
|
|
|
| |||||
Cash, end of period | $ | 59,037,626 | $ | 37,339,367 | ||||
|
|
|
|
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 4,138,630,893 | $ | 5,338,066,570 | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||||||
Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1) | 2,534,087,735 | 2,545,986,476 | 6,659,958,056 | 5,628,786,761 | ||||||||||||
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1) | (2,337,146,640 | ) | (3,325,413,745 | ) | (5,054,205,998 | ) | (6,129,326,058 | ) | ||||||||
Net addition (redemption) of 11,612,500, (5,380,804 ), 22,027,500 and (525,926) shares, respectively (Note 1) | 196,941,095 | (779,427,269 | ) | 1,605,752,058 | (500,539,297 | ) | ||||||||||
Net investment income (loss) | 22,787,662 | (10,938,937 | ) | 44,631,315 | (24,242,700 | ) | ||||||||||
Net realized gain (loss) | (1,030,834,546 | ) | 62,229,521 | (2,028,937,766 | ) | 1,179,151,366 | ||||||||||
Change in net unrealized appreciation (depreciation) | 426,320,433 | (46,560,109 | ) | 244,613,184 | (264,473,936 | ) | ||||||||||
Net income (loss) | (581,726,451 | ) | 4,730,475 | (1,739,693,267 | ) | 890,434,730 | ||||||||||
Shareholders’ equity, end of period | $ | 3,753,845,537 | $ | 4,563,369,776 | $ | 3,753,845,537 | $ | 4,563,369,776 | ||||||||
* | The operations include the activity of ProShares |
Six Months Ended June 30, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,739,693,267 | ) | $ | 890,434,730 | |||
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 | (23,583,170,670 | ) | (11,579,158,324 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,734,747,679 | 12,000,836,596 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (31,075,993 | ) | (3,419,714 | ) | ||||
Net realized (gain) loss on investments | 195,871 | 192,879 | ||||||
Change in unrealized (appreciation) depreciation on investments | 93,240,652 | 327,244,055 | ||||||
Decrease (Increase) in receivable on futures contracts | 286,323,344 | (318,333,532 | ) | |||||
Decrease (Increase) in interest receivable | (398,777 | ) | (872,124 | ) | ||||
Increase (Decrease) in payable to Sponsor | (307,569 | ) | 557,811 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,468 | (331,006 | ) | |||||
Increase (Decrease) in payable on futures contracts | 2,690,636 | 25,823,690 | ||||||
Net cash provided by (used in) operating activities | (1,237,446,626 | ) | 1,342,975,061 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 6,655,658,102 | 5,625,888,021 | ||||||
Payment on shares redeemed | (5,059,100,757 | ) | (6,100,935,295 | ) | ||||
Net cash provided by (used in) financing activities | 1,596,557,345 | (475,047,274 | ) | |||||
Net increase (decrease) in cash | 359,110,719 | 867,927,787 | ||||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 2,185,878,335 | $ | 2,276,629,025 | ||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
September
2023
References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each
Fund’s next NAV calculation.
Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.
nine months ended September 30, 2017.2022. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.
Fund | Execution Date
| Type of Split | Date Trading
| ||||||||
ProShares UltraShort Bloomberg Natural Gas |
|
1-for-5 reverse Share split |
| January 14, 2022 | |||||||
ProShares |
|
| May 26, 2022 | ||||||||
ProShares Ultra Bloomberg Crude Oil | May 25, 2022 | 4-for-1 forward Share split | May 26, 2022 | ||||||||
ProShares UltraShort Bloomberg Natural Gas | May 25, 2022 | 1-for-4 reverse Share split |
| May 26, 2022 | |||||||
ProShares UltraShort Bloomberg Crude Oil | May 25, 2022 | 1-for-5 reverse Share split | May 26, 2022 | ||||||||
ProShares Ultra Bloomberg Natural Gas | June 23, 2023 | 1-for-20 reverse Share split | June 24, 2023 | ||||||||
ProShares Ultra VIX Short-Term Futures |
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| June 24, 2023 | |||||||
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ProShares VIX Short-Term Futures |
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with the instructions for Form10-Q and the rules and regulations of the SEC.U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments,
consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements
have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and
the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form10-K for the year ended December 31, 2016,2022, as filed with the SEC on March 1, 2017.
February 28, 2023.
Statement
Fund | Create/Redeem Cut-off* | NAV Calculation Time | NAV Calculation Date | ||||||||||||
Ultra Silver and UltraShort Silver | 1:25 p.m. | ||||||||||||||
Ultra Gold and UltraShort Gold | 1:00 p.m. | ||||||||||||||
| June 30, 2023 | ||||||||||||||
Ultra Bloomberg Crude Oil, | |||||||||||||||
Ultra Bloomberg Natural Gas, | |||||||||||||||
UltraShort Bloomberg Crude Oil
| |||||||||||||||
UltraShort Bloomberg | Natural Gas | 2:00 p.m. | 2:30 p.m. | 2023 | |||||||||||
| |||||||||||||||
Ultra Euro, | |||||||||||||||
Ultra | |||||||||||||||
UltraShort Euro and | |||||||||||||||
UltraShort Yen | 3:00 p.m. | 4:00 p.m. | June 30, 2023 | ||||||||||||
Short VIX Short-Term Futures ETF, | |||||||||||||||
Ultra VIX Short-Term Futures ETF, | |||||||||||||||
VIX Mid-Term Futures ETF and | |||||||||||||||
VIX Short-Term Futures ETF | 2:00 p.m. | ||||||||||||||
| 4:00 p.m. | ||||||||||||||
| |||||||||||||||
| |||||||||||||||
| |||||||||||||||
| |||||||||||||||
| 2023 |
* | 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 |
2023.
value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. When market closing prices are not available, theThe Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||||||
Short-Term U.S. Government and Agencies | Futures Contracts* | Forward Agreements | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||||||
VIX Short-Term Futures ETF | $ | 186,716,429 | $ | (18,329,321 | ) | $ | — | $ | — | $ | — | $ | 168,387,108 | |||||||||||
VIXMid-Term Futures ETF | 35,955,278 | (1,941,640 | ) | — | — | — | 34,013,638 | |||||||||||||||||
Short VIX Short-Term Futures ETF | 770,134,521 | 94,244,035 | — | — | — | 864,378,556 | ||||||||||||||||||
Ultra VIX Short-Term Futures ETF | 521,315,100 | (101,763,031 | ) | — | — | — | 419,552,069 | |||||||||||||||||
UltraShort Bloomberg Crude Oil | 246,666,306 | (5,367,489 | ) | — | — | (13,678,377 | ) | 227,620,440 | ||||||||||||||||
UltraPro 3X Short Crude Oil ETF | — | (2,423,370 | ) | — | — | — | (2,423,370 | ) | ||||||||||||||||
UltraShort Bloomberg Natural Gas | 2,998,697 | 348,521 | — | — | — | 3,347,218 | ||||||||||||||||||
UltraShort Gold | 34,940,087 | (9,540 | ) | 2,961,605 | — | — | 37,892,152 | |||||||||||||||||
UltraShort Silver | 17,966,229 | 4,940 | 2,152,433 | — | — | 20,123,602 | ||||||||||||||||||
Short Euro | 5,998,433 | 106,206 | — | — | — | 6,104,639 | ||||||||||||||||||
UltraShort Australian Dollar | 7,997,911 | 379,490 | — | — | — | 8,377,401 | ||||||||||||||||||
UltraShort Euro | 219,684,550 | — | — | 3,899,693 | — | 223,584,243 | ||||||||||||||||||
UltraShort Yen | 137,818,917 | — | — | 9,246,879 | — | 147,065,796 | ||||||||||||||||||
Ultra Bloomberg Crude Oil | 562,359,737 | 13,817,653 | — | — | 40,796,900 | 616,974,290 | ||||||||||||||||||
UltraPro 3X Crude Oil ETF | — | 1,272,779 | — | — | — | 1,272,779 | ||||||||||||||||||
Ultra Bloomberg Natural Gas | 42,919,932 | (971,690 | ) | — | — | — | 41,948,242 | |||||||||||||||||
Ultra Gold | 101,900,580 | 9,520 | (8,453,427 | ) | — | — | 93,456,673 | |||||||||||||||||
Ultra Silver | 270,629,525 | (4,940 | ) | (28,243,802 | ) | — | — | 242,380,783 | ||||||||||||||||
Ultra Euro | 10,995,765 | — | — | (209,360 | ) | — | 10,786,405 | |||||||||||||||||
Ultra Yen | 4,662,411 | — | — | (395,309 | ) | — | 4,267,102 | |||||||||||||||||
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Total Trust | $ | 3,181,660,408 | $ | (20,627,877 | ) | $ | (31,583,191 | ) | $ | 12,541,903 | $ | 27,118,523 | $ | 3,169,109,766 |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 89,727,034 | $ | 23,929,205 | $ | — | $ | — | $ | 113,656,239 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 413,997,952 | 9,418,306 | — | (1,692,241 | ) | 421,724,017 | ||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 298,783,390 | 248,335,437 | — | 46,088,257 | 593,207,084 | |||||||||||||||
ProShares Ultra Euro | — | — | 239,688 | — | 239,688 | |||||||||||||||
ProShares Ultra Gold | 134,714,723 | (5,385,731 | ) | — | (7,053,083 | ) | 122,275,909 | |||||||||||||
ProShares Ultra Silver | 224,344,440 | (9,977,916 | ) | — | (18,045,362 | ) | 196,321,162 | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | (79,829,720 | ) | — | — | (79,829,720 | ) | |||||||||||||
ProShares Ultra Yen | — | — | (857,627 | ) | — | (857,627 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 74,852,080 | 12,986,156 | — | — | 87,838,236 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 34,829,828 | (20,310,332 | ) | — | — | 14,519,496 | ||||||||||||||
ProShares UltraShort Euro | — | — | (1,758,774 | ) | — | (1,758,774 | ) | |||||||||||||
ProShares UltraShort Gold | — | 970,805 | — | 440,571 | 1,411,376 | |||||||||||||||
ProShares UltraShort Silver | — | 958,923 | — | 845,012 | 1,803,935 | |||||||||||||||
ProShares UltraShort Yen | — | — | 1,979,852 | — | 1,979,852 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | (9,878,214 | ) | — | — | (9,878,214 | ) | |||||||||||||
ProShares VIX Short-Term Futures ETF | 74,783,454 | (29,972,887 | ) | — | — | 44,810,567 | ||||||||||||||
Combined Trust: | $ | 1,346,032,901 | $ | 141,244,032 | $ | (396,861 | ) | $ | 20,583,154 | $ | 1,507,463,226 |
* | Includes cumulative |
At September 30, 2017, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.
The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.
At September 30, 2017, there were no significant transfers in or out of Level I and Level II fair value measurements.
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||||||
Short-Term U.S. Government and Agencies | Futures Contracts* | Forward Agreements | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||||||
VIX Short-Term Futures ETF | $ | 147,991,233 | $ | (468,652 | ) | $ | — | $ | — | $ | — | $ | 147,522,581 | |||||||||||
VIXMid-Term Futures ETF | 45,486,235 | (1,288,245 | ) | — | — | — | 44,197,990 | |||||||||||||||||
Short VIX Short-Term Futures ETF | 170,396,436 | (10,309,611 | ) | — | — | — | 160,086,825 | |||||||||||||||||
Ultra VIX Short-Term Futures ETF | 434,671,795 | (7,972,237 | ) | — | — | — | 426,699,558 | |||||||||||||||||
UltraShort Bloomberg Crude Oil | 205,694,385 | (1,426,815 | ) | — | — | (12,206,881 | ) | 192,060,689 | ||||||||||||||||
UltraShort Bloomberg Natural Gas | 2,899,151 | (482,031 | ) | — | — | — | 2,417,120 | |||||||||||||||||
UltraShort Gold | 60,540,555 | 18,980 | 3,033,566 | — | — | 63,593,101 | ||||||||||||||||||
UltraShort Silver | 21,550,319 | 27,310 | 1,384,246 | — | — | 22,961,875 | ||||||||||||||||||
Short Euro | 13,164,828 | 132,900 | — | — | — | 13,297,728 | ||||||||||||||||||
UltraShort Australian Dollar | 12,909,619 | 1,182,340 | — | — | — | 14,091,959 | ||||||||||||||||||
UltraShort Euro | 337,375,787 | — | — | 16,162,931 | — | 353,538,718 | ||||||||||||||||||
UltraShort Yen | 257,102,313 | — | — | 16,744,937 | — | 273,847,250 | ||||||||||||||||||
Ultra Bloomberg Crude Oil | 885,050,007 | 5,537,165 | — | — | 55,358,571 | 945,945,743 | ||||||||||||||||||
Ultra Bloomberg Natural Gas | 36,183,648 | 2,536,720 | — | — | — | 38,720,368 | ||||||||||||||||||
Ultra Gold | 95,356,621 | (18,960 | ) | (4,431,107 | ) | — | — | 90,906,554 | ||||||||||||||||
Ultra Silver | 295,300,799 | (27,360 | ) | (20,976,189 | ) | — | — | 274,297,250 | ||||||||||||||||
Ultra Euro | 11,891,831 | — | — | (574,010 | ) | — | 11,317,821 | |||||||||||||||||
Ultra Yen | 5,282,879 | — | — | (342,076 | ) | — | 4,940,803 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Trust | $ | 3,038,848,441 | $ | (12,558,496 | ) | $ | (20,989,484 | ) | $ | 31,991,782 | $ | 43,151,690 | $ | 3,080,443,933 |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 313,465,007 | 26,291,716 | — | 74,159,577 | 413,916,300 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Ultra Euro | $ | — | $ | — | $ | 415,656 | $ | — | $ | 415,656 | ||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | |||||||||||||||
ProShares Ultra Silver | 228,657,634 | 29,426,574 | — | 39,224,212 | 297,308,420 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | |||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | |||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | ||||||||||||||
Combined Trust: | $ | 1,466,680,542 | $ | (196,609,804 | ) | $ | (4,088,484 | ) | $ | 117,564,675 | $ | 1,383,546,929 |
* | Includes cumulative |
At December 31, 2016, there
The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.
At December 31, 2016, there were no significant transfers ininto or out of Level I and Level II fair value measurements.
3 for the quarter ended June 30, 2023 or the year end December 31, 2022.
ann
New Accounting Pronouncements
In November 2016, the FASB issued Accounting Standards UpdateNo. 2016-18, “Statement of Cash Flows (Topic 230): Restricted
Cash” (“ASU2016-18”), which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted
cash and restricted cash equivalents on the statement of cash flows. The ASU is effective for annual periods beginning after
December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these
changes on the financial statements.
The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These
owes the Fund, subject to certain minimum thresholds. In the event of thea bankruptcy of a counterparty, thesuch Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of SeptemberJune 30, 2017,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
as of SeptemberJune 30, 2017
Assets Derivatives | Liability Derivatives | |||||||||||||||
Derivatives not | Statements of | Statements of | ||||||||||||||
accounted for | Financial | Financial | ||||||||||||||
as hedging | Condition | Unrealized | Condition | Unrealized | ||||||||||||
instruments | Location | Fund | Appreciation | Location | Fund | Depreciation | ||||||||||
VIX Futures Contracts | Receivables on open futures contracts | ProShares Short VIX Short-Term Futures ETF | $ | 94,244,035* | Payable on open futures contracts | ProShares VIX Short-Term Futures ETF | $ | 18,329,321* | ||||||||
ProShares VIXMid-Term Futures ETF | 1,941,640* | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 101,763,031* | |||||||||||||||
Commodities Contracts | Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements | ProShares UltraShort Bloomberg Natural Gas | 348,521* | Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements | ProShares UltraShort Bloomberg Crude Oil | 19,045,866* | ||||||||||
ProShares UltraShort Gold | 2,961,605 | ProShares UltraPro 3X Short Crude Oil ETF | 2,423,370* | |||||||||||||
ProShares UltraShort Silver | 2,157,373* | ProShares UltraShort Gold | 9,540* | |||||||||||||
ProShares Ultra Bloomberg Crude Oil | 54,614,553* | ProShares Ultra Bloomberg Natural Gas | 971,690* | |||||||||||||
ProShares UltraPro 3X Crude Oil ETF | 1,272,779* | ProShares Ultra Gold | 8,453,427 | |||||||||||||
ProShares Ultra Gold | 9,520* | ProShares Ultra Silver | 28,248,742* | |||||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts | ProShares Short Euro | 106,206* | Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts | ProShares UltraShort Euro | 565,859 | ||||||||||
ProShares UltraShort Australian Dollar | 379,490* | ProShares UltraShort Yen | 570,141 | |||||||||||||
ProShares UltraShort Euro | 4,465,552 | ProShares Ultra Euro | 291,439 | |||||||||||||
ProShares UltraShort Yen | 9,817,020 | ProShares Ultra Yen | 407,660 | |||||||||||||
ProShares Ultra Euro | 82,079 | |||||||||||||||
ProShares Ultra Yen | 12,351 | |||||||||||||||
|
|
|
| |||||||||||||
Total Trust | $ | 170,471,084* | Total Trust | $ | 183,021,726* |
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
VIX Futures Contracts | Receivable on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $23,929,205 * | $ | — | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 79,829,720 * | ||||||||||||
ProShares VIX Mid-Term Futures ETF | — | 9,878,214 * | ||||||||||||
ProShares VIX Short-Term Futures ETF | — | 29,972,887 * | ||||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 9,418,306 * | 1,692,241 * | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 294,423,694 * | — | ||||||||||||
ProShares Ultra Gold | — | 12,438,814 * | ||||||||||||
ProShares Ultra Silver | — | 28,023,278 * | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 12,986,156 * | — |
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
ProShares UltraShort Bloomberg Natural Gas | — | 20,310,332 * | ||||||||||||
ProShares UltraShort Gold | 1,411,376 * | — | ||||||||||||
ProShares UltraShort Silver | 1,803,935 * | — | ||||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Ultra Euro | 241,390 | 1,702 | ||||||||||||
ProShares Ultra Yen | 18,889 | 876,516 | ||||||||||||
ProShares UltraShort Euro | 29,100 | 1,787,874 | ||||||||||||
ProShares UltraShort Yen | 2,238,472 | 258,620 | ||||||||||||
Combined Trust: | $346,500,523 * | $185,070,198 * |
* | Includes cumulative |
as of December 31, 2016
Assets Derivatives | Liability Derivatives | |||||||||||||||
Derivatives not hedging instruments | Statements of Financial Condition Location | Fund | Unrealized Appreciation | Statements of Financial Condition Location | Fund | Unrealized Depreciation | ||||||||||
VIX Futures Contracts | Receivables on open futures contracts | ProShares VIX Short-Term Futures ETF | $ | 2,273,874 | * | Payable on open futures contracts | ProShares VIX Short-Term Futures ETF | $ | 2,742,526 | * | ||||||
ProShares VIXMid-Term Futures ETF | 68,375 | * | ProShares VIXMid-Term Futures ETF | 1,356,620 | * | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 13,594,875 | * | ProShares Short VIX Short-Term Futures ETF | 10,309,611 | * | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 21,567,112 | * | ||||||||||||||
Commodities Contracts | Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements | ProShares UltraShort Gold | 3,052,546 | * | Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements | ProShares UltraShort Bloomberg Crude Oil | 13,633,696 | * | ||||||||
ProShares UltraShort Silver | 1,411,556 | * | ProShares UltraShort Bloomberg Natural Gas | 482,031 | * | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 60,895,736 | * | ProShares Ultra Gold | 4,450,067 | * | |||||||||||
ProShares Ultra Bloomberg Natural Gas | 2,536,720 | * | ProShares Ultra Silver | 21,003,549 | * | |||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts | ProShares Short Euro | 132,900 | * | Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts | ProShares UltraShort Euro | 356,139 | |||||||||
ProShares UltraShort Australian Dollar | 1,182,340 | * | ProShares UltraShort Yen | 125,420 | ||||||||||||
ProShares UltraShort Euro | 16,519,070 | ProShares Ultra Euro | 576,558 | |||||||||||||
ProShares UltraShort Yen | 16,870,357 | ProShares Ultra Yen | 342,455 | |||||||||||||
ProShares Ultra Euro | 2,548 | |||||||||||||||
ProShares Ultra Yen | 379 | |||||||||||||||
|
|
|
| |||||||||||||
Total Trust | $ | 118,541,276 | * | Total Trust | $ | 76,945,784 | * |
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
VIX Futures Contracts | Receivable on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $11,092,381 * | $— |
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 * | ||||||||||||
ProShares VIX Mid-Term Futures ETF | — | 4,791,223 * | ||||||||||||
ProShares VIX Short-Term Futures ETF | — | 9,796,823 * | ||||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 100,451,293 * | — | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 310,613,969 * | ||||||||||||
ProShares Ultra Gold | 9,738,554 * | — | ||||||||||||
ProShares Ultra Silver | 68,650,786 * | — | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 13,202,924 * | 2,958,031 * | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 85,889,398 * | — | ||||||||||||
ProShares UltraShort Gold | — | 691,843 * | ||||||||||||
ProShares UltraShort Silver | — | 2,663,123 * | ||||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
ProShares Ultra Euro | 514,115 | 98,459 | ||||||||||||
ProShares Ultra Yen | 1,152,834 | 168,285 | ||||||||||||
ProShares UltraShort Euro | 193,192 | 2,654,448 | ||||||||||||
ProShares UltraShort Yen | 963,369 | 3,990,802 | ||||||||||||
Combined Trust: | $291,848,846 * | $374,982,459 * |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $65,228,142 | $9,658,017 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (426,304,544) | (45,320,517) | ||||||||||
ProShares VIX Mid-Term Futures ETF | (6,943,333) | (9,677,526) | ||||||||||
ProShares VIX Short-Term Futures ETF | (127,229,299) | (21,324,056) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | (76,355,417) | 45,434,288 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (616,883,269) | 658,027,300 | ||||||||||
ProShares Ultra Gold | 17,196,569 | (32,888,484) | ||||||||||
ProShares Ultra Silver | 64,662,300 | (119,061,722) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | 28,046,795 | (8,229,852) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 48,736,428 | (61,246,927) | ||||||||||
ProShares UltraShort Gold | (1,553,151) | 2,758,921 | ||||||||||
ProShares UltraShort Silver | 1,113,596 | 5,650,294 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Ultra Euro | 78,291 | (79,023) | ||||||||||
ProShares Ultra Yen | (770,142) | (1,348,109) | ||||||||||
ProShares UltraShort Euro | (1,045,942) | 556,469 | ||||||||||
ProShares UltraShort Yen | 1,370,771 | 3,145,023 | ||||||||||
Combined Trust | $(1,030,652,205) | $426,054,096 |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $94,832,290 | $12,836,824 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (608,537,974) | (43,274,267) | ||||||||||
ProShares VIX Mid-Term Futures ETF | (22,764,053) | (5,086,991) | ||||||||||
ProShares VIX Short-Term Futures ETF | (173,326,001) | (20,176,064) | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 9,425,010 | (92,725,228) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (1,678,514,563) | 605,037,663 | ||||||||||
ProShares Ultra Gold | 27,996,465 | (22,177,368) | ||||||||||
ProShares Ultra Silver | 35,918,436 | (96,674,064) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
ProShares UltraShort Bloomberg Crude Oil | 55,661,074 | 2,741,263 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 232,145,072 | (106,199,730) | ||||||||||
ProShares UltraShort Gold | (2,584,032) | 2,103,219 | ||||||||||
ProShares UltraShort Silver | 3,827,219 | 4,467,058 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Ultra Euro | 358,570 | (175,968) | ||||||||||
ProShares Ultra Yen | (1,068,950) | (1,842,176) | ||||||||||
ProShares UltraShort Euro | (2,453,253) | 702,482 | ||||||||||
ProShares UltraShort Yen | 342,795 | 5,007,285 | ||||||||||
Combined Trust: | $(2,028,741,895) | $244,563,938 |
* | Includes cumulative |
For the three months ended SeptemberJune 30, 2017
Derivatives not accounted for as | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts | ProShares VIX Short-Term Futures ETF | $ | (27,447,205 | ) | $ | (17,219,461 | ) | ||||
ProShares VIXMid-Term Futures ETF | (3,965,084 | ) | 364,615 | |||||||||
ProShares Short VIX Short-Term Futures ETF | 188,300,727 | 100,033,466 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (126,532,816 | ) | (95,515,562 | ) | ||||||||
Commodity Contracts | Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements | ProShares UltraShort Bloomberg Crude Oil | (9,418,807 | ) | (30,456,798 | ) | ||||||
ProShares UltraPro 3X Short Crude Oil ETF | (1,540,337 | ) | (2,178,096 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas | (151,368 | ) | 615,201 | |||||||||
ProShares UltraShort Gold | (2,644,155 | ) | 299,106 | |||||||||
ProShares UltraShort Silver | (467,171 | ) | (393,756 | ) | ||||||||
ProShares Ultra Bloomberg Crude Oil | 45,497,245 | 112,823,127 | ||||||||||
ProShares UltraPro 3X Crude Oil ETF | 4,971,742 | 694,326 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (2,014,548 | ) | (1,078,511 | ) | ||||||||
ProShares Ultra Gold | 5,462,918 | (549,421 | ) | |||||||||
ProShares Ultra Silver | 1,064,270 | 7,159,593 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts | ProShares Short Euro | (599,482 | ) | 291,787 | |||||||
ProShares UltraShort Australian Dollar | (1,453,355 | ) | 837,800 | |||||||||
ProShares UltraShort Euro | (24,505,520 | ) | 10,103,133 | |||||||||
ProShares UltraShort Yen | (1,067,853 | ) | (83,509 | ) | ||||||||
ProShares Ultra Euro | 1,259,663 | (519,273 | ) | |||||||||
ProShares Ultra Yen | (4,492 | ) | (52,440 | ) | ||||||||
|
|
|
| |||||||||
Total Trust | $ | 44,744,372 | $ | 85,175,327 |
2022
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $(13,029,194) | $(34,466,848) | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 91,039,435 | 196,657,178 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 7,862,052 | 4,040,230 | ||||||||||
ProShares VIX Short-Term Futures ETF | 23,659,182 | 46,680,364 | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 363,296,092 | (211,138,245) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 164,990,694 | (271,251,560) | ||||||||||
ProShares Ultra Gold | (57,901,083) | 4,971,202 | ||||||||||
ProShares Ultra Silver | (156,194,175) | (50,071,519) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (102,594,000) | 34,810,301 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | (282,646,685) | 228,166,248 |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
ProShares UltraShort Gold | 4,557,870 | 298,236 | ||||||||||
ProShares UltraShort Silver | 9,411,232 | 3,849,687 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Ultra Euro | (446,365) | (282,077) | ||||||||||
ProShares Ultra Yen | (761,478) | 154,501 | ||||||||||
ProShares UltraShort Euro | 3,065,129 | 3,061,048 | ||||||||||
ProShares UltraShort Yen | 7,917,170 | (1,364,477) | ||||||||||
Combined Trust | $62,225,876 | $(45,885,731) |
For the threesix months ended SeptemberJune 30, 2016
Change in | ||||||||||||
Unrealized Appreciation/ | ||||||||||||
Derivatives not accounted | Location of Gain (Loss) on Derivatives | Realized Gain (Loss) on Derivatives | Depreciation on Derivatives | |||||||||
for as hedging instruments | Recognized in Income | Fund | Recognized in Income | Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts | ProShares VIX Short-Term Futures ETF | $ | (101,785,229 | ) | $ | 6,786,934 | |||||
ProShares VIXMid-Term Futures ETF | (4,899,530 | ) | (1,149,750 | ) | ||||||||
ProShares Short VIX Short-Term Futures ETF | 277,246,086 | (51,813,012 | ) | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | (745,101,700 | ) | 138,973,918 | |||||||||
Commodity Contracts | Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements | ProShares UltraShort Bloomberg Crude Oil | 50,281,494 | (32,976,232 | ) | |||||||
ProShares UltraShort Bloomberg Natural Gas | (101,997 | ) | 712,984 | |||||||||
ProShares UltraShort Gold | (10,296,533 | ) | 9,770,795 | |||||||||
ProShares UltraShort Silver | (14,865,870 | ) | 9,507,258 | |||||||||
ProShares Ultra Bloomberg Crude Oil | (246,218,628 | ) | 165,582,895 | |||||||||
ProShares Ultra Bloomberg Natural Gas | 1,964,411 | (8,409,834 | ) | |||||||||
ProShares Ultra Gold | 12,629,891 | (13,416,914 | ) | |||||||||
ProShares Ultra Silver | 119,372,366 | (88,240,470 | ) | |||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts | ProShares Short Euro | 327,212 | (488,475 | ) | |||||||
ProShares UltraShort Australian Dollar | (318,842 | ) | (971,687 | ) | ||||||||
ProShares UltraShort Euro | (5,537,097 | ) | (2,518,631 | ) | ||||||||
ProShares UltraShort Yen | (33,476,385 | ) | 23,071,090 | |||||||||
ProShares Ultra Euro | 46,252 | 118,030 | ||||||||||
ProShares Ultra Yen | 955,047 | (764,447 | ) | |||||||||
|
|
|
| |||||||||
Total Trust | $ | (699,779,052 | ) | $ | 153,774,452 |
The Effect2022
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $(54,129,808) | $(29,757,664) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | 372,034,119 | 162,278,712 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 12,653,885 | 3,705,055 | ||||||||||
ProShares VIX Short-Term Futures ETF | 77,393,309 | 33,506,046 | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 1,162,719,162 | (305,216,174) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 241,211,382 | (186,220,796) | ||||||||||
ProShares Ultra Gold | (82,487) | (19,678,449) | ||||||||||
ProShares Ultra Silver | (39,557,148) | (107,828,115) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (209,076,101) | 36,926,293 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | (397,312,383) | 140,634,090 | ||||||||||
ProShares UltraShort Gold | (1,750,803) | 2,367,584 | ||||||||||
ProShares UltraShort Silver | 2,037,486 | 5,658,849 |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Ultra Euro | (887,395) | (415,047) | ||||||||||
ProShares Ultra Yen | (880,249) | 15,962 | ||||||||||
ProShares UltraShort Euro | 5,607,263 | 3,403,124 | ||||||||||
ProShares UltraShort Yen | 8,997,343 | 101,925 | ||||||||||
Combined Trust: | $1,178,977,575 | $(260,518,605) |
Fair Values of Derivative Instruments as of September 30, 2017 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | |||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | — | $ | — | $ | — | $ | 13,678,377 | $ | — | $ | 13,678,377 | ||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Forward agreements | 2,961,605 | — | 2,961,605 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Forward agreements | 2,152,433 | — | 2,152,433 | — | — | — | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 4,465,552 | — | 4,465,552 | 565,859 | — | 565,859 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 9,817,020 | — | 9,817,020 | 570,141 | — | 570,141 | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | 40,796,900 | — | 40,796,900 | — | — | — | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Forward agreements | — | — | — | 8,453,427 | — | 8,453,427 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Forward agreements | — | — | — | 28,243,802 | — | 28,243,802 | ||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 82,079 | — | 82,079 | 291,439 | — | 291,439 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 12,351 | — | 12,351 | 407,660 | — | 407,660 |
2023.
Fair Values of Derivative Instruments as of June 30, 2023 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | — | $ | — | $ | — | $ | 1,692,241 | $ | — | $ | 1,692,241 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||
Swap agreements | 46,088,257 | — | 46,088,257 | — | — | — |
Fair Values of Derivative Instruments as of June 30, 2023 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 241,390 | — | 241,390 | 1,702 | — | 1,702 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 7,053,083 | — | 7,053,083 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 18,045,362 | — | 18,045,362 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 18,889 | — | 18,889 | 876,516 | — | 876,516 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 29,100 | — | 29,100 | 1,787,874 | — | 1,787,874 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 440,571 | — | 440,571 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 845,012 | — | 845,012 | — | — | — | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 2,238,472 | — | 2,238,472 | 258,620 | — | 258,620 |
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2017 ProShares UltraShort Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Euro Goldman Sachs International UBS AG ProShares UltraShort Yen Goldman Sachs International UBS AG ProShares Ultra Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Euro Goldman Sachs International UBS AG ProShares Ultra Yen Goldman Sachs International UBS AG Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition Financial
Instruments for
the Benefit of
(the Funds) /
the
Counterparties Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties Net Amount $ (6,092,070 ) $ 6,092,070 $ — $ — (3,900,635 ) 3,900,635 — — (514,835 ) 514,835 — — (3,170,837 ) 3,170,837 — — 1,045,390 — — 1,045,390 835,086 (692,611 ) — 142,475 267,146 (267,146 ) — — 813,983 — (660,000 ) 153,983 775,445 — — 775,445 671,956 — — 671,956 143,987 — — 143,987 561,045 — (350,000 ) 211,045 2,034,015 (2,034,015 ) — — 1,865,678 — (1,865,678 ) — 4,588,344 (4,588,344 ) — — 4,658,535 — (4,550,000 ) 108,535 13,855,515 — — 13,855,515 11,965,958 (11,930,988 ) — 34,970 4,548,744 (4,548,744 ) — — 10,426,683 — (9,900,000 ) 526,683 (2,994,458 ) 2,994,458 — — (2,118,074 ) 2,118,074 — — (1,015,643 ) 1,015,643 — — (2,325,252 ) 2,325,252 — — (9,405,158 ) 9,405,158 — — (7,478,422 ) 7,478,422 — — (3,531,263 ) 3,531,263 — — (7,828,959 ) 7,828,959 — — (103,093 ) 103,093 — — (106,267 ) 106,267 — — (216,458 ) 216,458 — — (178,851 ) 27,993 — (150,858 )
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023 | ||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | (303,753 | ) | $ | 303,753 | $ | — | $ | — | |||||||
Goldman Sachs International | (377,662 | ) | — | 377,662 | — | |||||||||||
Morgan Stanley & Co. International PLC | (316,105 | ) | — | 316,105 | — | |||||||||||
Societe Generale | (275,938 | ) | 275,938 | — | — | |||||||||||
UBS AG | (418,783 | ) | — | 418,783 | — |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023 | ||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||
Citibank, N.A. | 22,537,665 | (18,660,347 | ) | — | 3,877,318 | |||||||||||
Goldman Sachs International | 15,398,946 | (11,008,327 | ) | — | 4,390,619 | |||||||||||
Societe Generale S.A. | 8,028,280 | (6,677,182 | ) | — | 1,351,098 | |||||||||||
UBS AG | 123,366 | — | — | 123,366 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 129,106 | — | — | 129,106 | ||||||||||||
UBS AG | 110,582 | — | — | 110,582 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (3,028,491 | ) | — | 3,028,491 | — | |||||||||||
Goldman Sachs International | (1,438,439 | ) | — | 1,438,439 | — | |||||||||||
UBS AG | (2,586,153 | ) | — | 2,586,153 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | (6,281,114 | ) | — | 6,281,114 | — | |||||||||||
Goldman Sachs International | (830,545 | ) | — | 830,545 | — | |||||||||||
Morgan Stanley & Co. International PLC | (5,634,927 | ) | — | 5,634,927 | — | |||||||||||
UBS AG | (5,298,776 | ) | — | 5,298,776 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (407,188 | ) | — | 407,188 | — | |||||||||||
UBS AG | (450,439 | ) | — | 450,439 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (872,773 | ) | — | 872,773 | — | |||||||||||
UBS AG | (886,001 | ) | — | 886,001 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 101,527 | — | — | 101,527 | ||||||||||||
Goldman Sachs International | 133,231 | — | — | 133,231 | ||||||||||||
UBS AG | 205,813 | (22,545 | ) | — | 183,268 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | 100,100 | — | — | 100,100 | ||||||||||||
Goldman Sachs International | 364,653 | (364,653 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 288,063 | — | (288,000 | ) | 63 | |||||||||||
UBS AG | 92,196 | — | — | 92,196 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 890,062 | (817,881 | ) | — | 72,181 | |||||||||||
UBS AG | 1,089,790 | (1,089,790 | ) | — | — |
Fair Values of Derivative Instruments as of December 31, 2016 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | |||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | — | $ | — | $ | — | $ | 12,206,881 | $ | — | $ | 12,206,881 | ||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Forward agreements | 3,033,566 | — | 3,033,566 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Forward agreements | 1,384,246 | — | 1,384,246 | — | — | — | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 16,519,070 | — | 16,519,070 | 356,139 | — | 356,139 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 16,870,357 | — | 16,870,357 | 125,420 | — | 125,420 | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | 55,358,571 | — | 55,358,571 | — | — | — | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Forward agreements | — | — | — | 4,431,107 | — | 4,431,107 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Forward agreements | — | — | — | 20,976,189 | — | 20,976,189 | ||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 2,548 | — | 2,548 | 576,558 | — | 576,558 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 379 | — | 379 | 342,455 | — | 342,455 |
2022:
Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2016 ProShares UltraShort Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Euro Goldman Sachs International UBS AG ProShares UltraShort Yen Goldman Sachs International UBS AG ProShares Ultra Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Euro Goldman Sachs International UBS AG ProShares Ultra Yen Goldman Sachs International UBS AG Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition Financial
Instruments for
the Benefit of
(the Funds) /
the
Counterparties Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties Net Amount $ (4,742,191 ) $ 4,742,191 $ — $ — (3,061,395 ) 3,061,395 — — (1,050,699 ) 1,050,699 — — (3,352,596 ) 3,352,596 — — 1,147,811 — — 1,147,811 881,454 (874,948 ) — 6,506 393,006 (393,006 ) — — 611,295 — (611,295 ) — 610,478 — — 610,478 323,829 (323,829 ) — — 86,543 (86,543 ) — — 363,396 — (363,396 ) — 8,109,067 (8,109,067 ) — — 8,053,864 — (8,053,864 ) — 8,256,779 (7,771,819 ) — 484,960 8,488,158 — (7,980,000 ) 508,158 18,427,009 — — 18,427,009 14,016,906 (14,016,906 ) — — 8,661,821 (8,661,821 ) — — 14,252,835 — (14,252,835 ) — (1,464,982 ) 1,464,982 — — (1,112,916 ) 1,112,916 — — (643,587 ) 643,587 — — (1,209,622 ) 1,209,622 — — (6,946,009 ) 6,946,009 — — (5,869,092 ) 5,869,092 — — (2,532,729 ) 2,532,729 — — (5,628,359 ) 5,628,359 — — (239,256 ) 239,256 — — (334,754 ) 334,754 — — (219,736 ) 219,736 — — (122,340 ) 122,340 — —
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | ||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | 11,723,388 | $ | — | $ | (7,220,000 | ) | $ | 4,503,388 | |||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | (12,510,000 | ) | 7,795,392 | |||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 | ||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 217,491 | — | — | 217,491 | ||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,582,849 | — | (2,570,000 | ) | 12,849 | |||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | |||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 12,628,472 | — | (12,628,472 | ) | — | |||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 13,862,180 | — | (10,733,000 | ) | 3,129,180 | |||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | |||||||||||
UBS AG | 301,429 | — | — | 301,429 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | |||||||||||
UBS AG | (1,340,106 | ) | — | 1,340,106 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | |||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | |||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | |||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | |||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | |||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | |||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
liquidation was imminent.
BBH&Co.
Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Fund | Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | ||||||
VIX Short-Term Futures ETF | $ | 49,381 | $ | 115,876 | ||||
VIXMid-Term Futures ETF | 5,298 | 8,510 | ||||||
Short VIX Short-Term Futures ETF | 337,623 | 763,477 | ||||||
Ultra VIX Short-Term Futures ETF | 385,071 | 837,558 | ||||||
UltraShort Bloomberg Crude Oil | 54,276 | 172,684 | ||||||
UltraPro 3X Short Crude Oil ETF | 4,627 | 7,826 | ||||||
UltraShort Bloomberg Natural Gas | 1,138 | 1,903 | ||||||
UltraShort Gold | 1,537 | 13,526 | ||||||
UltraShort Silver | — | — | ||||||
Short Euro | — | — | ||||||
UltraShort Australian Dollar | — | — | ||||||
UltraShort Euro | — | — | ||||||
UltraShort Yen | — | — | ||||||
Ultra Bloomberg Crude Oil | 135,612 | 531,483 | ||||||
UltraPro 3X Crude Oil ETF | 9,352 | 18,464 | ||||||
Ultra Bloomberg Natural Gas | 3,499 | 10,369 | ||||||
Ultra Gold | 1,755 | 11,130 | ||||||
Ultra Silver | 6,058 | 23,746 | ||||||
Ultra Euro | — | — | ||||||
Ultra Yen | — | — | ||||||
|
|
|
| |||||
Total Trust | $ | 995,227 | $ | 2,516,552 |
Fund | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 49,722 | $ | 161,936 | ||||
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 | 389,333 | 820,351 | ||||||
ProShares Ultra Yen | — | — | ||||||
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 | 9,046 | 15,511 | ||||||
ProShares VIX Short-Term Futures ETF | 82,901 | 167,222 | ||||||
Combined Trust: | $ | 531,002 | $ | 1,165,020 |
2023
Per Share Operating Performance | VIX Short-Term Futures ETF* | VIX Mid-Term Futures ETF | Short VIX Short-Term Futures ETF* | Ultra VIX Short-Term Futures ETF* | UltraShort Bloomberg Crude Oil | UltraPro 3X Short Crude Oil ETF | ||||||||||||||||||
Net asset value, at June 30, 2017 | $ | 42.69 | $ | 27.46 | $ | 80.11 | $ | 39.32 | $ | 43.43 | $ | 26.46 | ||||||||||||
Net investment income (loss) | (0.01 | ) | (0.01 | ) | (0.13 | ) | (0.09 | ) | 0.00 | (1) | (0.07 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (10.11 | ) | (2.25 | ) | 13.70 | (18.59 | ) | (9.83 | ) | (8.87 | ) | |||||||||||||
Change in net asset value from operations | (10.12 | ) | (2.26 | ) | 13.57 | (18.68 | ) | (9.83 | ) | (8.94 | ) | |||||||||||||
Net asset value, at September 30, 2017 | $ | 32.57 | $ | 25.20 | $ | 93.68 | $ | 20.64 | $ | 33.60 | $ | 17.52 | ||||||||||||
Market value per share, at June 30, 2017† | $ | 42.52 | $ | 27.43 | $ | 80.64 | $ | 38.96 | $ | 43.21 | $ | 26.24 | ||||||||||||
Market value per share, at September 30, 2017† | $ | 32.53 | $ | 25.17 | $ | 93.75 | $ | 20.60 | $ | 33.73 | $ | 17.63 | ||||||||||||
Total Return, at net asset value^ | (23.7 | )% | (8.2 | )% | 16.9 | % | (47.5 | )% | (22.6 | )% | (33.8 | )% | ||||||||||||
Total Return, at market value^ | (23.5 | )% | (8.2 | )% | 16.3 | % | (47.1 | )% | (21.9 | )% | (32.8 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.98 | % | 0.92 | % | 1.50 | % | 2.00 | % | 0.99 | % | 1.31 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.85 | % | 0.85 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.14 | )% | (0.17 | )% | (0.66 | )% | (1.21 | )% | (0.03 | )% | (1.31 | )% |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at March 31, 2023 | $ | 63.73 | $ | 26.53 | $ | 73.76 | $ | 11.49 | $ | 62.86 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.46 | 0.14 | 0.28 | 0.09 | 0.47 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 20.49 | (2.93 | ) | (4.56 | ) | 0.01 | (4.97 | ) | (4.26 | ) | ||||||||||||||
Change in net asset value from operations | 20.95 | (2.79 | ) | (4.28 | ) | 0.10 | (4.50 | ) | (4.06 | ) | ||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 63.75 | $ | 26.47 | $ | 72.20 | $ | 11.49 | $ | 63.02 | $ | 31.23 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Total Return, at net asset value^ | 32.9 | % | (10.5 | )% | (5.8 | )% | 0.9 | % | (7.2 | )% | (13.1 | )% | ||||||||||||
Total Return, at market value^ | 32.8 | % | (10.7 | )% | (4.5 | )% | 1.0 | % | (7.6 | )% | (13.7 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1.00 | % | 1.45 | % | 0.95 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | 2.61 | % | 2.20 | % | 1.81 | % | 3.27 | % | 3.01 | % | 2.61 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Bloomberg Natural Gas | UltraShort Gold | UltraShort Silver | Short Euro | UltraShort Australian Dollar | UltraShort Euro | ||||||||||||||||||
Net asset value, at June 30, 2017 | $ | 33.16 | $ | 76.30 | $ | 34.75 | $ | 41.74 | $ | 47.90 | $ | 23.12 | ||||||||||||
Net investment income (loss) | (0.06 | ) | (0.00 | )(2) | (0.00 | )(2) | (0.01 | ) | (0.01 | ) | 0.00 | (1) | ||||||||||||
Net realized and unrealized gain (loss)# | 0.77 | (5.02 | ) | (2.76 | ) | (1.26 | ) | (2.26 | ) | (1.43 | ) | |||||||||||||
Change in net asset value from operations | 0.71 | (5.02 | ) | (2.76 | ) | (1.27 | ) | (2.27 | ) | (1.43 | ) | |||||||||||||
Net asset value, at September 30, 2017 | $ | 33.87 | $ | 71.28 | $ | 31.99 | $ | 40.47 | $ | 45.63 | $ | 21.69 | ||||||||||||
Market value per share, at June 30, 2017† | $ | 33.33 | $ | 76.37 | $ | 34.09 | $ | 41.71 | $ | 47.80 | $ | 23.12 | ||||||||||||
Market value per share, at September 30, 2017† | $ | 33.64 | $ | 71.55 | $ | 32.78 | $ | 40.56 | $ | 45.85 | $ | 21.68 | ||||||||||||
Total Return, at net asset value^ | 2.1 | % | (6.6 | )% | (7.9 | )% | (3.0 | )% | (4.7 | )% | (6.2 | )% | ||||||||||||
Total Return, at market value^ | 0.9 | % | (6.3 | )% | (3.8 | )% | (2.8 | )% | (4.1 | )% | (6.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 1.34 | % | 0.95 | % | 0.95 | % | 0.96 | % | 1.01 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.73 | )% | (0.01 | )% | (0.05 | )% | (0.14 | )% | (0.13 | )% | 0.04 | % |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at March 31, 2023 | $ | 46.25 | $ | 33.05 | $ | 25.15 | $ | 71.11 | $ | 29.04 | $ | 26.88 | ||||||||||||
Net investment income (loss) | 0.15 | 0.26 | 0.19 | 0.44 | 0.24 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (27.92 | ) | (5.91 | ) | 0.28 | (16.49 | ) | (0.18 | ) | 1.80 | ||||||||||||||
Change in net asset value from operations | (27.77 | ) | (5.65 | ) | 0.47 | (16.05 | ) | 0.06 | 2.02 | |||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 46.50 | $ | 33.02 | $ | 25.22 | $ | 72.42 | $ | 29.04 | $ | 26.84 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Total Return, at net asset value^ | (60.0 | )% | (17.1 | )% | 1.9 | % | (22.6 | )% | 0.2 | % | 7.5 | % | ||||||||||||
Total Return, at market value^ | (60.2 | )% | (17.0 | )% | 1.9 | % | (23.4 | )% | 0.2 | % | 7.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.55 | % | 0.95 | % | 1.11 | % | 1.77 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 1.84 | % | 3.36 | % | 3.01 | % | 2.47 | % | 3.36 | % | 3.09 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Yen | Ultra Bloomberg Crude Oil | UltraPro 3X Crude Oil ETF | Ultra Bloomberg Natural Gas | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2017 | $ | 74.07 | $ | 14.80 | $ | 19.52 | $ | 9.77 | $ | 37.75 | $ | 33.23 | ||||||||||||
Net investment income (loss) | 0.01 | (0.00 | )(2) | (0.07 | ) | (0.01 | ) | 0.00 | (1) | 0.00 | (1) | |||||||||||||
Net realized and unrealized gain (loss)# | 0.18 | 3.10 | 5.82 | (1.02 | ) | 2.07 | 0.79 | |||||||||||||||||
Change in net asset value from operations | 0.19 | 3.10 | 5.75 | (1.03 | ) | 2.07 | 0.79 | |||||||||||||||||
Net asset value, at September 30, 2017 | $ | 74.26 | $ | 17.90 | $ | 25.27 | $ | 8.74 | $ | 39.82 | $ | 34.02 | ||||||||||||
Market value per share, at June 30, 2017† | $ | 74.05 | $ | 14.86 | $ | 19.68 | $ | 9.74 | $ | 37.68 | $ | 33.82 | ||||||||||||
Market value per share, at September 30, 2017† | $ | 74.21 | $ | 17.82 | $ | 25.09 | $ | 8.80 | $ | 39.60 | $ | 33.15 | ||||||||||||
Total Return, at net asset value^ | 0.3 | % | 20.9 | % | 29.5 | % | (10.5 | )% | 5.5 | % | 2.4 | % | ||||||||||||
Total Return, at market value^ | 0.2 | % | 19.9 | % | 27.5 | % | (9.7 | )% | 5.1 | % | (2.0 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.95 | % | 0.97 | % | 1.24 | % | 1.16 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | 0.03 | % | (0.01 | )% | (1.24 | )% | (0.37 | )% | 0.03 | % | 0.00 | %(3) |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at March 31, 2023 | $ | 18.63 | $ | 55.98 | $ | 26.79 | $ | 45.16 | ||||||||
Net investment income (loss) | 0.12 | 0.49 | 0.20 | 0.25 | ||||||||||||
Net realized and unrealized gain (loss)# | 1.74 | 11.47 | (6.50 | ) | (20.46 | ) | ||||||||||
Change in net asset value from operations | 1.86 | 11.96 | (6.30 | ) | (20.21 | ) | ||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Market value per share, at March 31, 2023 † | $ | 18.56 | $ | 56.00 | $ | 26.82 | $ | 45.25 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Total Return, at net asset value^ | 10.0 | % | 21.4 | % | (23.5 | )% | (44.8 | )% | ||||||||
Total Return, at market value^ | 10.9 | % | 21.3 | % | (23.6 | )% | (44.8 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.05 | % | 0.95 | % | 1.00 | % | 1.08 | % | ||||||||
Net investment income gain (loss) | 2.68 | % | 3.22 | % | 3.13 | % | 2.82 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Euro | Ultra Yen | ||||||
Net asset value, at June 30, 2017 | $ | 16.16 | $ | 58.68 | ||||
Net investment income (loss) | (0.00 | )(2) | (0.04 | ) | ||||
Net realized and unrealized gain (loss)# | 0.97 | (0.57 | ) | |||||
Change in net asset value from operations | 0.97 | (0.61 | ) | |||||
Net asset value, at September 30, 2017 | $ | 17.13 | $ | 58.07 | ||||
Market value per share, at June 30, 2017† | $ | 16.17 | $ | 58.68 | ||||
Market value per share, at September 30, 2017† | $ | 17.10 | $ | 58.17 | ||||
Total Return, at net asset value^ | 6.0 | % | (1.0 | )% | ||||
Total Return, at market value^ | 5.8 | % | (0.9 | )% | ||||
Ratios to Average Net Assets** | ||||||||
Expense ratio | 0.95 | % | 0.95 | % | ||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | ||||
Net investment income (loss) | (0.04 | )% | (0.28 | )% |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at March 31, 2022 | $ | 54.55 | $ | 37.94 | $ | 1121.30 | $ | 12.47 | $ | 66.99 | $ | 39.06 | ||||||||||||
Net investment income (loss) | (0.13 | ) | (0.07 | ) | (4.28 | ) | (0.02 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (6.28 | ) | 3.74 | (326.32 | ) | (1.37 | ) | (10.44 | ) | (14.23 | ) | |||||||||||||
Change in net asset value from operations | (6.41 | ) | 3.67 | (330.60 | ) | (1.39 | ) | (10.53 | ) | (14.28 | ) | |||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 54.56 | $ | 38.33 | $ | 1126.20 | $ | 12.46 | $ | 66.14 | $ | 38.53 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Total Return, at net asset value^ | (11.8 | )% | 9.7 | % | (29.5 | )% | (11.1 | )% | (15.7 | )% | (36.6 | )% | ||||||||||||
Total Return, at market value^ | (11.6 | )% | 9.2 | % | (25.2 | )% | (10.8 | )% | (14.6 | )% | (36.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.21 | % | 1.01 | % | 1.26 | % | 0.95 | % | 0.98 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | (1.00 | )% | (0.64 | )% | (1.01 | )% | (0.54 | )% | (0.56 | )% | (0.61 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Selected data for a Share outstanding throughout the three months ended September 30, 2016:
Per Share Operating Performance | VIX Short-Term Futures ETF* | VIX Mid-Term Futures ETF | Short VIX Short-Term Futures ETF* | Ultra VIX Short-Term Futures ETF* | UltraShort Bloomberg Crude Oil* | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
Net asset value, at June 30, 2016 | $ | 180.57 | $ | 51.98 | $ | 24.92 | $ | 912.60 | $ | 40.97 | $ | 34.09 | ||||||||||||
Net investment income (loss) | (0.24 | ) | (0.09 | ) | (0.09 | ) | (1.64 | ) | (0.09 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain | (66.20 | ) | (6.14 | ) | 11.49 | (572.92 | ) | (0.88 | ) | 2.36 | ||||||||||||||
Change in net asset value from operations | (66.44 | ) | (6.23 | ) | 11.40 | (574.56 | ) | (0.97 | ) | 2.23 | ||||||||||||||
Net asset value, at September 30, 2016 | $ | 114.13 | $ | 45.75 | $ | 36.32 | $ | 338.04 | $ | 40.00 | $ | 36.32 | ||||||||||||
Market value per share, at June 30, 2016† | $ | 183.20 | $ | 52.53 | $ | 24.53 | $ | 943.00 | $ | 40.81 | $ | 34.06 | ||||||||||||
Market value per share, at September 30, 2016† | $ | 113.32 | $ | 45.69 | $ | 36.61 | $ | 333.00 | $ | 40.45 | $ | 36.14 | ||||||||||||
Total Return, at net asset value^ | (36.8 | )% | (12.0 | )% | 45.7 | % | (63.0 | )% | (2.4 | )% | 6.5 | % | ||||||||||||
Total Return, at market value^ | (38.1 | )% | (13.0 | )% | 49.2 | % | (64.7 | )% | (0.9 | )% | 6.1 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.99 | % | 0.94 | % | 1.42 | % | 1.59 | % | 1.01 | % | 1.58 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.85 | % | 0.85 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.73 | )% | (0.70 | )% | (1.17 | )% | (1.36 | )% | (0.75 | )% | (1.40 | )% |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil* | UltraShort Bloomberg Natural Gas* | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at March 31, 2022 | $ | 135.00 | $ | 42.02 | $ | 29.17 | $ | 64.71 | $ | 27.30 | $ | 27.23 | ||||||||||||
Net investment income (loss) | (0.50 | ) | (0.05 | ) | (0.05 | ) | (0.08 | ) | (0.05 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 10.63 | (8.46 | ) | (6.08 | ) | (21.98 | ) | 3.13 | 4.37 | |||||||||||||||
Change in net asset value from operations | 10.13 | (8.51 | ) | (6.13 | ) | (22.06 | ) | 3.08 | 4.32 | |||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 134.60 | $ | 42.09 | $ | 28.95 | $ | 64.56 | $ | 27.31 | $ | 27.61 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Total Return, at net asset value^ | 7.5 | % | (20.3 | )% | (21.0 | )% | (34.1 | )% | 11.3 | % | 15.9 | % | ||||||||||||
Total Return, at market value^ | 8.0 | % | (20.4 | )% | (20.8 | )% | (38.0 | )% | 11.4 | % | 14.4 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.53 | % | 0.95 | % | 1.14 | % | 1.36 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | (1.36 | )% | (0.59 | )% | (0.85 | )% | (1.14 | )% | (0.70 | )% | (0.74 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Gold | UltraShort Silver | Short Euro | UltraShort Australian Dollar | UltraShort Euro | UltraShort Yen | ||||||||||||||||||
Net asset value, at June 30, 2016 | $ | 70.31 | $ | 33.16 | $ | 42.81 | $ | 53.47 | $ | 24.32 | $ | 63.53 | ||||||||||||
Net investment income (loss) | (0.12 | ) | (0.05 | ) | (0.08 | ) | (0.10 | ) | (0.04 | ) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (0.58 | ) | (5.17 | ) | (0.51 | ) | (3.69 | ) | (0.50 | ) | (2.74 | ) | ||||||||||||
Change in net asset value from operations | (0.70 | ) | (5.22 | ) | (0.59 | ) | (3.79 | ) | (0.54 | ) | (2.85 | ) | ||||||||||||
Net asset value, at September 30, 2016 | $ | 69.61 | $ | 27.94 | $ | 42.22 | $ | 49.68 | $ | 23.78 | $ | 60.68 | ||||||||||||
Market value per share, at June 30, 2016† | $ | 70.00 | $ | 31.65 | $ | 42.81 | $ | 53.47 | $ | 24.32 | $ | 63.53 | ||||||||||||
Market value per share, at September 30, 2016† | $ | 70.19 | $ | 28.41 | $ | 42.22 | $ | 49.67 | $ | 23.76 | $ | 60.64 | ||||||||||||
Total Return, at net asset value^ | (1.0 | )% | (15.8 | )% | (1.4 | )% | (7.1 | )% | (2.2 | )% | (4.5 | )% | ||||||||||||
Total Return, at market value^ | 0.3 | % | (10.2 | )% | (1.4 | )% | (7.1 | )% | (2.3 | )% | (4.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.95 | % | 0.95 | % | 0.96 | % | 1.02 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.69 | )% | (0.70 | )% | (0.75 | )% | (0.75 | )% | (0.69 | )% | (0.69 | )% |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at March 31, 2022 | $ | 21.45 | $ | 46.32 | $ | 31.45 | $ | 83.04 | ||||||||
Net investment income (loss) | (0.05 | ) | (0.09 | ) | (0.06 | ) | (0.21 | ) | ||||||||
Net realized and unrealized gain (loss)# | 10.34 | 10.83 | 3.90 | 8.26 | ||||||||||||
Change in net asset value from operations | 10.29 | 10.74 | 3.84 | 8.05 | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Market value per share, at March 31, 2022 † | $ | 21.78 | $ | 46.37 | $ | 31.50 | $ | 82.85 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Total Return, at net asset value^ | 48.0 | % | 23.2 | % | 12.2 | % | 9.6 | % | ||||||||
Total Return, at market value^ | 47.8 | % | 23.2 | % | 12.3 | % | 10.1 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.06 | % | 0.95 | % | 0.96 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.78 | )% | (0.68 | )% | (0.74 | )% | (0.94 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas | Ultra Gold | Ultra Silver | Ultra Euro | Ultra Yen | ||||||||||||||||||
Net asset value, at June 30, 2016 | $ | 24.33 | $ | 17.75 | $ | 44.80 | $ | 45.53 | $ | 15.89 | $ | 72.67 | ||||||||||||
Net investment income (loss) | (0.04 | ) | (0.04 | ) | (0.08 | ) | (0.09 | ) | (0.03 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (3.27 | ) | (3.23 | ) | (0.30 | ) | 3.56 | 0.27 | 1.92 | |||||||||||||||
Change in net asset value from operations | (3.31 | ) | (3.27 | ) | (0.38 | ) | 3.47 | 0.24 | 1.79 | |||||||||||||||
Net asset value, at September 30, 2016 | $ | 21.02 | $ | 14.48 | $ | 44.42 | $ | 49.00 | $ | 16.13 | $ | 74.46 | ||||||||||||
Market value per share, at June 30, 2016† | $ | 24.44 | $ | 17.65 | $ | 45.03 | $ | 47.67 | $ | 15.86 | $ | 72.71 | ||||||||||||
Market value per share, at September 30, 2016† | $ | 20.76 | $ | 14.58 | $ | 44.01 | $ | 48.11 | $ | 16.12 | $ | 74.48 | ||||||||||||
Total Return, at net asset value^ | (13.6 | )% | (18.4 | )% | (0.8 | )% | 7.6 | % | 1.5 | % | 2.5 | % | ||||||||||||
Total Return, at market value^ | (15.1 | )% | (17.4 | )% | (2.3 | )% | 0.9 | % | 1.6 | % | 2.4 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 1.00 | % | 1.23 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.75 | )% | (1.03 | )% | (0.67 | )% | (0.68 | )% | (0.69 | )% | (0.70 | )% |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 363.08 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 0.83 | 0.27 | 0.81 | 0.17 | 0.86 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 25.14 | (6.79 | ) | (294.41 | ) | 0.15 | 2.41 | (5.10 | ) | |||||||||||||||
Change in net asset value from operations | 25.97 | (6.52 | ) | (293.60 | ) | 0.32 | 3.27 | (4.71 | ) | |||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 355.60 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Total Return, at net asset value^ | 44.2 | % | (21.5 | )% | (80.9 | )% | 2.9 | % | 5.9 | % | (14.8 | )% | ||||||||||||
Total Return, at market value^ | 44.3 | % | (22.0 | )% | (80.6 | )% | 3.1 | % | 5.4 | % | (15.8 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.15 | % | 1.00 | % | 1.43 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 2.50 | % | 2.12 | % | 2.01 | % | 3.04 | % | 2.86 | % | 2.65 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Selected data for a Share outstanding throughout the nine months ended September 30, 2017:
Per Share Operating Performance | VIX Short-Term Futures ETF* | VIX Mid-Term Futures ETF | Short VIX Short-Term Futures ETF* | Ultra VIX Short-Term Futures ETF* | UltraShort Bloomberg Crude Oil | UltraPro 3X Short Crude Oil ETF+ | ||||||||||||||||||
Net asset value, at December 31, 2016 | $ | 84.86 | $ | 42.14 | $ | 45.62 | $ | 173.93 | $ | 31.70 | $ | 25.00 | ||||||||||||
Net investment income (loss) | (0.11 | ) | (0.07 | ) | (0.45 | ) | (0.43 | ) | (0.08 | ) | (0.16 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (52.18 | ) | (16.87 | ) | 48.51 | (152.86 | ) | 1.98 | (7.32 | ) | ||||||||||||||
Change in net asset value from operations | (52.29 | ) | (16.94 | ) | 48.06 | (153.29 | ) | 1.90 | (7.48 | ) | ||||||||||||||
Net asset value, at September 30, 2017 | $ | 32.57 | $ | 25.20 | $ | 93.68 | $ | 20.64 | $ | 33.60 | $ | 17.52 | ||||||||||||
Market value per share, at December 31, 2016† | $ | 85.04 | $ | 42.34 | $ | 45.49 | $ | 175.00 | $ | 31.65 | $ | 25.00 | ||||||||||||
Market value per share, at September 30, 2017† | $ | 32.53 | $ | 25.17 | $ | 93.75 | $ | 20.60 | $ | 33.73 | $ | 17.63 | ||||||||||||
Total Return, at net asset value^ | (61.6 | )% | (40.2 | )% | 105.3 | % | (88.1 | )% | 6.0 | % | (29.9 | )% | ||||||||||||
Total Return, at market value^ | (61.7 | )% | (40.6 | )% | 106.1 | % | (88.2 | )% | 6.6 | % | (29.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.97 | % | 0.89 | % | 1.52 | % | 1.88 | % | 0.99 | % | 1.34 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.85 | % | 0.85 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.30 | )% | (0.30 | )% | (0.80 | )% | (1.28 | )% | (0.29 | )% | (1.34 | )% |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 68.69 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.33 | 0.49 | 0.36 | 0.66 | 0.45 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (50.54 | ) | (7.63 | ) | 1.33 | 27.40 | (0.81 | ) | (2.59 | ) | ||||||||||||||
Change in net asset value from operations | (50.21 | ) | (7.14 | ) | 1.69 | 28.06 | (0.36 | ) | (2.20 | ) | ||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 68.60 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Total Return, at net asset value^ | (73.1 | )% | (20.7 | )% | 7.1 | % | 103.9 | % | (1.2 | )% | (7.1 | )% | ||||||||||||
Total Return, at market value^ | (73.1 | )% | (20.7 | )% | 7.8 | % | 101.2 | % | (1.2 | )% | (6.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.56 | % | 0.95 | % | 1.09 | % | 1.74 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 1.66 | % | 3.05 | % | 2.92 | % | 2.27 | % | 3.08 | % | 2.81 | % |
* | See Note 1 of these Notes to Financial Statements. |
Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2022 | $ | 19.46 | $ | 53.68 | $ | 30.41 | $ | 57.00 | ||||||||
Net investment income (loss) | 0.24 | 0.88 | 0.38 | 0.53 | ||||||||||||
Net realized and unrealized gain (loss)# | 0.79 | 13.38 | (10.30 | ) | (32.58 | ) | ||||||||||
Change in net asset value from operations | 1.03 | 14.26 | (9.92 | ) | (32.05 | ) | ||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 56.90 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Total Return, at net asset value^ | 5.3 | % | 26.6 | % | (32.6 | )% | (56.2 | )% | ||||||||
Total Return, at market value^ | 6.6 | % | 26.8 | % | (32.5 | )% | (56.1 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.05 | % | 0.95 | % | 0.98 | % | 1.09 | % | ||||||||
Net investment income gain (loss) | 2.44 | % | 3.06 | % | 2.90 | % | 2.61 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
For the Nine Months Ended September 30, 2017 (unaudited)
Per Share Operating Performance | UltraShort Bloomberg Natural Gas | UltraShort Gold | UltraShort Silver | Short Euro | UltraShort Australian Dollar | UltraShort Euro | ||||||||||||||||||
Net asset value, at December 31, 2016 | $ | 23.10 | $ | 91.33 | $ | 37.31 | $ | 45.06 | $ | 55.38 | $ | 27.08 | ||||||||||||
Net investment income (loss) | (0.20 | ) | (0.13 | ) | (0.06 | ) | (0.12 | ) | (0.15 | ) | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 10.97 | (19.92 | ) | (5.26 | ) | (4.47 | ) | (9.60 | ) | (5.35 | ) | |||||||||||||
Change in net asset value from operations | 10.77 | (20.05 | ) | (5.32 | ) | (4.59 | ) | (9.75 | ) | (5.39 | ) | |||||||||||||
Net asset value, at September 30, 2017 | $ | 33.87 | $ | 71.28 | $ | 31.99 | $ | 40.47 | $ | 45.63 | $ | 21.69 | ||||||||||||
Market value per share, at December 31, 2016† | $ | 23.05 | $ | 90.54 | $ | 38.76 | $ | 45.12 | $ | 55.24 | $ | 27.08 | ||||||||||||
Market value per share, at September 30, 2017† | $ | 33.64 | $ | 71.55 | $ | 32.78 | $ | 40.56 | $ | 45.85 | $ | 21.68 | ||||||||||||
Total Return, at net asset value^ | 46.6 | % | (22.0 | )% | (14.3 | )% | (10.2 | )% | (17.6 | )% | (19.9 | )% | ||||||||||||
Total Return, at market value^ | 45.9 | % | (21.0 | )% | (15.4 | )% | (10.1 | )% | (17.0 | )% | (19.9 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 1.32 | % | 0.95 | % | 0.95 | % | 0.96 | % | 1.01 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.83 | )% | (0.23 | )% | (0.27 | )% | (0.37 | )% | (0.42 | )% | (0.23 | )% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 511.08 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.29 | ) | (0.15 | ) | (5.86 | ) | (0.04 | ) | (0.22 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (13.13 | ) | 20.22 | 285.48 | (2.20 | ) | (3.01 | ) | (9.93 | ) | ||||||||||||||
Change in net asset value from operations | (13.42 | ) | 20.07 | 279.62 | (2.24 | ) | (3.23 | ) | (10.06 | ) | ||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 521.80 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Total Return, at net asset value^ | (21.8 | )% | 93.2 | % | 54.7 | % | (16.8 | )% | (5.4 | )% | (28.9 | )% | ||||||||||||
Total Return, at market value^ | (21.7 | )% | 92.9 | % | 61.4 | % | (16.7 | )% | (5.5 | )% | (29.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.28 | % | 1.05 | % | 1.29 | % | 0.95 | % | 0.99 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | (1.12 | )% | (0.82 | )% | (1.10 | )% | (0.65 | )% | (0.71 | )% | (0.75 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
For the Nine Months Ended September 30, 2017 (unaudited)
Per Share Operating Performance | UltraShort Yen | Ultra Bloomberg Crude Oil | UltraPro 3X Crude Oil ETF+ | Ultra Bloomberg Natural Gas | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2016 | $ | 80.24 | $ | 23.34 | $ | 25.00 | $ | 18.85 | $ | 32.90 | $ | 33.44 | ||||||||||||
Net investment income (loss) | (0.14 | ) | (0.03 | ) | (0.14 | ) | (0.05 | ) | (0.06 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (5.84 | ) | (5.41 | ) | 0.41 | (10.06 | ) | 6.98 | 0.64 | |||||||||||||||
Change in net asset value from operations | (5.98 | ) | (5.44 | ) | 0.27 | (10.11 | ) | 6.92 | 0.58 | |||||||||||||||
Net asset value, at September 30, 2017 | $ | 74.26 | $ | 17.90 | $ | 25.27 | $ | 8.74 | $ | 39.82 | $ | 34.02 | ||||||||||||
Market value per share, at December 31, 2016† | $ | 80.25 | $ | 23.36 | $ | 25.00 | $ | 18.96 | $ | 33.20 | $ | 32.09 | ||||||||||||
Market value per share, at September 30, 2017† | $ | 74.21 | $ | 17.82 | $ | 25.09 | $ | 8.80 | $ | 39.60 | $ | 33.15 | ||||||||||||
Total Return, at net asset value^ | (7.5 | )% | (23.3 | )% | 1.1 | % | (53.6 | )% | 21.0 | % | 1.7 | % | ||||||||||||
Total Return, at market value^ | (7.5 | )% | (23.7 | )% | 0.4 | % | (53.6 | )% | 19.3 | % | 3.3 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.95 | % | 0.97 | % | 1.26 | % | 1.16 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.26 | )% | (0.24 | )% | (1.26 | )% | (0.57 | )% | (0.22 | )% | (0.23 | )% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The returns
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 124.06 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (1.13 | ) | (0.13 | ) | (0.12 | ) | (0.31 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 22.20 | (13.65 | ) | (41.10 | ) | (204.44 | ) | 4.65 | (0.04 | ) | ||||||||||||||
Change in net asset value from operations | 21.07 | (13.78 | ) | (41.22 | ) | (204.75 | ) | 4.54 | (0.16 | ) | ||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 124.30 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Total Return, at net asset value^ | 17.0 | % | (29.2 | )% | (64.2 | )% | (82.8 | )% | 17.5 | % | (0.5 | )% | ||||||||||||
Total Return, at market value^ | 16.9 | % | (29.2 | )% | (64.0 | )% | (83.5 | )% | 17.6 | % | 0.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.65 | % | 0.95 | % | 1.18 | % | 1.47 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (1.53 | )% | (0.67 | )% | (0.95 | )% | (1.30 | )% | (0.75 | )% | (0.81 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
For the Nine Months Ended September 30, 2017 (unaudited)
Per Share Operating Performance | Ultra Euro | Ultra Yen | ||||||
Net asset value, at December 31, 2016 | $ | 14.02 | $ | 55.43 | ||||
Net investment income (loss) | (0.03 | ) | (0.21 | ) | ||||
Net realized and unrealized gain (loss)# | 3.14 | 2.85 | ||||||
Change in net asset value from operations | 3.11 | 2.64 | ||||||
Net asset value, at September 30, 2017 | $ | 17.13 | $ | 58.07 | ||||
Market value per share, at December 31, 2016† | $ | 14.09 | $ | 55.52 | ||||
Market value per share, at September 30, 2017† | $ | 17.10 | $ | 58.17 | ||||
Total Return, at net asset value^ | 22.2 | % | 4.8 | % | ||||
Total Return, at market value^ | 21.4 | % | 4.8 | % | ||||
Ratios to Average Net Assets** | ||||||||
Expense ratio | 0.95 | % | 0.95 | % | ||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | ||||
Net investment income (loss) | (0.26 | )% | (0.47 | )% |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Selected data for a Share outstanding throughout the nine months ended September 30, 2016:
Per Share Operating Performance | VIX Short-Term Futures ETF* | VIX Mid-Term Futures ETF | Short VIX Short-Term Futures ETF* | Ultra VIX Short-Term Futures ETF* | UltraShort Bloomberg Crude Oil* | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
Net asset value, at December 31, 2015 | $ | 264.84 | $ | 53.96 | $ | 25.41 | $ | 2,808.40 | $ | 66.60 | $ | 46.53 | ||||||||||||
Net investment income (loss) | (1.03 | ) | (0.28 | ) | (0.21 | ) | (9.40 | ) | (0.31 | ) | (0.57 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (149.68 | ) | (7.93 | ) | 11.12 | (2,460.96 | ) | (26.29 | ) | (9.64 | ) | |||||||||||||
Change in net asset value from operations | (150.71 | ) | (8.21 | ) | 10.91 | (2,470.36 | ) | (26.60 | ) | (10.21 | ) | |||||||||||||
Net asset value, at September 30, 2016 | $ | 114.13 | $ | 45.75 | $ | 36.32 | $ | 338.04 | $ | 40.00 | $ | 36.32 | ||||||||||||
Market value per share, at December 31, 2015† | $ | 266.60 | $ | 53.99 | $ | 25.23 | $ | 2,835.00 | $ | 66.82 | $ | 46.55 | ||||||||||||
Market value per share, at September 30, 2016† | $ | 113.32 | $ | 45.69 | $ | 36.61 | $ | 333.00 | $ | 40.45 | $ | 36.14 | ||||||||||||
Total Return, at net asset value^ | (56.9 | )% | (15.2 | )% | 42.9 | % | (88.0 | )% | (39.9 | )% | (22.0 | )% | ||||||||||||
Total Return, at market value^ | (57.5 | )% | (15.4 | )% | 45.1 | % | (88.3 | )% | (39.5 | )% | (22.4 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 1.01 | % | 0.93 | % | 1.36 | % | 1.56 | % | 1.04 | % | 1.68 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.85 | % | 0.85 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.78 | )% | (0.71 | )% | (1.13 | )% | (1.33 | )% | (0.79 | )% | (1.46 | )% |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 75.62 | ||||||||
Net investment income (loss) | (0.11 | ) | (0.17 | ) | (0.14 | ) | (0.46 | ) | ||||||||
Net realized and unrealized gain (loss)# | 5.08 | 15.73 | 4.82 | 15.93 | ||||||||||||
Change in net asset value from operations | 4.97 | 15.56 | 4.68 | 15.47 | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 75.85 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Total Return, at net asset value^ | 18.6 | % | 37.5 | % | 15.3 | % | 20.5 | % | ||||||||
Total Return, at market value^ | 19.9 | % | 37.7 | % | 15.7 | % | 20.3 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.07 | % | 0.95 | % | 1.02 | % | 1.20 | % | ||||||||
Net investment income gain (loss) | (0.86 | )% | (0.72 | )% | (0.87 | )% | (1.04 | )% |
* | See Note 1 of these Notes to Financial |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the |
^ | Percentages are not annualized for the period ended |
For the Nine Months Ended September 30, 2016 (unaudited)
Per Share Operating Performance | UltraShort Gold | UltraShort Silver | Short Euro | UltraShort Australian Dollar | UltraShort Euro | UltraShort Yen | ||||||||||||||||||
Net asset value, at December 31, 2015 | $ | 115.88 | $ | 64.58 | $ | 43.78 | $ | 58.46 | $ | 25.54 | $ | 87.94 | ||||||||||||
Net investment income (loss) | (0.42 | ) | (0.21 | ) | (0.25 | ) | (0.33 | ) | (0.13 | ) | (0.38 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (45.85 | ) | (36.43 | ) | (1.31 | ) | (8.45 | ) | (1.63 | ) | (26.88 | ) | ||||||||||||
Change in net asset value from operations | (46.27 | ) | (36.64 | ) | (1.56 | ) | (8.78 | ) | (1.76 | ) | (27.26 | ) | ||||||||||||
Net asset value, at September 30, 2016 | $ | 69.61 | $ | 27.94 | $ | 42.22 | $ | 49.68 | $ | 23.78 | $ | 60.68 | ||||||||||||
Market value per share, at December 31, 2015† | $ | 115.83 | $ | 64.55 | $ | 43.74 | $ | 58.15 | $ | 25.53 | $ | 87.89 | ||||||||||||
Market value per share, at September 30, 2016† | $ | 70.19 | $ | 28.41 | $ | 42.22 | $ | 49.67 | $ | 23.76 | $ | 60.64 | ||||||||||||
Total Return, at net asset value^ | (39.9 | )% | (56.7 | )% | (3.6 | )% | (15.0 | )% | (6.9 | )% | (31.0 | )% | ||||||||||||
Total Return, at market value^ | (39.4 | )% | (56.0 | )% | (3.5 | )% | (14.6 | )% | (6.9 | )% | (31.0 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 0.95 | % | 0.95 | % | 0.97 | % | 1.03 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.71 | )% | (0.71 | )% | (0.78 | )% | (0.80 | )% | (0.70 | )% | (0.74 | )% |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
For the Nine Months Ended September 30, 2016 (unaudited)
Per Share Operating Performance | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas | Ultra Gold | Ultra Silver | Ultra Euro | Ultra Yen | ||||||||||||||||||
Net asset value, at December 31, 2015 | $ | 25.15 | $ | 18.57 | $ | 29.73 | $ | 27.06 | $ | 15.51 | $ | 54.75 | ||||||||||||
Net investment income (loss) | (0.12 | ) | (0.12 | ) | (0.21 | ) | (0.21 | ) | (0.08 | ) | (0.36 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (4.01 | ) | (3.97 | ) | 14.90 | 22.15 | 0.70 | 20.07 | ||||||||||||||||
Change in net asset value from operations | (4.13 | ) | (4.09 | ) | 14.69 | 21.94 | 0.62 | 19.71 | ||||||||||||||||
Net asset value, at September 30, 2016 | $ | 21.02 | $ | 14.48 | $ | 44.42 | $ | 49.00 | $ | 16.13 | $ | 74.46 | ||||||||||||
Market value per share, at December 31, 2015† | $ | 25.08 | $ | 18.48 | $ | 29.73 | $ | 27.08 | $ | 15.51 | $ | 54.70 | ||||||||||||
Market value per share, at September 30, 2016† | $ | 20.76 | $ | 14.58 | $ | 44.01 | $ | 48.11 | $ | 16.12 | $ | 74.48 | ||||||||||||
Total Return, at net asset value^ | (16.4 | )% | (22.0 | )% | 49.4 | % | 81.1 | % | 4.0 | % | 36.0 | % | ||||||||||||
Total Return, at market value^ | (17.2 | )% | (21.1 | )% | 48.0 | % | 77.7 | % | 3.9 | % | 36.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio | 1.02 | % | 1.36 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Expense ratio, excluding brokerage commissions | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | (0.78 | )% | (1.17 | )% | (0.69 | )% | (0.71 | )% | (0.71 | )% | (0.71 | )% |
In addition, unlike
Certain of the Funds will
Swap agreements and forward contractscounterparty risks.
Fund, subject to applicable law.
investment, even over periods as short as a single day.
lose their entire investment.
ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2017, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form10-Q.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of ten Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
Groups of Funds are collectively referred to in this Quarterly Report on Form10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each
Fund’s next NAV calculation.
Interest Income
Fund | Interest Income Three Months Ended September 30, 2017 | Interest Income Three Months Ended September 30, 2016 | Interest Income Nine Months Ended September 30, 2017 | Interest Income Nine Months Ended September 30, 2016 | ||||||||||||
ProShares VIX Short-Term Futures ETF | $ | 379,082 | $ | 144,244 | $ | 786,305 | $ | 324,819 | ||||||||
ProShares VIXMid-Term Futures ETF | 71,551 | 29,706 | 164,138 | 63,804 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | 2,102,194 | 248,974 | 3,484,888 | 848,132 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 866,857 | 400,731 | 1,833,411 | 1,227,394 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 458,896 | 112,015 | 998,438 | 345,514 | ||||||||||||
ProShares UltraPro 3X Short Crude Oil ETF | — | — | — | — | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 11,436 | 2,395 | 25,909 | 16,513 | ||||||||||||
ProShares UltraShort Gold | 85,802 | 44,515 | 202,149 | 118,780 | ||||||||||||
ProShares UltraShort Silver | 44,411 | 22,794 | 103,317 | 71,536 | ||||||||||||
ProShares Short Euro | 18,865 | 8,177 | 57,345 | 22,846 | ||||||||||||
ProShares UltraShort Australian Dollar | 23,090 | 12,198 | 58,614 | 32,241 | ||||||||||||
ProShares UltraShort Euro | 559,862 | 248,831 | 1,452,945 | 765,698 | ||||||||||||
ProShares UltraShort Yen | 389,160 | 155,603 | 1,072,691 | 328,442 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 1,819,809 | 547,630 | 4,436,888 | 1,497,225 | ||||||||||||
ProShares UltraPro 3X Crude Oil ETF | — | — | — | — | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 93,039 | 18,114 | 199,874 | 45,257 | ||||||||||||
ProShares Ultra Gold | 231,647 | 72,710 | 531,782 | 178,730 | ||||||||||||
ProShares Ultra Silver | 612,838 | 277,478 | 1,497,007 | 587,744 | ||||||||||||
ProShares Ultra Euro | 30,171 | 6,257 | 69,923 | 18,054 | ||||||||||||
ProShares Ultra Yen | 10,221 | 4,659 | 21,407 | 11,808 |
Fund | Interest Income Three Months Ended June 30, 2023 | Interest Income Three Months Ended June 30, 2022 | Interest Income Six Months Ended June 30, 2023 | Interest Income Six Months Ended June 30, 2022 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,437,210 | $ | 225,134 | $ | 4,546,332 | $ | 319,477 | ||||||||
ProShares Ultra Bloomberg Crude Oil | 5,878,092 | 1,264,011 | 11,886,000 | 1,572,891 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 8,866,705 | 146,470 | 17,825,228 | 186,051 | ||||||||||||
ProShares Ultra Euro | 88,182 | 6,522 | 185,419 | 11,109 | ||||||||||||
ProShares Ultra Gold | 1,983,196 | 319,154 | 3,632,210 | 414,267 | ||||||||||||
ProShares Ultra Silver | 3,701,182 | 421,514 | 7,075,578 | 561,963 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 4,750,595 | 430,670 | 9,167,250 | 525,931 | ||||||||||||
ProShares Ultra Yen | 114,980 | 3,064 | 235,098 | 3,937 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 1,560,028 | 289,299 | 3,563,237 | 343,206 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,344,889 | 122,188 | 2,531,641 | 178,013 | ||||||||||||
ProShares UltraShort Euro | 593,746 | 39,011 | 1,240,866 | 54,416 | ||||||||||||
ProShares UltraShort Gold | 184,052 | 19,975 | 316,614 | 29,660 | ||||||||||||
ProShares UltraShort Silver | 323,734 | 18,743 | 523,812 | 27,663 | ||||||||||||
ProShares UltraShort Yen | 255,354 | 26,913 | 459,554 | 36,312 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 650,585 | 52,826 | 1,298,505 | 76,749 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 2,440,291 | 207,903 | 4,560,852 | 278,612 |
The Trust’s and the Funds’ critical accounting policies are as follows:
2023.
Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
2022
ETF
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 162,053,094 | $ | 190,955,944 | ||||
NAV end of period | $ | 191,364,819 | $ | 227,819,218 | ||||
Percentage change in NAV | 18.1 | % | 19.3 | % | ||||
Shares outstanding beginning of period | 3,796,113 | 1,057,491 | ||||||
Shares outstanding end of period | 5,876,317 | 1,996,113 | ||||||
Percentage change in shares outstanding | 54.8 | % | 88.8 | % | ||||
Shares created | 3,106,250 | 1,151,250 | ||||||
Shares redeemed | 1,026,046 | 212,628 | ||||||
Per share NAV beginning of period | $ | 42.69 | $ | 180.57 | ||||
Per share NAV end of period | $ | 32.57 | $ | 114.13 | ||||
Percentage change in per share NAV | (23.7 | )% | (36.8 | )% | ||||
Percentage change in benchmark | (23.4 | )% | (36.8 | )% | ||||
Benchmark annualized volatility | 65.8 | % | 55.1 | % |
2022:
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 295,340,393 | $ | 495,588,849 | ||||
NAV end of period | $ | 282,353,267 | $ | 403,644,956 | ||||
Percentage change in NAV | (4.4 | )% | (18.6 | )% | ||||
Shares outstanding beginning of period | 4,634,307 | 9,084,307 | ||||||
Shares outstanding end of period | 3,334,307 | 8,384,307 | ||||||
Percentage change in shares outstanding | (28.1 | )% | (7.7 | )% | ||||
Shares created | 550,000 | 1,600,000 | ||||||
Shares redeemed | 1,850,000 | 2,300,000 | ||||||
Per share NAV beginning of period | $ | 63.73 | $ | 54.55 | ||||
Per share NAV end of period | $ | 84.68 | $ | 48.14 | ||||
Percentage change in per share NAV | 32.9 | % | (11.8 | )% | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $179.80 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.
The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (61,284 | ) | $ | (407,697 | ) | ||
Management fee | 381,123 | 474,982 | ||||||
Brokerage commissions | 59,243 | 76,959 | ||||||
Net realized gain (loss) | (27,446,786 | ) | (101,781,283 | ) | ||||
Change in net unrealized appreciation/depreciation | (17,216,367 | ) | 6,811,763 | |||||
Net income (loss) | $ | (44,724,437 | ) | $ | (95,377,217 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.
ProShares VIXMid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 30,550,943 | $ | 42,224,892 | ||||
NAV end of period | $ | 45,047,423 | $ | 58,894,811 | ||||
Percentage change in NAV | 47.5 | % | 39.5 | % | ||||
Shares outstanding beginning of period | 1,112,403 | 812,403 | ||||||
Shares outstanding end of period | 1,787,403 | 1,287,403 | ||||||
Percentage change in shares outstanding | 60.7 | % | 58.5 | % | ||||
Shares created | 675,000 | 525,000 | ||||||
Shares redeemed | — | 50,000 | ||||||
Per share NAV beginning of period | $ | 27.46 | $ | 51.98 | ||||
Per share NAV end of period | $ | 25.20 | $ | 45.75 | ||||
Percentage change in per share NAV | (8.2 | )% | (12.0 | )% | ||||
Percentage change in benchmark | (8.0 | )% | (11.7 | )% | ||||
Benchmark annualized volatility | 27.0 | % | 20.2 | % |
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016 was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.
The benchmark’s decline of 8.0% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 11.7% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (15,787 | ) | $ | (89,667 | ) | ||
Management fee | 80,574 | 108,438 | ||||||
Brokerage commissions | 6,764 | 10,935 | ||||||
Net realized gain (loss) | (3,965,084 | ) | (4,899,386 | ) | ||||
Change in net unrealized appreciation/depreciation | 365,957 | (1,141,385 | ) | |||||
Net income (loss) | $ | (3,614,914 | ) | $ | (6,130,438 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.
ProShares Short VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 793,060,423 | $ | 687,712,265 | ||||
NAV end of period | $ | 1,039,873,910 | $ | 504,798,665 | ||||
Percentage change in NAV | 31.1 | % | (26.6 | )% | ||||
Shares outstanding beginning of period | 9,900,000 | 27,600,000 | ||||||
Shares outstanding end of period | 11,100,000 | 13,900,000 | ||||||
Percentage change in shares outstanding | 12.1 | % | (49.6 | )% | ||||
Shares created | 17,750,000 | 18,500,000 | ||||||
Shares redeemed | 16,550,000 | 32,200,000 | ||||||
Per share NAV beginning of period | $ | 80.11 | $ | 24.92 | ||||
Per share NAV end of period | $ | 93.68 | $ | 36.32 | ||||
Percentage change in per share NAV | 16.9 | % | 45.7 | % | ||||
Percentage change in benchmark | (23.4 | )% | (36.8 | )% | ||||
Benchmark annualized volatility | 65.8 | % | 55.1 | % |
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 9,900,000 outstanding Shares at June 30, 2017 to 11,100,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond toone-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended SeptemberJune 30, 2016,2022, the decrease in the Fund’s NAV resulted from a decrease from 27,600,000 outstanding Shares at June 30, 2016 to 13,900,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 45.7% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on August 18, 2017 at $70.05 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on July 5, 2016 at $25.02 per Share.
The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline of the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (1,640,811 | ) | $ | (1,171,428 | ) | ||
Management fee | 2,376,444 | 951,001 | ||||||
Brokerage commissions | 1,366,561 | 469,401 | ||||||
Net realized gain (loss) | 188,307,524 | 277,233,576 | ||||||
Change in net unrealized appreciation/depreciation | 100,090,454 | (51,779,349 | ) | |||||
Net income (loss) | $ | 286,757,167 | $ | 224,282,799 |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decrease in the prices of near-term futures contracts on the VIX futures curve, in conjunction with an increase in shares outstanding, during the three months ended September 30, 2017.
ProShares Ultra VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 378,714,636 | $ | 839,613,853 | ||||
NAV end of period | $ | 535,095,732 | $ | 738,749,800 | ||||
Percentage change in NAV | 41.3 | % | (12.0 | )% | ||||
Shares outstanding beginning of period | 9,631,952 | 920,025 | ||||||
Shares outstanding end of period | 25,927,238 | 2,185,383 | ||||||
Percentage change in shares outstanding | 169.2 | % | 137.5 | % | ||||
Shares created | 33,400,000 | 2,356,500 | ||||||
Shares redeemed | 17,104,14 | 1,091,142 | ||||||
Per share NAV beginning of period | $ | 39.32 | $ | 912.60 | ||||
Per share NAV end of period | $ | 20.64 | $ | 338.04 | ||||
Percentage change in per share NAV | (47.5 | )% | (63.0 | )% | ||||
Percentage change in benchmark | (23.4 | )% | (36.8 | )% | ||||
Benchmark annualized volatility | 65.8 | % | 55.1 | % |
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 9,631,952 outstanding Shares at June 30, 2017 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2xone-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,696,752 | $ | (1,094,000 | ) | |||
Management fee | 617,036 | 1,034,361 | ||||||
Brokerage commission | 123,422 | 177,552 | ||||||
Futures account fees | – | 107,221 | ||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | |||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | |||||
Net Income (loss) | $ | 76,572,184 | $ | (48,706,992 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 811,668,456 | $ | 1,336,980,685 | ||||
NAV end of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
Percentage change in NAV | (9.1 | )% | (20.7 | )% | ||||
Shares outstanding beginning of period | 30,593,096 | 35,243,096 | ||||||
Shares outstanding end of period | 31,093,096 | 25,493,096 | ||||||
Percentage change in shares outstanding | 1.6 | % | (27.7 | )% | ||||
Shares created | 15,550,000 | 1,700,000 | ||||||
Shares redeemed | 15,050,000 | 11,450,000 | ||||||
Per share NAV beginning of period | $ | 26.53 | $ | 37.94 | ||||
Per share NAV end of period | $ | 23.74 | $ | 41.61 | ||||
Percentage change in per share NAV | (10.5 | )% | 9.7 | % | ||||
Percentage change in benchmark | (4.4 | )% | 6.8 | % | ||||
Benchmark annualized volatility | 32.8 | % | 37.5 | % |
2022.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $43.94 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $904.80 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.
2023.
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (1,324,516 | ) | $ | (2,326,627 | ) | ||
Management fee | 1,040,567 | 1,625,260 | ||||||
Brokerage commissions | 1,150,806 | 1,102,098 | ||||||
Net realized gain (loss) | (126,538,682 | ) | (745,085,668 | ) | ||||
Change in net unrealized appreciation/depreciation | (95,494,039 | ) | 139,001,218 | |||||
Net income (loss) | $ | (223,357,237 | ) | $ | (608,411,077 | ) |
2022:
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,038,791 | $ | (2,084,704 | ) | |||
Management fee | 1,744,998 | 3,098,904 | ||||||
Brokerage commission | 94,303 | 140,210 | ||||||
Futures account fees | – | 109,601 | ||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | |||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | |||||
Net Income (loss) | $ | (26,836,847 | ) | $ | 149,662,626 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the |
Natural Gas* NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatility 2022:UltraShortUltra Bloomberg Crude Oil*SeptemberJune 30, 20172023 and 2016: Three Months Ended
September 30, 2017 Three Months Ended
September 30, 2016 $ 121,175,298 $ 165,504,746 $ 238,227,025 $ 189,577,580 96.6 % 14.5 % 2,789,884 4,039,884 7,089,884 4,739,884 154.1 % 17.3 % 5,400,000 3,100,000 1,100,000 2,400,000 $ 43.43 $ 40.97 $ 33.60 $ 40.00 (22.6 )% (2.4 )% 11.2 % (5.0 )% 25.6 % 40.5 %
June 30, 2023
June 30, 2022 $ 1,139,983,773 $ 145,069,486 $ 1,141,021,278 $ 187,297,842 0.1 % 29.1 % 15,454,376 129,376 16,421,876 236,876
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Percentage change in shares outstanding | 6.3 | % | 83.1 | % | ||||
Shares created | 13,792,500 | 325,000 | ||||||
Shares redeemed | 12,825,000 | 217,500 | ||||||
Per share NAV beginning of period | $ | 73.76 | $ | 1121.30 | ||||
Per share NAV end of period | $ | 69.48 | $ | 790.70 | ||||
Percentage change in per share NAV | (5.8 | )% | (29.5 | )% | ||||
Percentage change in benchmark | 2.2 | % | (6.0 | )% | ||||
Benchmark annualized volatility | 57.7 | % | 37.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,920,978 | $ | (566,073 | ) | |||
Management fee | 2,588,571 | 534,624 | ||||||
Brokerage commission | 1,145,371 | 114,706 | ||||||
Futures account fees | 211,785 | 63,213 | ||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | |||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | |||||
Net Income (loss) | $ | 46,091,087 | $ | (106,863,848 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 8,616,433 | $ | 6,236,982 | ||||
NAV end of period | $ | 7,535,435 | $ | 9,415,626 | ||||
Percentage change in NAV | (12.5 | )% | 51.0 | % | ||||
Shares outstanding beginning of period | 750,000 | 500,000 | ||||||
Shares outstanding end of period | 650,000 | 850,000 | ||||||
Percentage change in shares outstanding | (13.3 | )% | 70.0 | % | ||||
Shares created | – | 450,000 | ||||||
Shares redeemed | 100,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 11.49 | $ | 12.47 | ||||
Per share NAV end of period | $ | 11.59 | $ | 11.08 | ||||
Percentage change in per share NAV | 0.9 | % | (11.1 | )% | ||||
Percentage change in benchmark | 0.6 | % | (5.3 | )% | ||||
Benchmark annualized volatility | 6.8 | % | 9.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 68,331 | $ | (8,515 | ) | |||
Management fee | 19,851 | 15,037 | ||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | |||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | ||||
Net Income (loss) | $ | 67,599 | $ | (736,170 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 201,161,529 | $ | 355,029,822 | ||||
NAV end of period | $ | 180,916,531 | $ | 239,938,853 | ||||
Percentage change in NAV | (10.1 | )% | (32.4 | )% | ||||
Shares outstanding beginning of period | 3,200,000 | 5,300,000 | ||||||
Shares outstanding end of period | 3,100,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | (3.1 | )% | (19.8 | )% | ||||
Shares created | 50,000 | 100,000 | ||||||
Shares redeemed | 150,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 62.86 | $ | 66.99 | ||||
Per share NAV end of period | $ | 58.36 | $ | 56.46 | ||||
Percentage change in per share NAV | (7.2 | )% | (15.7 | )% | ||||
Percentage change in benchmark | (2.5 | )% | (7.6 | )% | ||||
Benchmark annualized volatility | 12.7 | % | 13.8 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,502,010 | $ | (419,722 | ) | |||
Management fee | 474,261 | 716,148 | ||||||
Brokerage commission | 6,925 | 14,064 | ||||||
Futures account fees | — | 8,664 | ||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | |||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | |||||
Net Income (loss) | $ | (14,184,725 | ) | $ | (53,349,762 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 429,115,334 | $ | 558,375,841 | ||||
NAV end of period | $ | 356,791,659 | $ | 355,577,515 | ||||
Percentage change in NAV | (16.9 | )% | (36.3 | )% | ||||
Shares outstanding beginning of period | 13,796,526 | 14,296,526 | ||||||
Shares outstanding end of period | 13,196,526 | 14,346,526 | ||||||
Percentage change in shares outstanding | (4.3 | )% | 0.3 | % | ||||
Shares created | 700,000 | 800,000 | ||||||
Shares redeemed | 1,300,000 | 750,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 39.06 | ||||
Per share NAV end of period | $ | 27.04 | $ | 24.78 | ||||
Percentage change in per share NAV | (13.1 | )% | (36.6 | )% | ||||
Percentage change in benchmark | (5.1 | )% | (19.4 | )% | ||||
Benchmark annualized volatility | 24.1 | % | 23.7 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,677,602 | $ | (695,746 | ) | |||
Management fee | 976,505 | 1,082,340 | ||||||
Brokerage commission | 47,075 | 28,732 | ||||||
Futures account fees | — | 6,188 | ||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | |||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | ||||
Net Income (loss) | $ | (51,724,297 | ) | $ | (207,026,894 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 535,980,236 | $ | 1,127,608,641 | ||||
NAV end of period | $ | 387,764,059 | $ | 975,683,533 | ||||
Percentage change in NAV | (27.7 | )% | (13.5 | )% | ||||
Shares outstanding beginning of period | 11,587,842 | 8,352,842 | ||||||
Shares outstanding end of period | 20,977,842 | 6,722,842 | ||||||
Percentage change in shares outstanding | 81.0 | % | (19.5 | )% | ||||
Shares created | 12,940,000 | 5,840,000 | ||||||
Shares redeemed | 3,550,000 | 7,470,000 | ||||||
Per share NAV beginning of period | $ | 46.25 | $ | 135.00 | ||||
Per share NAV end of period | $ | 18.48 | $ | 145.13 | ||||
Percentage change in per share NAV | (60.0 | )% | 7.5 | % | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,581,004 | $ | (3,277,402 | ) | |||
Management fee | 1,330,081 | 2,293,738 | ||||||
Brokerage commission | 712,511 | 970,211 | ||||||
Futures account fees | 126,999 | 444,123 | ||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | |||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | |||||
Net Income (loss) | $ | (469,034,529 | ) | $ | 284,159,448 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 9,915,083 | $ | 2,099,705 | ||||
NAV end of period | $ | 12,330,974 | $ | 5,024,773 | ||||
Percentage change in NAV | 24.4 | % | 139.3 | % | ||||
Shares outstanding beginning of period | 299,970 | 49,970 | ||||||
Shares outstanding end of period | 449,970 | 149,970 | ||||||
Percentage change in shares outstanding | 50.0 | % | 200.1 | % | ||||
Shares created | 150,000 | 100,000 | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 33.05 | $ | 42.02 | ||||
Per share NAV end of period | $ | 27.40 | $ | 33.51 | ||||
Percentage change in per share NAV | (17.1 | )% | (20.3 | )% | ||||
Percentage change in benchmark | (8.0 | )% | (10.3 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 89,650 | $ | (4,972 | ) | |||
Management fee | 25,330 | 8,036 | ||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | |||||
Net Income (loss) | $ | (2,028,601 | ) | $ | (614,265 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 144,762,563 | $ | 416,799,231 | ||||
NAV end of period | $ | 112,854,952 | $ | 501,157,304 | ||||
Percentage change in NAV | (22.0 | )% | 20.2 | % | ||||
Shares outstanding beginning of period | 5,755,220 | 14,286,760 | ||||||
Shares outstanding end of period | 4,405,220 | 21,755,220 | ||||||
Percentage change in shares outstanding | (23.5 | )% | 52.3 | % | ||||
Shares created | 6,250,000 | 12,320,000 | ||||||
Shares redeemed | 7,600,000 | 4,851,540 | ||||||
Per share NAV beginning of period | $ | 25.15 | $ | 29.17 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV end of period | $ | 25.62 | $ | 23.04 | ||||
Percentage change in per share NAV | 1.9 | % | (21.0 | )% | ||||
Percentage change in benchmark | (4.4 | )% | 6.8 | % | ||||
Benchmark annualized volatility | 32.8 | % | 37.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,140,772 | $ | (849,692 | ) | |||
Management fee | 359,177 | 946,110 | ||||||
Brokerage commission | 60,079 | 107,079 | ||||||
Futures account fees | — | 85,802 | ||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | |||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | |||||
Net Income (loss) | $ | 20,958,688 | $ | (68,686,578 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 146,981,760 | $ | 250,340,837 | ||||
NAV end of period | $ | 141,324,963 | $ | 211,823,446 | ||||
Percentage change in NAV | (3.8 | )% | (15.4 | )% | ||||
Shares outstanding beginning of period | 2,066,856 | 3,868,620 | ||||||
Shares outstanding end of period | 2,566,856 | 4,966,856 | ||||||
Percentage change in shares outstanding | 24.2 | % | 28.4 | % | ||||
Shares created | 6,600,000 | 18,700,000 | ||||||
Shares redeemed | 6,100,000 | 17,601,764 | ||||||
Per share NAV beginning of period | $ | 71.11 | $ | 64.71 | ||||
Per share NAV end of period | $ | 55.06 | $ | 42.65 | ||||
Percentage change in per share NAV | (22.6 | )% | (34.1 | )% | ||||
Percentage change in benchmark | 2.2 | % | (6.0 | )% | ||||
Benchmark annualized volatility | 57.7 | % | 87.3 | % |
The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 2,066,856 outstanding Shares at March 31, 2023 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,620 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $46.80 per Share and reached its low for the period on September 25, 2017 at $32.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $60.42 per Share and reached its low for the period on July 1, 2016 at $39.90 per Share.
2023.
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (15,678 | ) | $ | (321,432 | ) | ||
Management fee | 456,582 | 405,879 | ||||||
Brokerage commissions | 17,992 | 27,568 | ||||||
Net realized gain (loss) | (9,418,914 | ) | 50,285,292 | |||||
Change in net unrealized appreciation/depreciation | (30,446,676 | ) | (32,963,803 | ) | ||||
Net income (loss) | $ | (39,881,268 | ) | $ | 17,000,057 |
2022:
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 782,210 | $ | (610,379 | ) | |||
Management fee | 302,274 | 510,704 | ||||||
Brokerage commission | 233,647 | 144,907 | ||||||
Futures account fees | 26,758 | 76,956 | ||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | |||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | |||||
Net Income (loss) | $ | (11,730,047 | ) | $ | (55,178,136 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for |
UltraShort Euro NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatility 2023 and 2022:UltraPro 3x Short Crude Oil ETFSince the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.SeptemberJune 30, 2017: Three Months Ended
September 30, 2017 $ 5,292,315 $ 15,768,728 198.0 % 200,008 900,008 350.0 % 700,000 — $ 26.46 $ 17.52 (33.8 )% 11.2 % 25.6 %
June 30, 2023
June 30, 2022 $ 59,537,260 $ 50,498,084 $ 50,931,301 $ 62,270,097 (14.5 )% 23.3 % 2,050,000 1,850,000 1,750,000 2,050,000 (14.6 )% 10.8 % – 500,000 300,000 300,000 $ 29.04 $ 27.30 $ 29.10 $ 30.38 0.2 % 11.3 % 0.6 % (5.3 )% 6.8 % 9.1 % SeptemberJune 30, 2017,2023, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 200,0082,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2017 to 900,008 outstanding Shares at September 30, 2017.2023. The increasedecrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond
For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3xspot price of the inverse ofeuro versus the daily performance of its benchmark.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.
The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017:
Three Months Ended September 30, 2017 | ||||
Net investment income (loss) | $ | (34,013 | ) | |
Brokerage commissions | 9,395 | |||
Offering costs | 37,405 | |||
Limitation by Sponsor | (12,787 | ) | ||
Net realized gain (loss) | (1,540,337 | ) | ||
Change in net unrealized appreciation/depreciation | (2,178,096 | ) | ||
Net income (loss) | $ | (3,752,446 | ) |
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 7,455,967 | $ | 2,550,965 | ||||
NAV end of period | $ | 5,921,434 | $ | 6,349,132 | ||||
Percentage change in NAV | (20.6 | )% | 148.9 | % | ||||
Shares outstanding beginning of period | 224,832 | 74,832 | ||||||
Shares outstanding end of period | 174,832 | 174,832 | ||||||
Percentage change in shares outstanding | (22.2 | )% | 133.6 | % | ||||
Shares created | 150,000 | 400,000 | ||||||
Shares redeemed | 200,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 33.16 | $ | 34.09 | ||||
Per share NAV end of period | $ | 33.87 | $ | 36.32 | ||||
Percentage change in per share NAV | 2.1 | % | 6.5 | % | ||||
Percentage change in benchmark | (4.1 | )% | (8.0 | )% | ||||
Benchmark annualized volatility | 29.6 | % | 36.5 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.U.S. dollar. By comparison, during the three months ended SeptemberJune 30, 2016,2022, the increase in the Fund’s NAV resulted primarily from an increase from 74,8321,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 30, 2016.2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.
spot price of the euro versus the U.S. dollar.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 4, 2017 at $38.35 per Share and reached its low for the period on September 18, 2017 at $30.27 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.
2023.
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (13,899 | ) | $ | (19,256 | ) | ||
Management fee | 18,019 | 13,043 | ||||||
Brokerage commissions | 7,316 | 8,608 | ||||||
Net realized gain (loss) | (151,443 | ) | (101,563 | ) | ||||
Change in net unrealized appreciation/depreciation | 615,756 | 712,823 | ||||||
Net income (loss) | $ | 450,414 | $ | 592,004 |
2022:
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 462,645 | $ | (107,923 | ) | |||
Management fee | 131,101 | 146,934 | ||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | |||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | ||||||
Net Income (loss) | $ | (26,828 | ) | $ | 5,996,944 |
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 37,919,363 | $ | 56,037,110 | ||||
NAV end of period | $ | 35,426,783 | $ | 76,364,786 | ||||
Percentage change in NAV | (6.6 | )% | 36.3 | % | ||||
Shares outstanding beginning of period | 496,978 | 796,978 | ||||||
Shares outstanding end of period | 496,978 | 1,096,978 | ||||||
Percentage change in shares outstanding | 0.0 | % | 37.6 | % | ||||
Shares created | 50,000 | 300,000 | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 76.30 | $ | 70.31 | ||||
Per share NAV end of period | $ | 71.28 | $ | 69.61 | ||||
Percentage change in per share NAV | (6.6 | )% | (1.0 | )% | ||||
Percentage change in benchmark | 3.3 | % | 0.1 | % | ||||
Benchmark annualized volatility | 10.6 | % | 10.8 | % |
2022:
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 16,049,273 | $ | 32,598,451 | ||||
NAV end of period | $ | 15,809,378 | $ | 34,611,284 | ||||
Percentage change in NAV | (1.5 | )% | 6.2 | % | ||||
Shares outstanding beginning of period | 596,977 | 1,196,977 | ||||||
Shares outstanding end of period | 546,977 | 1,096,977 | ||||||
Percentage change in shares outstanding | (8.4 | )% | (8.4 | )% | ||||
Shares created | 300,000 | 700,000 | ||||||
Shares redeemed | 350,000 | 800,000 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 26.88 | $ | 27.23 | ||||
Per share NAV end of period | $ | 28.90 | $ | 31.55 | ||||
Percentage change in per share NAV | 7.5 | % | 15.9 | % | ||||
Percentage change in benchmark | (2.5 | )% | (7.6 | )% | ||||
Benchmark annualized volatility | 12.7 | % | 13.8 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 139,578 | $ | (59,266 | ) | |||
Management fee | 42,869 | 75,676 | ||||||
Brokerage commission | 1,605 | 2,985 | ||||||
Futures account fees | — | 580 | ||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | |||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | ||||||
Net Income (loss) | $ | 1,345,348 | $ | 4,788,555 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 20,335,691 | $ | 23,406,516 | ||||
NAV end of period | $ | 19,290,473 | $ | 33,052,840 | ||||
Percentage change in NAV | (5.1 | )% | 41.2 | % | ||||
Shares outstanding beginning of period | 1,091,329 | 1,091,329 | ||||||
Shares outstanding end of period | 941,329 | 1,041,329 | ||||||
Percentage change in shares outstanding | (13.7 | )% | (4.6 | )% | ||||
Shares created | 2,450,000 | 700,000 | ||||||
Shares redeemed | 2,600,000 | 750,000 | ||||||
Per share NAV beginning of period | $ | 18.63 | $ | 21.45 | ||||
Per share NAV end of period | $ | 20.49 | $ | 31.74 | ||||
Percentage change in per share NAV | 10.0 | % | 48.0 | % | ||||
Percentage change in benchmark | (5.1 | )% | (19.4 | )% | ||||
Benchmark annualized volatility | 24.1 | % | 23.7 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 232,359 | $ | (51,484 | ) | |||
Management fee | 82,417 | 62,381 | ||||||
Brokerage commission | 8,958 | 6,677 | ||||||
Futures account fees | — | 1,169 | ||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | ||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | ||||||
Net Income (loss) | $ | 6,995,343 | $ | 13,213,060 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 25,111,818 | $ | 27,726,701 | ||||
NAV end of period | $ | 27,077,656 | $ | 45,568,882 | ||||
Percentage change in NAV | 7.8 | % | 64.4 | % | ||||
Shares outstanding beginning of period | 448,580 | 598,580 | ||||||
Shares outstanding end of period | 398,580 | 798,580 | ||||||
Percentage change in shares outstanding | (11.1 | )% | 33.4 | % | ||||
Shares created | 250,000 | 650,000 | ||||||
Shares redeemed | 300,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 55.98 | $ | 46.32 | ||||
Per share NAV end of period | $ | 67.94 | $ | 57.06 | ||||
Percentage change in per share NAV | 21.4 | % | 23.2 | % | ||||
Percentage change in benchmark | (8.0 | )% | (10.3 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 197,175 | $ | (66,268 | ) | |||
Management fee | 58,179 | 93,181 | ||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | ||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | |||||
Net Income (loss) | $ | 4,712,969 | $ | 6,482,973 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 67,306,087 | $ | 97,869,914 | ||||
NAV end of period | $ | 49,421,413 | $ | 95,721,271 | ||||
Percentage change in NAV | (26.6 | )% | (2.2 | )% | ||||
Shares outstanding beginning of period | 2,512,403 | 3,112,403 | ||||||
Shares outstanding end of period | 2,412,403 | 2,712,403 | ||||||
Percentage change in shares outstanding | (4.0 | )% | (12.9 | )% | ||||
Shares created | 575,000 | 300,000 | ||||||
Shares redeemed | 675,000 | 700,000 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 26.79 | $ | 31.45 | ||||
Per share NAV end of period | $ | 20.49 | $ | 35.29 | ||||
Percentage change in per share NAV | (23.5 | )% | 12.2 | % | ||||
Percentage change in benchmark | (23.1 | )% | 12.9 | % | ||||
Benchmark annualized volatility | 22.6 | % | 37.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 492,463 | $ | (184,164 | ) | |||
Management fee | 134,066 | 210,584 | ||||||
Brokerage commission | 12,200 | 15,500 | ||||||
Futures account fees | 11,856 | 10,906 | ||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | |||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | |||||
Net Income (loss) | $ | (16,125,972 | ) | $ | 11,670,558 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 226,765,204 | $ | 404,950,400 | ||||
NAV end of period | $ | 230,227,830 | $ | 341,714,316 | ||||
Percentage change in NAV | 1.5 | % | (15.6 | )% | ||||
Shares outstanding beginning of period | 5,021,565 | 4,876,565 | ||||||
Shares outstanding end of period | 9,226,565 | 3,751,565 | ||||||
Percentage change in shares outstanding | 83.7 | % | (23.1 | )% | ||||
Shares created | 4,460,000 | 1,635,000 | ||||||
Shares redeemed | 255,000 | 2,760,000 | ||||||
Per share NAV beginning of period | $ | 45.16 | $ | 83.04 | ||||
Per share NAV end of period | $ | 24.95 | $ | 91.09 | ||||
Percentage change in per share NAV | (44.8 | )% | 9.6 | % | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,765,342 | $ | (852,779 | ) | |||
Management fee | 530,826 | 773,717 | ||||||
Brokerage commission | 95,391 | 171,182 | ||||||
Futures account fees | 48,732 | 115,783 | ||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | |||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | |||||
Net Income (loss) | $ | (146,777,823 | ) | $ | 69,406,783 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 282,353,267 | $ | 403,644,956 | ||||
Percentage change in NAV | (16.9 | )% | (4.8 | )% | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 3,334,307 | 8,384,307 | ||||||
Percentage change in shares outstanding | (42.4 | )% | 21.8 | % | ||||
Shares created | 3,000,000 | 4,600,000 | ||||||
Shares redeemed | 5,450,000 | 3,100,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 84.68 | $ | 48.14 | ||||
Percentage change in per share NAV | 44.2 | % | (21.8 | )% | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 3,113,594 | $ | (2,390,922 | ) | |||
Management fee | 1,182,813 | 2,020,898 | ||||||
Brokerage commission | 249,925 | 365,250 | ||||||
Futures account fees | — | 324,251 | ||||||
Net realized gain (loss) | 94,806,479 | (54,216,320 | ) | |||||
Change in net unrealized appreciation (depreciation) | 12,828,278 | (30,209,873 | ) | |||||
Net Income (loss) | $ | 110,748,351 | $ | (86,817,115 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
Percentage change in NAV | (14.1 | )% | (3.9 | )% | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 31,093,096 | 25,493,096 | ||||||
Percentage change in shares outstanding | 9.5 | % | (50.3 | )% | ||||
Shares created | 34,650,000 | 10,300,000 | ||||||
Shares redeemed | 31,950,000 | 36,050,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Per share NAV end of period | $ | 23.74 | $ | 41.61 | ||||
Percentage change in per share NAV | (21.5 | )% | 93.2 | % | ||||
Percentage change in benchmark | (9.5 | )% | 45.9 | % | ||||
Benchmark annualized volatility | 31.7 | % | 41.9 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 8,077,737 | $ | (5,308,864 | ) | |||
Management fee | 3,619,616 | 6,183,716 | ||||||
Brokerage commission | 188,647 | 335,751 | ||||||
Futures account fees | — | 362,288 | ||||||
Net realized gain (loss) | 9,365,632 | 1,162,711,373 | ||||||
Change in net unrealized appreciation (depreciation) | (92,671,285 | ) | (306,208,096 | ) | ||||
Net Income (loss) | $ | (75,227,916 | ) | $ | 851,194,413 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
Percentage change in NAV | 94.7 | % | (3.4 | )% | ||||
Shares outstanding beginning of period | 1,614,376 | 379,376 | ||||||
Shares outstanding end of period | 16,421,876 | 236,876 | ||||||
Percentage change in shares outstanding | 917.2 | % | (37.6 | )% | ||||
Shares created | 32,765,000 | 455,000 | ||||||
Shares redeemed | 17,957,500 | 597,500 | ||||||
Per share NAV beginning of period | $ | 363.08 | $ | 511.08 | ||||
Per share NAV end of period | $ | 69.48 | $ | 790.70 | ||||
Percentage change in per share NAV | (80.9 | )% | 54.7 | % | ||||
Percentage change in benchmark | (49.3 | )% | 48.9 | % | ||||
Benchmark annualized volatility | 69.2 | % | 80.3 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 10,410,619 | $ | (1,082,671 | ) | |||
Management fee | 4,916,981 | 931,234 | ||||||
Brokerage commission | 2,098,150 | 203,158 | ||||||
Futures account fees | 399,478 | 134,330 | ||||||
Net realized gain (loss) | (1,678,521,779 | ) | 241,207,930 | |||||
Change in net unrealized appreciation (depreciation) | 605,047,334 | (186,420,725 | ) | |||||
Net Income (loss) | $ | (1,063,063,826 | ) | $ | 53,704,534 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 7,535,435 | $ | 9,415,626 | ||||
Percentage change in NAV | (29.6 | )% | 8.7 | % | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 650,000 | 850,000 | ||||||
Percentage change in shares outstanding | (31.6 | )% | 30.8 | % | ||||
Shares created | 200,000 | 550,000 | ||||||
Shares redeemed | 500,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 11.59 | $ | 11.08 | ||||
Percentage change in per share NAV | 2.9 | % | (16.8 | )% | ||||
Percentage change in benchmark | 1.9 | % | (7.9 | )% | ||||
Benchmark annualized volatility | 8.0 | % | 8.8 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 141,322 | $ | (24,206 | ) | |||
Management fee | 44,097 | 35,315 | ||||||
Net realized gain (loss) | 358,570 | (893,344 | ) | |||||
Change in net unrealized appreciation (depreciation) | (175,968 | ) | (419,715 | ) | ||||
Net Income (loss) | $ | 323,924 | $ | (1,337,265 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 180,916,531 | $ | 239,938,853 | ||||
Percentage change in NAV | 4.3 | % | 3.1 | % | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,100,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | (1.6 | )% | 9.0 | % | ||||
Shares created | 450,000 | 1,600,000 | ||||||
Shares redeemed | 500,000 | 1,250,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 58.36 | $ | 56.46 | ||||
Percentage change in per share NAV | 5.9 | % | (5.4 | )% | ||||
Percentage change in benchmark | 5.4 | % | (1.5 | )% | ||||
Benchmark annualized volatility | 14.3 | % | 15.7 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,715,295 | $ | (1,037,188 | ) | |||
Management fee | 901,375 | 1,387,563 | ||||||
Brokerage commission | 15,540 | 35,723 | ||||||
Futures account fees | — | 28,169 | ||||||
Net realized gain (loss) | 27,968,003 | (82,487 | ) | |||||
Change in net unrealized appreciation (depreciation) | (22,166,463 | ) | (19,849,468 | ) | ||||
Net Income (loss) | $ | 8,516,835 | $ | (20,969,143 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 356,791,659 | $ | 355,577,515 | ||||
Percentage change in NAV | (13.9 | )% | (31.0 | )% | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,196,526 | 14,346,526 | ||||||
Percentage change in shares outstanding | 1.1 | % | (3.0 | )% | ||||
Shares created | 2,600,000 | 1,800,000 | ||||||
Shares redeemed | 2,450,000 | 2,250,000 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 27.04 | $ | 24.78 | ||||
Percentage change in per share NAV | (14.8 | )% | (28.9 | )% | ||||
Percentage change in benchmark | (4.4 | )% | (13.4 | )% | ||||
Benchmark annualized volatility | 25.8 | % | 28.2 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 5,153,877 | $ | (1,823,952 | ) | |||
Management fee | 1,848,064 | 2,299,939 | ||||||
Brokerage commission | 73,637 | 59,283 | ||||||
Futures account fees | — | 26,693 | ||||||
Net realized gain (loss) | 35,871,579 | (39,558,312 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,665,222 | ) | (108,172,044 | ) | ||||
Net Income (loss) | $ | (55,639,766 | ) | $ | (149,554,308 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 387,764,059 | $ | 975,683,533 | ||||
Percentage change in NAV | (39.3 | )% | 19.5 | % | ||||
Shares outstanding beginning of period | 9,307,842 | 6,582,842 | ||||||
Shares outstanding end of period | 20,977,842 | 6,722,842 | ||||||
Percentage change in shares outstanding | 125.4 | % | 2.1 | % | ||||
Shares created | 21,310,000 | 14,150,000 | ||||||
Shares redeemed | 9,640,000 | 14,010,000 | ||||||
Per share NAV beginning of period | $ | 68.89 | $ | 124.06 | ||||
Per share NAV end of period | $ | 18.48 | $ | 145.13 | ||||
Percentage change in per share NAV | (73.1 | )% | 17.0 | % | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,722,827 | $ | (6,862,764 | ) | |||
Management fee | 2,703,851 | 4,254,915 | ||||||
Brokerage commission | 1,490,212 | 1,906,969 | ||||||
Futures account fees | 250,360 | 1,226,811 | ||||||
Net realized gain (loss) | (608,541,564 | ) | 371,681,032 | |||||
Change in net unrealized appreciation (depreciation) | (43,277,650 | ) | 161,734,465 | |||||
Net Income (loss) | $ | (647,096,387 | ) | $ | 526,552,733 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 12,330,974 | $ | 5,024,773 | ||||
Percentage change in NAV | (10.7 | )% | 112.7 | % | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 449,970 | 149,970 | ||||||
Percentage change in shares outstanding | 12.5 | % | 200.1 | % | ||||
Shares created | 200,000 | 100,000 | ||||||
Shares redeemed | 150,000 | — | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 27.40 | $ | 33.51 | ||||
Percentage change in per share NAV | (20.7 | )% | (29.2 | )% | ||||
Percentage change in benchmark | (9.0 | )% | (15.2 | )% | ||||
Benchmark annualized volatility | 10.8 | % | 9.5 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 179,208 | $ | (9,528 | ) | |||
Management fee | 55,890 | 13,465 | ||||||
Net realized gain (loss) | (1,068,950 | ) | (878,701 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,842,176 | ) | 10,820 | |||||
Net Income (loss) | $ | (2,731,918 | ) | $ | (877,409 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 112,854,952 | $ | 501,157,304 | ||||
Percentage change in NAV | (49.3 | )% | 339.0 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 4,405,220 | 21,755,220 | ||||||
Percentage change in shares outstanding | (52.7 | )% | 1,124.4 | % | ||||
Shares created | 11,550,000 | 27,890,000 | ||||||
Shares redeemed | 16,450,000 | 7,911,540 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 25.62 | $ | 23.04 | ||||
Percentage change in per share NAV | 7.1 | % | (64.2 | )% | ||||
Percentage change in benchmark | (9.5 | )% | 45.9 | % | ||||
Benchmark annualized volatility | 31.7 | % | 41.9 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,593,344 | $ | (1,435,665 | ) | |||
Management fee | 844,057 | 1,438,757 | ||||||
Brokerage commission | 125,836 | 184,135 | ||||||
Futures account fees | — | 155,979 | ||||||
Net realized gain (loss) | 55,649,291 | (209,076,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 2,739,622 | 36,686,156 | ||||||
Net Income (loss) | $ | 60,982,257 | $ | (173,825,610 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 141,324,963 | $ | 211,823,446 | ||||
Percentage change in NAV | 5.4 | % | (12.5 | )% | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 2,566,856 | 4,966,856 | ||||||
Percentage change in shares outstanding | (48.3 | )% | 407.5 | % | ||||
Shares created | 13,850,000 | 23,340,000 | ||||||
Shares redeemed | 16,250,000 | 19,351,886 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 55.06 | $ | 42.65 | ||||
Percentage change in per share NAV | 103.9 | % | (82.8 | )% | ||||
Percentage change in benchmark | (49.3 | )% | 48.9 | % | ||||
Benchmark annualized volatility | 69.2 | % | 80.3 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,432,850 | $ | (1,447,798 | ) | |||
Management fee | 599,136 | 1,053,068 | ||||||
Brokerage commission | 443,288 | 365,858 | ||||||
Futures account fees | 56,367 | 206,885 | ||||||
Net realized gain (loss) | 232,143,809 | (397,371,192 | ) | |||||
Change in net unrealized appreciation (depreciation) | (106,209,898 | ) | 140,292,056 | |||||
Net Income (loss) | $ | 127,366,761 | $ | (258,526,934 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 50,931,301 | $ | 62,270,097 | ||||
Percentage change in NAV | (32.2 | )% | 14.8 | % | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 1,750,000 | 2,050,000 | ||||||
Percentage change in shares outstanding | (31.4 | )% | (2.4 | )% | ||||
Shares created | 100,000 | 550,000 | ||||||
Shares redeemed | 900,000 | 600,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 29.10 | $ | 30.38 | ||||
Percentage change in per share NAV | (1.2 | )% | 17.5 | % | ||||
Percentage change in benchmark | 1.9 | % | (7.9 | )% | ||||
Benchmark annualized volatility | 8.0 | % | 8.8 | % |
dollar. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.
2023.
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (974 | ) | $ | (119,115 | ) | ||
Management fee | 86,766 | 163,622 | ||||||
Brokerage commissions | 10 | 8 | ||||||
Net realized gain (loss) | (2,644,251 | ) | (10,296,369 | ) | ||||
Change in net unrealized appreciation/depreciation | 300,334 | 9,773,255 | ||||||
Net income (loss) | $ | (2,344,891 | ) | $ | (642,229 | ) |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 948,197 | $ | (209,974 | ) | |||
Management fee | 292,669 | 264,390 | ||||||
Net realized gain (loss) | (2,453,253 | ) | 5,818,237 | |||||
Change in net unrealized appreciation (depreciation) | 697,680 | 3,308,479 | ||||||
Net Income (loss) | $ | (807,376 | ) | $ | 8,916,742 |
2023.
Gold
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 23,175,549 | $ | 32,067,220 | ||||
NAV end of period | $ | 22,933,677 | $ | 39,589,348 | ||||
Percentage change in NAV | (1.0 | )% | 23.5 | % | ||||
Shares outstanding beginning of period | 666,976 | 966,976 | ||||||
Shares outstanding end of period | 716,976 | 1,416,976 | ||||||
Percentage change in shares outstanding | 7.5 | % | 46.5 | % | ||||
Shares created | 200,000 | 600,000 | ||||||
Shares redeemed | 150,000 | 150,000 | ||||||
Per share NAV beginning of period | $ | 34.75 | $ | 33.16 | ||||
Per share NAV end of period | $ | 31.99 | $ | 27.94 | ||||
Percentage change in per share NAV | (7.9 | )% | (15.7 | )% | ||||
Percentage change in benchmark | 2.4 | % | 5.4 | % | ||||
Benchmark annualized volatility | 23.7 | % | 30.1 | % |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 15,809,378 | $ | 34,611,284 | ||||
Percentage change in NAV | 2.3 | % | 28.9 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 546,977 | 1,096,977 | ||||||
Percentage change in shares outstanding | 10.1 | % | 29.5 | % | ||||
Shares created | 600,000 | 1,150,000 | ||||||
Shares redeemed | 550,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 28.90 | $ | 31.55 | ||||
Percentage change in per share NAV | (7.1 | )% | (0.5 | )% | ||||
Percentage change in benchmark | 5.4 | % | (1.5 | )% | ||||
Benchmark annualized volatility | 14.3 | % | 15.7 | % |
Bloomberg Gold Subindex
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.
The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (2,336 | ) | $ | (64,078 | ) | ||
Management fee | 46,737 | 86,864 | ||||||
Brokerage commissions | 10 | 8 | ||||||
Net realized gain (loss) | (467,217 | ) | (14,865,805 | ) | ||||
Change in net unrealized appreciation/depreciation | (393,727 | ) | 9,509,304 | |||||
Net income (loss) | $ | (863,280 | ) | $ | (5,420,579 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 10,433,992 | $ | 17,125,648 | ||||
NAV end of period | $ | 8,093,438 | $ | 14,775,779 | ||||
Percentage change in NAV | (22.4 | )% | (13.7 | )% | ||||
Shares outstanding beginning of period | 250,000 | 400,000 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | (12.5 | )% | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 41.74 | $ | 42.81 | ||||
Per share NAV end of period | $ | 40.47 | $ | 42.22 | ||||
Percentage change in per share NAV | (3.0 | )% | (1.4 | )% | ||||
Percentage change in benchmark | 3.5 | % | 1.2 | % | ||||
Benchmark annualized volatility | 7.3 | % | 5.9 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the threesix months ended SeptemberJune 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.
2023.
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,071 | ) | $ | (29,155 | ) | ||
Management fee | 21,606 | 36,752 | ||||||
Brokerage commissions | 330 | 580 | ||||||
Net realized gain (loss) | (599,589 | ) | 327,210 | |||||
Change in net unrealized appreciation/depreciation | 292,113 | (487,210 | ) | |||||
Net income (loss) | $ | (310,547 | ) | $ | (189,155 | ) |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 234,406 | $ | (120,396 | ) | |||
Management fee | 79,242 | 141,814 | ||||||
Brokerage commission | 2,966 | 5,796 | ||||||
Futures account fees | — | 2,446 | ||||||
Net realized gain (loss) | (2,584,032 | ) | (1,750,799 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,103,219 | 2,318,730 | ||||||
Net Income (loss) | $ | (246,407 | ) | $ | 447,535 |
2023.
Silver
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 11,974,974 | $ | 18,713,405 | ||||
NAV end of period | $ | 9,125,205 | $ | 17,389,549 | ||||
Percentage change in NAV | (23.8 | )% | (7.1 | )% | ||||
Shares outstanding beginning of period | 250,000 | 350,000 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | 0.0 | % | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 47.90 | $ | 53.47 | ||||
Per share NAV end of period | $ | 45.63 | $ | 49.68 | ||||
Percentage change in per share NAV | (4.7 | )% | (7.1 | )% | ||||
Percentage change in benchmark | 2.1 | % | 2.7 | % | ||||
Benchmark annualized volatility | 7.3 | % | 9.7 | % |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 19,290,473 | $ | 33,052,840 | ||||
Percentage change in NAV | (39.6 | )% | 24.6 | % | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Shares outstanding end of period | 941,329 | 1,041,329 | ||||||
Percentage change in shares outstanding | (42.6 | )% | 5.0 | % | ||||
Shares created | 3,100,000 | 1,800,000 | ||||||
Shares redeemed | 3,800,000 | 1,750,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 20.49 | $ | 31.74 | ||||
Percentage change in per share NAV | 5.3 | % | 18.6 | % | ||||
Percentage change in benchmark | (4.4 | )% | (13.4 | )% | ||||
Benchmark annualized volatility | 25.8 | % | 28.2 | % |
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share.
The benchmark’s rise of 2.1% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 2.7% for the three months ended September 30, 2016, can be attributed to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,456 | ) | $ | (33,889 | ) | ||
Management fee | 24,991 | 42,820 | ||||||
Brokerage commissions | 1,555 | 3,267 | ||||||
Net realized gain (loss) | (1,453,377 | ) | (318,841 | ) | ||||
Change in net unrealized appreciation/depreciation | 837,786 | (971,126 | ) | |||||
Net income (loss) | $ | (619,047 | ) | $ | (1,323,856 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 237,012,906 | $ | 386,660,905 | ||||
NAV end of period | $ | 226,620,904 | $ | 370,915,586 | ||||
Percentage change in NAV | (4.4 | )% | (4.1 | )% | ||||
Shares outstanding beginning of period | 10,250,000 | 15,900,000 | ||||||
Shares outstanding end of period | 10,450,000 | 15,600,000 | ||||||
Percentage change in shares outstanding | 2.0 | % | (1.9 | )% | ||||
Shares created | 1,350,000 | 200,000 | ||||||
Shares redeemed | 1,150,000 | 500,000 | ||||||
Per share NAV beginning of period | $ | 23.12 | $ | 24.32 | ||||
Per share NAV end of period | $ | 21.69 | $ | 23.78 | ||||
Percentage change in per share NAV | (6.2 | )% | (2.2 | )% | ||||
Percentage change in benchmark | 3.5 | % | 1.2 | % | ||||
Benchmark annualized volatility | 7.3 | % | 5.9 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 10,250,000 outstanding Shares at June 30, 2017 to 10,450,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share.
The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | 22,669 | $ | (657,657 | ) | |||
Management fee | 537,193 | 906,488 | ||||||
Net realized gain (loss) | (24,506,914 | ) | (5,535,442 | ) | ||||
Change in net unrealized appreciation/depreciation | 10,108,092 | (2,516,227 | ) | |||||
Net income (loss) | $ | (14,376,153 | ) | $ | (8,709,326 | ) |
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 170,316,152 | $ | 193,732,080 | ||||
NAV end of period | $ | 148,459,101 | $ | 263,899,544 | ||||
Percentage change in NAV | (12.8 | )% | 36.2 | % | ||||
Shares outstanding beginning of period | 2,299,290 | 3,049,290 | ||||||
Shares outstanding end of period | 1,999,290 | 4,349,290 | ||||||
Percentage change in shares outstanding | (13.0 | )% | 42.6 | % | ||||
Shares created | 150,000 | 1,300,000 | ||||||
Shares redeemed | 450,000 | — | ||||||
Per share NAV beginning of period | $ | 74.07 | $ | 63.53 | ||||
Per share NAV end of period | $ | 74.26 | $ | 60.68 | ||||
Percentage change in per share NAV | 0.3 | % | (4.5 | )% | ||||
Percentage change in benchmark | —^ | 1.8 | % | |||||
Benchmark annualized volatility | 8.3 | % | 13.4 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,299,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAVshareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.Bloomberg Silver Subindex
shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.
2023.
2023.
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | 12,821 | $ | (408,214 | ) | |||
Management fee | 376,339 | 563,817 | ||||||
Net realized gain (loss) | (1,068,934 | ) | (33,476,429 | ) | ||||
Change in net unrealized appreciation/depreciation | (79,932 | ) | 23,085,942 | |||||
Net income (loss) | $ | (1,136,045 | ) | $ | (10,798,701 | ) |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 366,566 | $ | (112,092 | ) | |||
Management fee | 142,585 | 123,334 | ||||||
Brokerage commission | 14,661 | 11,978 | ||||||
Futures account fees | — | 4,443 | ||||||
Net realized gain (loss) | 3,826,313 | 2,037,296 | ||||||
Change in net unrealized appreciation (depreciation) | 4,467,058 | 5,642,964 | ||||||
Net Income (loss) | $ | 8,659,937 | $ | 7,568,168 |
2023.
UltraShort Yen
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 958,703,511 | $ | 898,563,742 | ||||
NAV end of period | $ | 622,142,765 | $ | 979,757,506 | ||||
Percentage change in NAV | (35.1 | )% | 9.0 | % | ||||
Shares outstanding beginning of period | 64,761,317 | 36,938,933 | ||||||
Shares outstanding end of period | 34,761,317 | 46,613,933 | ||||||
Percentage change in shares outstanding | (46.3 | )% | 26.2 | % | ||||
Shares created | 4,400,000 | 17,800,000 | ||||||
Shares redeemed | 34,400,000 | 8,125,000 | ||||||
Per share NAV beginning of period | $ | 14.80 | $ | 24.33 | ||||
Per share NAV end of period | $ | 17.90 | $ | 21.02 | ||||
Percentage change in per share NAV | 20.9 | % | 13.6 | % | ||||
Percentage change in benchmark | 11.2 | % | (5.0 | )% | ||||
Benchmark annualized volatility | 25.6 | % | 40.5 | % |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 27,077,656 | $ | 45,568,882 | ||||
Percentage change in NAV | 26.5 | % | 83.4 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 398,580 | 798,580 | ||||||
Percentage change in shares outstanding | — | % | 33.4 | % | ||||
Shares created | 450,000 | 850,000 | ||||||
Shares redeemed | 450,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 67.94 | $ | 57.06 | ||||
Percentage change in per share NAV | 26.6 | % | 37.5 | % | ||||
Percentage change in benchmark | (9.0 | )% | (15.2 | )% | ||||
Benchmark annualized volatility | 10.8 | % | 9.5 | % |
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 20.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 13.6% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $18.28 per Share and reached its low for the period on July 7, 2017 at $13.57 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $24.96 per Share and reached its low for the period on August 2, 2016 at $15.56 per Share.
The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (19,527 | ) | $ | (1,683,430 | ) | ||
Management fee | 1,798,486 | 2,118,318 | ||||||
Brokerage commissions | 40,850 | 112,742 | ||||||
Net realized gain (loss) | 45,488,493 | (246,216,521 | ) | |||||
Change in net unrealized appreciation/depreciation | 112,829,499 | 165,591,081 | ||||||
Net income (loss) | $ | 158,298,465 | $ | (82,308,870 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 30, 2016.
ProShares UltraPro 3x Crude Oil ETF
Fund Performance
Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.
The following table provides summary performance information for the Fund for the three months ended September 30, 2017:
Three Months Ended September 30, 2017 | ||||
NAV beginning of period | $ | 20,499,886 | ||
NAV end of period | $ | 7,581,464 | ||
Percentage change in NAV | (63.0 | )% | ||
Shares outstanding beginning of period | 1,050,008 | |||
Shares outstanding end of period | 300,008 | |||
Percentage change in shares outstanding | (71.4 | )% | ||
Shares created | 250,000 | |||
Shares redeemed | 1,000,000 | |||
Per share NAV beginning of period | $ | 19.52 | ||
Per share NAV end of period | $ | 25.27 | ||
Percentage change in per share NAV | 29.5 | % | ||
Percentage change in benchmark | 11.2 | % | ||
Benchmark annualized volatility | 25.6 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,050,008 outstanding Shares at June 30, 2017 to 300,008 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $26.10 per Share and reached its low for the period on July 7, 2017 at $17.04 per Share.
The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017:
Three Months Ended September 30, 2017 | ||||
Net investment income (loss) | $ | (56,323 | ) | |
Brokerage commissions | 13,100 | |||
Offering costs | 37,405 | |||
Reduction to Limitation by Sponsor | 5,818 | |||
Net realized gain (loss) | 4,971,742 | |||
Change in net unrealized appreciation/depreciation | 694,326 | |||
Net income (loss) | $ | 5,609,745 |
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 43,886,614 | $ | 43,355,961 | ||||
NAV end of period | $ | 51,059,617 | $ | 31,750,207 | ||||
Percentage change in NAV | 16.3 | % | (26.8 | )% | ||||
Shares outstanding beginning of period | 4,492,169 | 2,442,169 | ||||||
Shares outstanding end of period | 5,842,169 | 2,192,169 | ||||||
Percentage change in shares outstanding | 30.1 | % | (10.2 | )% | ||||
Shares created | 2,600,000 | 700,000 | ||||||
Shares redeemed | 1,250,000 | 950,000 | ||||||
Per share NAV beginning of period | $ | 9.77 | $ | 17.75 | ||||
Per share NAV end of period | $ | 8.74 | $ | 14.48 | ||||
Percentage change in per share NAV | (10.5 | )% | (18.4 | )% | ||||
Percentage change in benchmark | (4.1 | )% | (8.0 | )% | ||||
Benchmark annualized volatility | 29.6 | % | 36.5 | % |
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 4,492,169 outstanding Shares at June 30, 2017 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the daily performance of the Bloomberg Natural Gas SubindexSM.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $9.98 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share.
The benchmark’s decline of 4.1% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (42,774 | ) | $ | (93,432 | ) | ||
Management fee | 110,894 | 85,894 | ||||||
Brokerage commissions | 24,919 | 25,652 | ||||||
Net realized gain (loss) | (2,015,002 | ) | 1,964,675 | |||||
Change in net unrealized appreciation/depreciation | (1,076,819 | ) | (8,407,770 | ) | ||||
Net income (loss) | $ | (3,134,595 | ) | $ | (6,536,527 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 88,717,834 | $ | 100,789,893 | ||||
NAV end of period | $ | 89,587,943 | $ | 99,949,269 | ||||
Percentage change in NAV | 1.0 | % | (0.8 | )% | ||||
Shares outstanding beginning of period | 2,350,000 | 2,250,000 | ||||||
Shares outstanding end of period | 2,250,000 | 2,250,000 | ||||||
Percentage change in shares outstanding | (4.3 | )% | 0.0 | % | ||||
Shares created | 50,000 | 50,000 | ||||||
Shares redeemed | 150,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 37.75 | $ | 44.80 | ||||
Per share NAV end of period | $ | 39.82 | $ | 44.42 | ||||
Percentage change in per share NAV | 5.5 | % | (0.8 | )% | ||||
Percentage change in benchmark | 3.3 | % | 0.1 | % | ||||
Benchmark annualized volatility | 10.6 | % | 10.8 | % |
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share.
The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | 7,054 | $ | (172,490 | ) | |||
Management fee | 224,583 | 245,192 | ||||||
Brokerage commissions | 10 | 8 | ||||||
Net realized gain (loss) | 5,462,857 | 12,630,084 | ||||||
Change in net unrealized appreciation/depreciation | (546,321 | ) | (13,422,965 | ) | ||||
Net income (loss) | $ | 4,923,590 | $ | (965,371 | ) |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 245,798,564 | $ | 386,838,399 | ||||
NAV end of period | $ | 244,805,182 | $ | 372,251,128 | ||||
Percentage change in NAV | (0.4 | )% | (3.8 | )% | ||||
Shares outstanding beginning of period | 7,396,526 | 8,496,526 | ||||||
Shares outstanding end of period | 7,196,526 | 7,596,526 | ||||||
Percentage change in shares outstanding | (2.7 | )% | (10.6 | )% | ||||
Shares created | 300,000 | 150,000 | ||||||
Shares redeemed | 500,000 | 1,050,000 | ||||||
Per share NAV beginning of period | $ | 33.23 | $ | 45.53 | ||||
Per share NAV end of period | $ | 34.02 | $ | 49.00 | ||||
Percentage change in per share NAV | 2.4 | % | 7.6 | % | ||||
Percentage change in benchmark | 2.4 | % | 5.4 | % | ||||
Benchmark annualized volatility | 23.7 | % | 30.1 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.4% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share.
The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | 543 | $ | (701,202 | ) | |||
Management fee | �� | 612,285 | 978,671 | |||||
Brokerage commissions | 10 | 9 | ||||||
Net realized gain (loss) | 1,063,548 | 119,372,702 | ||||||
Change in net unrealized appreciation/depreciation | 7,164,374 | (88,236,402 | ) | |||||
Net income (loss) | $ | 8,228,465 | $ | 30,435,098 |
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 12,928,079 | $ | 9,532,904 | ||||
NAV end of period | $ | 13,705,608 | $ | 9,678,714 | ||||
Percentage change in NAV | 6.0 | % | 1.5 | % | ||||
Shares outstanding beginning of period | 800,000 | 600,000 | ||||||
Shares outstanding end of period | 800,000 | 600,000 | ||||||
Percentage change in shares outstanding | 0.0 | % | 0.0 | % | ||||
Shares created | 450,000 | — | ||||||
Shares redeemed | 450,000 | — | ||||||
Per share NAV beginning of period | $ | 16.16 | $ | 15.89 | ||||
Per share NAV end of period | $ | 17.13 | $ | 16.13 | ||||
Percentage change in per share NAV | 6.0 | % | 1.5 | % | ||||
Percentage change in benchmark | 3.5 | % | 1.2 | % | ||||
Benchmark annualized volatility | 7.3 | % | 5.9 | % |
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on July 5, 2017 at $15.93 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share.
The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (1,256 | ) | $ | (16,659 | ) | ||
Management fee | 31,427 | 22,916 | ||||||
Net realized gain (loss) | 1,259,650 | 46,258 | ||||||
Change in net unrealized appreciation/depreciation | (519,604 | ) | 116,211 | |||||
Net income (loss) | $ | 738,790 | $ | 145,810 |
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 5,866,403 | $ | 7,265,264 | ||||
NAV end of period | $ | 5,804,920 | $ | 7,443,729 | ||||
Percentage change in NAV | (1.0 | )% | 2.5 | % | ||||
Shares outstanding beginning of period | 99,970 | 99,970 | ||||||
Shares outstanding end of period | 99,970 | 99,970 | ||||||
Percentage change in shares outstanding | 0.0 | % | 0.0 | % | ||||
Shares created | — | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 58.68 | $ | 72.67 | ||||
Per share NAV end of period | $ | 58.07 | $ | 74.46 | ||||
Percentage change in per share NAV | (1.0 | )% | 2.5 | % | ||||
Percentage change in benchmark | —^ | 1.8 | % | |||||
Benchmark annualized volatility | 8.3 | % | 13.4 | % |
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2xinverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2022 to June 30, 2017 to September 30, 2017.2023. By comparison, during the threesix months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.
The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (4,166 | ) | $ | (12,886 | ) | ||
Management fee | 14,387 | 17,545 | ||||||
Net realized gain (loss) | (4,545 | ) | 955,119 | |||||
Change in net unrealized appreciation/depreciation | (52,772 | ) | (763,768 | ) | ||||
Net income (loss) | $ | (61,483 | ) | $ | 178,465 |
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.
Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 174,160,146 | $ | 105,272,823 | ||||
NAV end of period | $ | 191,364,819 | $ | 227,819,218 | ||||
Percentage change in NAV | 9.9 | % | 116.4 | % | ||||
Shares outstanding beginning of period | 2,052,363 | 397,491 | ||||||
Shares outstanding end of period | 5,876,317 | 1,996,113 | ||||||
Percentage change in shares outstanding | 186.3 | % | 402.2 | % | ||||
Shares created | 6,125,000 | 2,497,500 | ||||||
Shares redeemed | 2,301,046 | 898,878 | ||||||
Per share NAV beginning of period | $ | 84.86 | $ | 264.84 | ||||
Per share NAV end of period | $ | 32.57 | $ | 114.13 | ||||
Percentage change in per share NAV | (61.6 | )% | (56.9 | )% | ||||
Percentage change in benchmark | (61.5 | )% | (56.7 | )% | ||||
Benchmark annualized volatility | 53.1 | % | 78.7 | % |
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.
The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (356,273 | ) | $ | (1,116,018 | ) | ||
Management fee | 1,004,091 | 1,210,844 | ||||||
Brokerage commission | 138,487 | 229,993 | ||||||
Net realized gain (loss) | (126,203,648 | ) | (134,339,691 | ) | ||||
Change in net unrealized appreciation/depreciation | (17,854,285 | ) | (8,439,809 | ) | ||||
Net income (loss) | $ | (144,414,206 | ) | $ | (143,895,518 | ) |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 30, 2017.
ProShares VIXMid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 45,818,914 | $ | 27,650,638 | ||||
NAV end of period | $ | 45,047,423 | $ | 58,894,811 | ||||
Percentage change in NAV | (1.7 | )% | 113.0 | % | ||||
Shares outstanding beginning of period | 1,087,403 | 512,404 | ||||||
Shares outstanding end of period | 1,787,403 | 1,287,403 | ||||||
Percentage change in shares outstanding | 64.4 | % | 151.2 | % | ||||
Shares created | 850,000 | 950,000 | ||||||
Shares redeemed | 150,000 | 175,001 | ||||||
Per share NAV beginning of period | $ | 42.14 | $ | 53.96 | ||||
Per share NAV end of period | $ | 25.20 | $ | 45.75 | ||||
Percentage change in per share NAV | (40.2 | )% | (15.2 | )% | ||||
Percentage change in benchmark | (39.7 | )% | (14.5 | )% | ||||
Benchmark annualized volatility | 21.3 | % | 36.6 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,087,403 outstanding Shares at December 31, 2016 to 1,787,403 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.2% for the nine months ended September 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.
The benchmark’s decline of 39.7% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 14.5% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (83,495 | ) | $ | (210,903 | ) | ||
Management fee | 235,818 | 251,163 | ||||||
Brokerage commission | 11,815 | 23,544 | ||||||
Net realized gain (loss) | (19,180,662 | ) | (5,248,593 | ) | ||||
Change in net unrealized appreciation/depreciation | (651,228 | ) | (1,908,048 | ) | ||||
Net income (loss) | $ | (19,915,385 | ) | $ | (7,367,544 | ) |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.
ProShares Short VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 228,075,387 | $ | 642,811,361 | ||||
NAV end of period | $ | 1,039,873,910 | $ | 504,798,665 | ||||
Percentage change in NAV | 355.9 | % | (21.5 | )% | ||||
Shares outstanding beginning of period | 5,000,000 | 25,300,080 | ||||||
Shares outstanding end of period | 11,100,000 | 13,900,000 | ||||||
Percentage change in shares outstanding | 122.0 | % | (45.1 | )% | ||||
Shares created | 46,750,000 | 88,100,000 | ||||||
Shares redeemed | 40,650,000 | 99,500,080 | ||||||
Per share NAV beginning of period | $ | 45.62 | $ | 25.41 | ||||
Per share NAV end of period | $ | 93.68 | $ | 36.32 | ||||
Percentage change in per share NAV | 105.3 | % | 42.9 | % | ||||
Percentage change in benchmark | (61.5 | )% | (56.7 | )% | ||||
Benchmark annualized volatility | 53.1 | % | 78.7 | % |
During the nine months ended September 30, 2017,2022, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000598,580 outstanding Shares at December 31, 20162021 to 11,100,000798,580 outstanding Shares at SeptemberJune 30, 2017.2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, duringspot price of the nineJapanese yen versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 105.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 42.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.
The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline of the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,913,203 | ) | $ | (4,236,471 | ) | ||
Management fee | 4,636,720 | 3,561,744 | ||||||
Brokerage commission | 2,761,371 | 1,522,859 | ||||||
Net realized gain (loss) | 471,123,858 | 262,990,607 | ||||||
Change in net unrealized appreciation/depreciation | 104,609,483 | 16,725,819 | ||||||
Net income (loss) | $ | 571,820,138 | $ | 275,479,955 |
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.
ProShares Ultra VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 515,758,754 | $ | 547,708,740 | ||||
NAV end of period | $ | 535,095,732 | $ | 738,749,800 | ||||
Percentage change in NAV | 3.7 | % | 34.9 | % | ||||
Shares outstanding beginning of period | 2,965,383 | 195,025 | ||||||
Shares outstanding end of period | 25,927,238 | 2,185,383 | ||||||
Percentage change in shares outstanding | 774.3 | % | 1,020.6 | % | ||||
Shares created | 51,185,000 | 3,857,000 | ||||||
Shares redeemed | 28,223,145 | 1,866,642 | ||||||
Per share NAV beginning of period | $ | 173.93 | $ | 2,808.40 | ||||
Per share NAV end of period | $ | 20.64 | $ | 338.04 | ||||
Percentage change in per share NAV | (88.1 | )% | (88.0 | )% | ||||
Percentage change in benchmark | (61.5 | )% | (56.7 | )% | ||||
Benchmark annualized volatility | 53.1 | % | 78.7 | % |
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,965,383 outstanding Shares at December 31, 2016 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 2,185,383 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.1% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $147.20 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $5,715.40 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.
The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,866,250 | ) | $ | (7,007,927 | ) | ||
Management fee | 2,880,339 | 5,006,558 | ||||||
Brokerage commission | 2,819,322 | 3,228,763 | ||||||
Net realized gain (loss) | (646,063,604 | ) | (1,269,208,841 | ) | ||||
Change in net unrealized appreciation/depreciation | (93,756,755 | ) | (51,154,812 | ) | ||||
Net income (loss) | $ | (743,686,609 | ) | $ | (1,327,371,580 | ) |
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 200,958,303 | $ | 95,897,894 | ||||
NAV end of period | $ | 238,227,025 | $ | 189,577,580 | ||||
Percentage change in NAV | 18.5 | % | 97.7 | % | ||||
Shares outstanding beginning of period | 6,339,884 | 1,439,888 | ||||||
Shares outstanding end of period | 7,089,884 | 4,739,884 | ||||||
Percentage change in shares outstanding | 11.8 | % | 229.2 | % | ||||
Shares created | 10,700,000 | 13,100,000 | ||||||
Shares redeemed | 9,950,000 | 9,800,004 | ||||||
Per share NAV beginning of period | $ | 31.70 | $ | 66.60 | ||||
Per share NAV end of period | $ | 33.60 | $ | 40.00 | ||||
Percentage change in per share NAV | 6.0 | % | (39.9 | )% | ||||
Percentage change in benchmark | (9.4 | )% | (0.3 | )% | ||||
Benchmark annualized volatility | 25.4 | % | 47.3 | % |
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,739,884 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the nine months ended September 30, 2017 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0%26.6% for the ninesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%37.5% for the ninesix months ended SeptemberJune 30, 2016,2022, was primarily due to anlesser appreciation in the value of the assets ofheld by the Fund during the ninesix months ended SeptemberJune 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $116.11 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.
2023.
2023.
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (426,772 | ) | $ | (1,070,888 | ) | ||
Management fee | 1,374,438 | 1,291,075 | ||||||
Brokerage commission | 50,772 | 125,327 | ||||||
Net realized gain (loss) | 49,805,940 | (36,901,010 | ) | |||||
Change in net unrealized appreciation/depreciation | (5,398,492 | ) | (29,797,685 | ) | ||||
Net income (loss) | $ | 43,980,676 | $ | (67,769,583 | ) |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 350,563 | $ | (116,689 | ) | |||
Management fee | 108,991 | 153,001 | ||||||
Net realized gain (loss) | 342,795 | 9,100,314 | ||||||
Change in net unrealized appreciation (depreciation) | 5,004,524 | 70,535 | ||||||
Net Income (loss) | $ | 5,697,882 | $ | 9,054,160 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the forward Share split for |
NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatility Net investment income (loss) Brokerage commission Offering costs Limitation by Sponsor Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatility 2022: S&P 500 VIX Mid-Term Futures Index.UltraPro 3x Short Crude OilVIX Mid-Term Futures ETFSince the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017: March 24, 2017
(Commencement of
Operations) through
September 30, 2017 $ 200 $ 15,768,728 NM 8 900,008 NM 1,050,008 150,000 $ 25.00 $ 17.52 (29.9 )% (4.8 )% 26.1 % NM — Not MeaningfulDuring the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 900,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.Net Income/LossThe following table provides summary income information for the Fund from commencement of operations to September 30, 2017: March 24, 2017
(Commencement of
Operations) through
September 30, 2017 $ (59,643 ) 17,296 77,250 (34,903 ) 232,006 (2,423,370 ) $ (2,251,007 ) ProShares UltraShort Bloomberg Natural GasFund Performanceninesix months ended SeptemberJune 30, 20172023 and 2016: Nine Months Ended
September 30, 2017 Nine Months Ended
September 30, 2016 $ 4,038,794 $ 10,462,856 $ 5,921,434 $ 6,349,132 46.6 % (39.3 )% 174,832 224,856 174,832 174,832 0.0 % (22.2 )% 300,000 850,000 300,000 900,024 $ 23.10 $ 46.53 $ 33.87 $ 36.32 46.6 % (21.9 )% (27.9 )% (5.9 )% 34.64 % 39.6 %
June 30, 2023
June 30, 2022 $ 84,014,959 $ 112,875,680 $ 49,421,413 $ 95,721,271 (41.2 )% (15.2 )% 2,762,403 3,687,403 2,412,403 2,712,403 (12.7 )% (26.4 )% 850,000 1,000,000 1,200,000 1,975,000 $ 30.41 $ 30.61 $ 20.49 $ 35.29 (32.6 )% 15.3 % (31.9 )% 16.5 % 30.2 % 34.9 % ninesix months ended SeptemberJune 30, 2017,2023, the increasedecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net changeS&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares fromat December 31, 20162022 to September2,412,403 outstanding Shares at June 30, 2017.2023. By comparison, during the ninesix months ended SeptemberJune 30, 2016,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,8563,687,403 outstanding Shares at December 31, 20152021 to 174,8322,712,403 outstanding Shares at SeptemberJune 30, 2016.2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.
The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (44,874 | ) | $ | (107,463 | ) | ||
Management fee | 51,110 | 70,066 | ||||||
Brokerage commission | 19,673 | 53,910 | ||||||
Net realized gain (loss) | 1,755,918 | 458,954 | ||||||
Change in net unrealized appreciation/depreciation | 830,801 | 2,803,491 | ||||||
Net income (loss) | $ | 2,541,845 | $ | 3,154,982 |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstanding during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 63,653,647 | $ | 74,971,764 | ||||
NAV end of period | $ | 35,426,783 | $ | 76,364,786 | ||||
Percentage change in NAV | (44.3 | )% | 1.9 | % | ||||
Shares outstanding beginning of period | 696,978 | 646,978 | ||||||
Shares outstanding end of period | 496,978 | 1,096,978 | ||||||
Percentage change in shares outstanding | (28.7 | )% | 69.6 | % | ||||
Shares created | 300,000 | 1,000,000 | ||||||
Shares redeemed | 500,000 | 550,000 | ||||||
Per share NAV beginning of period | $ | 91.33 | $ | 115.88 | ||||
Per share NAV end of period | $ | 71.28 | $ | 69.61 | ||||
Percentage change in per share NAV | (22.0 | )% | (39.9 | )% | ||||
Percentage change in benchmark | 12.0 | % | 24.8 | % | ||||
Benchmark annualized volatility | 11.7 | % | 17.0 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.0%32.6% for the ninesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%15.3% for the ninesix months ended SeptemberJune 30, 2016,2022, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the ninesix months ended SeptemberJune 30, 2017.
During2023.
The benchmark’s rise of 12.0%for the nine months ended September 30, 2017,2023, as compared to the benchmark’s rise of 24.8%16.5% for the ninesix months ended SeptemberJune 30, 2016,2022, can be attributed to a lesser increasedecrease in the pricevalue of spot gold in U.S. dollar termsthe futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the nine monthsperiod ended SeptemberJune 30, 2017.
2023.
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (66,015 | ) | $ | (350,865 | ) | ||
Management fee | 268,125 | 469,612 | ||||||
Brokerage commission | 39 | 33 | ||||||
Net realized gain (loss) | (10,940,120 | ) | (29,965,948 | ) | ||||
Change in net unrealized appreciation/depreciation | (99,988 | ) | (225,049 | ) | ||||
Net income (loss) | $ | (11,106,123 | ) | $ | (30,541,862 | ) |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 969,651 | $ | (436,261 | ) | |||
Management fee | 284,189 | 426,247 | ||||||
Brokerage commission | 21,369 | 40,369 | ||||||
Futures account fees | 23,296 | 46,394 | ||||||
Net realized gain (loss) | (22,764,053 | ) | 12,653,549 | |||||
Change in net unrealized appreciation (depreciation) | (5,092,642 | ) | 3,518,835 | |||||
Net Income (loss) | $ | (26,887,044 | ) | $ | 15,736,123 |
2023.
VIX Short-Term Futures ETF*
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 23,017,656 | $ | 55,987,938 | ||||
NAV end of period | $ | 22,933,677 | $ | 39,589,348 | ||||
Percentage change in NAV | (0.4 | )% | (29.3 | )% | ||||
Shares outstanding beginning of period | 616,976 | 866,978 | ||||||
Shares outstanding end of period | 716,976 | 1,416,976 | ||||||
Percentage change in shares outstanding | 16.2 | % | 63.4 | % | ||||
Shares created | 700,000 | 1,600,000 | ||||||
Shares redeemed | 600,000 | 1,050,002 | ||||||
Per share NAV beginning of period | $ | 37.31 | $ | 64.58 | ||||
Per share NAV end of period | $ | 31.99 | $ | 27.94 | ||||
Percentage change in per share NAV | (14.3 | )% | (56.7 | )% | ||||
Percentage change in benchmark | 3.8 | % | 40.0 | % | ||||
Benchmark annualized volatility | 19.6 | % | 27.1 | % |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
NAV end of period | $ | 230,227,830 | $ | 341,714,316 | ||||
Percentage change in NAV | (13.6 | )% | 26.7 | % | ||||
Shares outstanding beginning of period | 4,676,565 | 3,566,565 | ||||||
Shares outstanding end of period | 9,226,565 | 3,751,565 | ||||||
Percentage change in shares outstanding | 97.3 | % | 5.2 | % | ||||
Shares created | 6,760,000 | 3,625,000 | ||||||
Shares redeemed | 2,210,000 | 3,440,000 | ||||||
Per share NAV beginning of period | $ | 57.00 | $ | 75.62 | ||||
Per share NAV end of period | $ | 24.95 | $ | 91.09 | ||||
Percentage change in per share NAV | (56.2 | )% | 20.5 | % | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
2022.
During2023.
The benchmark’s rise of 3.8%for the nine months ended September 30, 2017,2023, as compared to the benchmark’s rise of 40.0%21.6% for the ninesix months ended SeptemberJune 30, 2016,2022, can be attributed to a lesser risedecrease in the pricevalue of spot silver in U.S. dollar termsthe near-term futures contracts on the VIX futures curve during the nine monthsperiod ended SeptemberJune 30, 2017.
2023.
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (40,264 | ) | $ | (210,102 | ) | ||
Management fee | 143,542 | 281,605 | ||||||
Brokerage commission | 39 | 33 | ||||||
Net realized gain (loss) | (2,693,510 | ) | (26,657,499 | ) | ||||
Change in net unrealized appreciation/depreciation | 745,784 | (4,263,685 | ) | |||||
Net income (loss) | $ | (1,987,990 | ) | $ | (31,131,286 | ) |
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 15,770,088 | $ | 17,510,898 | ||||
NAV end of period | $ | 8,093,438 | $ | 14,775,779 | ||||
Percentage change in NAV | (48.7 | )% | (15.6 | )% | ||||
Shares outstanding beginning of period | 350,000 | 400,005 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (42.9 | )% | (12.5 | )% | ||||
Shares created | — | 50,000 | ||||||
Shares redeemed | 150,000 | 100,005 | ||||||
Per share NAV beginning of period | $ | 45.06 | $ | 43.78 | ||||
Per share NAV end of period | $ | 40.47 | $ | 42.22 | ||||
Percentage change in per share NAV | (10.2 | )% | (3.6 | )% | ||||
Percentage change in benchmark | 12.3 | % | 3.4 | % | ||||
Benchmark annualized volatility | 7.4 | % | 8.3 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.
The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (36,347 | ) | $ | (95,407 | ) | ||
Management fee | 92,259 | 116,244 | ||||||
Brokerage commission | 1,433 | 2,009 | ||||||
Net realized gain (loss) | (1,335,372 | ) | (199,557 | ) | ||||
Change in net unrealized appreciation/depreciation | (26,290 | ) | (268,792 | ) | ||||
Net income (loss) | $ | (1,398,009 | ) | $ | (563,756 | ) |
2022:
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 3,221,259 | $ | (1,804,892 | ) | |||
Management fee | 1,048,314 | 1,479,408 | ||||||
Brokerage commission | 191,888 | 287,656 | ||||||
Futures account fees | 99,391 | 316,440 | ||||||
Net realized gain (loss) | (173,336,606 | ) | 77,393,009 | |||||
Change in net unrealized appreciation (depreciation) | (20,173,227 | ) | 33,152,396 | |||||
Net Income (loss) | $ | (190,288,574 | ) | $ | 108,740,513 |
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 16,613,473 | $ | 20,460,679 | ||||
NAV end of period | $ | 9,125,205 | $ | 17,389,549 | ||||
Percentage change in NAV | (45.1 | )% | (15.0 | )% | ||||
Shares outstanding beginning of period | 300,000 | 350,005 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (33.3 | )% | —^ | |||||
Shares created | — | — | ||||||
Shares redeemed | 100,000 | 5 | ||||||
Per share NAV beginning of period | $ | 55.38 | $ | 58.46 | ||||
Per share NAV end of period | $ | 45.63 | $ | 49.68 | ||||
Percentage change in per share NAV | (17.6 | )% | (15.0 | )% | ||||
Percentage change in benchmark | 8.7 | % | 5.1 | % | ||||
Benchmark annualized volatility | 7.7 | % | 12.1 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.
The benchmark’s rise of 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (42,311 | ) | $ | (115,076 | ) | ||
Management fee | 94,837 | 136,306 | ||||||
Brokerage commission | 6,088 | 11,011 | ||||||
Net realized gain (loss) | (1,920,783 | ) | (2,462,114 | ) | ||||
Change in net unrealized appreciation/depreciation | (802,007 | ) | (493,626 | ) | ||||
Net income (loss) | $ | (2,765,101 | ) | $ | (3,070,816 | ) |
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 349,392,650 | $ | 522,306,518 | ||||
NAV end of period | $ | 226,620,904 | $ | 370,915,586 | ||||
Percentage change in NAV | (35.1 | )% | (29.0 | )% | ||||
Shares outstanding beginning of period | 12,900,000 | 20,450,014 | ||||||
Shares outstanding end of period | 10,450,000 | 15,600,000 | ||||||
Percentage change in shares outstanding | (19.0 | )% | (23.7 | )% | ||||
Shares created | 1,800,000 | 650,000 | ||||||
Shares redeemed | 4,250,000 | 5,500,014 | ||||||
Per share NAV beginning of period | $ | 27.08 | $ | 25.54 | ||||
Per share NAV end of period | $ | 21.69 | $ | 23.78 | ||||
Percentage change in per share NAV | (19.9 | )% | (6.9 | )% | ||||
Percentage change in benchmark | 12.3 | % | 3.4 | % | ||||
Benchmark annualized volatility | 7.4 | % | 8.3 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.
The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (461,825 | ) | $ | (2,129,104 | ) | ||
Management fee | 1,914,770 | 2,894,802 | ||||||
Net realized gain (loss) | (45,338,431 | ) | (60,591,510 | ) | ||||
Change in net unrealized appreciation/depreciation | (12,255,062 | ) | 30,468,759 | |||||
Net income (loss) | $ | (58,055,318 | ) | $ | (32,251,855 | ) |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 276,781,747 | $ | 237,372,900 | ||||
NAV end of period | $ | 148,459,101 | $ | 263,899,544 | ||||
Percentage change in NAV | (46.4 | )% | 11.2 | % | ||||
Shares outstanding beginning of period | 3,449,290 | 2,699,294 | ||||||
Shares outstanding end of period | 1,999,290 | 4,349,290 | ||||||
Percentage change in shares outstanding | (42.0 | )% | 61.1 | % | ||||
Shares created | 900,000 | 2,100,000 | ||||||
Shares redeemed | 2,350,000 | 450,004 | ||||||
Per share NAV beginning of period | $ | 80.24 | $ | 87.94 | ||||
Per share NAV end of period | $ | 74.26 | $ | 60.68 | ||||
Percentage change in per share NAV | (7.5 | )% | (31.0 | )% | ||||
Percentage change in benchmark | 3.9 | % | 18.5 | % | ||||
Benchmark annualized volatility | 8.7 | % | 13.0 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.5% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $81.40 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.
The benchmark’s rise of 3.9%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (396,084 | ) | $ | (1,133,789 | ) | ||
Management fee | 1,468,775 | 1,462,231 | ||||||
Net realized gain (loss) | (17,532,916 | ) | (86,179,609 | ) | ||||
Change in net unrealized appreciation/depreciation | (7,490,982 | ) | 14,046,211 | |||||
Net income (loss) | $ | (25,419,982 | ) | $ | (73,267,187 | ) |
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.
ProShares Ultra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 933,731,860 | $ | 783,922,475 | ||||
NAV end of period | $ | 622,142,765 | $ | 979,757,506 | ||||
Percentage change in NAV | (33.4 | )% | 25.0 | % | ||||
Shares outstanding beginning of period | 40,013,933 | 31,163,934 | ||||||
Shares outstanding end of period | 34,761,317 | 46,613,933 | ||||||
Percentage change in shares outstanding | (13.1 | )% | 49.6 | % | ||||
Shares created | 65,600,000 | 50,475,000 | ||||||
Shares redeemed | 70,852,616 | 35,025,001 | ||||||
Per share NAV beginning of period | $ | 23.34 | $ | 25.15 | ||||
Per share NAV end of period | $ | 17.90 | $ | 21.02 | ||||
Percentage change in per share NAV | (23.3 | )% | (16.4 | )% | ||||
Percentage change in benchmark | (9.4 | )% | (0.3 | )% | ||||
Benchmark annualized volatility | 25.4 | % | 47.3 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 40,013,933 outstanding Shares at December 31, 2016 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 46,613,933 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 16.4% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 6, 2017 at $23.49 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on February 11, 2016 at $12.02 per Share.
The benchmark’s decline of 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (1,483,954 | ) | $ | (4,978,159 | ) | ||
Management fee | 5,773,725 | 6,031,448 | ||||||
Brokerage commission | 147,117 | 443,936 | ||||||
Net realized gain (loss) | (123,526,841 | ) | (132,886,039 | ) | ||||
Change in net unrealized appreciation/depreciation | (6,245,549 | ) | 190,350,573 | |||||
Net income (loss) | $ | (131,256,344 | ) | $ | 52,486,375 |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for ProShares |
ProShares UltraPro 3x Crude Oil ETF
Fund Performance
Since the Fund commenced investment operations on March 24, 2017, comparisons
For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.
During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.
The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:
March 24, 2017 (Commencement of Operations) through September 30, 2017 | ||||
Net investment income (loss) | $ | (99,140 | ) | |
Brokerage commission | 24,374 | |||
Offering costs | 77,250 | |||
Limitation by Sponsor | (2,484 | ) | ||
Net realized gain (loss) | 3,137,907 | |||
Change in net unrealized appreciation/depreciation | 1,272,779 | |||
Net income (loss) | $ | 4,311,546 |
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 43,203,386 | $ | 38,851,184 | ||||
NAV end of period | $ | 51,059,617 | $ | 31,750,207 | ||||
Percentage change in NAV | 18.2 | % | (18.3 | )% | ||||
Shares outstanding beginning of period | 2,292,169 | 2,092,170 | ||||||
Shares outstanding end of period | 5,842,169 | 2,192,169 | ||||||
Percentage change in shares outstanding | 154.9 | % | 4.8 | % | ||||
Shares created | 6,600,000 | 2,200,000 | ||||||
Shares redeemed | 3,050,000 | 2,100,001 | ||||||
Per share NAV beginning of period | $ | 18.85 | $ | 18.57 | ||||
Per share NAV end of period | $ | 8.74 | $ | 14.48 | ||||
Percentage change in per share NAV | (53.6 | )% | (22.0 | )% | ||||
Percentage change in benchmark | (27.9 | )% | (5.9 | )% | ||||
Benchmark annualized volatility | 34.6 | % | 39.6 | % |
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 53.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $15.76 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share.
The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (190,949 | ) | $ | (282,519 | ) | ||
Management fee | 318,839 | 229,760 | ||||||
Brokerage commission | 71,984 | 98,016 | ||||||
Net realized gain (loss) | (21,041,439 | ) | 6,591,292 | |||||
Change in net unrealized appreciation/depreciation | (3,507,126 | ) | (7,750,780 | ) | ||||
Net income (loss) | $ | (24,739,514 | ) | $ | (1,442,007 | ) |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 92,127,200 | $ | 69,864,815 | ||||
NAV end of period | $ | 89,587,943 | $ | 99,949,269 | ||||
Percentage change in NAV | (2.8 | )% | 43.1 | % | ||||
Shares outstanding beginning of period | 2,800,000 | 2,350,014 | ||||||
Shares outstanding end of period | 2,250,000 | 2,250,000 | ||||||
Percentage change in shares outstanding | (19.6 | )% | (4.3 | )% | ||||
Shares created | 400,000 | 150,000 | ||||||
Shares redeemed | 950,000 | 250,014 | ||||||
Per share NAV beginning of period | $ | 32.90 | $ | 29.73 | ||||
Per share NAV end of period | $ | 39.82 | $ | 44.42 | ||||
Percentage change in per share NAV | 21.0 | % | 49.4 | % | ||||
Percentage change in benchmark | 12.0 | % | 24.8 | % | ||||
Benchmark annualized volatility | 11.6 | % | 17.0 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 49.4% for the nine months ended September 30, 2016 was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.
The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (160,597 | ) | $ | (486,568 | ) | ||
Management fee | 692,340 | 665,265 | ||||||
Brokerage commission | 39 | 33 | ||||||
Net realized gain (loss) | 23,363,236 | 33,704,266 | ||||||
Change in net unrealized appreciation/depreciation | (3,986,925 | ) | (208,227 | ) | ||||
Net income (loss) | $ | 19,215,714 | $ | 33,009,471 |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to lesser increase in the price of spot gold in U.S. dollar terms in conjunction with share transactions during the nine months ended September 30, 2017.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 275,779,940 | $ | 216,416,642 | ||||
NAV end of period | $ | 244,805,182 | $ | 372,251,128 | ||||
Percentage change in NAV | (11.2 | )% | 72.0 | % | ||||
Shares outstanding beginning of period | 8,246,526 | 7,996,533 | ||||||
Shares outstanding end of period | 7,196,526 | 7,596,526 | ||||||
Percentage change in shares outstanding | (12.7 | )% | (5.0 | )% | ||||
Shares created | 950,000 | 1,500,000 | ||||||
Shares redeemed | 2,000,000 | 1,900,007 | ||||||
Per share NAV beginning of period | $ | 33.44 | $ | 27.06 | ||||
Per share NAV end of period | $ | 34.02 | $ | 49.00 | ||||
Percentage change in per share NAV | 1.7 | % | 81.1 | % | ||||
Percentage change in benchmark | 3.8 | % | 40.0 | % | ||||
Benchmark annualized volatility | 19.6 | % | 27.1 | % |
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.7% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 81.1% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.
The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (474,113 | ) | $ | (1,713,227 | ) | ||
Management fee | 1,971,071 | 2,300,935 | ||||||
Brokerage commission | 49 | 36 | ||||||
Net realized gain (loss) | 20,326,492 | 174,873,081 | ||||||
Change in net unrealized appreciation/depreciation | (7,233,752 | ) | 9,844,227 | |||||
Net income (loss) | $ | 12,618,627 | $ | 183,004,081 |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 11,914,585 | $ | 10,857,730 | ||||
NAV end of period | $ | 13,705,608 | $ | 9,678,714 | ||||
Percentage change in NAV | 15.0 | % | (10.9 | )% | ||||
Shares outstanding beginning of period | 850,000 | 700,014 | ||||||
Shares outstanding end of period | 800,000 | 600,000 | ||||||
Percentage change in shares outstanding | (5.9 | )% | (14.3 | )% | ||||
Shares created | 1,200,000 | 50,000 | ||||||
Shares redeemed | 1,250,000 | 150,014 | ||||||
Per share NAV beginning of period | $ | 14.02 | $ | 15.51 | ||||
Per share NAV end of period | $ | 17.13 | $ | 16.13 | ||||
Percentage change in per share NAV | 22.2 | % | 4.0 | % | ||||
Percentage change in benchmark | 12.3 | % | 3.4 | % | ||||
Benchmark annualized volatility | 7.4 | % | 8.3 | % |
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 850,000 outstanding Shares at December 31, 2016 to 800,000 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 22.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share.
The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (26,051 | ) | $ | (53,805 | ) | ||
Management fee | 95,974 | 71,859 | ||||||
Net realized gain (loss) | 2,666,306 | 1,156,114 | ||||||
Change in net unrealized appreciation/depreciation | 364,855 | (654,956 | ) | |||||
Net income (loss) | $ | 3,005,110 | $ | 447,353 |
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 5,540,957 | $ | 5,473,848 | ||||
NAV end of period | $ | 5,804,920 | $ | 7,443,729 | ||||
Percentage change in NAV | 4.8 | % | 36.0 | % | ||||
Shares outstanding beginning of period | 99,970 | 99,974 | ||||||
Shares outstanding end of period | 99,970 | 99,970 | ||||||
Percentage change in shares outstanding | —^ | —^ | ||||||
Shares created | — | — | ||||||
Shares redeemed | — | 4 | ||||||
Per share NAV beginning of period | $ | 55.43 | $ | 54.75 | ||||
Per share NAV end of period | $ | 58.07 | $ | 74.46 | ||||
Percentage change in per share NAV | 4.8 | % | 36.0 | % | ||||
Percentage change in benchmark | 3.9 | % | 18.5 | % | ||||
Benchmark annualized volatility | 8.7 | % | 13.0 | % |
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at September 30, 2016.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 36.0% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on January 3, 2017 at $54.62 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share.
The benchmark’s rise of 3.9% for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (20,949 | ) | $ | (35,548 | ) | ||
Management fee | 42,356 | 47,356 | ||||||
Net realized gain (loss) | 338,006 | 2,273,202 | ||||||
Change in net unrealized appreciation/depreciation | (53,094 | ) | (267,574 | ) | ||||
Net income (loss) | $ | 263,963 | $ | 1,970,080 |
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.
Qualitative Disclosures About Market Risk.
and Commodity Price Sensitivity
ProShares VIX Short-Term Futures ETF:
As of September 30, 2017 and 2016, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2017
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | October 2017 | 9,373 | $ | 11.68 | 1,000 | $ | 109,429,775 | ||||||||||||||||
VIX Futures (CBOE) | Long | November 2017 | 6,252 | 13.03 | 1,000 | 81,432,300 |
Futures Positions as of September 30, 2016
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | October 2016 | 8,392 | $ | 15.78 | 1,000 | $ | 132,383,800 | ||||||||||||||||
VIX Futures (CBOE) | Long | November 2016 | 5,601 | 16.95 | 1,000 | 94,936,950 |
The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form10-K for the year ended December 31, 2016 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2017 ( the “Form10-K”) for additional information regarding performance for periods longer than a single day.
ProShares VIXMid-Term Futures ETF:
As of September 30, 2017 and 2016, the ProShares VIXMid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2017
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | January 2018 | 582 | $ | 14.78 | 1,000 | $ | 8,599,050 | ||||||||||||||||
VIX Futures (CBOE) | Long | February 2018 | 971 | 15.23 | 1,000 | 14,783,475 | ||||||||||||||||||
VIX Futures (CBOE) | Long | March 2018 | 971 | 15.80 | 1,000 | 15,341,800 | ||||||||||||||||||
VIX Futures (CBOE) | Long | April 2018 | 388 | 16.28 | 1,000 | 6,314,700 |
Futures Positions as of September 30, 2016
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | January 2017 | 614 | $ | 18.50 | 1,000 | $ | 11,359,000 | ||||||||||||||||
VIX Futures (CBOE) | Long | February 2017 | 1,024 | 19.05 | 1,000 | 19,507,200 | ||||||||||||||||||
VIX Futures (CBOE) | Long | March 2017 | 1,023 | 19.40 | 1,000 | 19,846,200 | ||||||||||||||||||
VIX Futures (CBOE) | Long | April 2017 | 409 | 19.98 | 1,000 | 8,169,775 |
The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
ETF
Futures Positions as of September
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | July 2023 | 5,241 | $ | 15.01 | 1,000 | $ | (78,672,651 | ) | |||||||||||
VIX Futures (Cboe) | Short | August 2023 | 3,810 | 16.40 | 1,000 | (62,485,143 | ) | |||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | July 2022 | 3,652 | $ | 28.56 | 1,000 | $ | (104,309,520 | ) | |||||||||||
VIX Futures (Cboe) | Short | August 2022 | 3,346 | 29.18 | 1,000 | (97,627,580 | ) |
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Short | October 2017 | 51,224 | $ | 11.68 | 1,000 | $ | (598,040,200 | ) | |||||||||||||||
VIX Futures (CBOE) | Short | November 2017 | 34,126 | 13.03 | 1,000 | (444,491,150 | ) |
Futures Positions as of September 30, 2016
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Short | October 2016 | 18,688 | $ | 15.78 | 1,000 | $ | (294,803,200 | ) | |||||||||||||||
VIX Futures (CBOE) | Short | November 2016 | 12,445 | 16.95 | 1,000 | (210,942,750 | ) |
The September 30, 20172023 and 20162022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positionsposition in Financial Instrumentseach dayto have $1.00$0.50 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one.one-half. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.
ProShares Ultra VIX Short-Term Futures ETF:
As
Futures Positions as of September 30, 2017 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | November 2017 | 5,855 | $ | 51.67 | 1,000 | $ | 302,527,850 |
Swap Agreements as of September 30, 2017 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg WTI Crude Oil Subindex | Citibank, N.A. | Long | $ | 76.1424 | $ | 332,458,695 | ||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Long | 76.1424 | 242,703,814 | ||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Long | 76.1424 | 115,090,880 | ||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Long | 76.1424 | 251,436,908 |
Futures Positions as of September 30, 2016 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | November 2016 | 8,345 | $ | 48.24 | 1,000 | $ | 402,562,800 |
Swap Agreements as of September 30, 2016 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg WTI Crude Oil Subindex | Citibank, N.A. | Long | $ | 79.0094 | $ | 566,152,847 | ||||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Long | 79.0094 | 454,062,414 | ||||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Long | 79.0094 | 100,430,739 | ||||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Long | 79.0094 | 436,225,560 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | September 2023 | 2,315 | $ | 70.78 | 1,000 | $ | 163,855,700 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 2,393 | 70.40 | 1,000 | 168,467,200 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 2,478 | 69.02 | 1,000 | 171,031,560 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 76.6109 | $ | 172,685,565 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 76.6109 | 214,703,580 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 76.6109 | 179,707,950 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 76.6109 | 162,974,521 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 76.6109 | 242,623,120 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | September 2022 | 2,204 | $ | 103.10 | 1,000 | $ | 227,232,400 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 2,535 | 95.56 | 1,000 | 242,244,600 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 2,688 | 87.62 | 1,000 | 235,522,560 |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 95.7921 | $ | 215,921,141 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 95.7921 | 321,089,755 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 95.7921 | 373,984,332 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 95.7921 | 203,778,726 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 95.7921 | 303,369,078 |
ProShares UltraPro 3x Crude Oil ETF:
As of September 30, 2017, the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2017 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | November 2017 | 440 | $ | 51.67 | 1,000 | $ | 22,734,800 |
The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional (gains) losses associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than one day.
third-party custodian.
Futures Positions as of September 30, 2017 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2017 | 3,396 | $ | 3.01 | 10,000 | $ | 102,117,720 | ||||||||||||
Futures Positions as of September 30, 2016 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2016 | 2,185 | $ | 2.91 | 10,000 | $ | 63,496,100 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | September 2023 | 71,349 | $ | 2.77 | 10,000 | $ | 1,979,221,260 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0892 | $ | 148,091,216 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0892 | 101,183,890 | ||||||||
Bloomberg Natural Gas Subindex | Societe General | Long | 0.0892 | 52,717,728 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0892 | 810,173 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | September 2022 | 6,954 | $ | 5.39 | 10,000 | $ | 374,959,680 |
ProShares Ultra Gold:
As of September 30, 2017 and 2016, the ProShares Ultra Gold Fund was exposed to commodity price Swap counterparty risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Long | December 2017 | 2 | $ | 1,284.80 | 100 | $ | 256,960 |
Forward Agreements as of September 30, 2017 | ||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||
0.995 Fine Troy Ounce Gold | Citibank, N.A. | Long | $ | 1,283.43 | $ | 56,984,292 | ||||||
0.995 Fine Troy Ounce Gold | Goldman Sachs International | Long | 1,283.41 | 48,923,589 | ||||||||
0.995 Fine Troy Ounce Gold | Societe Generale | Long | 1,283.41 | 23,101,380 | ||||||||
0.995 Fine Troy Ounce Gold | UBS AG | Long | 1,283.41 | 49,924,649 |
Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Long | December 2016 | 2 | $ | 1,317.10 | 100 | $ | 263,420 |
Forward Agreements as of September 30, 2016 | ||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||
0.995 Fine Troy Ounce Gold | Citibank, N.A. | Long | $ | 1,322.72 | $ | 55,818,784 | ||||||
0.995 Fine Troy Ounce Gold | Deutsche Bank AG | Long | 1,322.80 | 42,461,880 | ||||||||
0.995 Fine Troy Ounce Gold | Goldman Sachs International | Long | 1,322.70 | 48,305,004 | ||||||||
0.995 Fine Troy Ounce Gold | Societe Generale | Long | 1,322.71 | 20,369,734 | ||||||||
0.995 Fine Troy Ounce Gold | UBS AG | Long | 1,322.71 | 32,670,937 |
The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiodreturns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.
ProShares Ultra Silver:
Asthird-party custodian.
Foreign Currency Forward Contracts as of September
Foreign Currency Forward Contracts as of June 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 07/14/23 | 7,784,921 | 1.0754 | $ | 8,372,037 | |||||||||||||
Euro | UBS AG | Long | 07/14/23 | 7,204,502 | 1.0765 | 7,755,419 | ||||||||||||||
Euro | Goldman Sachs International | Short | 07/14/23 | (93,000 | ) | 1.0899 | (101,361 | ) | ||||||||||||
Euro | UBS AG | Short | 07/14/23 | (1,152,000 | ) | 1.0907 | (1,256,509 | ) | ||||||||||||
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 07/08/22 | 4,532,921 | 1.0752 | $ | 4,873,797 | |||||||||||||
Euro | UBS AG | Long | 07/08/22 | 14,836,502 | 1.0632 | 15,774,356 | ||||||||||||||
Euro | UBS AG | Short | 07/08/22 | (1,446,000 | ) | 1.0601 | (1,532,970 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Euro | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 10/06/17 | 11,961,025 | 1.1821 | $ | 14,138,996 | |||||||||||||||
Euro | UBS AG | Long | 10/06/17 | 17,574,000 | 1.1821 | 20,774,032 | ||||||||||||||||
Euro | Goldman Sachs International | Short | 10/06/17 | (1,663,500 | ) | 1.1821 | (1,966,405 | ) | ||||||||||||||
Euro | UBS AG | Short | 10/06/17 | (4,680,700 | ) | 1.1821 | (5,533,004 | ) |
Foreign Currency Forward Contracts as of September 30, 2016
Reference Currency | Counterparty | Long or Short | Settlement Date | Euro | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 10/07/16 | 9,020,825 | 1.1236 | $ | 10,135,383 | |||||||||||||||
Euro | UBS AG | Long | 10/07/16 | 8,385,200 | 1.1236 | 9,421,224 | ||||||||||||||||
Euro | UBS AG | Short | 10/07/16 | (169,500 | ) | 1.1236 | (190,442 | ) |
The September 30, 20172023 and 20162022 USD market value equals the number of euros multiplied by the forward rate.
These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial InstrumentsWhile the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futurecustodian bank.
third-party custodian.
Gold:
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | August 2023 | 530 | $ | 1,929.40 | 100 | $ | 102,258,200 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 201.2774 | $ | 111,454,930 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 201.2774 | 52,937,566 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 201.2774 | 95,175,948 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | August 2022 | 954 | $ | 1,807.30 | 100 | $ | 172,416,420 |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 197.5387 | $ | 109,384,670 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 197.5387 | 84,543,271 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 197.5387 | 113,788,925 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | September 2023 | 2,047 | $ | 23.02 | 5,000 | $ | 235,609,700 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 198.4659 | $ | 166,412,438 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 198.4659 | 21,984,663 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 198.4659 | 149,157,444 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 198.4659 | 140,386,283 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | September 2022 | 773 | $ | 20.35 | 5,000 | $ | 78,660,480 |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 182.7827 | $ | 153,262,171 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 182.7827 | 177,466,859 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 182.7827 | 168,307,407 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 182.7827 | 134,298,894 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 21,591 | $ | 15.01 | 1,000 | $ | 324,102,501 | ||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 15,704 | 16.40 | 1,000 | 257,550,311 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 26,481 | $ | 28.56 | 1,000 | $ | 756,358,266 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 24,277 | 29.18 | 1,000 | 708,339,740 |
Foreign Currency Forward Contracts as of September
Foreign Currency Forward Contracts as of June 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 07/14/23 | 1,507,359,517 | 0.007217 | $ | 10,877,886 | |||||||||||||
Yen | UBS AG | Long | 07/14/23 | 2,188,352,856 | 0.007161 | 15,670,467 | ||||||||||||||
Yen | Goldman Sachs International | Short | 07/14/23 | (1,461 | ) | 0.006844 | (10 | ) | ||||||||||||
Yen | UBS AG | Short | 07/14/23 | (158,537,000 | ) | 0.007066 | (1,120,148 | ) |
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 07/08/22 | 333,241,517 | 0.007476 | $ | 2,491,153 | |||||||||||||
Yen | UBS AG | Long | 07/08/22 | 1,080,855,856 | 0.007414 | 8,013,151 | ||||||||||||||
Yen | UBS AG | Short | 07/08/22 | (54,170,000 | ) | 0.007409 | (401,369 | ) |
Reference Currency | Counterparty | Long or Short | Settlement Date | Yen | Forward Rate | Market Value USD | ||||||||||||||||
Yen | Goldman Sachs International | Long | 10/06/17 | 735,730,100 | 0.008888 | $ | 6,539,365 | |||||||||||||||
Yen | UBS AG | Long | 10/06/17 | 652,357,100 | 0.008888 | 5,798,323 | ||||||||||||||||
Yen | Goldman Sachs International | Short | 10/06/17 | (23,286,700 | ) | 0.008888 | (206,978 | ) | ||||||||||||||
Yen | UBS AG | Short | 10/06/17 | (57,172,300 | ) | 0.008888 | (508,163 | ) |
Foreign Currency Forward Contracts as of September 30, 2016
Reference Currency | Counterparty | Long or Short | Settlement Date | Yen | Forward Rate | Market Value USD | ||||||||||||||||
Yen | Goldman Sachs International | Long | 10/07/16 | 1,029,857,000 | 0.009863 | $ | 10,157,661 | |||||||||||||||
Yen | UBS AG | Long | 10/07/16 | 524,705,100 | 0.009863 | 5,175,259 | ||||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/16 | (34,119,100 | ) | 0.009863 | (336,523 | ) | ||||||||||||||
Yen | UBS AG | Short | 10/07/16 | (11,065,500 | ) | 0.009863 | (109,141 | ) |
The September 30, 20172023 and 20162022 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial InstrumentsWhile the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futurecustodian bank.
Qualitative Disclosure
third-party custodian.
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | September 2023 | 1,038 | $ | 70.78 | 1,000 | $ | (73,469,640 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 1,073 | 70.40 | 1,000 | (75,539,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 1,111 | 69.02 | 1,000 | (76,681,220 | ) |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | September 2022 | 3,134 | $ | 103.10 | 1,000 | $ | (323,115,400 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,605 | 95.56 | 1,000 | (344,493,800 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,824 | 87.62 | 1,000 | (335,058,880 | ) |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | September 2023 | 10,189 | $ | 2.77 | 10,000 | $ | (282,642,860 | ) | |||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | September 2022 | 7,871 | $ | 5.39 | 10,000 | $ | (424,404,320 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 07/14/23 | 4,446,000 | 1.1002 | $ | 4,891,387 | |||||||||||||
Euro | UBS AG | Long | 07/14/23 | 12,460,000 | 1.0897 | 13,577,549 | ||||||||||||||
Euro | Goldman Sachs International | Short | 07/14/23 | (51,941,263 | ) | 1.0759 | (55,884,697 | ) | ||||||||||||
Euro | UBS AG | Short | 07/14/23 | (58,308,199 | ) | 1.0763 | (62,758,994 | ) | ||||||||||||
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 07/08/22 | 12,080,000 | 1.0563 | $ | 12,760,213 | |||||||||||||
Euro | UBS AG | Long | 07/08/22 | 12,060,000 | 1.0551 | 12,724,426 | ||||||||||||||
Euro | Goldman Sachs International | Short | 07/08/22 | (51,635,263 | ) | 1.0740 | (55,457,155 | ) | ||||||||||||
Euro | UBS AG | Short | 07/08/22 | (91,489,199 | ) | 1.0702 | (97,911,917 | ) |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Short | August 2023 | 79 | $ | 1,929.40 | 100 | $ | (15,242,260 | ) |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 201.2774 | $ | (3,783,471 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 201.2774 | (4,958,670 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 201.2774 | (7,669,707 | ) |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | August 2022 | 184 | $ | 1,807.30 | 100 | $ | (33,254,320 | ) |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 197.5387 | $ | (14,809,140 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 197.5387 | (9,688,247 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 197.5387 | (11,585,084 | ) |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | September 2023 | 139 | $ | 23.02 | 5,000 | $ | (15,998,900 | ) |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 198.4659 | $ | (2,676,258 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 198.4659 | (9,749,240 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 198.4659 | (7,708,614 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 198.4659 | (2,464,968 | ) |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | September 2022 | 445 | $ | 20.35 | 5,000 | $ | (45,283,200 | ) |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 182.7827 | $ | (2,464,774 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 182.7827 | (8,978,838 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 182.7827 | (7,099,463 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 182.7827 | (2,270,181 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 07/14/23 | 1,228,677,000 | 0.007157 | $ | 8,793,482 | |||||||||||||
Yen | Goldman Sachs International | Short | 07/14/23 | (3,428,392,165 | ) | 0.007206 | (24,704,991 | ) | ||||||||||||
Yen | UBS AG | Short | 07/14/23 | (5,596,567,574 | ) | 0.007187 | (40,224,318 | ) |
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | UBS AG | Long | 07/08/22 | 1,505,180,000 | 0.007476 | $ | 11,252,838 | |||||||||||
Yen | Goldman Sachs International | Short | 07/08/22 | (1,658,463,165 | ) | 0.007476 | (12,389,197 | ) | ||||||||||
Yen | UBS AG | Short | 07/08/22 | (12,207,008,574 | ) | 0.007451 | (90,956,530 | ) |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 501 | $ | 18.35 | 1,000 | $ | 9,192,799 | ||||||||||||
VIX Futures (Cboe) | Long | November 2023 | 865 | 18.85 | 1,000 | 16,305,250 | ||||||||||||||
VIX Futures (Cboe) | Long | December 2023 | 865 | 19.15 | 1,000 | 16,564,750 | ||||||||||||||
VIX Futures (Cboe) | Long | January 2024 | 364 | 20.20 | 1,000 | 7,352,800 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 569 | $ | 29.78 | 1,000 | $ | 16,944,251 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 1,089 | 29.52 | 1,000 | 32,144,884 | ||||||||||||||
VIX Futures (Cboe) | Long | December 2022 | 1,090 | 28.81 | 1,000 | 31,400,611 | ||||||||||||||
VIX Futures (Cboe) | Long | January 2023 | 521 | 29.60 | 1,000 | 15,420,610 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 8,545 | $ | 15.01 | 1,000 | $ | 128,268,995 | ||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 6,216 | 16.40 | 1,000 | 101,944,265 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 6,185 | $ | 28.56 | 1,000 | $ | 176,657,825 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 5,672 | 29.18 | 1,000 | 165,494,213 |
There has
crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.
a) None.
b) The Trust initially registered Shares on its Registration Statement on FormS-1 (FileNo. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on FormS-1 (FileNo. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale
a) | None. |
b) | Not applicable. |
c) | The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended June 30, 2023: |
Title of Securities Registered * | Total Number of Shares Redeemed | Average Price Per Share | ||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 1,600,000 | $ | 67.92 | |||||||||
05/01/23 to 05/31/23 | — | $ | — | |||||||||
06/01/23 to 06/30/23 | 250,000 | $ | 77.20 | |||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 7,050,000 | $ | 29.30 | |||||||||
05/01/23 to 05/31/23 | 4,000,000 | $ | 24.62 | |||||||||
06/01/23 to 06/30/23 | 4,000,000 | $ | 23.93 | |||||||||
ProShares Ultra Bloomberg Natural Gas (Note 1) | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 4,330,000 | $ | 71.01 | |||||||||
05/01/23 to 05/31/23 | 3,927,500 | $ | 66.99 | |||||||||
06/01/23 to 06/30/23 | 4,567,500 | $ | 62.93 | |||||||||
ProShares Ultra Euro | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 50,000 | $ | 11.39 | |||||||||
06/01/23 to 06/30/23 | 50,000 | $ | 11.58 | |||||||||
ProShares Ultra Gold | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 50,000 | $ | 66.13 | |||||||||
06/01/23 to 06/30/23 | 100,000 | $ | 59.90 | |||||||||
ProShares Ultra Silver | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 900,000 | $ | 32.70 | |||||||||
05/01/23 to 05/31/23 | 50,000 | $ | 34.48 | |||||||||
06/01/23 to 06/30/23 | 350,000 | $ | 29.61 |
Title of Securities Registered * | Total Number of Shares Redeemed | Average Price Per Share | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF (Note 1) | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 3,300,000 | $ | 37.71 | |||||||||
06/01/23 to 06/30/23 | 250,000 | $ | 23.78 | |||||||||
ProShares Ultra Yen | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | — | $ | — | |||||||||
06/01/23 to 06/30/23 | — | $ | — | |||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 2,000,000 | $ | 24.48 | |||||||||
05/01/23 to 05/31/23 | 3,400,000 | $ | 27.40 | |||||||||
06/01/23 to 06/30/23 | 2,200,000 | $ | 26.97 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 1,950,000 | $ | 75.15 | |||||||||
05/01/23 to 05/31/23 | 2,850,000 | $ | 73.12 | |||||||||
06/01/23 to 06/30/23 | 1,300,000 | $ | 71.98 | |||||||||
ProShares UltraShort Euro | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 50,000 | $ | 28.73 | |||||||||
05/01/23 to 05/31/23 | 150,000 | $ | 28.30 | |||||||||
06/01/23 to 06/30/23 | 100,000 | $ | 28.87 | |||||||||
ProShares UltraShort Gold | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 150,000 | $ | 26.27 | |||||||||
06/01/23 to 06/30/23 | 200,000 | $ | 28.48 | |||||||||
ProShares UltraShort Silver | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 250,000 | $ | 17.03 | |||||||||
05/01/23 to 05/31/23 | 1,550,000 | $ | 19.17 | |||||||||
06/01/23 to 06/30/23 | 800,000 | $ | 19.97 | |||||||||
ProShares UltraShort Yen | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 150,000 | $ | 56.19 | |||||||||
05/01/23 to 05/31/23 | 100,000 | $ | 60.30 | |||||||||
06/01/23 to 06/30/23 | 50,000 | $ | 63.75 | |||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 125,000 | $ | 27.25 | |||||||||
05/01/23 to 05/31/23 | — | $ | — | |||||||||
06/01/23 to 06/30/23 | 550,000 | $ | 22.52 | |||||||||
ProShares VIX Short-Term Futures ETF (Note 1) | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 170,000 | $ | 38.52 | |||||||||
06/01/23 to 06/30/23 | 85,000 | $ | 29.40 |
* | The registration statement covers an indeterminate amount of |
(1) | Filed herewith. |
SIGNATURES
* | These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing. |
|
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: August 8, 2023 |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: |
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