☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, |
☐ | 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 | ☐ |
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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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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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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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September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,655,954 and $144,283,581, respectively) | $ | 104,670,946 | $ | 144,307,676 | ||||
Cash | 50,012,847 | 6,852,395 | ||||||
Segregated cash balances with brokers for futures contracts | 96,778,870 | 127,094,546 | ||||||
Receivable on open futures contracts | 12,792,560 | 67,086,947 | ||||||
Interest receivable | 275,091 | 475,930 | ||||||
Total assets | 264,530,314 | 345,817,494 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,861,814 | ||||||
Payable on open futures contracts | 2,625,055 | — | ||||||
Brokerage commissions and futures account fees payable | 8,960 | 21,576 | ||||||
Payable to Sponsor | 197,552 | 342,466 | ||||||
Total liabilities | 2,831,567 | 6,225,856 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 261,698,747 | 339,591,638 | ||||||
Total liabilities and shareholders’ equity | $ | 264,530,314 | $ | 345,817,494 | ||||
Shares outstanding | 3,034,307 | 5,784,307 | ||||||
Net asset value per share | $ | 86 .25 | $ | 58 .71 | ||||
Market value per share (Note 2) | $ | 86 .34 | $ | 58 .68 | ||||
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 | ||||||
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| |||||||
Total short-term U.S. government and agency obligations (cost $186,708,857) | $ | 186,716,429 | ||||||
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Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 20,000,000 | $ | 19,976,556 | ||||
5.478% due 10/17/23 | 45,000,000 | 44,900,905 | ||||||
5.499% due 10/24/23 | 15,000,000 | 14,951,600 | ||||||
5.490% due 11/14/23 | 25,000,000 | 24,841,885 | ||||||
Total short-term U.S. government and agency obligations (cost $104,655,954) | $ | 104,670,946 | ||||||
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 | ) | ||||||||
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$ | (18,329,321 | ) | ||||||||||
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Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 4,373 | $ | 77,713,457 | $ | (1,730,931 | ) | ||||||
VIX Futures - Cboe, expires November 2023 | 2,906 | 53,023,748 | (656,454 | ) | ||||||||
$ | (2,387,385 | ) | ||||||||||
^^ | Rates shown |
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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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 | |||||||||||
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Net realized gain (loss) | (27,446,786 | ) | (101,781,283 | ) | (126,203,648 | ) | (134,339,691 | ) | ||||||||
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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 | ||||||||||||
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Change in net unrealized appreciation/depreciation | (17,216,367 | ) | 6,811,763 | (17,854,285 | ) | (8,439,809 | ) | |||||||||
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Net realized and unrealized gain (loss) | (44,663,153 | ) | (94,969,520 | ) | (144,057,933 | ) | (142,779,500 | ) | ||||||||
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Net income (loss) | $ | (44,724,437 | ) | $ | (95,377,217 | ) | $ | (144,414,206 | ) | $ | (143,895,518 | ) | ||||
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Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||
Expenses | ||||||||||||||||
Management fee | 634,871 | 914,054 | 1,817,684 | 2,934,952 | ||||||||||||
Brokerage commissions | 137,943 | 152,661 | 387,868 | 517,911 | ||||||||||||
Futures account fees | — | 23,966 | — | 348,217 | ||||||||||||
Non-recurring fees and expenses | — | 6,122 | — | 6,122 | ||||||||||||
Total expenses | 772,814 | 1,096,803 | 2,205,552 | 3,807,202 | ||||||||||||
Net investment income (loss) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 30,285,319 | 27,694,574 | 125,117,609 | (26,435,234 | ) | |||||||||||
Short-term U.S. government and agency obligations | 4 | — | (25,807 | ) | (86,512 | ) | ||||||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (26,316,590 | ) | (17,783,632 | ) | (13,479,766 | ) | (47,541,296 | ) | ||||||||
Short-term U.S. government and agency obligations | (557 | ) | 313,442 | (9,103 | ) | (138,767 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||
Net realized and unrealized gain (loss) | 3,968,176 | 10,224,384 | 111,602,933 | (74,201,809 | ) | |||||||||||
Net income (loss) | $ | 5,819,542 | $ | 10,134,080 | $ | 116,567,893 | $ | (76,683,035 | ) | |||||||
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 | ) | ||
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Net addition (redemption) of 3,823,954 shares (Note 1) | 161,618,879 | |||
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Net investment income (loss) | (356,273 | ) | ||
Net realized gain (loss) | (126,203,648 | ) | ||
Change in net unrealized appreciation/depreciation | (17,854,285 | ) | ||
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| |||
Net income (loss) | (144,414,206 | ) | ||
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| |||
Shareholders’ equity, at September 30, 2017 | $ | 191,364,819 | ||
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Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 282,353,267 | $ | 403,644,956 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
Addition of 650,000, 450,000, 3,650,000 and 5,050,000 shares, respectively | 56,262,968 | 23,538,063 | 241,582,456 | 255,975,394 | ||||||||||||
Redemption of 950,000, 2,200,000, 6,400,000 and 5,300,000 shares, respectively | (82,737,030 | ) | (115,486,048 | ) | (436,043,240 | ) | (281,273,902 | ) | ||||||||
Net addition (redemption) of (300,000), (1,750,000), (2,750,000) and (250,000) shares, respectively | (26,474,062 | ) | (91,947,985 | ) | (194,460,784 | ) | (25,298,508 | ) | ||||||||
Net investment income (loss) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | ||||||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||
Net income (loss) | 5,819,542 | 10,134,080 | 116,567,893 | (76,683,035 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 261,698,747 | $ | 321,831,051 | $ | 261,698,747 | $ | 321,831,051 | ||||||||
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 | — | ||||||
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Net cash provided by (used in) operating activities | (161,954,683 | ) | (265,341,016 | ) | ||||
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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 | ) | ||||
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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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Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 116,567,893 | $ | (76,683,035 | ) | |||
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 | (584,136,375 | ) | (1,119,341,677 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 626,824,736 | 1,130,832,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,086,541 | ) | (491,158 | ) | ||||
Net realized (gain) loss on investments | 25,807 | 86,512 | ||||||
Change in unrealized (appreciation) depreciation on investments | 9,103 | 138,767 | ||||||
Decrease (Increase) in receivable on open futures contracts | 54,294,387 | 21,641,411 | ||||||
Decrease (Increase) in interest receivable | 200,839 | (231,733 | ) | |||||
Increase (Decrease) in payable to Sponsor | (144,914 | ) | 256,789 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (12,616 | ) | (95,868 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,625,055 | 2,882,905 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 6,122 | ||||||
Net cash provided by (used in) operating activities | 213,167,374 | (40,998,164 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 241,582,456 | 255,975,394 | ||||||
Payment on shares redeemed | (441,905,054 | ) | (287,399,032 | ) | ||||
Net cash provided by (used in) financing activities | (200,322,598 | ) | (31,423,638 | ) | ||||
Net increase (decrease) in cash | 12,844,776 | (72,421,802 | ) | |||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 146,791,717 | $ | 110,589,182 | ||||
ULTRA BLOOMBERG CRUDE OIL
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 | ||||||
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Total assets | 45,615,605 | 47,936,506 | ||||||
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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 | ||||||
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Total liabilities | 568,182 | 2,117,592 | ||||||
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Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 45,047,423 | 45,818,914 | ||||||
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Total liabilities and shareholders’ equity | $ | 45,615,605 | $ | 47,936,506 | ||||
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Shares outstanding | 1,787,403 | 1,087,403 | ||||||
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Net asset value per share | $ | 25.20 | $ | 42.14 | ||||
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Market value per share (Note 2) | $ | 25.17 | $ | 42.34 | ||||
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September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $264,043,695 and $313,413,683, respectively) | $ | 264,081,088 | $ | 313,465,007 | ||||
Cash | 26,232,492 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 31,197,841 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 283,449,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | 11,240,991 | 74,159,577 | ||||||
Receivable on open futures contracts | — | 8,466,027 | ||||||
Interest receivable | 337,421 | 618,549 | ||||||
Total assets | 616,539,578 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 8,912,592 | 13,545,014 | ||||||
Payable on open futures contracts | 2,980,155 | — | ||||||
Brokerage commissions and futures account fees payable | 2,674 | 7,154 | ||||||
Payable to Sponsor | 519,825 | 662,979 | ||||||
Total liabilities | 12,415,246 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 604,124,332 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 616,539,578 | $ | 873,309,421 | ||||
Shares outstanding | 17,143,096 | 28,393,096 | ||||||
Net asset value per share | $ | 35 .24 | $ | 30 .26 | ||||
Market value per share (Note 2) | $ | 35 .28 | $ | 30 .31 | ||||
ULTRA BLOOMBERG CRUDE OIL
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 | ||||||||
(44% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 50,000,000 | $ | 49,941,390 | ||||
5.478% due 10/17/23 | 90,000,000 | 89,801,811 | ||||||
5.499% due 10/24/23 † | 50,000,000 | 49,838,665 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
5.497% due 11/21/23 | 25,000,000 | 24,815,452 | ||||||
Total short-term U.S. government and agency obligations (cost $264,043,695) | $ | 264,081,088 | ||||||
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 | |||||||||||
|
|
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 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 879 | $ | 78,055,200 | $ | 14,366,865 | |||||||
WTI Crude Oil - NYMEX, expires June 2024 | 920 | 74,630,400 | 10,551,545 | |||||||||
WTI Crude Oil - NYMEX, expires December 2024 | 956 | 74,434,160 | (188,490 | ) | ||||||||
$ | 24,729,920 | |||||||||||
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 | ) | ||||||||||||||
|
|
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 | % | 10/06/23 | $ | 210,901,349 | $ | 1,869,634 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/23 | 262,218,064 | 2,324,555 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/23 | 151,363,911 | 1,607,761 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 10/06/23 | 199,041,224 | 1,776,923 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 10/06/23 | 157,428,427 | 3,662,118 | ||||||||||||
Total Unrealized Appreciation | $ | 11,240,991 | ||||||||||||||
† | All or partial amount pledged as collateral for swap |
^ | The positions and counterparties herein are as of September 30, |
^^ | Rates shown |
* | Reflects the floating financing rate, as of September 30, |
** | 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 5,340,428 | $ | 2,391,191 | $ | 17,226,428 | $ | 3,964,082 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,629,737 | 2,118,088 | 5,249,353 | 8,301,804 | ||||||||||||
Brokerage commissions | 51,162 | 85,906 | 239,809 | 421,657 | ||||||||||||
Futures account fees | — | 19,466 | — | 381,754 | ||||||||||||
Non-recurring fees and expenses | — | 13,739 | — | 13,739 | ||||||||||||
Total expenses | 1,680,899 | 2,237,199 | 5,489,162 | 9,118,954 | ||||||||||||
Net investment income (loss) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 45,265,209 | (58,028,223 | ) | 85,471,042 | 452,879,319 | |||||||||||
Swap agreements | 199,284,914 | (286,550,709 | ) | 168,504,091 | 365,260,911 | |||||||||||
Short-term U.S. government and agency obligations | 120 | — | (59,258 | ) | (7,789 | ) | ||||||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 15,311,614 | (62,302,727 | ) | (1,561,796 | ) | (151,303,453 | ) | |||||||||
Swap agreements | 12,933,232 | 28,330,957 | (62,918,586 | ) | (187,884,491 | ) | ||||||||||
Short-term U.S. government and agency obligations | (67,874 | ) | 723,596 | (13,931 | ) | (268,326 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||
Net realized and unrealized gain (loss) | 272,727,215 | (377,827,106 | ) | 189,421,562 | 478,676,171 | |||||||||||
Net income (loss) | $ | 276,386,744 | $ | (377,673,114 | ) | $ | 201,158,828 | $ | 473,521,299 | |||||||
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 738,194,368 | $ | 1,060,867,238 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
Addition of –, 10,400,000, 34,650,000 and 20,700,000 shares, respectively | — | 335,779,871 | 812,713,784 | 738,516,557 | ||||||||||||
Redemption of 13,950,000, 8,250,000, 45,900,000 and 44,300,000 shares, respectively | (410,456,780 | ) | (294,378,733 | ) | (1,268,842,554 | ) | (1,591,226,164 | ) | ||||||||
Net addition (redemption) of (13,950,000), 2,150,000, (11,250,000) and (23,600,000) shares, respectively | (410,456,780 | ) | 41,401,138 | (456,128,770 | ) | (852,709,607 | ) | |||||||||
Net investment income (loss) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | |||||||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||
Net income (loss) | 276,386,744 | (377,673,114 | ) | 201,158,828 | 473,521,299 | |||||||||||
Shareholders’ equity, end of period | $ | 604,124,332 | $ | 724,595,262 | $ | 604,124,332 | $ | 724,595,262 | ||||||||
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 201,158,828 | $ | 473,521,299 | ||||
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 | (9,133,783,770 | ) | (13,891,053,120 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 9,194,559,106 | 14,207,412,141 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (11,464,606 | ) | (2,942,264 | ) | ||||
Net realized (gain) loss on investments | 59,258 | 7,789 | ||||||
Change in unrealized (appreciation) depreciation on investments | 62,932,517 | 188,152,817 | ||||||
Decrease (Increase) in receivable on open futures contracts | 8,466,027 | (891,736 | ) | |||||
Decrease (Increase) in interest receivable | 281,128 | (317,244 | ) | |||||
Increase (Decrease) in payable to Sponsor | (143,154 | ) | 493,818 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (4,480 | ) | (18,209 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,980,155 | (22,405,789 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 13,739 | ||||||
Net cash provided by (used in) operating activities | 325,041,009 | 951,973,241 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 812,713,784 | 738,516,557 | ||||||
Payment on shares redeemed | (1,273,474,976 | ) | (1,574,816,957 | ) | ||||
Net cash provided by (used in) financing activities | (460,761,192 | ) | (836,300,400 | ) | ||||
Net increase (decrease) in cash | (135,720,183 | ) | 115,672,841 | |||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 340,880,078 | $ | 332,960,230 | ||||
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 | ||
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $303,815,641 and $263,209,299, respectively) | $ | 303,858,387 | $ | 263,260,158 | ||||
Cash | 24,873,663 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 379,123,011 | 163,045,170 | ||||||
Segregated cash balances with brokers for swap agreements | 74,778,263 | — | ||||||
Receivable on open futures contracts | 126,823,271 | 149,650,221 | ||||||
Interest receivable | 1,484,336 | 653,922 | ||||||
Total assets | 910,940,931 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 32,487,150 | 1,826,653 | ||||||
Payable on open futures contracts | 5,930,098 | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 36,861 | 35,242 | ||||||
Payable to Sponsor | 709,247 | 450,514 | ||||||
Unrealized depreciation on swap agreements | 1,438,294 | — | ||||||
Total liabilities | 40,601,650 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 870,339,281 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 910,940,931 | $ | 590,298,965 | ||||
Shares outstanding (Note 1) | 16,118,544 | 1,614,376 | ||||||
Net asset value per share (Note 1) | $ | 54 .00 | $ | 363 .08 | ||||
Market value per share (Note 1) (Note 2) | $ | 54 .38 | $ | 355 .60 | ||||
ULTRA BLOOMBERG NATURAL GAS
2023
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 50,000,000 | $ | 49,941,390 | ||||
5.478% due 10/17/23 | 100,000,000 | 99,779,790 | ||||||
5.499% due 10/24/23 † | 55,000,000 | 54,822,532 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
5.497% due 11/21/23 † | 50,000,000 | 49,630,905 | ||||||
Total short-term U.S. government and agency obligations (cost $303,815,641) | $ | 303,858,387 | ||||||
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 November 2023 | 50,182 | $ | 1,469,830,780 | $ | (114,592,473 | ) |
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 | % | 10/06/23 | $ | 132,651,213 | $ | (706,090 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 10/06/23 | 90,634,449 | (482,438 | ) | |||||||||||
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex | 0.32 | 10/06/23 | 47,221,373 | (245,972 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 10/06/23 | 725,704 | (3,794 | ) | |||||||||||
Total Unrealized Depreciation | $ | (1,438,294 | ) | |||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of September 30, |
^^ | Rates shown |
* | Reflects the floating financing rate, as of September 30, |
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 9,098,504 | $ | 909,204 | $ | 26,923,732 | $ | 1,095,255 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,303,082 | 658,525 | 7,220,063 | 1,589,759 | ||||||||||||
Brokerage commissions | 629,541 | 97,589 | 2,727,691 | 300,747 | ||||||||||||
Futures account fees | 131,828 | 43,620 | 531,306 | 177,950 | ||||||||||||
Non-recurring fees and expenses | — | 4,791 | — | 4,791 | ||||||||||||
Total expenses | 3,064,451 | 804,525 | 10,479,060 | 2,073,247 | ||||||||||||
Net investment income (loss) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 221,454,698 | (5,889,116 | ) | (1,418,539,604 | ) | 235,322,266 | ||||||||||
Swap agreements | 15,625,140 | — | (22,895,121 | ) | — | |||||||||||
Short-term U.S. government and agency obligations | 198 | (4,181 | ) | (7,018 | ) | (7,633 | ) | |||||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (362,927,910 | ) | 97,063,212 | 196,021,496 | (89,157,584 | ) | ||||||||||
Swap agreements | (47,526,551 | ) | — | (1,438,294 | ) | — | ||||||||||
Short-term U.S. government and agency obligations | (17,784 | ) | 158,315 | (8,113 | ) | (41,614 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | ||||||||||
Net realized and unrealized gain (loss) | (173,392,209 | ) | 91,328,230 | (1,246,866,654 | ) | 146,115,435 | ||||||||||
Net income (loss) | $ | (167,358,156 | ) | $ | 91,432,909 | $ | (1,230,421,982 | ) | $ | 145,137,443 | ||||||
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,141,021,278 | $ | 187,297,842 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
Addition of 12,950,000, 300,000, 45,715,000 and 755,000 shares, respectively (Note 1) | 739,093,446 | 425,638,048 | 3,899,918,459 | 1,063,004,747 | ||||||||||||
Redemption of 13,253,332, 265,000, 31,210,832 and 862,500 shares, respectively (Note 1) | (842,417,287 | ) | (414,982,702 | ) | (2,385,308,309 | ) | (1,112,648,271 | ) | ||||||||
Net addition (redemption) of (303,332), 35,000, 14,504,168 and (107,500) shares, respectively (Note 1) | (103,323,841 | ) | 10,655,346 | 1,514,610,150 | (49,643,524 | ) | ||||||||||
Net investment income (loss) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | |||||||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | ||||||||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | ||||||||||
Net income (loss) | (167,358,156 | ) | 91,432,909 | (1,230,421,982 | ) | 145,137,443 | ||||||||||
Shareholders’ equity, end of period | $ | 870,339,281 | $ | 289,386,097 | $ | 870,339,281 | $ | 289,386,097 | ||||||||
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,230,421,982 | ) | $ | 145,137,443 | |||
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 | (10,927,044,661 | ) | (750,045,262 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 10,897,274,725 | 734,916,266 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (10,843,424 | ) | (561,077 | ) | ||||
Net realized (gain) loss on investments | 7,018 | 7,633 | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,446,407 | 41,614 | ||||||
Decrease (Increase) in receivable on open futures contracts | 22,826,950 | (36,015,281 | ) | |||||
Decrease (Increase) in interest receivable | (830,414 | ) | (157,395 | ) | ||||
Increase (Decrease) in payable to Sponsor | 258,733 | 294,750 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,619 | (48,246 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 4,094,655 | 1,186,502 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 4,791 | ||||||
Net cash provided by (used in) operating activities | (1,243,230,374 | ) | 94,761,738 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,899,918,459 | 1,083,453,488 | ||||||
Payment on shares redeemed | (2,354,647,812 | ) | (1,109,986,578 | ) | ||||
Net cash provided by (used in) financing activities | 1,545,270,647 | (26,533,090 | ) | |||||
Net increase (decrease) in cash | 302,040,273 | 68,228,648 | ||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 478,774,937 | $ | 122,364,373 | ||||
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 | ||
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 5,923,008 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 803,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 867 | 514,115 | ||||||
Interest receivable | 25,385 | 40,421 | ||||||
Total assets | 6,752,260 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 5,200 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 223,579 | 98,459 | ||||||
Total liabilities | 228,779 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 6,523,481 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 6,752,260 | $ | 10,813,954 | ||||
Shares outstanding | 600,000 | 950,000 | ||||||
Net asset value per share | $ | 10 .87 | $ | 11 .27 | ||||
Market value per share (Note 2) | $ | 10 .85 | $ | 11 .26 | ||||
ULTRA EURO
2023
Futures
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
WTI Crude Oil—NYMEX, expires November 2017 | 440 | $ | 22,734,800 | $ | 1,272,779 |
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 | 10/06/23 | 7,691,921 | $ | 8,134,350 | $ | (136,003 | ) | |||||||||
Euro with UBS AG | 10/06/23 | 4,954,502 | 5,239,479 | (87,576 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (223,579 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 10/06/23 | (323,000 | ) | $ | (341,578 | ) | $ | 867 | ||||||||
Total Unrealized Appreciation | | $ | 867 | |||||||||||||
^ | The positions and counterparties herein are as of September 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. |
ULTRA EURO
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 | ||||
|
|
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 80,746 | $ | 36,856 | $ | 266,165 | $ | 47,965 | ||||||||
Expenses | ||||||||||||||||
Management fee | 16,999 | 31,331 | 61,096 | 66,646 | ||||||||||||
Non-recurring fees and expenses | — | 237 | — | 237 | ||||||||||||
Total expenses | 16,999 | 31,568 | 61,096 | 66,883 | ||||||||||||
Net investment income (loss) | 63,747 | 5,288 | 205,069 | (18,918 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,505,776 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | — | (5,949 | ) | |||||||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (462,400 | ) | (98,836 | ) | (638,368 | ) | (513,883 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 3,824 | — | (844 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||
Net realized and unrealized gain (loss) | (484,785 | ) | (1,713,393 | ) | (302,183 | ) | (3,026,452 | ) | ||||||||
Net income (loss) | $ | (421,038 | ) | $ | (1,708,105 | ) | $ | (97,114 | ) | $ | (3,045,370 | ) | ||||
STATEMENTULTRA EURO
FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017
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 | ||
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 7,535,435 | $ | 9,415,626 | $ | 10,704,662 | $ | 8,659,095 | ||||||||
Addition of —, 700,000, 200,000 and 1,250,000 shares, respectively | — | 7,168,239 | 2,296,437 | 13,537,061 | ||||||||||||
Redemption of 50,000, 100,000, 550,000 and 450,000 shares, respectively | (590,916 | ) | (1,006,389 | ) | (6,380,504 | ) | (5,281,415 | ) | ||||||||
Net addition (redemption) of (50,000), 600,000, (350,000) and 800,000 shares, respectively | (590,916 | ) | 6,161,850 | (4,084,067 | ) | 8,255,646 | ||||||||||
Net investment income (loss) | 63,747 | 5,288 | 205,069 | (18,918 | ) | |||||||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||
Net income (loss) | (421,038 | ) | (1,708,105 | ) | (97,114 | ) | (3,045,370 | ) | ||||||||
Shareholders’ equity, end of period | $ | 6,523,481 | $ | 13,869,371 | $ | 6,523,481 | $ | 13,869,371 | ||||||||
STATEMENTULTRA EURO
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 | ||
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (97,114 | ) | $ | (3,045,370 | ) | ||
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 | — | (5,984,290 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 6,290,250 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (11,431 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 638,368 | 514,727 | ||||||
Decrease (Increase) in interest receivable | 15,036 | (13,185 | ) | |||||
Increase (Decrease) in payable to Sponsor | (5,633 | ) | 18,088 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 237 | ||||||
Net cash provided by (used in) operating activities | 550,657 | (2,225,025 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 13,058,757 | ||||||
Payment on shares redeemed | (6,380,504 | ) | (5,281,415 | ) | ||||
Net cash provided by (used in) financing activities | (4,084,067 | ) | 7,777,342 | |||||
Net increase (decrease) in cash | (3,533,410 | ) | 5,552,317 | |||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 6,726,008 | $ | 13,134,775 | ||||
GOLD
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 | ||||
|
|
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $109,649,343 and $129,100,287, respectively) | $ | 109,664,879 | $ | 129,123,489 | ||||
Cash | 11,124,533 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 2,074,800 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 35,494,971 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | — | 6,496,466 | ||||||
Receivable on open futures contracts | — | 8,169 | ||||||
Interest receivable | 73,655 | 126,595 | ||||||
Total assets | 158,432,838 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 264,526 | — | ||||||
Payable to Sponsor | 128,566 | 140,350 | ||||||
Unrealized depreciation on swap agreements | 10,343,189 | — | ||||||
Total liabilities | 10,736,281 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 147,696,557 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 158,432,838 | $ | 173,664,486 | ||||
Shares outstanding | 2,800,000 | 3,150,000 | ||||||
Net asset value per share | $ | 52 .75 | $ | 55 .09 | ||||
Market value per share (Note 2) | $ | 52 .60 | $ | 55 .27 | ||||
GOLD
2023
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 | ||||||
|
|
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(74% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 40,000,000 | 39,911,916 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,333 | ||||||
5.490% due 11/14/23 † | 10,000,000 | 9,936,754 | ||||||
5.497% due 11/21/23 | 10,000,000 | 9,926,181 | ||||||
Total short-term U.S. government and agency obligations (cost $109,649,343) | $ | 109,664,879 | ||||||
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 |
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 | 1.80 | % | 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 | ) | ||||||||||||||||||
|
|
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 264 | $ | 49,265,040 | $ | (2,617,740 | ) |
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 | % | 10/06/23 | $ | 105,703,033 | $ | (4,441,216 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | 50,205,597 | (2,109,437 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | 90,264,166 | (3,792,536 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (10,343,189 | ) | |||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of September 30, |
^^ | Rates shown |
* | Reflects the floating financing rate, as of September 30, |
** | For |
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,837,846 | $ | 678,282 | $ | 5,470,056 | $ | 1,092,549 | ||||||||
Expenses | ||||||||||||||||
Management fee | 417,418 | 475,457 | 1,318,793 | 1,863,020 | ||||||||||||
Brokerage commissions | 5,346 | 8,176 | 20,886 | 43,899 | ||||||||||||
Futures account fees | — | — | — | 28,169 | ||||||||||||
Non-recurring fees and expenses | — | 2,940 | — | 2,940 | ||||||||||||
Total expenses | 422,764 | 486,573 | 1,339,679 | 1,938,028 | ||||||||||||
Net investment income (loss) | 1,415,082 | 191,709 | 4,130,377 | (845,479 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,609,223 | ) | (13,871,427 | ) | 1,311,944 | (22,577,746 | ) | |||||||||
Swap agreements | (10,266,780 | ) | (25,954,159 | ) | 9,808,518 | (17,330,327 | ) | |||||||||
Short-term U.S. government and agency obligations | 138 | (708 | ) | (28,324 | ) | (708 | ) | |||||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | 11,092,138 | (39,908,781 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 2,767,991 | 2,305,467 | (5,859,828 | ) | (2,281,936 | ) | ||||||||||
Swap agreements | (3,290,106 | ) | (234,566 | ) | (16,839,655 | ) | (15,325,612 | ) | ||||||||
Short-term U.S. government and agency obligations | (18,571 | ) | 151,932 | (7,666 | ) | (19,087 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | (22,707,149 | ) | (17,626,635 | ) | |||||||||
Net realized and unrealized gain (loss) | (17,416,551 | ) | (37,603,461 | ) | (11,615,011 | ) | (57,535,416 | ) | ||||||||
Net income (loss) | $ | (16,001,469 | ) | $ | (37,411,752 | ) | $ | (7,484,634 | ) | $ | (58,380,895 | ) | ||||
STATEMENT
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 180,916,531 | $ | 239,938,853 | $ | 173,524,136 | $ | 232,780,534 | ||||||||
Addition of 50,000, 50,000, 500,000 and 1,650,000 shares, respectively | 3,076,173 | 2,645,499 | 31,285,647 | 104,903,214 | ||||||||||||
Redemption of 350,000, 900,000, 850,000 and 2,150,000 shares, respectively | (20,294,678 | ) | (45,150,308 | ) | (49,628,592 | ) | (119,280,561 | ) | ||||||||
Net addition (redemption) of (300,000), (850,000), (350,000) and (500,000) shares, respectively | (17,218,505 | ) | (42,504,809 | ) | (18,342,945 | ) | (14,377,347 | ) | ||||||||
Net investment income (loss) | 1,415,082 | 191,709 | 4,130,377 | (845,479 | ) | |||||||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | 11,092,138 | (39,908,781 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | (22,707,149 | ) | (17,626,635 | ) | |||||||||
Net income (loss) | (16,001,469 | ) | (37,411,752 | ) | (7,484,634 | ) | (58,380,895 | ) | ||||||||
Shareholders’ equity, end of period | $ | 147,696,557 | $ | 160,022,292 | $ | 147,696,557 | $ | 160,022,292 | ||||||||
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (7,484,634 | ) | $ | (58,380,895 | ) | ||
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 | (886,531,310 | ) | (913,776,847 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 909,750,482 | 978,997,411 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,796,552 | ) | (903,566 | ) | ||||
Net realized (gain) loss on investments | 28,324 | 708 | ||||||
Change in unrealized (appreciation) depreciation on investments | 16,847,321 | 15,344,699 | ||||||
Decrease (Increase) in receivable on open futures contracts | 8,169 | 823,707 | ||||||
Decrease (Increase) in interest receivable | 52,940 | (39,702 | ) | |||||
Increase (Decrease) in payable to Sponsor | (11,784 | ) | 125,445 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 264,526 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 2,940 | ||||||
Net cash provided by (used in) operating activities | 29,127,482 | 22,189,866 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 31,285,647 | 104,903,214 | ||||||
Payment on shares redeemed | (49,628,592 | ) | (119,280,561 | ) | ||||
Net cash provided by (used in) financing activities | (18,342,945 | ) | (14,377,347 | ) | ||||
Net increase (decrease) in cash | 10,784,537 | 7,812,519 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 48,694,304 | $ | 23,234,601 | ||||
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 | ||||
|
|
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $199,247,238 and $228,617,421, respectively) | $ | 199,275,356 | $ | 228,657,634 | ||||
Cash | 16,864,895 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 14,064,000 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 121,550,121 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | — | 39,224,212 | ||||||
Interest receivable | 211,212 | 300,712 | ||||||
Total assets | 351,965,584 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | 2,071,169 | 1,948,902 | ||||||
Payable to Sponsor | 281,601 | 344,467 | ||||||
Unrealized depreciation on swap agreements | 21,616,739 | — | ||||||
Total liabilities | 23,969,509 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 327,996,075 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 351,965,584 | $ | 418,194,629 | ||||
Shares outstanding | 13,246,526 | 13,046,526 | ||||||
Net asset value per share | $ | 24 .76 | $ | 31 .75 | ||||
Market value per share (Note 2) | $ | 24 .61 | $ | 32 .00 | ||||
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 | ||||||||
(61% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 90,000,000 | 89,801,811 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 † | 25,000,000 | 24,841,885 | ||||||
5.497% due 11/21/23 | 35,000,000 | 34,741,633 | ||||||
Total short-term U.S. government and agency obligations (cost $199,247,238) | $ | 199,275,356 | ||||||
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 | ||||||||||
Silver Futures - COMEX, expires December 2023 | 1,756 | $ | 197,111,000 | $ | (6,167,328 | ) |
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 | % | 10/06/23 | $ | 159,867,323 | $ | (7,524,763 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | 21,119,991 | (994,790 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | 143,290,980 | (6,749,262 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | 134,864,794 | (6,347,924 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (21,616,739 | ) | ||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of September 30, |
^^ | Rates shown |
* | Reflects the floating financing rate, as of September 30, |
** | For |
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,343,905 | $ | 824,171 | $ | 10,419,483 | $ | 1,386,134 | ||||||||
Expenses | ||||||||||||||||
Management fee | 892,009 | 798,802 | 2,740,073 | 3,098,741 | ||||||||||||
Brokerage commissions | 27,874 | 34,796 | 101,511 | 94,079 | ||||||||||||
Futures account fees | — | — | — | 26,693 | ||||||||||||
Non-recurring fees and expenses | — | 5,922 | — | 5,922 | ||||||||||||
Total expenses | 919,883 | 839,520 | 2,841,584 | 3,225,435 | ||||||||||||
Net investment income (loss) | 2,424,022 | (15,349 | ) | 7,577,899 | (1,839,301 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (14,704,230 | ) | (13,577,109 | ) | 6,035,306 | (30,191,493 | ) | |||||||||
Swap agreements | (15,547,180 | ) | (133,807,652 | ) | (368,280 | ) | (156,750,416 | ) | ||||||||
Short-term U.S. government and agency obligations | — | (6,553 | ) | (46,857 | ) | (7,717 | ) | |||||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | 5,620,169 | (186,949,626 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 3,810,588 | 3,988,709 | (35,593,902 | ) | (2,835,777 | ) | ||||||||||
Swap agreements | (3,571,377 | ) | 87,216,478 | (60,840,951 | ) | (13,787,151 | ) | |||||||||
Short-term U.S. government and agency obligations | (20,937 | ) | 272,285 | (12,095 | ) | (71,644 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | (96,446,948 | ) | (16,694,572 | ) | ||||||||||
Net realized and unrealized gain (loss) | (30,033,136 | ) | (55,913,842 | ) | (90,826,779 | ) | (203,644,198 | ) | ||||||||
Net income (loss) | $ | (27,609,114 | ) | $ | (55,929,191 | ) | $ | (83,248,880 | ) | $ | (205,483,499 | ) | ||||
STATEMENT
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 356,791,659 | $ | 355,577,515 | $ | 414,285,878 | $ | 515,453,594 | ||||||||
Addition of 1,500,000, 2,450,000, 4,100,000 and 4,250,000 shares, respectively | 42,340,032 | 52,469,935 | 114,264,874 | 118,129,234 | ||||||||||||
Redemption of 1,450,000, 1,250,000, 3,900,000 and 3,500,000 shares, respectively | (43,526,502 | ) | (28,147,396 | ) | (117,305,797 | ) | (104,128,466 | ) | ||||||||
Net addition (redemption) of 50,000, 1,200,000, 200,000 and 750,000 shares, respectively | (1,186,470 | ) | 24,322,539 | (3,040,923 | ) | 14,000,768 | ||||||||||
Net investment income (loss) | 2,424,022 | (15,349 | ) | 7,577,899 | (1,839,301 | ) | ||||||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | 5,620,169 | (186,949,626 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | (96,446,948 | ) | (16,694,572 | ) | ||||||||||
Net income (loss) | (27,609,114 | ) | (55,929,191 | ) | (83,248,880 | ) | (205,483,499 | ) | ||||||||
Shareholders’ equity, end of period | $ | 327,996,075 | $ | 323,970,863 | $ | 327,996,075 | $ | 323,970,863 | ||||||||
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (83,248,880 | ) | $ | (205,483,499 | ) | ||
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 | (2,785,919,203 | ) | (2,619,720,954 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,822,588,221 | 2,909,963,011 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,345,692 | ) | (1,060,031 | ) | ||||
Net realized (gain) loss on investments | 46,857 | 7,717 | ||||||
Change in unrealized (appreciation) depreciation on investments | 60,853,046 | 13,858,795 | ||||||
Decrease (Increase) in receivable on open futures contracts | — | (314,479 | ) | |||||
Decrease (Increase) in interest receivable | 89,500 | (72,051 | ) | |||||
Increase (Decrease) in payable to Sponsor | (62,866 | ) | 143,880 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (9,833 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 122,267 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 5,922 | ||||||
Net cash provided by (used in) operating activities | 7,123,250 | 97,318,478 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 114,264,874 | 113,960,240 | ||||||
Payment on shares redeemed | (118,921,179 | ) | (107,612,236 | ) | ||||
Net cash provided by (used in) financing activities | (4,656,305 | ) | 6,348,004 | |||||
Net increase (decrease) in cash | 2,466,945 | 103,666,482 | ||||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 152,479,016 | $ | 129,154,985 | ||||
VIX SHORT-TERM FUTURES ETF
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 | ||||
|
|
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $84,569,073 and $34,728,989, respectively) | $ | 84,581,081 | $ | 34,732,372 | ||||
Cash | 20,004,039 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 133,149,681 | 323,761,025 | ||||||
Receivable from capital shares sold | 9,725,630 | — | ||||||
Receivable on open futures contracts | 41,678,702 | 209,470,270 | ||||||
Interest receivable | 689,129 | 1,246,402 | ||||||
Total assets | 289,828,262 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 6,477,149 | — | ||||||
Payable on open futures contracts | — | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 34,400 | 58,772 | ||||||
Payable to Sponsor | 266,022 | 570,429 | ||||||
Total liabilities | 6,777,571 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 283,050,691 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 289,828,262 | $ | 640,296,551 | ||||
Shares outstanding (Note 1) | 17,474,459 | 9,307,842 | ||||||
Net asset value per share (Note 1) | $ | 16 .20 | $ | 68 .69 | ||||
Market value per share (Note 1) (Note 2) | $ | 16 .21 | $ | 68 .60 | ||||
VIX SHORT-TERM FUTURES ETF
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 | ||||||
|
|
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(30% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.478% due 10/17/23 | $ | 10,000,000 | $ | 9,977,979 | ||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
Total short-term U.S. government and agency obligations (cost $84,569,073) | $ | 84,581,081 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 14,181 | $ | 252,013,387 | $ | 26,387,450 | |||||||
VIX Futures - Cboe, expires November 2023 | 9,464 | 172,682,983 | 2,622,041 | |||||||||
$ | 29,009,491 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,255,531 | $ | 3,945,136 | $ | 12,422,781 | $ | 4,471,067 | ||||||||
Expenses | ||||||||||||||||
Management fee | 803,793 | 2,831,005 | 3,507,644 | 7,085,920 | ||||||||||||
Brokerage commissions | 517,699 | 1,276,819 | 2,007,911 | 3,183,788 | ||||||||||||
Futures account fees | 103,793 | 219,828 | 354,153 | 1,446,639 | ||||||||||||
Non-recurring fees and expenses | — | 20,117 | — | 20,117 | ||||||||||||
Total expenses | 1,425,285 | 4,347,769 | 5,869,708 | 11,736,464 | ||||||||||||
Net investment income (loss) | 1,830,246 | (402,633 | ) | 6,553,073 | (7,265,397 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (142,584,115 | ) | (289,871,717 | ) | (751,122,089 | ) | 59,605,816 | |||||||||
Swap agreements | — | — | — | 22,556,586 | ||||||||||||
Short-term U.S. government and agency obligations | (141 | ) | (2,037 | ) | (3,731 | ) | (355,124 | ) | ||||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | (751,125,820 | ) | 81,807,278 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 108,839,211 | 161,330,331 | 65,564,944 | 323,131,606 | ||||||||||||
Swap agreements | — | — | — | 477,437 | ||||||||||||
Short-term U.S. government and agency obligations | 12,008 | 414,952 | 8,625 | (129,295 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | 65,573,569 | 323,479,748 | ||||||||||||
Net realized and unrealized gain (loss) | (33,733,037 | ) | (128,128,471 | ) | (685,552,251 | ) | 405,287,026 | |||||||||
Net income (loss) | $ | (31,902,791 | ) | $ | (128,531,104 | ) | $ | (678,999,178 | ) | $ | 398,021,629 | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 387,764,059 | $ | 975,683,533 | $ | 639,318,362 | $ | 816,679,636 | ||||||||
Addition of 13,400,000, 9,340,000, 34,710,000 and 23,490,000 shares, respectively (Note 1) | 217,623,291 | 1,064,364,417 | 1,109,114,165 | 3,035,837,360 | ||||||||||||
Redemption of 16,903,383, 8,330,000, 26,543,383 and 22,340,000 shares, respectively (Note 1) | (290,433,868 | ) | (916,027,068 | ) | (786,382,658 | ) | (3,255,048,847 | ) | ||||||||
Net addition (redemption) of (3,503,383), 1,010,000, 8,166,617 and 1,150,000 shares, respectively (Note 1) | (72,810,577 | ) | 148,337,349 | 322,731,507 | (219,211,487 | ) | ||||||||||
Net investment income (loss) | 1,830,246 | (402,633 | ) | 6,553,073 | (7,265,397 | ) | ||||||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | (751,125,820 | ) | 81,807,278 | |||||||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | 65,573,569 | 323,479,748 | ||||||||||||
Net income (loss) | (31,902,791 | ) | (128,531,104 | ) | (678,999,178 | ) | 398,021,629 | |||||||||
Shareholders’ equity, end of period | $ | 283,050,691 | $ | 995,489,778 | $ | 283,050,691 | $ | 995,489,778 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (678,999,178 | ) | $ | 398,021,629 | |||
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 | (1,439,995,575 | ) | (4,540,406,696 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,392,250,029 | 4,489,474,762 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,098,269 | ) | (1,094,279 | ) | ||||
Net realized (gain) loss on investments | 3,731 | 355,124 | ||||||
Change in unrealized (appreciation) depreciation on investments | (8,625 | ) | (348,142 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 167,791,568 | (228,922,727 | ) | |||||
Decrease (Increase) in interest receivable | 557,273 | (1,045,845 | ) | |||||
Increase (Decrease) in payable to Sponsor | (304,407 | ) | 1,301,939 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (24,372 | ) | (101,787 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (348,988 | ) | (9,447,456 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 20,117 | ||||||
Net cash provided by (used in) operating activities | (561,176,813 | ) | 107,806,639 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,099,388,535 | 3,035,837,360 | ||||||
Payment on shares redeemed | (779,905,509 | ) | (3,218,451,554 | ) | ||||
Net cash provided by (used in) financing activities | 319,483,026 | (182,614,194 | ) | |||||
Net increase (decrease) in cash | (241,693,787 | ) | (74,807,555 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 153,153,720 | $ | 497,313,324 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 16,103,538 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,937,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 8,894 | 1,152,834 | ||||||
Interest receivable | 60,530 | 39,204 | ||||||
Total assets | 18,109,962 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 12,399 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 589,315 | 168,285 | ||||||
Total liabilities | 601,714 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 17,508,248 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 18,109,962 | $ | 13,993,996 | ||||
Shares outstanding | 699,970 | 399,970 | ||||||
Net asset value per share | $ | 25 .01 | $ | 34 .54 | ||||
Market value per share (Note 2) | $ | 25 .00 | $ | 34 .56 | ||||
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 | |||||||||||||||
|
|
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 | 10/06/23 | 2,355,724,056 | $ | 15,780,833 | $ | (268,253 | ) | |||||||||
Yen with UBS AG | 10/06/23 | 2,976,699,856 | 19,940,707 | (321,062 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (589,315 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 10/06/23 | (97,972,000 | ) | $ | (656,308 | ) | $ | 8,894 | ||||||||
Total Unrealized Appreciation | $ | 8,894 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 174,354 | $ | 25,362 | $ | 409,452 | $ | 29,299 | ||||||||
Expenses | ||||||||||||||||
Management fee | 35,968 | 21,245 | 91,858 | 34,710 | ||||||||||||
Non-recurring fees and expenses | — | 194 | — | 194 | ||||||||||||
Total expenses | 35,968 | 21,439 | 91,858 | 34,904 | ||||||||||||
Net investment income (loss) | 138,386 | 3,923 | 317,594 | (5,605 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,532,839 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | — | 1,548 | ||||||||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,531,291 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 277,206 | (17,967 | ) | (1,564,970 | ) | (2,005 | ) | |||||||||
Short-term U.S. government and agency obligations | — | 3,286 | — | (1,856 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | (1,564,970 | ) | (3,861 | ) | |||||||||
Net realized and unrealized gain (loss) | (1,577,564 | ) | (1,667,271 | ) | (4,488,690 | ) | (2,535,152 | ) | ||||||||
Net income (loss) | $ | (1,439,178 | ) | $ | (1,663,348 | ) | $ | (4,171,096 | ) | $ | (2,540,757 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 12,330,974 | $ | 5,024,773 | $ | 13,814,796 | $ | 2,362,849 | ||||||||
Addition of 300,000, 250,000, 500,000 and 350,000 shares, respectively | 8,063,291 | 8,285,325 | 14,320,409 | 11,824,658 | ||||||||||||
Redemption of 50,000, 50,000, 200,000 and 50,000 shares, respectively | (1,446,839 | ) | (1,487,561 | ) | (6,455,861 | ) | (1,487,561 | ) | ||||||||
Net addition (redemption) of 250,000, 200,000, 300,000 and 300,000 shares, respectively | 6,616,452 | 6,797,764 | 7,864,548 | 10,337,097 | ||||||||||||
Net investment income (loss) | 138,386 | 3,923 | 317,594 | (5,605 | ) | |||||||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,531,291 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | (1,564,970 | ) | (3,861 | ) | |||||||||
Net income (loss) | (1,439,178 | ) | (1,663,348 | ) | (4,171,096 | ) | (2,540,757 | ) | ||||||||
Shareholders’ equity, end of period | $ | 17,508,248 | $ | 10,159,189 | $ | 17,508,248 | $ | 10,159,189 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (4,171,096 | ) | $ | (2,540,757 | ) | ||
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 | — | (3,732 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 1,564,970 | 3,861 | ||||||
Decrease (Increase) in interest receivable | (21,326 | ) | (9,886 | ) | ||||
Increase (Decrease) in payable to Sponsor | 1,484 | 14,302 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 194 | ||||||
Net cash provided by (used in) operating activities | (2,625,968 | ) | (3,531,787 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 14,320,409 | 11,824,658 | ||||||
Payment on shares redeemed | (6,455,861 | ) | (1,487,561 | ) | ||||
Net cash provided by (used in) financing activities | 7,864,548 | 10,337,097 | ||||||
Net increase (decrease) in cash | 5,238,580 | 6,805,310 | ||||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 18,040,538 | $ | 9,263,130 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $184,272,303 and $89,407,308, respectively) | $ | 184,298,349 | $ | 89,426,935 | ||||
Cash | 26,182,767 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 76,076,031 | 65,184,460 | ||||||
Receivable from capital shares sold | 7,585,012 | 41,694 | ||||||
Receivable on open futures contracts | 3,557,787 | 1,604,847 | ||||||
Interest receivable | 279,874 | 384,856 | ||||||
Total assets | 297,979,820 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,257,090 | ||||||
Payable on open futures contracts | 993,204 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 4,433 | 4,134 | ||||||
Payable to Sponsor | 205,717 | 208,602 | ||||||
Total liabilities | 1,203,354 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 296,776,466 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 297,979,820 | $ | 231,269,843 | ||||
Shares outstanding | 17,605,220 | 9,305,220 | ||||||
Net asset value per share | $ | 16 .86 | $ | 23 .93 | ||||
Market value per share (Note 2) | $ | 16 .82 | $ | 23 .85 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(62% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 70,000,000 | 69,845,853 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 | 40,000,000 | 39,747,016 | ||||||
5.497% due 11/21/23 | 25,000,000 | 24,815,453 | ||||||
Total short-term U.S. government and agency obligations (cost $184,272,303) | $ | 184,298,349 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 2,296 | $ | 203,884,800 | $ | (16,612,860 | ) | ||||||
WTI Crude Oil - NYMEX, expires June 2024 | 2,404 | 195,012,480 | (9,249,968 | ) | ||||||||
WTI Crude Oil - NYMEX, expires December 2024 | 2,500 | 194,650,000 | 822,565 | |||||||||
$ | (25,040,263 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,609,417 | $ | 1,748,548 | $ | 6,172,654 | $ | 2,091,754 | ||||||||
Expenses | ||||||||||||||||
Management fee | 548,671 | 1,160,746 | 1,392,728 | 2,599,503 | ||||||||||||
Brokerage commissions | 54,549 | 148,121 | 180,385 | 332,256 | ||||||||||||
Futures account fees | — | 39,563 | — | 195,542 | ||||||||||||
Non-recurring fees and expenses | — | 7,548 | — | 7,548 | ||||||||||||
Total expenses | 603,220 | 1,355,978 | 1,573,113 | 3,134,849 | ||||||||||||
Net investment income (loss) | 2,006,197 | 392,570 | 4,599,541 | (1,043,095 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (47,764,820 | ) | 66,444,885 | 7,896,254 | (142,631,216 | ) | ||||||||||
Short-term U.S. government and agency obligations | 60 | — | (11,723 | ) | — | |||||||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | 7,884,531 | (142,631,216 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (38,026,419 | ) | 76,797,273 | (35,285,156 | ) | 113,723,566 | ||||||||||
Short-term U.S. government and agency obligations | 8,060 | 190,676 | 6,419 | (49,461 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | (35,278,737 | ) | 113,674,105 | ||||||||||
Net realized and unrealized gain (loss) | (85,783,119 | ) | 143,432,834 | (27,394,206 | ) | (28,957,111 | ) | |||||||||
Net income (loss) | $ | (83,776,922 | ) | $ | 143,825,404 | $ | (22,794,665 | ) | $ | (30,000,206 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 112,854,952 | $ | 501,157,304 | $ | 222,697,337 | $ | 114,167,602 | ||||||||
Addition of 17,250,000, 11,050,000, 28,800,000 and 38,940,000 shares, respectively | 345,709,147 | 263,018,131 | 622,896,585 | 1,051,908,930 | ||||||||||||
Redemption of 4,050,000, 20,650,000, 20,500,000 and 28,561,540 shares, respectively | (78,010,711 | ) | (539,209,750 | ) | (526,022,791 | ) | (767,285,237 | ) | ||||||||
Net addition (redemption) of 13,200,000, (9,600,000), 8,300,000 and 10,378,460 shares, respectively | 267,698,436 | (276,191,619 | ) | 96,873,794 | 284,623,693 | |||||||||||
Net investment income (loss) | 2,006,197 | 392,570 | 4,599,541 | (1,043,095 | ) | |||||||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | 7,884,531 | (142,631,216 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | (35,278,737 | ) | 113,674,105 | ||||||||||
Net income (loss) | (83,776,922 | ) | 143,825,404 | (22,794,665 | ) | (30,000,206 | ) | |||||||||
Shareholders’ equity, end of period | $ | 296,776,466 | $ | 368,791,089 | $ | 296,776,466 | $ | 368,791,089 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (22,794,665 | ) | $ | (30,000,206 | ) | ||
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 | (881,618,883 | ) | (5,037,566,739 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 789,898,469 | 4,974,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,156,304 | ) | (1,233,461 | ) | ||||
Net realized (gain) loss on investments | 11,723 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | (6,419 | ) | 49,461 | |||||
Decrease (Increase) in receivable on open futures contracts | (1,952,940 | ) | (3,393,165 | ) | ||||
Decrease (Increase) in interest receivable | 104,982 | (329,488 | ) | |||||
Increase (Decrease) in payable to Sponsor | (2,885 | ) | 639,427 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 299 | 3,314 | ||||||
Increase (Decrease) in payable on open futures contracts | (6,109,476 | ) | 54,103 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 7,548 | ||||||
Net cash provided by (used in) operating activities | (125,626,099 | ) | (97,769,206 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 615,353,267 | 1,051,908,930 | ||||||
Payment on shares redeemed | (527,279,881 | ) | (758,540,834 | ) | ||||
Net cash provided by (used in) financing activities | 88,073,386 | 293,368,096 | ||||||
Net increase (decrease) in cash | (37,552,713 | ) | 195,598,890 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 102,258,798 | $ | 250,042,443 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $19,932,661 and $61,469,726, respectively) | $ | 19,935,466 | $ | 61,482,526 | ||||
Cash | 17,318,005 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 50,351,496 | 38,758,160 | ||||||
Receivable from capital shares sold | 12,292,429 | — | ||||||
Receivable on open futures contracts | 11,619,568 | 33,637,888 | ||||||
Interest receivable | 228,248 | 293,818 | ||||||
Total assets | 111,745,212 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,365,196 | ||||||
Payable on open futures contracts | — | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 4,417 | 7,497 | ||||||
Payable to Sponsor | 77,733 | 132,197 | ||||||
Total liabilities | 82,150 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 111,663,062 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 111,745,212 | $ | 139,896,772 | ||||
Shares outstanding | 1,816,856 | 4,966,856 | ||||||
Net asset value per share | $ | 61 .46 | $ | 27 .00 | ||||
Market value per share (Note 2) | $ | 61 .04 | $ | 27 .56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.499% due 10/24/23 | $ | 20,000,000 | $ | 19,935,466 | ||||
Total short-term U.S. government and agency obligations (cost $19,932,661) | $ | 19,935,466 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires November 2023 | 7,624 | $ | 223,306,960 | $ | 23,776,317 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,476,050 | $ | 953,050 | $ | 4,007,691 | $ | 1,131,063 | ||||||||
Expenses | ||||||||||||||||
Management fee | 304,567 | 730,949 | 903,703 | 1,784,017 | ||||||||||||
Brokerage commissions | 133,782 | 173,386 | 577,070 | 539,244 | ||||||||||||
Futures account fees | 23,941 | 48,485 | 80,308 | 255,370 | ||||||||||||
Non-recurring fees and expenses | — | 5,374 | — | 5,374 | ||||||||||||
Total expenses | 462,290 | 958,194 | 1,561,081 | 2,584,005 | ||||||||||||
Net investment income (loss) | 1,013,760 | (5,144 | ) | 2,446,610 | (1,452,942 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (10,798,451 | ) | 8,173,631 | 221,346,621 | (389,138,752 | ) | ||||||||||
Short-term U.S. government and agency obligations | (174 | ) | (57,864 | ) | (1,437 | ) | (116,673 | ) | ||||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | 221,345,184 | (389,255,425 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 44,086,649 | (23,776,729 | ) | (62,113,081 | ) | 116,857,361 | ||||||||||
Short-term U.S. government and agency obligations | 173 | 309,345 | (9,995 | ) | (32,689 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | (62,123,076 | ) | 116,824,672 | ||||||||||
Net realized and unrealized gain (loss) | 33,288,197 | (15,351,617 | ) | 159,222,108 | (272,430,753 | ) | ||||||||||
Net income (loss) | $ | 34,301,957 | $ | (15,356,761 | ) | $ | 161,668,718 | $ | (273,883,695 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 141,324,963 | $ | 211,823,446 | $ | 134,109,520 | $ | 242,145,130 | ||||||||
Addition of 5,500,000, 58,900,000, 19,350,000 and 82,240,000 shares, respectively | 295,245,731 | 790,506,039 | 1,128,672,428 | 1,734,541,781 | ||||||||||||
Redemption of 6,250,000, 49,900,000, 22,500,000 and 69,251,886 shares, respectively | (359,209,589 | ) | (744,582,726 | ) | (1,312,787,604 | ) | (1,460,413,218 | ) | ||||||||
Net addition (redemption) of (750,000), 9,000,000, (3,150,000) and 12,988,114 shares, respectively | (63,963,858 | ) | 45,923,313 | (184,115,176 | ) | 274,128,563 | ||||||||||
Net investment income (loss) | 1,013,760 | (5,144 | ) | 2,446,610 | (1,452,942 | ) | ||||||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | 221,345,184 | (389,255,425 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | (62,123,076 | ) | 116,824,672 | ||||||||||
Net income (loss) | 34,301,957 | (15,356,761 | ) | 161,668,718 | (273,883,695 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 111,663,062 | $ | 242,389,998 | $ | 111,663,062 | $ | 242,389,998 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 161,668,718 | $ | (273,883,695 | ) | |||
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 | (228,632,508 | ) | (641,286,804 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 271,472,626 | 680,730,195 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,304,490 | ) | (447,861 | ) | ||||
Net realized (gain) loss on investments | 1,437 | 116,673 | ||||||
Change in unrealized (appreciation) depreciation on investments | 9,995 | 32,689 | ||||||
Decrease (Increase) in receivable on open futures contracts | 22,018,320 | (17,665,801 | ) | |||||
Decrease (Increase) in interest receivable | 65,570 | (278,702 | ) | |||||
Increase (Decrease) in payable to Sponsor | (54,464 | ) | 354,079 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (3,080 | ) | (23,511 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (282,362 | ) | (8,542,438 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 5,374 | ||||||
Net cash provided by (used in) operating activities | 224,959,762 | (260,889,802 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,116,379,999 | 1,734,541,781 | ||||||
Payment on shares redeemed | (1,318,152,800 | ) | (1,464,617,750 | ) | ||||
Net cash provided by (used in) financing activities | (201,772,801 | ) | 269,924,031 | |||||
Net increase (decrease) in cash | 23,186,961 | 9,034,229 | ||||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 67,669,501 | $ | 122,035,156 | ||||
September 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 | 37,961,502 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 4,464,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 1,585,136 | 193,192 | ||||||
Interest receivable | 164,862 | 109,830 | ||||||
Total assets | 44,175,621 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 34,405 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 136,808 | 2,654,448 | ||||||
Total liabilities | 171,213 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 44,004,408 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 44,175,621 | $ | 77,831,002 | ||||
Shares outstanding | 1,400,000 | 2,550,000 | ||||||
Net asset value per share | $ | 31 .43 | $ | 29 .46 | ||||
Market value per share (Note 2) | $ | 31 .43 | $ | 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 | 10/06/23 | 486,000 | $ | 513,954 | $ | (5,789 | ) | |||||||||
Euro with UBS AG | 10/06/23 | 10,804,000 | 11,425,433 | (131,019 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (136,808 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/23 | (43,752,263 | ) | $ | (46,268,836 | ) | $ | 769,294 | ||||||||
Euro with UBS AG | 10/06/23 | (50,970,199 | ) | (53,901,938 | ) | 815,842 | ||||||||||
Total Unrealized Appreciation | $ | 1,585,136 | ||||||||||||||
^ | The positions and counterparties herein are as of September 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 523,684 | $ | 230,824 | $ | 1,764,550 | $ | 285,240 | ||||||||
Expenses | ||||||||||||||||
Management fee | 111,472 | 203,036 | 404,141 | 467,426 | ||||||||||||
Non-recurring fees and expenses | — | 1,835 | — | 1,835 | ||||||||||||
Total expenses | 111,472 | 204,871 | 404,141 | 469,261 | ||||||||||||
Net investment income (loss) | 412,212 | 25,953 | 1,360,409 | (184,021 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,693,971 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | 210,974 | ||||||||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,904,945 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 3,207,102 | (354,043 | ) | 3,909,584 | 3,049,081 | |||||||||||
Short-term U.S. government and agency obligations | — | 61,225 | (4,802 | ) | (33,420 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | 3,904,782 | 3,015,661 | |||||||||||
Net realized and unrealized gain (loss) | 3,084,236 | 10,793,890 | 1,328,663 | 19,920,606 | ||||||||||||
Net income (loss) | $ | 3,496,448 | $ | 10,819,843 | $ | 2,689,072 | $ | 19,736,585 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 50,931,301 | $ | 62,270,097 | $ | 75,113,179 | $ | 54,263,045 | ||||||||
Addition of –, 1,100,000, 100,000 and 1,650,000 shares, respectively | — | 36,183,635 | 3,051,886 | 52,211,698 | ||||||||||||
Redemption of 350,000, 550,000, 1,250,000 and 1,150,000 shares, respectively | (10,423,341 | ) | (18,689,297 | ) | (36,849,729 | ) | (35,627,050 | ) | ||||||||
Net addition (redemption) of (350,000), 550,000, (1,150,000) and 500,000 shares, respectively | (10,423,341 | ) | 17,494,338 | (33,797,843 | ) | 16,584,648 | ||||||||||
Net investment income (loss) | 412,212 | 25,953 | 1,360,409 | (184,021 | ) | |||||||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,904,945 | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | 3,904,782 | 3,015,661 | |||||||||||
Net income (loss) | 3,496,448 | 10,819,843 | 2,689,072 | 19,736,585 | ||||||||||||
Shareholders’ equity, end of period | $ | 44,004,408 | $ | 90,584,278 | $ | 44,004,408 | $ | 90,584,278 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 2,689,072 | $ | 19,736,585 | ||||
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 | ) | (74,843,167 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 76,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (83,446 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (3,904,782 | ) | (3,015,661 | ) | ||||
Decrease (Increase) in interest receivable | (55,032 | ) | (61,501 | ) | ||||
Increase (Decrease) in payable to Sponsor | (28,970 | ) | 98,171 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 1,835 | ||||||
Net cash provided by (used in) operating activities | 38,692,110 | 17,832,816 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 52,211,149 | ||||||
Payment on shares redeemed | (36,849,729 | ) | (32,142,870 | ) | ||||
Net cash provided by (used in) financing activities | (33,797,843 | ) | 20,068,279 | |||||
Net increase (decrease) in cash | 4,894,267 | 37,901,095 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 42,425,623 | $ | 45,455,160 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 9,138,880 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 557,700 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 2,476,000 | 3,536,000 | ||||||
Unrealized appreciation on swap agreements | 649,016 | — | ||||||
Receivable from capital shares sold | 1,607,017 | — | ||||||
Receivable on open futures contracts | 6,250 | — | ||||||
Interest receivable | 38,854 | 42,135 | ||||||
Total assets | 14,473,717 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 98,549 | 700 | ||||||
Payable to Sponsor | 9,299 | 12,854 | ||||||
Unrealized depreciation on swap agreements | — | 592,957 | ||||||
Total liabilities | 107,848 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 14,365,869 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 14,473,717 | $ | 16,062,548 | ||||
Shares outstanding | 446,977 | 496,977 | ||||||
Net asset value per share | $ | 32 .14 | $ | 31 .10 | ||||
Market value per share (Note 2) | $ | 32 .20 | $ | 30 .99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 71 | $ | 13,249,310 | $ | 510,754 |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 10/06/23 | $ | (3,588,216 | ) | $ | 149,583 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 10/06/23 | (4,702,766 | ) | 196,202 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | (7,273,894 | ) | 303,231 | |||||||||||
Total Unrealized Appreciation | $ | 649,016 | ||||||||||||||
^ | The positions and counterparties herein are as of September 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. |
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
ULTRASHORT GOLD
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 142,707 | $ | 72,261 | $ | 459,321 | $ | 101,921 | ||||||||
Expenses | ||||||||||||||||
Management fee | 32,970 | 76,652 | 112,212 | 218,466 | ||||||||||||
Brokerage commissions | 1,099 | 3,565 | 4,065 | 9,361 | ||||||||||||
Futures account fees | — | — | — | 2,446 | ||||||||||||
Non-recurring fees and expenses | — | 639 | — | 639 | ||||||||||||
Total expenses | 34,069 | 80,856 | 116,277 | 230,912 | ||||||||||||
Net investment income (loss) | 108,638 | (8,595 | ) | 343,044 | (128,991 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 807,474 | 2,017,269 | 131,315 | 1,336,740 | ||||||||||||
Swap agreements | 628,950 | 2,970,959 | (1,278,923 | ) | 1,900,685 | |||||||||||
Short-term U.S. government and agency obligations | — | — | — | 4 | ||||||||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | (1,147,608 | ) | 3,237,429 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (460,051 | ) | 725,119 | 609,640 | 1,378,602 | |||||||||||
Swap agreements | 208,445 | 81,220 | 1,241,973 | 1,795,321 | ||||||||||||
Short-term U.S. government and agency obligations | — | 35,207 | — | (13,647 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | 1,851,613 | 3,160,276 | |||||||||||
Net realized and unrealized gain (loss) | 1,184,818 | 5,829,774 | 704,005 | 6,397,705 | ||||||||||||
Net income (loss) | $ | 1,293,456 | $ | 5,821,179 | $ | 1,047,049 | $ | 6,268,714 | ||||||||
STATEMENTULTRASHORT GOLD
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 15,809,378 | $ | 34,611,284 | $ | 15,456,037 | $ | 26,859,844 | ||||||||
Addition of 100,000, 350,000, 700,000 and 1,500,000 shares, respectively | 3,039,866 | 12,520,359 | 19,338,209 | 46,264,925 | ||||||||||||
Redemption of 200,000, 650,000, 750,000 and 1,550,000 shares, respectively | (5,776,831 | ) | (23,318,097 | ) | (21,475,426 | ) | (49,758,758 | ) | ||||||||
Net addition (redemption) of (100,000), (300,000), (50,000) and (50,000) shares, respectively | (2,736,965 | ) | (10,797,738 | ) | (2,137,217 | ) | (3,493,833 | ) | ||||||||
Net investment income (loss) | 108,638 | (8,595 | ) | 343,044 | (128,991 | ) | ||||||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | (1,147,608 | ) | 3,237,429 | |||||||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | 1,851,613 | 3,160,276 | |||||||||||
Net income (loss) | 1,293,456 | 5,821,179 | 1,047,049 | 6,268,714 | ||||||||||||
Shareholders’ equity, end of period | $ | 14,365,869 | $ | 29,634,725 | $ | 14,365,869 | $ | 29,634,725 | ||||||||
ULTRASHORT GOLD
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 1,047,049 | $ | 6,268,714 | ||||
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 | — | (17,987,492 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 35,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (26,784 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,241,973 | ) | (1,781,674 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (6,250 | ) | — | |||||
Decrease (Increase) in interest receivable | 3,281 | (25,595 | ) | |||||
Increase (Decrease) in payable to Sponsor | (3,555 | ) | 22,778 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (294 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 97,849 | (49,875 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 639 | ||||||
Net cash provided by (used in) operating activities | (103,599 | ) | 22,420,403 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 17,731,192 | 46,264,925 | ||||||
Payment on shares redeemed | (21,475,426 | ) | (49,758,758 | ) | ||||
Net cash provided by (used in) financing activities | (3,744,234 | ) | (3,493,833 | ) | ||||
Net increase (decrease) in cash | (3,847,833 | ) | 18,926,570 | |||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 12,172,580 | $ | 20,916,924 | ||||
ULTRASHORT SILVER
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 | ||||
|
|
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 8,563,844 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 876,000 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 6,426,200 | 7,875,000 | ||||||
Unrealized appreciation on swap agreements | 1,014,468 | — | ||||||
Receivable from capital shares sold | — | 972,789 | ||||||
Receivable on open futures contracts | 54,510 | 59,575 | ||||||
Interest receivable | 46,359 | 60,480 | ||||||
Total assets | 16,981,381 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 13,864 | 20,705 | ||||||
Unrealized depreciation on swap agreements | — | 1,722,623 | ||||||
Total liabilities | 13,864 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 16,967,517 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 16,981,381 | $ | 33,676,127 | ||||
Shares outstanding | 791,329 | 1,641,329 | ||||||
Net asset value per share | $ | 21 .44 | $ | 19 .46 | ||||
Market value per share (Note 2) | $ | 21 .55 | $ | 19 .30 | ||||
ULTRASHORT SILVER
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 | ||||||
|
|
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 | 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 | |||||||||||||||
|
|
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires December 2023 | 109 | $ | 12,235,250 | $ | 851,237 |
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 | % | 10/06/23 | $ | (2,570,998 | ) | $ | 120,165 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | (9,365,796 | ) | 437,748 | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | (7,405,429 | ) | 345,878 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | (2,368,019 | ) | 110,677 | |||||||||||
Total Unrealized Appreciation | $ | 1,014,468 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, |
* | Reflects the floating financing rate, as of September 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 337,096 | $ | 63,222 | $ | 860,908 | $ | 90,885 | ||||||||
Expenses | ||||||||||||||||
Management fee | 78,166 | 67,215 | 220,751 | 190,549 | ||||||||||||
Brokerage commissions | 13,775 | 8,699 | 28,436 | 20,677 | ||||||||||||
Futures account fees | — | — | — | 4,443 | ||||||||||||
Non-recurring fees and expenses | — | 612 | — | 612 | ||||||||||||
Total expenses | 91,941 | 76,526 | 249,187 | 216,281 | ||||||||||||
Net investment income (loss) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 6,217,172 | 1,719,839 | 11,009,808 | 6,370,119 | ||||||||||||
Swap agreements | 704,259 | 4,495,568 | (261,158 | ) | 1,882,774 | |||||||||||
Short-term U.S. government and agency obligations | — | — | (906 | ) | (190 | ) | ||||||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (107,686 | ) | (1,063,521 | ) | 1,791,737 | 800,876 | ||||||||||
Swap agreements | 169,456 | (3,024,441 | ) | 2,737,091 | 770,011 | |||||||||||
Short-term U.S. government and agency obligations | — | 12,438 | — | (3,447 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | |||||||||||
Net realized and unrealized gain (loss) | 6,983,201 | 2,139,883 | 15,276,572 | 9,820,143 | ||||||||||||
Net income (loss) | $ | 7,228,356 | $ | 2,126,579 | $ | 15,888,293 | $ | 9,694,747 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 19,290,473 | $ | 33,052,840 | $ | 31,932,799 | $ | 26,537,000 | ||||||||
Addition of 2,950,000, 1,000,000, 6,050,000 and 2,800,000 shares, respectively | 51,792,185 | 34,082,044 | 107,105,060 | 77,349,605 | ||||||||||||
Redemption of 3,100,000, 1,050,000, 6,900,000 and 2,800,000 shares, respectively | (61,343,497 | ) | (35,498,411 | ) | (137,958,635 | ) | (79,818,300 | ) | ||||||||
Net addition (redemption) of (150,000), (50,000), (850,000) and – shares, respectively | (9,551,312 | ) | (1,416,367 | ) | (30,853,575 | ) | (2,468,695 | ) | ||||||||
Net investment income (loss) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | ||||||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | |||||||||||
Net income (loss) | 7,228,356 | 2,126,579 | 15,888,293 | 9,694,747 | ||||||||||||
Shareholders’ equity, end of period | $ | 16,967,517 | $ | 33,763,052 | $ | 16,967,517 | $ | 33,763,052 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 15,888,293 | $ | 9,694,747 | ||||
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 | (39,876,608 | ) | (20,979,052 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 39,937,156 | 41,999,081 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (61,454 | ) | (24,695 | ) | ||||
Net realized (gain) loss on investments | 906 | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,737,091 | ) | (766,564 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 5,065 | 15,446 | ||||||
Decrease (Increase) in interest receivable | 14,121 | (25,020 | ) | |||||
Increase (Decrease) in payable to Sponsor | (6,841 | ) | 12,281 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (747 | ) | |||||
Increase (Decrease) in payable on open futures contracts | — | 592,924 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 612 | ||||||
Net cash provided by (used in) operating activities | 13,163,547 | 30,519,203 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 108,077,849 | 77,349,605 | ||||||
Payment on shares redeemed | (137,958,635 | ) | (79,818,300 | ) | ||||
Net cash provided by (used in) financing activities | (29,880,786 | ) | (2,468,695 | ) | ||||
Net increase (decrease) in cash | (16,717,239 | ) | 28,050,508 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 15,866,044 | $ | 33,533,984 | ||||
September 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 | 22,694,511 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,482,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 969,376 | 963,369 | ||||||
Interest receivable | 94,406 | 36,071 | ||||||
Total assets | 26,240,804 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,843 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 48,770 | 3,990,802 | ||||||
Total liabilities | 68,613 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,172,191 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 26,240,804 | $ | 28,101,626 | ||||
Shares outstanding | 348,580 | 398,580 | ||||||
Net asset value per share | $ | 75 .08 | $ | 53 .68 | ||||
Market value per share (Note 2) | $ | 75 .08 | $ | 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 | 10/06/23 | 428,237,000 | $ | 2,868,730 | $ | (48,770 | ) | |||||||||
Total Unrealized Depreciation | | $ | (48,770 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/23 | (3,330,184,165 | ) | $ | (22,308,674 | ) | $ | 406,284 | ||||||||
Yen with UBS AG | 10/06/23 | (4,908,633,574 | ) | (32,882,597 | ) | 563,092 | ||||||||||
Total Unrealized Appreciation | $ | 969,376 | ||||||||||||||
^ | The positions and counterparties herein are as of September 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 274,125 | $ | 115,191 | $ | 733,679 | $ | 151,503 | ||||||||
Expenses | ||||||||||||||||
Management fee | 58,762 | 106,598 | 167,753 | 259,599 | ||||||||||||
Non-recurring fees and expenses | — | 953 | — | 953 | ||||||||||||
Total expenses | 58,762 | 107,551 | 167,753 | 260,552 | ||||||||||||
Net investment income (loss) | 215,363 | 7,640 | 565,926 | (109,049 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 3,079,208 | 5,879,873 | 3,422,003 | 14,877,216 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | — | 102,971 | ||||||||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (1,059,246 | ) | (546,737 | ) | 3,948,039 | (444,812 | ) | |||||||||
Short-term U.S. government and agency obligations | — | 22,866 | (2,761 | ) | (8,524 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||
Net realized and unrealized gain (loss) | 2,019,962 | 5,356,002 | 7,367,281 | 14,526,851 | ||||||||||||
Net income (loss) | $ | 2,235,325 | $ | 5,363,642 | $ | 7,933,207 | $ | 14,417,802 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 27,077,656 | $ | 45,568,882 | $ | 21,397,736 | $ | 24,840,784 | ||||||||
Addition of –, 250,000, 450,000 and 1,100,000 shares, respectively | — | 15,352,183 | 26,056,375 | 59,472,902 | ||||||||||||
Redemption of 50,000, 250,000, 500,000 and 900,000 shares, respectively | (3,140,790 | ) | (14,347,369 | ) | (29,215,127 | ) | (46,794,150 | ) | ||||||||
Net addition (redemption) of (50,000), –, (50,000) and 200,000 shares, respectively | (3,140,790 | ) | 1,004,814 | (3,158,752 | ) | 12,678,752 | ||||||||||
Net investment income (loss) | 215,363 | 7,640 | 565,926 | (109,049 | ) | |||||||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||
Net income (loss) | 2,235,325 | 5,363,642 | 7,933,207 | 14,417,802 | ||||||||||||
Shareholders’ equity, end of period | $ | 26,172,191 | $ | 51,937,338 | $ | 26,172,191 | $ | 51,937,338 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 7,933,207 | $ | 14,417,802 | ||||
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 | — | (17,984,732 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 34,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (24,192 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (3,945,278 | ) | 453,336 | |||||
Decrease (Increase) in interest receivable | (58,335 | ) | (42,154 | ) | ||||
Increase (Decrease) in payable to Sponsor | (9,790 | ) | 48,690 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 953 | ||||||
Net cash provided by (used in) operating activities | 26,915,102 | 30,869,703 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 26,056,375 | 59,472,902 | ||||||
Payment on shares redeemed | (31,898,582 | ) | (46,794,150 | ) | ||||
Net cash provided by (used in) financing activities | (5,842,207 | ) | 12,678,752 | |||||
Net increase (decrease) in cash | 21,072,895 | 43,548,455 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 25,177,022 | $ | 46,551,706 | ||||
September 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 | 50,204,095 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 9,032,162 | 14,384,050 | ||||||
Receivable on open futures contracts | 560,581 | 142,794 | ||||||
Interest receivable | 208,470 | 88,180 | ||||||
Total assets | 60,005,308 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and futures account fees payable | 2,387 | 3,688 | ||||||
Payable to Sponsor | 34,897 | 54,664 | ||||||
Total liabilities | 37,284 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 59,968,024 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 60,005,308 | $ | 84,073,311 | ||||
Shares outstanding | 3,087,403 | 2,762,403 | ||||||
Net asset value per share | $ | 19 .42 | $ | 30 .41 | ||||
Market value per share (Note 2) | $ | 19 .41 | $ | 30 .36 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2024 | 617 | $ | 11,784,515 | $ | (350,626 | ) | ||||||
VIX Futures - Cboe, expires February 2024 | 1,028 | 19,841,839 | (508,849 | ) | ||||||||
VIX Futures - Cboe, expires March 2024 | 1,028 | 20,146,847 | (104,194 | ) | ||||||||
VIX Futures - Cboe, expires April 2024 | 411 | 8,178,119 | 19,997 | |||||||||
$ | (943,672 | ) | ||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 597,040 | $ | 220,211 | $ | 1,895,545 | $ | 296,960 | ||||||||
Expenses | ||||||||||||||||
Management fee | 117,018 | 201,508 | 401,207 | 627,755 | ||||||||||||
Brokerage commissions | 8,822 | 17,922 | 30,191 | 58,291 | ||||||||||||
Futures account fees | 9,991 | — | 33,287 | 46,394 | ||||||||||||
Non-recurring fees and expenses | — | 2,050 | — | 2,050 | ||||||||||||
Total expenses | 135,831 | 221,480 | 464,685 | 734,490 | ||||||||||||
Net investment income (loss) | 461,209 | (1,269 | ) | 1,430,860 | (437,530 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,613 | |||||||||
Short-term U.S. government and agency obligations | — | — | — | (336 | ) | |||||||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,277 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 8,934,542 | 3,236,565 | 3,847,551 | 6,941,620 | ||||||||||||
Short-term U.S. government and agency obligations | — | 131,644 | (5,651 | ) | (54,576 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | 3,841,900 | 6,887,044 | ||||||||||||
Net realized and unrealized gain (loss) | (3,309,969 | ) | 2,018,937 | (31,166,664 | ) | 18,191,321 | ||||||||||
Net income (loss) | $ | (2,848,760 | ) | $ | 2,017,668 | $ | (29,735,804 | ) | $ | 17,753,791 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 49,421,413 | $ | 95,721,271 | $ | 84,014,959 | $ | 112,875,680 | ||||||||
Addition of 850,000, 850,000, 1,700,000 and 1,850,000 shares, respectively | 16,840,213 | 28,312,142 | 38,658,971 | 60,491,195 | ||||||||||||
Redemption of 175,000, 450,000, 1,375,000 and 2,425,000 shares, respectively | (3,444,842 | ) | (15,630,507 | ) | (32,970,102 | ) | (80,700,092 | ) | ||||||||
Net addition (redemption) of 675,000, 400,000, 325,000 and (575,000) shares, respectively | 13,395,371 | 12,681,635 | 5,688,869 | (20,208,897 | ) | |||||||||||
Net investment income (loss) | 461,209 | (1,269 | ) | 1,430,860 | (437,530 | ) | ||||||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,277 | |||||||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | 3,841,900 | 6,887,044 | ||||||||||||
Net income (loss) | (2,848,760 | ) | 2,017,668 | (29,735,804 | ) | 17,753,791 | ||||||||||
Shareholders’ equity, end of period | $ | 59,968,024 | $ | 110,420,574 | $ | 59,968,024 | $ | 110,420,574 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (29,735,804 | ) | $ | 17,753,791 | |||
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 | (294,811,992 | ) | (66,991,148 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 345,000,000 | 120,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (311,311 | ) | (63,980 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 5,651 | 54,576 | ||||||
Decrease (Increase) in receivable on open futures contracts | (417,787 | ) | (765,221 | ) | ||||
Decrease (Increase) in interest receivable | (120,290 | ) | (84,257 | ) | ||||
Increase (Decrease) in payable to Sponsor | (19,767 | ) | 51,511 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (1,301 | ) | (7,124 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | (94,495 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 2,050 | ||||||
Net cash provided by (used in) operating activities | 19,587,399 | 70,854,587 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 38,658,971 | 60,491,195 | ||||||
Payment on shares redeemed | (32,970,102 | ) | (78,938,105 | ) | ||||
Net cash provided by (used in) financing activities | 5,688,869 | (18,446,910 | ) | |||||
Net increase (decrease) in cash | 25,276,268 | 52,407,677 | ||||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 59,236,257 | $ | 79,479,496 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,624,795 and $89,329,814, respectively) | $ | 104,639,666 | $ | 89,347,714 | ||||
Cash | 23,955,940 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 65,304,529 | 91,634,942 | ||||||
Receivable on open futures contracts | 17,543,264 | 52,643,553 | ||||||
Interest receivable | 266,995 | 403,667 | ||||||
Total assets | 211,710,394 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | — | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 11,670 | 27,102 | ||||||
Payable to Sponsor | 94,296 | 155,130 | ||||||
Total liabilities | 105,966 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 211,604,428 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 211,710,394 | $ | 267,556,744 | ||||
Shares outstanding (Note 1) | 9,075,947 | 4,676,565 | ||||||
Net asset value per share (Note 1) | $ | 23 .31 | $ | 57 .00 | ||||
Market value per share (Note 1) (Note 2) | $ | 23 .30 | $ | 56 .90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 45,000,000 | 44,900,905 | ||||||
5.490% due 11/14/23 | 25,000,000 | 24,841,885 | ||||||
5.497% due 11/21/23 | 10,000,000 | 9,926,181 | ||||||
Total short-term U.S. government and agency obligations (cost $104,624,795) | $ | 104,639,666 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 7,067 | $ | 125,589,070 | $ | 11,154,767 | |||||||
VIX Futures - Cboe, expires November 2023 | 4,719 | 86,104,290 | 719,403 | |||||||||
$ | 11,874,170 | |||||||||||
^^ | Rates shown |
VIX SHORT-TERM FUTURES ETF
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,271,345 | $ | 1,400,201 | $ | 6,832,197 | $ | 1,678,813 | ||||||||
Expenses | ||||||||||||||||
Management fee | 447,560 | 874,070 | 1,495,874 | 2,353,478 | ||||||||||||
Brokerage commissions | 58,426 | 203,095 | 250,314 | 490,751 | ||||||||||||
Futures account fees | 44,110 | 54,944 | 143,501 | 371,384 | ||||||||||||
Non-recurring fees and expenses | — | 8,700 | — | 8,700 | ||||||||||||
Total expenses | 550,096 | 1,140,809 | 1,889,689 | 3,224,313 | ||||||||||||
Net investment income (loss) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (54,950,042 | ) | (45,457,319 | ) | (228,276,043 | ) | 31,935,990 | |||||||||
Short-term U.S. government and agency obligations | — | — | (10,605 | ) | (300 | ) | ||||||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 41,847,057 | 51,449,994 | 21,670,993 | 84,956,040 | ||||||||||||
Short-term U.S. government and agency obligations | (5,866 | ) | 248,953 | (3,029 | ) | (104,697 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | ||||||||||||
Net realized and unrealized gain (loss) | (13,108,851 | ) | 6,241,628 | (206,618,684 | ) | 116,787,033 | ||||||||||
Net income (loss) | $ | (11,387,602 | ) | $ | 6,501,020 | $ | (201,676,176 | ) | $ | 115,241,533 | ||||||
STATEMENTVIX SHORT-TERM FUTURES ETF
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 230,227,830 | $ | 341,714,316 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
Addition of 2,475,000, 3,555,000, 9,235,000 and7,180,000 shares, respectively (Note 1) | 56,655,376 | 261,088,034 | 324,424,030 | 563,456,503 | ||||||||||||
Redemption of 2,625,618, 2,190,000, 4,835,618 and5,630,000 shares, respectively (Note 1) | (63,891,176 | ) | (171,766,742 | ) | (177,723,746 | ) | (510,864,572 | ) | ||||||||
Net addition (redemption) of (150,618), 1,365,000, 4,399,382 and 1,550,000 shares, respectively (Note 1) | (7,235,800 | ) | 89,321,292 | 146,700,284 | 52,591,931 | |||||||||||
Net investment income (loss) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | |||||||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | |||||||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | ||||||||||||
Net income (loss) | (11,387,602 | ) | 6,501,020 | (201,676,176 | ) | 115,241,533 | ||||||||||
Shareholders’ equity, end of period | $ | 211,604,428 | $ | 437,536,628 | $ | 211,604,428 | $ | 437,536,628 | ||||||||
VIX SHORT-TERM FUTURES ETF
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (201,676,176 | ) | $ | 115,241,533 | |||
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 | (614,146,126 | ) | (2,462,189,566 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 601,754,108 | 2,455,998,870 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,913,568 | ) | (725,037 | ) | ||||
Net realized (gain) loss on investments | 10,605 | 300 | ||||||
Change in unrealized (appreciation) depreciation on investments | 3,029 | 104,697 | ||||||
Decrease (Increase) in receivable on open futures contracts | 35,100,289 | (67,758,303 | ) | |||||
Decrease (Increase) in interest receivable | 136,672 | (362,333 | ) | |||||
Increase (Decrease) in payable to Sponsor | (60,834 | ) | 372,867 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (15,432 | ) | (20,676 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (223,719 | ) | (2,037,391 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 8,700 | ||||||
Net cash provided by (used in) operating activities | (182,031,152 | ) | 38,633,661 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 324,424,030 | 566,483,117 | ||||||
Payment on shares redeemed | (178,294,219 | ) | (498,163,549 | ) | ||||
Net cash provided by (used in) financing activities | 146,129,811 | 68,319,568 | ||||||
Net increase (decrease) in cash | (35,901,341 | ) | 106,953,229 | |||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 89,260,469 | $ | 222,914,045 | ||||
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 | ||||||
|
|
|
|
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,374,810,703 and $1,466,423,925, respectively) | $ | 1,375,005,218 | $ | 1,466,680,542 | ||||
Cash | 367,158,559 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 858,586,121 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 9,686,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 524,175,300 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 12,904,475 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,564,273 | 2,823,510 | ||||||
Receivable from capital shares sold | 31,210,088 | 1,014,483 | ||||||
Receivable on open futures contracts | 214,636,493 | 522,770,291 | ||||||
Interest receivable | 4,484,827 | 4,920,772 | ||||||
Total assets | 3,400,411,986 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 47,876,891 | 32,725,077 | ||||||
Payable on open futures contracts | 14,962,756 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 105,802 | 165,165 | ||||||
Payable to Sponsor | 2,610,466 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 33,398,222 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 998,472 | 6,911,994 | ||||||
Total liabilities | 99,952,609 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,300,459,377 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 3,400,411,986 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 105,689,214 | 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 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 33,986,958 | $ | 14,620,209 | $ | 103,035,154 | $ | 19,240,564 | ||||||||
Expenses | ||||||||||||||||
Management fee | 8,433,063 | 11,269,281 | 27,104,933 | 33,494,289 | ||||||||||||
Brokerage commissions | 1,640,018 | 2,210,735 | 6,556,137 | 6,013,653 | ||||||||||||
Futures account fees | 313,663 | 449,872 | 1,142,555 | 3,285,001 | ||||||||||||
Non-recurring fees and expenses | — | 81,773 | — | 81,773 | ||||||||||||
Total expenses | 10,386,744 | 14,011,661 | 34,803,625 | 42,874,716 | ||||||||||||
Net investment income (loss) | 23,600,214 | 608,548 | 68,231,529 | (23,634,152 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 14,374,480 | (321,993,985 | ) | (1,974,626,401 | ) | 188,147,013 | ||||||||||
Swap agreements | 190,429,303 | (438,845,993 | ) | 153,509,127 | 217,520,213 | |||||||||||
Foreign currency forward contracts | 1,079,187 | 13,695,610 | (1,741,651 | ) | 26,532,572 | |||||||||||
Short-term U.S. government and agency obligations | 205 | (71,343 | ) | (195,666 | ) | (264,143 | ) | |||||||||
Net realized gain (loss) | 205,883,175 | (747,215,711 | ) | (1,823,054,591 | ) | 431,935,655 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (202,241,004 | ) | 291,970,061 | 135,612,832 | 354,740,180 | |||||||||||
Swap agreements | (41,076,901 | ) | 112,369,648 | (138,058,422 | ) | (213,954,485 | ) | |||||||||
Foreign currency forward contracts | 1,962,662 | (1,017,583 | ) | 5,654,285 | 2,088,381 | |||||||||||
Short-term U.S. government and agency obligations | (111,348 | ) | 3,053,986 | (62,102 | ) | (971,900 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (241,466,591 | ) | 406,376,112 | 3,146,593 | 141,902,176 | |||||||||||
Net realized and unrealized gain (loss) | (35,583,416 | ) | (340,839,599 | ) | (1,819,907,998 | ) | 573,837,831 | |||||||||
Net income (loss) | $ | (11,983,202 | ) | $ | (340,231,051 | ) | $ | (1,751,676,469 | ) | $ | 550,203,679 | |||||
* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 3,753,845,537 | $ | 4,563,369,776 | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||||||
Addition of 57,975,000, 100,995,000, 190,410,000 and 194,805,000 shares, respectively (Note 1) | 1,835,741,719 | 3,360,951,964 | 8,495,699,775 | 8,989,738,725 | ||||||||||||
Redemption of 63,757,333, 97,035,000, 174,164,833 and 191,370,926 shares, respectively (Note 1) | (2,277,144,677 | ) | (3,379,709,104 | ) | (7,331,350,675 | ) | (9,509,035,162 | ) | ||||||||
Net addition (redemption) of (5,782,333), 3,960,000, 16,245,167 and 3,434,074 shares, respectively (Note 1) | (441,402,958 | ) | (18,757,140 | ) | 1,164,349,100 | (519,296,437 | ) | |||||||||
Net investment income (loss) | 23,600,214 | 608,548 | 68,231,529 | (23,634,152 | ) | |||||||||||
Net realized gain (loss) | 205,883,175 | (747,215,711 | ) | (1,823,054,591 | ) | 431,935,655 | ||||||||||
Change in net unrealized appreciation (depreciation) | (241,466,591 | ) | 406,376,112 | 3,146,593 | 141,902,176 | |||||||||||
Net income (loss) | (11,983,202 | ) | (340,231,051 | ) | (1,751,676,469 | ) | 550,203,679 | |||||||||
Shareholders’ equity, end of period | $ | 3,300,459,377 | $ | 4,204,381,585 | $ | 3,300,459,377 | $ | 4,204,381,585 | ||||||||
* | The operations include the activity of ProShares |
COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
(unaudited)
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
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 | ||||
|
|
|
|
Nine Months Ended September 30, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,751,676,469 | ) | $ | 550,203,679 | |||
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 | (27,871,422,186 | ) | (32,181,153,315 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 28,009,309,658 | 32,879,938,110 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (46,469,916 | ) | (9,697,124 | ) | ||||
Net realized (gain) loss on investments | 195,666 | 264,143 | ||||||
Change in unrealized (appreciation) depreciation on investments | 132,466,239 | 212,838,004 | ||||||
Decrease (Increase) in receivable on futures contracts | 308,133,798 | (333,246,149 | ) | |||||
Decrease (Increase) in interest receivable | 435,945 | (3,095,982 | ) | |||||
Increase (Decrease) in payable to Sponsor | (599,647 | ) | 4,244,972 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (59,363 | ) | (327,015 | ) | ||||
Increase (Decrease) in payable on futures contracts | 3,219,962 | (37,886,245 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 81,773 | ||||||
Net cash provided by (used in) operating activities | (1,216,466,313 | ) | 1,082,164,851 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 8,465,504,170 | 9,008,566,233 | ||||||
Payment on shares redeemed | (7,316,198,861 | ) | (9,440,488,808 | ) | ||||
Net cash provided by (used in) financing activities | 1,149,305,309 | (431,922,575 | ) | |||||
Net increase (decrease) in cash | (67,161,004 | ) | 650,242,276 | |||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 1,759,606,612 | $ | 2,058,943,514 | ||||
* | The operations include the activity of ProShares |
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
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 |
| January 14, 2022 | ||||
ProShares |
|
2-for-1 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Crude Oil | May 25, 2022 | 4-for-1 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Natural Gas | May 25, 2022 | 1-for-4 |
| May 26, 2022 | ||||
ProShares UltraShort Bloomberg Crude Oil | May 25, 2022 | 1-for-5 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Natural Gas | June 23, 2023 | 1-for-20 | 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 |
|
1-for-5 |
| |||||
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|
with the instructions for FormSEC.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 Form2016,2022, 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 | September | ||||||||||||||
Ultra Gold and UltraShort Gold | September | ||||||||||||||
Ultra Bloomberg Crude Oil, | |||||||||||||||
Ultra Bloomberg Natural Gas, | |||||||||||||||
UltraShort Bloomberg Crude Oil
| |||||||||||||||
UltraShort Bloomberg | 2:00 p.m. | 2:30 p.m. | September | ||||||||||||
| |||||||||||||||
| |||||||||||||||
UltraShort
| |||||||||||||||
UltraShort | 3:00 p.m. | 4:00 p.m. | September | ||||||||||||
Short | |||||||||||||||
Ultra VIX Short-Term Futures ETF, | |||||||||||||||
VIX Mid-Term Futures ETF and | |||||||||||||||
VIX Short-Term Futures ETF | 4:00 p.m. | September | |||||||||||||
| |||||||||||||||
| |||||||||||||||
| |||||||||||||||
|
* | 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 nine months ended September 30, |
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 | $ | 104,670,946 | $ | (2,387,385 | ) | $ | — | $ | — | $ | 102,283,561 | |||||||||
ProShares Ultra Bloomberg Crude Oil | 264,081,088 | 24,729,920 | — | 11,240,991 | 300,051,999 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 303,858,387 | (114,592,473 | ) | — | (1,438,294 | ) | 187,827,620 | |||||||||||||
ProShares Ultra Euro | — | — | (222,712 | ) | — | (222,712 | ) | |||||||||||||
ProShares Ultra Gold | 109,664,879 | (2,617,740 | ) | — | (10,343,189 | ) | 96,703,950 | |||||||||||||
ProShares Ultra Silver | 199,275,356 | (6,167,328 | ) | — | (21,616,739 | ) | 171,491,289 | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 84,581,081 | 29,009,491 | — | — | 113,590,572 | |||||||||||||||
ProShares Ultra Yen | — | — | (580,421 | ) | — | (580,421 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 184,298,349 | (25,040,263 | ) | — | — | 159,258,086 | ||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 19,935,466 | 23,776,317 | — | — | 43,711,783 | |||||||||||||||
ProShares UltraShort Euro | — | — | 1,448,328 | — | 1,448,328 | |||||||||||||||
ProShares UltraShort Gold | — | 510,754 | — | 649,016 | 1,159,770 | |||||||||||||||
ProShares UltraShort Silver | — | 851,237 | — | 1,014,468 | 1,865,705 | |||||||||||||||
ProShares UltraShort Yen | — | — | 920,606 | — | 920,606 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | (943,672 | ) | — | — | (943,672 | ) | |||||||||||||
ProShares VIX Short-Term Futures ETF | 104,639,666 | 11,874,170 | — | — | 116,513,836 | |||||||||||||||
Combined Trust: | $ | 1,375,005,218 | $ | (60,996,972 | ) | $ | 1,565,801 | $ | (20,493,747 | ) | $ | 1,295,080,300 |
* | 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 | |||||||||||||||||
|
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|
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|
| |||||||||||||
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 | ) | |||||||||||||
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 September 30, 2023 or the year ended December 31, 2022.
New Accounting Pronouncements
In November 2016, the FASB issued Accounting Standards UpdateNo. 2016-18, “Statement
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 September 30, 2017,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
as of September 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 | $ | — | $ | 2,387,385 | * | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | 29,009,491 | * | — | |||||||||||
ProShares VIX Mid-Term Futures ETF | 19,997 | * | 963,669 | * | ||||||||||
ProShares VIX Short-Term Futures ETF | 11,874,170 | * | — | |||||||||||
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 | 36,159,401 | * | 188,490 | * | ||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 116,030,767 | * | |||||||||||
ProShares Ultra Gold | — | 12,960,929 | * | |||||||||||
ProShares Ultra Silver | — | 27,784,068 | * | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | 822,565 | * | 25,862,828 | * | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 23,776,317 | * | — | |||||||||||
ProShares UltraShort Gold | 1,159,770 | * | — | |||||||||||
ProShares UltraShort Silver | 1,865,705 | * | — | |||||||||||
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 | 867 | 223,579 | ||||||||||||
ProShares Ultra Yen | 8,894 | 589,315 | ||||||||||||
ProShares UltraShort Euro | 1,585,136 | 136,808 | ||||||||||||
ProShares UltraShort Yen | 969,376 | 48,770 | ||||||||||||
Combined Trust: | $ | 107,251,689 | * | $ | 187,176,608 | * |
* | 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 | * | $ | — | |||||||||
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 |
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 | $ | 30,285,319 | $ | (26,316,590 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (142,584,115 | ) | 108,839,211 | |||||||||
ProShares VIX Mid-Term Futures ETF | (12,244,511 | ) | 8,934,542 | |||||||||
ProShares VIX Short-Term Futures ETF | (54,950,042 | ) | 41,847,057 | |||||||||
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 | 244,550,123 | 28,244,846 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 237,079,838 | (410,454,461 | ) | |||||||||
ProShares Ultra Gold | (16,876,003 | ) | (522,115 | ) | ||||||||
ProShares Ultra Silver | (30,251,410 | ) | 239,211 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | (47,764,820 | ) | (38,026,419 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas | (10,798,451 | ) | 44,086,649 | |||||||||
ProShares UltraShort Gold | 1,436,424 | (251,606 | ) | |||||||||
ProShares UltraShort Silver | 6,921,431 | 61,770 | ||||||||||
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 | (22,385 | ) | (462,400 | ) | ||||||||
ProShares Ultra Yen | (1,854,770 | ) | 277,206 | |||||||||
ProShares UltraShort Euro | (122,866 | ) | 3,207,102 | |||||||||
ProShares UltraShort Yen | 3,079,208 | (1,059,246 | ) | |||||||||
Combined Trust | $ | 205,882,970 | $ | (241,355,243 | ) |
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 | $ | 125,117,609 | $ | (13,479,766 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (751,122,089 | ) | 65,564,944 | |||||||||
ProShares VIX Mid-Term Futures ETF | (35,008,564 | ) | 3,847,551 | |||||||||
ProShares VIX Short-Term Futures ETF | (228,276,043 | ) | 21,670,993 | |||||||||
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 | 253,975,133 | (64,480,382 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | (1,441,434,725 | ) | 194,583,202 | |||||||||
ProShares Ultra Gold | 11,120,462 | (22,699,483 | ) | |||||||||
ProShares Ultra Silver | 5,667,026 | (96,434,853 | ) | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 7,896,254 | (35,285,156 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 221,346,621 | (62,113,081 | ) | |||||||||
ProShares UltraShort Gold | (1,147,608 | ) | 1,851,613 | |||||||||
ProShares UltraShort Silver | 10,748,650 | 4,528,828 | ||||||||||
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 | 336,185 | (638,368 | ) | |||||||||
ProShares Ultra Yen | (2,923,720 | ) | (1,564,970 | ) | ||||||||
ProShares UltraShort Euro | (2,576,119 | ) | 3,909,584 | |||||||||
ProShares UltraShort Yen | 3,422,003 | 3,948,039 | ||||||||||
Combined Trust: | $ | (1,822,858,925 | ) | $ | 3,208,695 |
* | Includes cumulative |
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 | $ | 27,694,574 | $ | (17,783,632 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (289,871,717 | ) | 161,330,331 | |||||||||
ProShares VIX Mid-Term Futures ETF | (1,349,272 | ) | 3,236,565 | |||||||||
ProShares VIX Short-Term Futures ETF | (45,457,319 | ) | 51,449,994 | |||||||||
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 | (344,578,932 | ) | (33,971,770 | ) | ||||||||
ProShares Ultra Bloomberg Natural Gas | (5,889,116 | ) | 97,063,212 | |||||||||
ProShares Ultra Gold | (39,825,586 | ) | 2,070,901 | |||||||||
ProShares Ultra Silver | (147,384,761 | ) | 91,205,187 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 66,444,885 | 76,797,273 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 8,173,631 | (23,776,729 | ) | |||||||||
ProShares UltraShort Gold | 4,988,228 | 806,339 | ||||||||||
ProShares UltraShort Silver | 6,215,407 | (4,087,962 | ) | |||||||||
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 | (1,618,381 | ) | (98,836 | ) | ||||||||
ProShares Ultra Yen | (1,652,590 | ) | (17,967 | ) | ||||||||
ProShares UltraShort Euro | 11,086,708 | (354,043 | ) | |||||||||
ProShares UltraShort Yen | 5,879,873 | (546,737 | ) | |||||||||
Combined Trust | $ | (747,144,368 | ) | $ | 403,322,126 |
For the three months ended September 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 Effect of Derivative Instruments on the Statements of Operations
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 | $ | (126,202,705 | ) | $ | (17,860,669 | ) | ||||
ProShares VIXMid-Term Futures ETF | (19,180,135 | ) | (653,395 | ) | ||||||||
ProShares Short VIX Short-Term Futures ETF | 471,128,319 | 104,553,646 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (646,036,987 | ) | (93,790,794 | ) | ||||||||
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 | 49,807,530 | (5,412,170 | ) | |||||||
ProShares UltraPro 3X Short Crude Oil ETF | 232,006 | (2,423,370 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,756,252 | 830,552 | ||||||||||
ProShares UltraShort Gold | (10,938,952 | ) | (100,481 | ) | ||||||||
ProShares UltraShort Silver | (2,693,320 | ) | 745,817 | |||||||||
ProShares Ultra Bloomberg Crude Oil | (123,511,840 | ) | (6,281,183 | ) | ||||||||
ProShares UltraPro 3X Crude Oil ETF | 3,137,907 | 1,272,779 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (21,040,313 | ) | (3,508,410 | ) | ||||||||
ProShares Ultra Gold | 23,362,749 | (3,993,840 | ) | |||||||||
ProShares Ultra Silver | 20,327,016 | (7,245,193 | ) | |||||||||
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 | (1,334,988 | ) | (26,694 | ) | ||||||
ProShares UltraShort Australian Dollar | (1,920,606 | ) | (802,850 | ) | ||||||||
ProShares UltraShort Euro | (45,334,575 | ) | (12,263,238 | ) | ||||||||
ProShares UltraShort Yen | (17,529,013 | ) | (7,498,058 | ) | ||||||||
ProShares Ultra Euro | 2,666,172 | 364,650 | ||||||||||
ProShares Ultra Yen | 338,091 | (53,233 | ) | |||||||||
|
|
|
| |||||||||
Total Trust | $ | (442,967,392 | ) | $ | (54,146,134 | ) |
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 | $ | (26,435,234 | ) | $ | (47,541,296 | ) | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 82,162,402 | 323,609,043 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 11,304,613 | 6,941,620 | ||||||||||
ProShares VIX Short-Term Futures ETF | 31,935,990 | 84,956,040 | ||||||||||
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 | 818,140,230 | (339,187,944 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | 235,322,266 | (89,157,584 | ) | |||||||||
ProShares Ultra Gold | (39,908,073 | ) | (17,607,548 | ) | ||||||||
ProShares Ultra Silver | (186,941,909 | ) | (16,622,928 | ) | ||||||||
ProShares UltraShort Bloomberg Crude Oil | (142,631,216 | ) | 113,723,566 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | (389,138,752 | ) | 116,857,361 | |||||||||
ProShares UltraShort Gold | 3,237,425 | 3,173,923 | ||||||||||
ProShares UltraShort Silver | 8,252,893 | 1,570,887 | ||||||||||
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 | (2,505,776 | ) | (513,883 | ) | ||||||||
ProShares Ultra Yen | (2,532,839 | ) | (2,005 | ) | ||||||||
ProShares UltraShort Euro | 16,693,971 | 3,049,081 | ||||||||||
ProShares UltraShort Yen | 14,877,216 | (444,812 | ) | |||||||||
Combined Trust: | $ | 431,833,207 | $ | 142,803,521 |
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.
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 | $ | 11,240,991 | $ | — | $ | 11,240,991 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,438,294 | — | 1,438,294 | ||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 867 | — | 867 | 223,579 | — | 223,579 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 10,343,189 | — | 10,343,189 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 21,616,739 | — | 21,616,739 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 8,894 | — | 8,894 | 589,315 | — | 589,315 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,585,136 | — | 1,585,136 | 136,808 | — | 136,808 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 649,016 | — | 649,016 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 1,014,468 | — | 1,014,468 | — | — | — | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 969,376 | — | 969,376 | 48,770 | — | 48,770 |
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 September 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. | $ | 1,869,634 | $ | (1,869,634 | ) | $ | — | $ | — | |||||||
Goldman Sachs International | 2,324,555 | (2,324,555 | ) | — | — | |||||||||||
Morgan Stanley & Co. | ||||||||||||||||
International PLC | 1,607,761 | (1,368,876 | ) | (238,885 | ) | — | ||||||||||
Societe Generale | 1,776,923 | (1,776,923 | ) | — | — | |||||||||||
UBS AG | 3,662,118 | (3,662,118 | ) | — | — | |||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||
Citibank, N.A. | (706,090 | ) | — | 706,090 | — | |||||||||||
Goldman Sachs International | (482,438 | ) | — | 482,438 | — | |||||||||||
Societe Generale | (245,972 | ) | — | 245,972 | — | |||||||||||
UBS AG | (3,794 | ) | — | 3,794 | — | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | (136,003 | ) | — | 136,003 | — | |||||||||||
UBS AG | (86,709 | ) | — | 86,709 | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (4,441,216 | ) | — | 4,441,216 | — | |||||||||||
Goldman Sachs International | (2,109,437 | ) | — | 2,109,437 | — | |||||||||||
UBS AG | (3,792,536 | ) | — | 3,792,536 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | (7,524,763 | ) | — | 7,524,763 | — | |||||||||||
Goldman Sachs International | (994,790 | ) | — | 994,790 | — | |||||||||||
Morgan Stanley & Co. International PLC | (6,749,262 | ) | — | 6,749,262 | — | |||||||||||
UBS AG | (6,347,924 | ) | — | 6,347,924 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (268,253 | ) | — | 268,253 | — | |||||||||||
UBS AG | (312,168 | ) | — | 312,168 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | 763,505 | (763,505 | ) | — | — | |||||||||||
UBS AG | 684,823 | (684,823 | ) | — | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 149,583 | — | — | 149,583 | ||||||||||||
Goldman Sachs International | 196,202 | — | — | 196,202 | ||||||||||||
UBS AG | 303,231 | (262,149 | ) | — | 41,082 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | 120,165 | — | — | 120,165 | ||||||||||||
Goldman Sachs International | 437,748 | (344,363 | ) | — | 93,385 | |||||||||||
Morgan Stanley & Co. International PLC | 345,878 | — | — | 345,878 | ||||||||||||
UBS AG | 110,677 | — | — | 110,677 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 406,284 | (331,699 | ) | — | 74,585 | |||||||||||
UBS AG | 514,322 | (290,824 | ) | — | 223,498 |
under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2016:
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 |
Three Months Ended | Nine Months Ended | |||||||
Fund | September 30, 2023 | September 30, 2023 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 41,549 | $ | 203,485 | ||||
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 | 248,309 | 1,068,660 | ||||||
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 | 6,068 | 21,579 | ||||||
ProShares VIX Short-Term Futures ETF | 47,895 | 215,117 | ||||||
Combined Trust: | $ | 343,821 | $ | 1,508,841 |
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 June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Net investment income (loss) | 0.60 | 0.16 | 0.38 | 0.10 | 0.47 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 0.97 | 11.34 | (15.86 | ) | (0.82 | ) | (6.08 | ) | (2.46 | ) | ||||||||||||||
Change in net asset value from operations | 1.57 | 11.50 | (15.48 | ) | (0.72 | ) | (5.61 | ) | (2.28 | ) | ||||||||||||||
Net asset value, at September 30, 2023 | $ | 86.25 | $ | 35.24 | $ | 54.00 | $ | 10.87 | $ | 52.75 | $ | 24.76 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 86.34 | $ | 35.28 | $ | 54.38 | $ | 10.85 | $ | 52.60 | $ | 24.61 | ||||||||||||
Total Return, at net asset value^ | 1.9 | % | 48.4 | % | (22.3 | )% | (6.2 | )% | (9.6 | )% | (8 .4 | )% | ||||||||||||
Total Return, at market value^ | 2.0 | % | 49.2 | % | (21.2 | )% | (6.6 | )% | (9.7 | )% | (8.7 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.16 | % | 0.98 | % | 1 .26 | % | 0.95 | % | 0.96 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.77 | % | 2.13 | % | 2 .49 | % | 3.56 | % | 3.22 | % | 2.58 | % |
* | 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 September 30, |
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 | % |
For the Three 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 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) |
For the Three Months Ended September 30, 2017 (unaudited)
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 | )% |
Selected data for a Share outstanding throughout the three months ended September 30, 2016:
For the Three Months Ended September 30, 2016 (unaudited)
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 June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Net investment income (loss) | 0.09 | 0.25 | 0.17 | 0.45 | 0.26 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (2.37 | ) | (2.64 | ) | (8.93 | ) | 5.95 | 2.07 | 3.01 | |||||||||||||||
Change in net asset value from operations | (2.28 | ) | (2.39 | ) | (8.76 | ) | 6.40 | 2.33 | 3.24 | |||||||||||||||
Net asset value, at September 30, 2023 | $ | 16.20 | $ | 25.01 | $ | 16.86 | $ | 61.46 | $ | 31.43 | $ | 32.14 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 16.21 | $ | 25.00 | $ | 16.82 | $ | 61.04 | $ | 31.43 | $ | 32.20 | ||||||||||||
Total Return, at net asset value^ | (12.4 | )% | (8.7 | )% | (34.2 | )% | 11.6 | % | 8 .0 | % | 11.2 | % | ||||||||||||
Total Return, at market value^ | (12.3 | )% | (8.8 | )% | (34.6 | )% | 10.1 | % | 8 .0 | % | 11.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.68 | % | 0.95 | % | 1.04 | % | 1.44 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.16 | % | 3.66 | % | 3.47 | % | 3.16 | % | 3.51 | % | 3.13 | % |
* | 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 September 30, |
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 | )% |
For the Three 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 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 | UltraShort Silver | UltraShort Yen | VIX Mid-Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Net investment income (loss) | 0.14 | 0.61 | 0.17 | 0.19 | ||||||||||||
Net realized and unrealized gain (loss)# | 0.81 | 6.53 | (1.24 | ) | (1.83 | ) | ||||||||||
Change in net asset value from operations | 0.95 | 7.14 | (1.07 | ) | (1.64 | ) | ||||||||||
Net asset value, at September 30, 2023 | $ | 21.44 | $ | 75.08 | $ | 19.42 | $ | 23.31 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Market value per share, at September 30, 2023 † | $ | 21.55 | $ | 75.08 | $ | 19.41 | $ | 23.30 | ||||||||
Total Return, at net asset value^ | 4.6 | % | 10.5 | % | (5.2 | )% | (6.6 | )% | ||||||||
Total Return, at market value^ | 4.7 | % | 10.5 | % | (5.2 | )% | (6.6 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.12 | % | 0.95 | % | 0.99 | % | 1.04 | % | ||||||||
Net investment income gain (loss) | 2.98 | % | 3.48 | % | 3.35 | % | 3.27 | % |
* | 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 September 30, |
2022
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 | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Net investment income (loss) | (0.01 | ) | 0.01 | 0.58 | 0.00 | (1) | 0.05 | 0.00 | (2) | |||||||||||||||
Net realized and unrealized gain (loss)# | 0.38 | (15.41 | ) | 273.12 | (1.51 | ) | (9.44 | ) | (3.94 | ) | ||||||||||||||
Change in net asset value from operations | 0.37 | (15.40 | ) | 273.70 | (1.51 | ) | (9.39 | ) | (3.94 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 1064.40 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 1073.20 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | 0.8 | % | (37.0 | )% | 34.6 | % | (13.7 | )% | (16.6 | )% | (15.9 | )% | ||||||||||||
Total Return, at market value^ | 0.8 | % | (37.3 | )% | 27.5 | % | (13.9 | )% | (16.9 | )% | (15.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1 .01 | % | 1 .16 | % | 0.96 | % | 0.97 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.09 | )% | 0 .07 | % | 0 .15 | % | 0.16 | % | 0.38 | % | (0.02 | )% |
* | See Note 1 of these Notes to Financial Statements. |
# | 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 |
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 | )% |
^ | Percentages are not annualized for the period ended September 30, |
^^ | 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. |
(1) | Amount represents less than $0.005. |
(2) | Amount represents greater than $(0.005). |
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 June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Net investment income (loss) | (0.04 | ) | 0.01 | 0.02 | 0.00 | (1) | 0.01 | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain (loss)# | (16.35 | ) | (4.49 | ) | 7.28 | (25.30 | ) | 4.45 | 5.64 | |||||||||||||||
Change in net asset value from operations | (16.39 | ) | (4.48 | ) | 7.30 | (25.30 | ) | 4.46 | 5.63 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 128.74 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 128.50 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | (11.3 | )% | (13.3 | )% | 31.7 | % | (59.3 | )% | 14.7 | % | 17.9 | % | ||||||||||||
Total Return, at market value^ | (11.6 | )% | (13.2 | )% | 32.1 | % | (57.0 | )% | 14.7 | % | 18.1 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .46 | % | 0.96 | % | 1.11 | % | 1 .25 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.14 | )% | 0.18 | % | 0.32 | % | (0.01 | )% | 0.12 | % | (0.11 | )% |
* | 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 |
The returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Crude Oil ETF.
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 | )% |
^ | Percentages are not annualized for the period ended September 30, |
Selected data for a Share outstanding throughout the nine months ended September 30, 2016:
(1) Amount represents greater than $(0.005).
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 June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Net investment income (loss) | (0.02 | ) | 0.01 | 0.00 | (1) | 0.05 | ||||||||||
Net realized and unrealized gain (loss)# | 2.34 | 7.97 | 0.19 | (5.63 | ) | |||||||||||
Change in net asset value from operations | 2.32 | 7.98 | 0.19 | (5.58 | ) | |||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 85.51 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 85.50 | ||||||||
Total Return, at net asset value^ | 7 .3 | % | 14.0 | % | 0 .6 | % | (6.1 | )% | ||||||||
Total Return, at market value^ | 6 .1 | % | 13.8 | % | 0 .3 | % | (6.3 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.96 | % | 0.93 | % | 1.11 | % | ||||||||
Net investment income gain (loss) | (0.19 | )% | 0.07 | % | (0.01 | )% | 0.25 | % |
* | 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 September 30, |
(1) Amount represents greater than $(0.005).
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 | )% |
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 | )% |
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) | 1.41 | 0.43 | 1.18 | 0.27 | 1.33 | 0.57 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 26.13 | 4.55 | (310.26 | ) | (0.67 | ) | (3.67 | ) | (7.56 | ) | ||||||||||||||
Change in net asset value from operations | 27.54 | 4.98 | (309.08 | ) | (0.40 | ) | (2.34 | ) | (6.99 | ) | ||||||||||||||
Net asset value, at September 30, 2023 | $ | 86.25 | $ | 35.24 | $ | 54.00 | $ | 10.87 | $ | 52.75 | $ | 24.76 | ||||||||||||
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 September 30, 2023 † | $ | 86.34 | $ | 35.28 | $ | 54.38 | $ | 10.85 | $ | 52.60 | $ | 24.61 | ||||||||||||
Total Return, at net asset value^ | 46.9 | % | 16.5 | % | (85.1 | )% | (3.5 | )% | (4.3 | )% | (22.0 | )% | ||||||||||||
Total Return, at market value^ | 47.1 | % | 16.4 | % | (84.7 | )% | (3.6 | )% | (4.8 | )% | (23.1 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.15 | % | 0.99 | % | 1 .38 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 2.59 | % | 2.12 | % | 2 .16 | % | 3.19 | % | 2.98 | % | 2.63 | % |
* | 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 September 30, |
^^ | 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, 2022 | $ | 68.69 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.40 | 0.74 | 0.53 | 1.11 | 0.70 | 0.61 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (52.89 | ) | (10.27 | ) | (7.60 | ) | 33.35 | 1.27 | 0.43 | |||||||||||||||
Change in net asset value from operations | (52.49 | ) | (9.53 | ) | (7.07 | ) | 34.46 | 1.97 | 1.04 | |||||||||||||||
Net asset value, at September 30, 2023 | $ | 16.20 | $ | 25.01 | $ | 16.86 | $ | 61.46 | $ | 31.43 | $ | 32.14 | ||||||||||||
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 September 30, 2023 † | $ | 16.21 | $ | 25.00 | $ | 16.82 | $ | 61.04 | $ | 31.43 | $ | 32.20 | ||||||||||||
Total Return, at net asset value^ | (76.4 | )% | (27.6 | )% | (29.6 | )% | 127.7 | % | 6.7 | % | 3.4 | % | ||||||||||||
Total Return, at market value^ | (76.4 | )% | (27.7 | )% | (29.5 | )% | 121.5 | % | 6.7 | % | 3.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .58 | % | 0 .95 | % | 1.07 | % | 1.64 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 1 .77 | % | 3 .28 | % | 3.14 | % | 2.57 | % | 3.20 | % | 2.90 | % |
* | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | 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) | 0.38 | 1.47 | 0.54 | 0.70 | ||||||||||||
Net realized and unrealized gain (loss)# | 1.60 | 19.93 | (11.53 | ) | (34.39 | ) | ||||||||||
Change in net asset value from operations | 1.98 | 21.40 | (10.99 | ) | (33.69 | ) | ||||||||||
Net asset value, at September 30, 2023 | $ | 21.44 | $ | 75.08 | $ | 19.42 | $ | 23.31 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 56.90 | ||||||||
Market value per share, at September 30, 2023 † | $ | 21.55 | $ | 75.08 | $ | 19.41 | $ | 23.30 | ||||||||
Total Return, at net asset value^ | 10.2 | % | 39.9 | % | (36.1 | )% | (59.1 | )% | ||||||||
Total Return, at market value^ | 11.7 | % | 40.2 | % | (36.1 | )% | (59.1 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.07 | % | 0.95 | % | 0 .98 | % | 1 .07 | % | ||||||||
Net investment income gain (loss) | 2.63 | % | 3.20 | % | 3 .03 | % | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | 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) | (0.31 | ) | (0.16 | ) | (5.33 | ) | (0.02 | ) | (0.19 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (12.74 | ) | 4.83 | 558.65 | (3.73 | ) | (12.43 | ) | (13.87 | ) | ||||||||||||||
Change in net asset value from operations | (13.05 | ) | 4.67 | 553.32 | (3.75 | ) | (12.62 | ) | (14.00 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 1,064.40 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
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 September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 1,073.20 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | (21.2 | )% | 21.7 | % | 108.3 | % | (28.2 | )% | (21.1 | )% | (40.2 | )% | ||||||||||||
Total Return, at market value^ | (21.1 | )% | 21.0 | % | 105.7 | % | (28.2 | )% | (21.5 | )% | (40.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .23 | % | 1.04 | % | 1 .24 | % | 0.95 | % | 0 .99 | % | 0 .99 | % | ||||||||||||
Net investment income gain (loss) | (0.80 | )% | (0.59 | )% | (0 .58 | )% | (0.27 | )% | (0.43 | )% | (0.56 | )% |
* | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | 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) | (0.94 | ) | (0.04 | ) | (0.07 | ) | (0.14 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 5.62 | (18.22 | ) | (33.85 | ) | (229.91 | ) | 9.08 | 5.60 | |||||||||||||||
Change in net asset value from operations | 4.68 | (18.26 | ) | (33.92 | ) | (230.05 | ) | 9.00 | 5.47 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 128.74 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
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 September 30, 2022 † | $ | 128.50 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | 3.7 | % | (38.6 | )% | (52.8 | )% | (93.0 | )% | 34.8 | % | 17.3 | % | ||||||||||||
Total Return, at market value^ | 3.4 | % | (38.6 | )% | (52.5 | )% | (92.9 | )% | 34.9 | % | 17.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.57 | % | 0.96 | % | 1.15 | % | 1.38 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.97 | )% | (0.15 | )% | (0.38 | )% | (0.77 | )% | (0.37 | )% | (0.56 | )% |
* | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | 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 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) | (0.13 | ) | (0.16 | ) | (0.15 | ) | (0.35 | ) | ||||||||
Net realized and unrealized gain (loss)# | 7.42 | 23.70 | 5.02 | 10.24 | ||||||||||||
Change in net asset value from operations | 7.29 | 23.54 | 4.87 | 9.89 | ||||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 85.51 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 75.85 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 85.50 | ||||||||
Total Return, at net asset value^ | 27.2 | % | 56.7 | % | 15.9 | % | 13.1 | % | ||||||||
Total Return, at market value^ | 27.2 | % | 56.7 | % | 16.1 | % | 12.7 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.95 | % | 0.99 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.63 | )% | (0.40 | )% | (0.59 | )% | (0.56 | )% |
* | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | 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. |
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.
negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or 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 September 30, 2023 | Interest Income Three Months Ended September 30, 2022 | Interest Income Nine Months Ended September 30, 2023 | Interest Income Nine Months Ended September 30, 2022 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||
ProShares Ultra Bloomberg Crude Oil | 5,340,428 | 2,391,191 | 17,226,428 | 3,964,082 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 9,098,504 | 909,204 | 26,923,732 | 1,095,255 | ||||||||||||
ProShares Ultra Euro | 80,746 | 36,856 | 266,165 | 47,965 | ||||||||||||
ProShares Ultra Gold | 1,837,846 | 678,282 | 5,470,056 | 1,092,549 | ||||||||||||
ProShares Ultra Silver | 3,343,905 | 824,171 | 10,419,483 | 1,386,134 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 3,255,531 | 3,945,136 | 12,422,781 | 4,471,067 | ||||||||||||
ProShares Ultra Yen | 174,354 | 25,362 | 409,452 | 29,299 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 2,609,417 | 1,748,548 | 6,172,654 | 2,091,754 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,476,050 | 953,050 | 4,007,691 | 1,131,063 | ||||||||||||
ProShares UltraShort Euro | 523,684 | 230,824 | 1,764,550 | 285,240 | ||||||||||||
ProShares UltraShort Gold | 142,707 | 72,261 | 459,321 | 101,921 | ||||||||||||
ProShares UltraShort Silver | 337,096 | 63,222 | 860,908 | 90,885 | ||||||||||||
ProShares UltraShort Yen | 274,125 | 115,191 | 733,679 | 151,503 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 597,040 | 220,211 | 1,895,545 | 296,960 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 2,271,345 | 1,400,201 | 6,832,197 | 1,678,813 |
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 September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 282,353,267 | $ | 403,644,956 | ||||
NAV end of period | $ | 261,698,747 | $ | 321,831,051 | ||||
Percentage change in NAV | (7.3) | % | (20.3) | % | ||||
Shares outstanding beginning of period | 3,334,307 | 8,384,307 | ||||||
Shares outstanding end of period | 3,034,307 | 6,634,307 | ||||||
Percentage change in shares outstanding | (9.0) | % | (20.9) | % | ||||
Shares created | 650,000 | 450,000 | ||||||
Shares redeemed | 950,000 | 2,200,000 | ||||||
Per share NAV beginning of period | $ | 84.68 | $ | 48.14 | ||||
Per share NAV end of period | $ | 86.25 | $ | 48.51 | ||||
Percentage change in per share NAV | 1.9 | % | 0.8 | % | ||||
Percentage change in benchmark | (6.1) | % | (5.7) | % | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
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 to
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.
2023.
2023.
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 |
2022:
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,851,366 | $ | (90,304 | ) | |||
Management fee | 634,871 | 914,054 | ||||||
Brokerage commission | 137,943 | 152,661 | ||||||
Futures account fees | — | 23,966 | ||||||
Non-recurring fees and expenses | — | 6,122 | ||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | ||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | ||||
Net Income (loss) | $ | 5,819,542 | $ | 10,134,080 |
2023.
Bloomberg Crude Oil
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 | % |
2022:
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
NAV end of period | $ | 604,124,332 | $ | 724,595,262 | ||||
Percentage change in NAV | (18.2 | )% | (31.7 | )% | ||||
Shares outstanding beginning of period | 31,093,096 | 25,493,096 | ||||||
Shares outstanding end of period | 17,143,096 | 27,643,096 | ||||||
Percentage change in shares outstanding | (44.9 | )% | 8.4 | % | ||||
Shares created | — | 10,400,000 | ||||||
Shares redeemed | 13,950,000 | 8,250,000 | ||||||
Per share NAV beginning of period | $ | 23.74 | $ | 41.61 | ||||
Per share NAV end of period | $ | 35.24 | $ | 26.21 | ||||
Percentage change in per share NAV | 48.4 | % | (37.0 | )% | ||||
Percentage change in benchmark | 22.1 | % | (18.6 | )% | ||||
Benchmark annualized volatility | 18.4 | % | 42.8 | % |
2022.
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 3,659,529 | $ | 153,992 | ||||
Management fee | 1,629,737 | 2,118,088 | ||||||
Brokerage commission | 51,162 | 85,906 | ||||||
Futures account fees | — | 19,466 | ||||||
Non-recurring fees and expenses | — | 13,739 | ||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | |||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | |||||
Net Income (loss) | $ | 276,386,744 | $ | (377,673,114 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
NAV end of period | $ | 870,339,281 | $ | 289,386,097 | ||||
Percentage change in NAV | (23.7 | )% | 54.5 | % | ||||
Shares outstanding beginning of period | 16,421,876 | 236,876 | ||||||
Shares outstanding end of period | 16,118,544 | 271,876 | ||||||
Percentage change in shares outstanding | (1.8 | )% | 14.8 | % | ||||
Shares created | 12,950,000 | 300,000 | ||||||
Shares redeemed | 13,253,332 | 265,000 | ||||||
Per share NAV beginning of period | $ | 69.48 | $ | 790.70 | ||||
Per share NAV end of period | $ | 54.00 | $ | 1064.40 | ||||
Percentage change in per share NAV | (22.3 | )% | 34.6 | % | ||||
Percentage change in benchmark | (9.2 | )% | 25.3 | % | ||||
Benchmark annualized volatility | 39.6 | % | 76.6 | % |
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 September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 6,034,053 | $ | 104,679 | ||||
Management fee | 2,303,082 | 658,525 | ||||||
Brokerage commission | 629,541 | 97,589 | ||||||
Futures account fees | 131,828 | 43,620 | ||||||
Non-recurring fees and expenses | — | 4,791 | ||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | |||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | |||||
Net Income (loss) | $ | (167,358,156 | ) | $ | 91,432,909 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 7,535,435 | $ | 9,415,626 | ||||
NAV end of period | $ | 6,523,481 | $ | 13,869,371 | ||||
Percentage change in NAV | (13.4 | )% | 47.3 | % | ||||
Shares outstanding beginning of period | 650,000 | 850,000 | ||||||
Shares outstanding end of period | 600,000 | 1,450,000 | ||||||
Percentage change in shares outstanding | (7.7 | )% | 70.6 | % | ||||
Shares created | — | 700,000 | ||||||
Shares redeemed | 50,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 11.59 | $ | 11.08 | ||||
Per share NAV end of period | $ | 10.87 | $ | 9.57 | ||||
Percentage change in per share NAV | (6.2 | )% | (13.7 | )% | ||||
Percentage change in benchmark | (3.1 | )% | (6.0 | )% | ||||
Benchmark annualized volatility | 6.7 | % | 10.5 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 63,747 | $ | 5,288 | ||||
Management fee | 16,999 | 31,331 | ||||||
Non-recurring fees and expenses | — | 237 | ||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | ||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | ||||
Net Income (loss) | $ | (421,038 | ) | $ | (1,708,105 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 180,916,531 | $ | 239,938,853 | ||||
NAV end of period | $ | 147,696,557 | $ | 160,022,292 | ||||
Percentage change in NAV | (18.4 | )% | (33.3 | )% | ||||
Shares outstanding beginning of period | 3,100,000 | 4,250,000 | ||||||
Shares outstanding end of period | 2,800,000 | 3,400,000 | ||||||
Percentage change in shares outstanding | (9.7 | )% | (20.0 | )% | ||||
Shares created | 50,000 | 50,000 | ||||||
Shares redeemed | 350,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 58.36 | $ | 56.46 | ||||
Per share NAV end of period | $ | 52.75 | $ | 47.07 | ||||
Percentage change in per share NAV | (9.6 | )% | (16.6 | )% | ||||
Percentage change in benchmark | (3.9 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 9.5 | % | | 13.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,415,082 | $ | 191,709 | ||||
Management fee | 417,418 | 475,457 | ||||||
Brokerage commission | 5,346 | 8,176 | ||||||
Non-recurring fees and expenses | — | 2,940 | ||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | ||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | |||||
Net Income (loss) | $ | (16,001,469 | ) | $ | (37,411,752 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 356,791,659 | $ | 355,577,515 | ||||
NAV end of period | $ | 327,996,075 | $ | 323,970,863 | ||||
Percentage change in NAV | (8.1 | )% | (8.9 | )% | ||||
Shares outstanding beginning of period | 13,196,526 | 14,346,526 | ||||||
Shares outstanding end of period | 13,246,526 | 15,546,526 | ||||||
Percentage change in shares outstanding | 0.4 | % | 8.4 | % | ||||
Shares created | 1,500,000 | 2,450,000 | ||||||
Shares redeemed | 1,450,000 | 1,250,000 | ||||||
Per share NAV beginning of period | $ | 27.04 | $ | 24.78 | ||||
Per share NAV end of period | $ | 24.76 | $ | 20.84 | ||||
Percentage change in per share NAV | (8.4 | )% | (15.9 | )% | ||||
Percentage change in benchmark | (2.6 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 23.4 | % | 31.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,424,022 | $ | (15,349 | ) | |||
Management fee | 892,009 | 798,802 | ||||||
Brokerage commission | 27,874 | 34,796 | ||||||
Non-recurring fees and expenses | — | 5,922 | ||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | ||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | ||||||
Net Income (loss) | $ | (27,609,114 | ) | $ | (55,929,191 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 387,764,059 | $ | 975,683,533 | ||||
NAV end of period | $ | 283,050,691 | $ | 995,489,778 | ||||
Percentage change in NAV | (27.0 | )% | 2.0 | % | ||||
Shares outstanding beginning of period | 20,977,842 | 6,722,842 | ||||||
Shares outstanding end of period | 17,474,459 | 7,732,842 | ||||||
Percentage change in shares outstanding | (16.7 | )% | 15.0 | % | ||||
Shares created | 13,400,000 | 9,340,000 | ||||||
Shares redeemed | 16,903,383 | 8,330,000 | ||||||
Per share NAV beginning of period | $ | 18.48 | $ | 145.13 | ||||
Per share NAV end of period | $ | 16.20 | $ | 128.74 | ||||
Percentage change in per share NAV | (12.4 | )% | (11.3 | )% | ||||
Percentage change in benchmark | (6.1 | )% | (5.7 | )% | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,830,246 | $ | (402,633 | ) | |||
Management fee | 803,793 | 2,831,005 | ||||||
Brokerage commission | 517,699 | 1,276,819 | ||||||
Futures account fees | 103,793 | 219,828 | ||||||
Non-recurring fees and expenses | — | 20,117 | ||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | ||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | ||||||
Net Income (loss) | $ | (31,902,791 | ) | $ | (128,531,104 | ) |
* | 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 |
Ultra Yen
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 121,175,298 | $ | 165,504,746 | ||||
NAV end of period | $ | 238,227,025 | $ | 189,577,580 | ||||
Percentage change in NAV | 96.6 | % | 14.5 | % | ||||
Shares outstanding beginning of period | 2,789,884 | 4,039,884 | ||||||
Shares outstanding end of period | 7,089,884 | 4,739,884 | ||||||
Percentage change in shares outstanding | 154.1 | % | 17.3 | % | ||||
Shares created | 5,400,000 | 3,100,000 | ||||||
Shares redeemed | 1,100,000 | 2,400,000 | ||||||
Per share NAV beginning of period | $ | 43.43 | $ | 40.97 | ||||
Per share NAV end of period | $ | 33.60 | $ | 40.00 | ||||
Percentage change in per share NAV | (22.6 | )% | (2.4 | )% | ||||
Percentage change in benchmark | 11.2 | % | (5.0 | )% | ||||
Benchmark annualized volatility | 25.6 | % | 40.5 | % |
2022:
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 12,330,974 | $ | 5,024,773 | ||||
NAV end of period | $ | 17,508,248 | $ | 10,159,189 | ||||
Percentage change in NAV | 42.0 | % | 102.2 | % | ||||
Shares outstanding beginning of period | 449,970 | 149,970 | ||||||
Shares outstanding end of period | 699,970 | 349,970 | ||||||
Percentage change in shares outstanding | 55.6 | % | 133.4 | % | ||||
Shares created | 300,000 | 250,000 | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 27.40 | $ | 33.51 | ||||
Per share NAV end of period | $ | 25.01 | $ | 29.03 | ||||
Percentage change in per share NAV | (8.7 | )% | (13.3 | )% | ||||
Percentage change in benchmark | (3.4 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 138,386 | $ | 3,923 | ||||
Management fee | 35,968 | 21,245 | ||||||
Non-recurring fees and expenses | — | 194 | ||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | ||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | |||||
Net Income (loss) | $ | (1,439,178 | ) | $ | (1,663,348 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 112,854,952 | $ | 501,157,304 | ||||
NAV end of period | $ | 296,776,466 | $ | 368,791,089 | ||||
Percentage change in NAV | 163.0 | % | (26.4 | )% | ||||
Shares outstanding beginning of period | 4,405,220 | 21,755,220 | ||||||
Shares outstanding end of period | 17,605,220 | 12,155,220 | ||||||
Percentage change in shares outstanding | 299.6 | % | (44.1 | )% | ||||
Shares created | 17,250,000 | 11,050,000 | ||||||
Shares redeemed | 4,050,000 | 20,650,000 | ||||||
Per share NAV beginning of period | $ | 25.62 | $ | 23.04 | ||||
Per share NAV end of period | $ | 16.86 | $ | 30.34 | ||||
Percentage change in per share NAV | (34.2 | )% | 31.7 | % | ||||
Percentage change in benchmark | 22.1 | % | (18.6 | )% | ||||
Benchmark annualized volatility | 18.4 | % | 42.8 | % |
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 September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,006,197 | $ | 392,570 | ||||
Management fee | 548,671 | 1,160,746 | ||||||
Brokerage commission | 54,549 | 148,121 | ||||||
Futures account fees | — | 39,563 | ||||||
Non-recurring fees and expenses | — | 7,548 | ||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | |||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | |||||
Net Income (loss) | $ | (83,776,922 | ) | $ | 143,825,404 |
2023.
UltraShort Bloomberg Natural Gas
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.
Three Months Ended September 30, 2017 | ||||
NAV beginning of period | $ | 5,292,315 | ||
NAV end of period | $ | 15,768,728 | ||
Percentage change in NAV | 198.0 | % | ||
Shares outstanding beginning of period | 200,008 | |||
Shares outstanding end of period | 900,008 | |||
Percentage change in shares outstanding | 350.0 | % | ||
Shares created | 700,000 | |||
Shares redeemed | — | |||
Per share NAV beginning of period | $ | 26.46 | ||
Per share NAV end of period | $ | 17.52 | ||
Percentage change in per share NAV | (33.8 | )% | ||
Percentage change in benchmark | 11.2 | % | ||
Benchmark annualized volatility | 25.6 | % |
2023 and 2022:
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 141,324,963 | $ | 211,823,446 | ||||
NAV end of period | $ | 111,663,062 | $ | 242,389,998 | ||||
Percentage change in NAV | (21.0 | )% | 14.4 | % | ||||
Shares outstanding beginning of period | 2,566,856 | 4,966,856 | ||||||
Shares outstanding end of period | 1,816,856 | 13,966,856 | ||||||
Percentage change in shares outstanding | (29.2 | )% | 181.2 | % | ||||
Shares created | 5,500,000 | 58,900,000 | ||||||
Shares redeemed | 6,250,000 | 49,900,000 | ||||||
Per share NAV beginning of period | $ | 55.06 | $ | 42.65 | ||||
Per share NAV end of period | $ | 61.46 | $ | 17.35 | ||||
Percentage change in per share NAV | 11.6 | % | (59.3 | )% | ||||
Percentage change in benchmark | (9.2 | )% | 25.3 | % | ||||
Benchmark annualized volatility | 39.6 | % | 76.6 | % |
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 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
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 September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,013,760 | $ | (5,144 | ) | |||
Management fee | 304,567 | 730,949 | ||||||
Brokerage commission | 133,782 | 173,386 | ||||||
Futures account fees | 23,941 | 48,485 | ||||||
Non-recurring fees and expenses | — | 5,374 | ||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | |||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | |||||
Net Income (loss) | $ | 34,301,957 | $ | (15,356,761 | ) |
2023.
Euro
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 September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 50,931,301 | $ | 62,270,097 | ||||
NAV end of period | $ | 44,004,408 | $ | 90,584,278 | ||||
Percentage change in NAV | (13.6 | )% | 45.5 | % | ||||
Shares outstanding beginning of period | 1,750,000 | 2,050,000 | ||||||
Shares outstanding end of period | 1,400,000 | 2,600,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | 26.8 | % | ||||
Shares created | — | 1,100,000 | ||||||
Shares redeemed | 350,000 | 550,000 | ||||||
Per share NAV beginning of period | $ | 29.10 | $ | 30.38 | ||||
Per share NAV end of period | $ | 31.43 | $ | 34.84 | ||||
Percentage change in per share NAV | 8.0 | % | 14.7 | % | ||||
Percentage change in benchmark | (3.1 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 6.7 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 412,212 | $ | 25,953 | ||||
Management fee | 111,472 | 203,036 | ||||||
Non-recurring fees and expenses | — | 1,835 | ||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | |||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | |||||
Net Income (loss) | $ | 3,496,448 | $ | 10,819,843 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 15,809,378 | $ | 34,611,284 | ||||
NAV end of period | $ | 14,365,869 | $ | 29,634,725 | ||||
Percentage change in NAV | (9.1 | )% | (14.4 | )% | ||||
Shares outstanding beginning of period | 546,977 | 1,096,977 | ||||||
Shares outstanding end of period | 446,977 | 796,977 | ||||||
Percentage change in shares outstanding | (18.3 | )% | (27.3 | )% | ||||
Shares created | 100,000 | 350,000 | ||||||
Shares redeemed | 200,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 28.90 | $ | 31.55 | ||||
Per share NAV end of period | $ | 32.14 | $ | 37.18 | ||||
Percentage change in per share NAV | 11.2 | % | 17.9 | % | ||||
Percentage change in benchmark | (3.9 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 9.5 | % | 13.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 108,638 | $ | (8,595 | ) | |||
Management fee | 32,970 | 76,652 | ||||||
Brokerage commission | 1,099 | 3,565 | ||||||
Non-recurring fees and expenses | — | 639 | ||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | ||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | |||||
Net Income (loss) | $ | 1,293,456 | $ | 5,821,179 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 19,290,473 | $ | 33,052,840 | ||||
NAV end of period | $ | 16,967,517 | $ | 33,763,052 | ||||
Percentage change in NAV | (12.0 | )% | 2.1 | % | ||||
Shares outstanding beginning of period | 941,329 | 1,041,329 | ||||||
Shares outstanding end of period | 791,329 | 991,329 | ||||||
Percentage change in shares outstanding | (15.9 | )% | (4.8 | )% | ||||
Shares created | 2,950,000 | 1,000,000 | ||||||
Shares redeemed | 3,100,000 | 1,050,000 | ||||||
Per share NAV beginning of period | $ | 20.49 | $ | 31.74 | ||||
Per share NAV end of period | $ | 21.44 | $ | 34.06 | ||||
Percentage change in per share NAV | 4.6 | % | 7.3 | % | ||||
Percentage change in benchmark | (2.6 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 23.4 | % | 31.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 245,155 | $ | (13,304 | ) | |||
Management fee | 78,166 | 67,215 | ||||||
Brokerage commission | 13,775 | 8,699 | ||||||
Non-recurring fees and expenses | — | 612 | ||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | ||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | |||||
Net Income (loss) | $ | 7,228,356 | $ | 2,126,579 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 27,077,656 | $ | 45,568,882 | ||||
NAV end of period | $ | 26,172,191 | $ | 51,937,338 | ||||
Percentage change in NAV | (3.3 | )% | 14.0 | % | ||||
Shares outstanding beginning of period | 398,580 | 798,580 | ||||||
Shares outstanding end of period | 348,580 | 798,580 | ||||||
Percentage change in shares outstanding | (12.5 | )% | – | % | ||||
Shares created | — | 250,000 | ||||||
Shares redeemed | 50,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 67.94 | $ | 57.06 | ||||
Per share NAV end of period | $ | 75.08 | $ | 65.04 | ||||
Percentage change in per share NAV | 10.5 | % | 14.0 | % | ||||
Percentage change in benchmark | (3.4 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 215,363 | $ | 7,640 | ||||
Management fee | 58,762 | 106,598 | ||||||
Non-recurring fees and expenses | — | 953 | ||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | ||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | ||||
Net Income (loss) | $ | 2,235,325 | $ | 5,363,642 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 49,421,413 | $ | 95,721,271 | ||||
NAV end of period | $ | 59,968,024 | $ | 110,420,574 | ||||
Percentage change in NAV | 21.3 | % | 15.4 | % | ||||
Shares outstanding beginning of period | 2,412,403 | 2,712,403 | ||||||
Shares outstanding end of period | 3,087,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | 28.0 | % | 14.7 | % | ||||
Shares created | 850,000 | 850,000 | ||||||
Shares redeemed | 175,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 20.49 | $ | 35.29 | ||||
Per share NAV end of period | $ | 19.42 | $ | 35.48 | ||||
Percentage change in per share NAV | (5.2 | )% | 0.6 | % | ||||
Percentage change in benchmark | (4.6 | )% | 1.1 | % | ||||
Benchmark annualized volatility | 23.8 | % | 22.1 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 461,209 | $ | (1,269 | ) | |||
Management fee | 117,018 | 201,508 | ||||||
Brokerage commission | 8,822 | 17,922 | ||||||
Futures account fees | 9,991 | — | ||||||
Non-recurring fees and expenses | — | 2,050 | ||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | ||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | ||||||
Net Income (loss) | $ | (2,848,760 | ) | $ | 2,017,668 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 230,227,830 | $ | 341,714,316 | ||||
NAV end of period | $ | 211,604,428 | $ | 437,536,628 | ||||
Percentage change in NAV | (8.2 | )% | 28.0 | % | ||||
Shares outstanding beginning of period | 9,226,565 | 3,751,565 | ||||||
Shares outstanding end of period | 9,075,947 | 5,116,565 | ||||||
Percentage change in shares outstanding | (1.6 | )% | 36.4 | % | ||||
Shares created | 2,475,000 | 3,555,000 | ||||||
Shares redeemed | 2,625,618 | 2,190,000 | ||||||
Per share NAV beginning of period | $ | 24.95 | $ | 91.09 | ||||
Per share NAV end of period | $ | 23.31 | $ | 85.51 | ||||
Percentage change in per share NAV | (6.6 | )% | (6.1 | )% | ||||
Percentage change in benchmark | (6.1 | )% | (5.7 | )% | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,721,249 | $ | 259,392 | ||||
Management fee | 447,560 | 874,070 | ||||||
Brokerage commission | 58,426 | 203,095 | ||||||
Futures account fees | 44,110 | 54,944 | ||||||
Non-recurring fees and expenses | — | 8,700 | ||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | ||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | ||||||
Net Income (loss) | $ | (11,387,602 | ) | $ | 6,501,020 |
* | 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. |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 261,698,747 | $ | 321,831,051 | ||||
Percentage change in NAV | (22.9 | )% | (24.1 | )% | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 3,034,307 | 6,634,307 | ||||||
Percentage change in shares outstanding | (47.5 | )% | (3.6 | )% | ||||
Shares created | 3,650,000 | 5,050,000 | ||||||
Shares redeemed | 6,400,000 | 5,300,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 86.25 | $ | 48.51 | ||||
Percentage change in per share NAV | 46.9 | % | (21.2 | )% | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
For the threenine months ended September 30, 20172023, as compared to the Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,964,960 | $ | (2,481,226 | ) | |||
Management fee | 1,817,684 | 2,934,952 | ||||||
Brokerage commission | 387,868 | 517,911 | ||||||
Futures account fees | — | 348,217 | ||||||
Non-recurring fees and expenses | — | 6,122 | ||||||
Net realized gain (loss) | 125,091,802 | (26,521,746 | ) | |||||
Change in net unrealized appreciation (depreciation) | (13,488,869 | ) | (47,680,063 | ) | ||||
Net Income (loss) | $ | 116,567,893 | $ | (76,683,035 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 604,124,332 | $ | 724,595,262 | ||||
Percentage change in NAV | (29.7 | )% | (34.4 | )% | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 17,143,096 | 27,643,096 | ||||||
Percentage change in shares outstanding | (39.6 | )% | (46.1 | )% | ||||
Shares created | 34,650,000 | 20,700,000 | ||||||
Shares redeemed | 45,900,000 | 44,300,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 | ||||
Per share NAV end of period | $ | 35.24 | $ | 26.21 | ||||
Percentage change in per share NAV | 16.5 | % | 21.7 | % | ||||
Percentage change in benchmark | 10.5 | % | 18.7 | % | ||||
Benchmark annualized volatility | 28.0 | % | 45.6 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 11,737,266 | $ | (5,154,872 | ) | |||
Management fee | 5,249,353 | 8,301,804 | ||||||
Brokerage commission | 239,809 | 421,657 | ||||||
Futures account fees | — | 381,754 | ||||||
Non-recurring fees and expenses | — | 13,739 | ||||||
Net realized gain (loss) | 253,915,875 | 818,132,441 | ||||||
Change in net unrealized appreciation (depreciation) | (64,494,313 | ) | (339,456,270 | ) | ||||
Net Income (loss) | $ | 201,158,828 | $ | 473,521,299 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 870,339,281 | $ | 289,386,097 | ||||
Percentage change in NAV | 48.5 | % | 49.3 | % | ||||
Shares outstanding beginning of period | 1,614,376 | 379,376 | ||||||
Shares outstanding end of period | 16,118,544 | 271,876 | ||||||
Percentage change in shares outstanding | 898.4 | % | (28.3 | )% | ||||
Shares created | 45,715,000 | 755,000 | ||||||
Shares redeemed | 31,210,832 | 862,500 | ||||||
Per share NAV beginning of period | $ | 363.08 | $ | 511.08 | ||||
Per share NAV end of period | $ | 54.00 | $ | 1064.40 | ||||
Percentage change in per share NAV | (85.1 | )% | 108.3 | % | ||||
Percentage change in benchmark | (54.0 | )% | 86.6 | % | ||||
Benchmark annualized volatility | 60.8 | % | 71.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 16,444,672 | $ | (977,992 | ) | |||
Management fee | 7,220,063 | 1,589,759 | ||||||
Brokerage commission | 2,727,691 | 300,747 | ||||||
Futures account fees | 531,306 | 177,950 | ||||||
Non-recurring fees and expenses | — | 4,791 | ||||||
Net realized gain (loss) | (1,441,441,743 | ) | 235,314,633 | |||||
Change in net unrealized appreciation (depreciation) | 194,575,089 | (89,199,198 | ) | |||||
Net Income (loss) | $ | (1,230,421,982 | ) | $ | 145,137,443 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 6,523,481 | $ | 13,869,371 | ||||
Percentage change in NAV | (39.1 | )% | 60.2 | % | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 600,000 | 1,450,000 | ||||||
Percentage change in shares outstanding | (36.8 | )% | 123.1 | % | ||||
Shares created | 200,000 | 1,250,000 | ||||||
Shares redeemed | 550,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 10.87 | $ | 9.57 | ||||
Percentage change in per share NAV | (3.5 | )% | (28.2 | )% | ||||
Percentage change in benchmark | (1.2 | )% | (13.2 | )% | ||||
Benchmark annualized volatility | 7.6 | % | 9.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 205,069 | $ | (18,918 | ) | |||
Management fee | 61,096 | 66,646 | ||||||
Non-recurring fees and expenses | — | 237 | ||||||
Net realized gain (loss) | 336,185 | (2,511,725 | ) | |||||
Change in net unrealized appreciation (depreciation) | (638,368 | ) | (514,727 | ) | ||||
Net Income (loss) | $ | (97,114 | ) | $ | (3,045,370 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 147,696,557 | $ | 160,022,292 | ||||
Percentage change in NAV | (14.9 | )% | (31.3 | )% | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 2,800,000 | 3,400,000 | ||||||
Percentage change in shares outstanding | (11.1 | )% | (12.8 | )% | ||||
Shares created | 500,000 | 1,650,000 | ||||||
Shares redeemed | 850,000 | 2,150,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 52.75 | $ | 47.07 | ||||
Percentage change in per share NAV | (4.3 | )% | (21.1 | )% | ||||
Percentage change in benchmark | 1.3 | % | (9.3 | )% | ||||
Benchmark annualized volatility | 12.9 | % | 17.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,130,377 | $ | (845,479 | ) | |||
Management fee | 1,318,793 | 1,863,020 | ||||||
Brokerage commission | 20,886 | 43,899 | ||||||
Futures account fees | — | 28,169 | ||||||
Non-recurring fees and expenses | — | 2,940 | ||||||
Net realized gain (loss) | 11,092,138 | (39,908,781 | ) | |||||
Change in net unrealized appreciation (depreciation) | (22,707,149 | ) | (17,626,635 | ) | ||||
Net Income (loss) | $ | (7,484,634 | ) | $ | (58,380,895 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 327,996,075 | $ | 323,970,863 | ||||
Percentage change in NAV | (20.8 | )% | (37.1 | )% | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,246,526 | 15,546,526 | ||||||
Percentage change in shares outstanding | 1.5 | % | 5.1 | % | ||||
Shares created | 4,100,000 | 4,250,000 | ||||||
Shares redeemed | 3,900,000 | 3,500,000 | ||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 24.76 | $ | 20.84 | ||||
Percentage change in per share NAV | (22.0 | )% | (40.2 | )% | ||||
Percentage change in benchmark | (6.9 | )% | (19.0 | )% | ||||
Benchmark annualized volatility | 25.0 | % | 31.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 7,577,899 | $ | (1,839,301 | ) | |||
Management fee | 2,740,073 | 3,098,741 | ||||||
Brokerage commission | 101,511 | 94,079 | ||||||
Futures account fees | — | 26,693 | ||||||
Non-recurring fees and expenses | — | 5,922 | ||||||
Net realized gain (loss) | 5,620,169 | (186,949,626 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,446,948 | ) | (16,694,572 | ) | ||||
Net Income (loss) | $ | (83,248,880 | ) | $ | (205,483,499 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 283,050,691 | $ | 995,489,778 | ||||
Percentage change in NAV | (55.7 | )% | 21.9 | % | ||||
Shares outstanding beginning of period | 9,307,842 | 6,582,842 | ||||||
Shares outstanding end of period | 17,474,459 | 7,732,842 | ||||||
Percentage change in shares outstanding | 87.7 | % | 17.5 | % | ||||
Shares created | 34,710,000 | 23,490,000 | ||||||
Shares redeemed | 26,543,383 | 22,340,000 | ||||||
Per share NAV beginning of period | $ | 68.69 | $ | 124.06 | ||||
Per share NAV end of period | $ | 16.20 | $ | 128.74 | ||||
Percentage change in per share NAV | (76.4 | )% | 3.7 | % | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 6,553,073 | $ | (7,265,397 | ) | |||
Management fee | 3,507,644 | 7,085,920 | ||||||
Brokerage commission | 2,007,911 | 3,183,788 | ||||||
Futures account fees | 354,153 | 1,446,639 | ||||||
Non-recurring fees and expenses | — | 20,117 | ||||||
Net realized gain (loss) | (751,125,820 | ) | 81,807,278 | |||||
Change in net unrealized appreciation (depreciation) | 65,573,569 | 323,479,748 | ||||||
Net Income (loss) | $ | (678,999,178 | ) | $ | 398,021,629 |
* | 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. |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 17,508,248 | $ | 10,159,189 | ||||
Percentage change in NAV | 26.7 | % | 330.0 | % | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 699,970 | 349,970 | ||||||
Percentage change in shares outstanding | 75.0 | % | 600.4 | % | ||||
Shares created | 500,000 | 350,000 | ||||||
Shares redeemed | 200,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 25.01 | $ | 29.03 | ||||
Percentage change in per share NAV | (27.6 | )% | (38.6 | )% | ||||
Percentage change in benchmark | (12.2 | )% | (20.3 | )% | ||||
Benchmark annualized volatility | 10.2 | % | 10.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 317,594 | $ | (5,605 | ) | |||
Management fee | 91,858 | 34,710 | ||||||
Non-recurring fees and expenses | — | 194 | ||||||
Net realized gain (loss) | (2,923,720 | ) | (2,531,291 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,564,970 | ) | (3,861 | ) | ||||
Net Income (loss) | $ | (4,171,096 | ) | $ | (2,540,757 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 296,776,466 | $ | 368,791,089 | ||||
Percentage change in NAV | 33.3 | % | 223.0 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 17,605,220 | 12,155,220 | ||||||
Percentage change in shares outstanding | 89.2 | % | 584.1 | % | ||||
Shares created | 28,800,000 | 38,940,000 | ||||||
Shares redeemed | 20,500,000 | 28,561,540 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 16.86 | $ | 30.34 | ||||
Percentage change in per share NAV | (29.6 | )% | (52.8 | )% | ||||
Percentage change in benchmark | 10.5 | % | 18.7 | % | ||||
Benchmark annualized volatility | 28.0 | % | 45.6 | % |
During2023.
The benchmark’s rise of 3.3% for the three months ended September 30, 2017,2023, as compared to the benchmark’s rise of 0.1%18.7% for the threenine months ended September 30, 2016,2022, can be attributed to a greaterlesser increase in the pricevalue of spot gold in U.S. dollar termsWTI Crude Oil during the three monthsperiod ended September 30, 2017.
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:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,599,541 | $ | (1,043,095 | ) | |||
Management fee | 1,392,728 | 2,599,503 | ||||||
Brokerage commission | 180,385 | 332,256 | ||||||
Futures account fees | — | 195,542 | ||||||
Non-recurring fees and expenses | — | 7,548 | ||||||
Net realized gain (loss) | 7,884,531 | (142,631,216 | ) | |||||
Change in net unrealized appreciation (depreciation) | (35,278,737 | ) | 113,674,105 | |||||
Net Income (loss) | $ | (22,794,665 | ) | $ | (30,000,206 | ) |
2023.
Bloomberg Natural Gas
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:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 111,663,062 | $ | 242,389,998 | ||||
Percentage change in NAV | (16.7 | )% | 0.1 | % | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 1,816,856 | 13,966,856 | ||||||
Percentage change in shares outstanding | (63.4 | )% | 1,327.0 | % | ||||
Shares created | 19,350,000 | 82,240,000 | ||||||
Shares redeemed | 22,500,000 | 69,251,886 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 61.46 | $ | 17.35 | ||||
Percentage change in per share NAV | 127.7 | % | (93.0 | )% | ||||
Percentage change in benchmark | (54.0 | )% | 86.6 | % | ||||
Benchmark annualized volatility | 60.8 | % | 71.7 | % |
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 7.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.7% 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 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
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 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 $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.
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 increase 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) | $ | (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 | ) |
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 increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
ProShares UltraShort Australian Dollar
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 | $ | 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 | % |
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 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 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 inverse of the daily performance of the spot price of the Australian dollar 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 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 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. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,049,290 outstanding Shares at June 30, 2016 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 three 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 0.3%127.7% for the threenine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decrease of 4.5%93.0% for the threenine months ended September 30, 2016,2022, was primarily due to an appreciation in the value of the assets held by the Fund during the threenine months ended September 30, 2017.
During2023.
The benchmark’s decline of 0.03% for the three months ended September 30, 2017,2023, as compared to the benchmark’s rise of 1.8%86.6% for the threenine months ended September 30, 2016,2022, can be attributed to a declinedecrease in the value of the Japanese yen versus the U.S. dollarHenry Hub Natural Gas during the three monthsperiod ended September 30, 2017.
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:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,446,610 | $ | (1,452,942 | ) | |||
Management fee | 903,703 | 1,784,017 | ||||||
Brokerage commission | 577,070 | 539,244 | ||||||
Futures account fees | 80,308 | 255,370 | ||||||
Non-recurring fees and expenses | — | 5,374 | ||||||
Net realized gain (loss) | 221,345,184 | (389,255,425 | ) | |||||
Change in net unrealized appreciation (depreciation) | (62,123,076 | ) | 116,824,672 | |||||
Net Income (loss) | $ | 161,668,718 | $ | (273,883,695 | ) |
2023.
UltraShort Euro
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:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 44,004,408 | $ | 90,584,278 | ||||
Percentage change in NAV | (41.4 | )% | 66.9 | % | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 1,400,000 | 2,600,000 | ||||||
Percentage change in shares outstanding | (45.1 | )% | 23.8 | % | ||||
Shares created | 100,000 | 1,650,000 | ||||||
Shares redeemed | 1,250,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 31.43 | $ | 34.84 | ||||
Percentage change in per share NAV | 6.7 | % | 34.8 | % | ||||
Percentage change in benchmark | (1.2 | )% | (13.2 | )% | ||||
Benchmark annualized volatility | 7.6 | % | 9.4 | % |
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 (before fees and expenses) that correspond to 2x of 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
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 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, 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 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, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000 outstanding Shares at December 31, 2016 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 to the inverse 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 decrease in the Fund’s NAV resultedan increase from a decrease from 25,300,0802,100,000 outstanding Shares at December 31, 20152021 to 13,900,0002,600,000 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.
2022.
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%6.7% for the nine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%34.8% for the nine months ended September 30, 2016,2022, was primarily due to ana lesser appreciation in the value of the assets ofheld 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 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:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,360,409 | $ | (184,021 | ) | |||
Management fee | 404,141 | 467,426 | ||||||
Non-recurring fees and expenses | — | 1,835 | ||||||
Net realized gain (loss) | (2,576,119 | ) | 16,904,945 | |||||
Change in net unrealized appreciation (depreciation) | 3,904,782 | 3,015,661 | ||||||
Net Income (loss) | $ | 2,689,072 | $ | 19,736,585 |
ProShares UltraPro 3x Short 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 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 | ||||
NAV beginning of period | $ | 200 | ||
NAV end of period | $ | 15,768,728 | ||
Percentage change in NAV | NM | |||
Shares outstanding beginning of period | 8 | |||
Shares outstanding end of period | 900,008 | |||
Percentage change in shares outstanding | NM | |||
Shares created | 1,050,008 | |||
Shares redeemed | 150,000 | |||
Per share NAV beginning of period | $ | 25.00 | ||
Per share NAV end of period | $ | 17.52 | ||
Percentage change in per share NAV | (29.9 | )% | ||
Percentage change in benchmark | (4.8 | )% | ||
Benchmark annualized volatility | 26.1 | % |
NM — Not Meaningful
During 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/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) | $ | (59,643 | ) | |
Brokerage commission | 17,296 | |||
Offering costs | 77,250 | |||
Limitation by Sponsor | (34,903 | ) | ||
Net realized gain (loss) | 232,006 | |||
Change in net unrealized appreciation/depreciation | (2,423,370 | ) | ||
Net income (loss) | $ | (2,251,007 | ) |
2023.
Gold
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 4,038,794 | $ | 10,462,856 | ||||
NAV end of period | $ | 5,921,434 | $ | 6,349,132 | ||||
Percentage change in NAV | 46.6 | % | (39.3 | )% | ||||
Shares outstanding beginning of period | 174,832 | 224,856 | ||||||
Shares outstanding end of period | 174,832 | 174,832 | ||||||
Percentage change in shares outstanding | 0.0 | % | (22.2 | )% | ||||
Shares created | 300,000 | 850,000 | ||||||
Shares redeemed | 300,000 | 900,024 | ||||||
Per share NAV beginning of period | $ | 23.10 | $ | 46.53 | ||||
Per share NAV end of period | $ | 33.87 | $ | 36.32 | ||||
Percentage change in per share NAV | 46.6 | % | (21.9 | )% | ||||
Percentage change in benchmark | (27.9 | )% | (5.9 | )% | ||||
Benchmark annualized volatility | 34.64 | % | 39.6 | % |
2022:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 14,365,869 | $ | 29,634,725 | ||||
Percentage change in NAV | (7.1 | )% | 10.3 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 446,977 | 796,977 | ||||||
Percentage change in shares outstanding | (10.1 | )% | (5.9 | )% | ||||
Shares created | 700,000 | 1,500,000 | ||||||
Shares redeemed | 750,000 | 1,550,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 32.14 | $ | 37.18 | ||||
Percentage change in per share NAV | 3.4 | % | 17.3 | % | ||||
Percentage change in benchmark | 1.3 | % | (9.3 | )% | ||||
Benchmark annualized volatility | 12.9 | % | 17.4 | % |
By comparison, during the nine months ended September 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
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.
2023.
2023.
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 |
2022:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 343,044 | $ | (128,991 | ) | |||
Management fee | 112,212 | 218,466 | ||||||
Brokerage commission | 4,065 | 9,361 | ||||||
Futures account fees | — | 2,446 | ||||||
Non-recurring fees and expenses | — | 639 | ||||||
Net realized gain (loss) | (1,147,608 | ) | 3,237,429 | |||||
Change in net unrealized appreciation (depreciation) | 1,851,613 | 3,160,276 | ||||||
Net Income (loss) | $ | 1,047,049 | $ | 6,268,714 |
2023.
Silver
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 | % |
2022:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 16,967,517 | $ | 33,763,052 | ||||
Percentage change in NAV | (46.9 | )% | 27.2 | % | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 | ||||||
Shares outstanding end of period | 791,329 | 991,329 | ||||||
Percentage change in shares outstanding | (51.8 | )% | — | % | ||||
Shares created | 6,050,000 | 2,800,000 | ||||||
Shares redeemed | 6,900,000 | 2,800,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 21.44 | $ | 34.06 | ||||
Percentage change in per share NAV | 10.2 | % | 27.2 | % | ||||
Percentage change in benchmark | (6.9 | )% | (19.0 | )% | ||||
Benchmark annualized volatility | 25.0 | % | 31.7 | % |
Bloomberg Silver Subindex
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 $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 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 $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 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) | $ | (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 | ) |
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 increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.
ProShares UltraShort 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 | $ | 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 | % |
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 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 616,976 outstanding Shares at December 31, 2016 to 716,976 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 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 silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 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 inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser 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 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 nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 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) | $ | (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 | ) |
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 increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.
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.
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 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 | ||||
NAV beginning of period | $ | 200 | ||
NAV end of period | $ | 7,581,464 | ||
Percentage change in NAV | NM | |||
Shares outstanding beginning of period | 8 | |||
Shares outstanding end of period | 300,008 | |||
Percentage change in shares outstanding | NM | |||
Shares created | 1,400,008 | |||
Shares redeemed | 1,100,000 | |||
Per share NAV beginning of period | $ | 25.00 | ||
Per share NAV end of period | $ | 25.27 | ||
Percentage change in per share NAV | 1.1 | % | ||
Percentage change in benchmark | (4.8 | )% | ||
Benchmark annualized volatility | 26.1 | % |
NM – Not Meaningful
During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 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 3x 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 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, 2017,2023, as compared to the Fund’s per Share NAV increase of 49.4%27.2% for the nine months ended September 30, 20162022, 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.
2023.
2023.
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 |
2022:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 611,721 | $ | (125,396 | ) | |||
Management fee | 220,751 | 190,549 | ||||||
Brokerage commission | 28,436 | 20,677 | ||||||
Futures account fees | — | 4,443 | ||||||
Non-recurring fees and expenses | — | 612 | ||||||
Net realized gain (loss) | 10,747,744 | 8,252,703 | ||||||
Change in net unrealized appreciation (depreciation) | 4,528,828 | 1,567,440 | ||||||
Net Income (loss) | $ | 15,888,293 | $ | 9,694,747 |
2023.
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 | % |
2022:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 26,172,191 | $ | 51,937,338 | ||||
Percentage change in NAV | 22.3 | % | 109.1 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 348,580 | 798,580 | ||||||
Percentage change in shares outstanding | (12.5 | )% | 33.4 | % | ||||
Shares created | 450,000 | 1,100,000 | ||||||
Shares redeemed | 500,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 75.08 | $ | 65.04 | ||||
Percentage change in per share NAV | 39.9 | % | 56.7 | % | ||||
Percentage change in benchmark | (12.2 | )% | (20.3 | )% | ||||
Benchmark annualized volatility | 10.2 | % | 10.1 | % |
2023. By comparison, during the nine months ended September 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
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.
2023.
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 565,926 | $ | (109,049 | ) | |||
Management fee | 167,753 | 259,599 | ||||||
Non-recurring fees and expenses | — | 953 | ||||||
Net realized gain (loss) | 3,422,003 | 14,980,187 | ||||||
Change in net unrealized appreciation (depreciation) | 3,945,278 | (453,336 | ) | |||||
Net Income (loss) | $ | 7,933,207 | $ | 14,417,802 |
2023.
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
NAV end of period | $ | 59,968,024 | $ | 110,420,574 | ||||
Percentage change in NAV | (28.6 | )% | (2.2 | )% | ||||
Shares outstanding beginning of period | 2,762,403 | 3,687,403 | ||||||
Shares outstanding end of period | 3,087,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | 11.8 | % | (15.6 | )% | ||||
Shares created | 1,700,000 | 1,850,000 | ||||||
Shares redeemed | 1,375,000 | 2,425,000 | ||||||
Per share NAV beginning of period | $ | 30.41 | $ | 30.61 | ||||
Per share NAV end of period | $ | 19.42 | $ | 35.48 | ||||
Percentage change in per share NAV | (36.1 | )% | 15.9 | % | ||||
Percentage change in benchmark | (35.0 | )% | 17.8 | % | ||||
Benchmark annualized volatility | 28.2 | % | 32.5 | % |
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 |
2022:
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,430,860 | $ | (437,530 | ) | |||
Management fee | 401,207 | 627,755 | ||||||
Brokerage commission | 30,191 | 58,291 | ||||||
Futures account fees | 33,287 | 46,394 | ||||||
Non-recurring fees and expenses | — | 2,050 | ||||||
Net realized gain (loss) | (35,008,564 | ) | 11,304,277 | |||||
Change in net unrealized appreciation (depreciation) | 3,841,900 | 6,887,044 | ||||||
Net Income (loss) | $ | (29,735,804 | ) | $ | 17,753,791 |
2023.
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
NAV end of period | $ | 211,604,428 | $ | 437,536,628 | ||||
Percentage change in NAV | (20.6 | )% | 62.2 | % | ||||
Shares outstanding beginning of period | 4,676,565 | 3,566,565 | ||||||
Shares outstanding end of period | 9,075,947 | 5,116,565 | ||||||
Percentage change in shares outstanding | 94.1 | % | 43.5 | % | ||||
Shares created | 9,235,000 | 7,180,000 | ||||||
Shares redeemed | 4,835,618 | 5,630,000 | ||||||
Per share NAV beginning of period | $ | 57.00 | $ | 75.62 | ||||
Per share NAV end of period | $ | 23.31 | $ | 85.51 | ||||
Percentage change in per share NAV | (59.1 | )% | 13.1 | % | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,942,508 | $ | (1,545,500 | ) | |||
Management fee | 1,495,874 | 2,353,478 | ||||||
Brokerage commission | 250,314 | 490,751 | ||||||
Futures account fees | 143,501 | 371,384 | ||||||
Non-recurring fees and expenses | — | 8,700 | ||||||
Net realized gain (loss) | (228,286,648 | ) | 31,935,690 | |||||
Change in net unrealized appreciation (depreciation) | 21,667,964 | 84,851,343 | ||||||
Net Income (loss) | $ | (201,676,176 | ) | $ | 115,241,533 |
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 30, 2017
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 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | October 2023 | 4,373 | $ | 17.77 | 1,000 | $ | (77,713,457 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2023 | 2,906 | 18.25 | 1,000 | (53,023,748 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Short | October 2022 | 3,083 | $ | 31.52 | 1,000 | $ | (97,163,828 | ) | |||||||||||||
VIX Futures (Cboe) | Short | November 2022 | 2,052 | 31.07 | 1,000 | (63,759,128 | ) |
Bloomberg Crude Oil:
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 | 52,495 | $ | 11.68 | 1,000 | $ | 612,879,125 | ||||||||||||||||
VIX Futures (CBOE) | Long | November 2017 | 35,008 | 13.03 | 1,000 | 455,979,200 | ||||||||||||||||||
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 | 54,497 | $ | 15.78 | 1,000 | $ | 859,690,175 | ||||||||||||||||
VIX Futures (CBOE) | Long | November 2016 | 36,351 | 16.95 | 1,000 | 616,149,450 |
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. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, 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 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 two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
Commodity Price Sensitivity
Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 2017 and 2016, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex20172023 and 2016,2022, 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) | Short | November 2017 | 1,894 | $ | 51.67 | 1,000 | $ | (97,862,980 | ) |
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. | Short | $ | 76.1424 | $ | (149,040,494 | ) | |||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Short | 76.1424 | (109,832,549 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Short | 76.1424 | (12,927,229 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Short | 76.1424 | (106,765,884 | ) |
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) | Short | November 2016 | 2,093 | $ | 48.24 | 1,000 | $ | (100,966,320 | ) |
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. | Short | $ | 79.0094 | $ | (110,835,497 | ) | |||||
Bloomberg WTI Crude Oil Subindex | Goldman Sachs International | Short | 79.0094 | (78,877,241 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | Societe Generale | Short | 79.0094 | (8,278,478 | ) | |||||||
Bloomberg WTI Crude Oil Subindex | UBS AG | Short | 79.0094 | (80,182,717 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 879 | $ | 88.80 | 1,000 | $ | 78,055,200 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 920 | 81.12 | 1,000 | 74,630,400 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2024 | 956 | 77.86 | 1,000 | 74,434,160 |
Swap Agreements as of September 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 | $ | 93.5651 | $ | 210,901,349 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 93.5651 | 262,218,064 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 93.5651 | 151,363,911 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 93.5651 | 199,041,224 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 93.5651 | 157,428,427 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 1,450 | $ | 78.72 | 1,000 | $ | 114,144,000 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 1,535 | 73.00 | 1,000 | 112,055,000 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 1,610 | 69.66 | 1,000 | 112,152,600 |
Swap Agreements as of September 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 | $ | 77.9524 | $ | 175,709,387 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 77.9524 | 218,463,160 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 77.9524 | 304,335,914 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 77.9524 | 165,828,296 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 77.9524 | 246,871,587 |
ProShares UltraPro 3x Short Crude Oil ETF:
As of September 30, 2017, the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse 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) | Short | November 2017 | 916 | $ | 51.67 | 1,000 | $ | (47,329,720 | ) |
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 losses (gains) 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.
ProShares UltraShort Bloomberg Natural Gas:
As of September 30, 2017 and 2016, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. 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 | ||||||||||||||||||
Natural Gas (NYMEX) | Short | November 2017 | 394 | $ | 3.01 | 10,000 | $ | (11,847,580 | ) | |||||||||||||||
Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Natural Gas (NYMEX) | Short | November 2016 | 437 | $ | 2.91 | 10,000 | $ | (12,699,220 | ) |
The September 30, 2017 and 2016 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 positions in Financial Instrumentseach day to have $2.00 of short 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Gold:
As of September 30, 2017 and 2016, the ProShares UltraShort Gold Fund was exposed to inverse commodity price 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) | Short | 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. | Short | $ | 1,283.43 | $ | (20,663,223 | ) | |||||
0.995 Fine Troy Ounce Gold | Goldman Sachs International | Short | 1,283.41 | (21,687,062 | ) | |||||||
0.995 Fine Troy Ounce Gold | Societe Generale | Short | 1,283.41 | (6,160,368 | ) | |||||||
0.995 Fine Troy Ounce Gold | UBS AG | Short | 1,283.41 | (22,138,823 | ) |
Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Short | 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. | Short | $ | 1,322.72 | $ | (29,893,472 | ) | |||||
0.995 Fine Troy Ounce Gold | Deutsche Bank AG | Short | 1,322.80 | (73,018,560 | ) | |||||||
0.995 Fine Troy Ounce Gold | Goldman Sachs International | Short | 1,322.70 | (21,689,635 | ) | |||||||
0.995 Fine Troy Ounce Gold | Societe Generale | Short | 1,322.71 | (5,290,840 | ) | |||||||
0.995 Fine Troy Ounce Gold | UBS AG | Short | 1,322.71 | (22,552,206 | ) |
The September 30, 2017 and 2016 short 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 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) 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 decreases (increases) 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 short 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative 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 UltraShort Silver:
As of September 30, 2017 and 2016, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver 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 | ||||||||||||||||
Silver Futures (COMEX) | Short | December 2017 | 2 | $ | 16.68 | 5,000 | $ | (166,760 | ) |
Forward Agreements as of September 30, 2017 | ||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||
0.999 Fine Troy Ounce Silver | Citybank, N.A. | Short | $ | 16.8646 | $ | (16,071,964 | ) | |||||
0.999 Fine Troy Ounce Silver | Goldman Sachs International | Short | 16.8644 | (13,263,851 | ) | |||||||
0.999 Fine Troy Ounce Silver | Societe Generale | Short | 16.8645 | (2,630,862 | ) | |||||||
0.999 Fine Troy Ounce Silver | UBS AG | Short | 16.8644 | (13,727,622 | ) |
Futures Positions as of September 30, 2016 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Silver Futures (COMEX) | Short | December 2016 | 2 | $ | 19.21 | 5,000 | $ | (192,140 | ) |
Forward Agreements as of September 30, 2016 | ||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||
0.999 Fine Troy Ounce Silver | Citibank, N.A. | Short | $ | 19.3535 | $ | (11,979,817 | ) | |||||
0.999 Fine Troy Ounce Silver | Deutsche Bank AG | Short | 19.3551 | (41,536,045 | ) | |||||||
0.999 Fine Troy Ounce Silver | Goldman Sachs International | Short | 19.3535 | (12,976,522 | ) | |||||||
0.999 Fine Troy Ounce Silver | Societe Generale | Short | 19.3537 | (3,019,177 | ) | |||||||
0.999 Fine Troy Ounce Silver | UBS AG | Short | 19.3535 | (9,463,862 | ) |
The September 30, 2017 and 2016 short 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 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) 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 decreases (increases) in short 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 short 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative 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.
Exchange Rate Sensitivity
Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:
ProShares Short Euro:
As of September 30, 2017 and 2016, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.
Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2017 | 55 | $ | 1.19 | 125,000 | $ | (8,156,844 | ) | |||||||||||||||
Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2016 | 105 | $ | 1.13 | 125,000 | $ | (14,801,063 | ) |
The September 30, 2017 and 2016 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 positions in Financial Instrumentseach day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Australian Dollar:
As of September 30, 2017 and 2016, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.
Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | December 2017 | 232 | $ | 78.36 | 1,000 | $ | (18,179,520 | ) |
Contract Australian Dollar Fx Currency Futures (CME)Futures Positions as of September 30, 2016 Long or
Short Expiration Contracts Valuation
Price Contract
Multiplier Notional
Amount at Value Short December 2016 456 $ 76.49 1,000 $ (34,879,440 )
The September 30, 2017 and 2016 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 positions in Financial Instrumentseach day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of September 30, 2017 and 2016, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. 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 exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2017 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Euro | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/06/17 | 3,175,800 | 1.1821 | $ | 3,754,078 | |||||||||||||
Euro | UBS AG | Long | 10/06/17 | 35,067,900 | 1.1821 | 41,453,378 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/06/17 | (194,781,925 | ) | 1.1821 | (230,249,569 | ) | ||||||||||||
Euro | UBS AG | Short | 10/06/17 | (226,747,400 | ) | 1.1821 | (268,035,604 | ) | ||||||||||||
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 | 11,861,500 | 1.1236 | $ | 13,327,034 | |||||||||||||
Euro | UBS AG | Long | 10/07/16 | 18,134,300 | 1.1236 | 20,374,863 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/07/16 | (344,672,125 | ) | 1.1236 | (387,257,692 | ) | ||||||||||||
Euro | UBS AG | Short | 10/07/16 | (345,543,400 | ) | 1.1236 | (388,236,616 | ) |
The September 30, 2017 and 2016 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. 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 positions in Financial Instrumentseach day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative 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 foreign currency forward contracts 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 UltraShort Yen:
As of September 30, 2017 and 2016, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. 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 exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2017 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Yen | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/06/17 | 571,833,200 | 0.008888 | $ | 5,082,606 | |||||||||||||
Yen | UBS AG | Long | 10/06/17 | 2,539,647,800 | 0.008888 | 22,573,065 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/06/17 | (17,548,070,400 | ) | 0.008888 | (155,971,917 | ) | ||||||||||||
Yen | UBS AG | Short | 10/06/17 | (18,981,034,100 | ) | 0.008888 | (168,708,480 | ) | ||||||||||||
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 | 812,107,700 | 0.009863 | $ | 8,009,961 | |||||||||||||
Yen | UBS AG | Long | 10/07/16 | 4,484,904,300 | 0.009863 | 44,235,400 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/16 | (27,401,188,900 | ) | 0.009863 | (270,262,747 | ) | ||||||||||||
Yen | UBS AG | Short | 10/07/16 | (31,384,937,700 | ) | 0.009863 | (309,555,163 | ) |
The September 30, 2017 and 2016 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. 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 positions in Financial Instrumentseach day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative 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 foreign currency forward contracts 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.
Commodity Price Sensitivity
Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2017 and 2016, the ProShares Ultra Bloomberg Crude Oil Fund 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 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 | ||||||||||||||
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 |
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 20162022 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, 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 InstrumentsWhile 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. Futuretwotwo. See “Item 1A. Risk Factors” in the Annual Report on Formcustodian bank.
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 September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2023 | 50,182 | $ | 2.93 | 10,000 | $ | 1,469,830,780 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0799 | $ | 132,651,213 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0799 | 90,634,449 | ||||||||
Bloomberg Natural Gas Subindex | Societe General | Long | 0.0799 | 47,221,373 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0799 | 725,704 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2022 | 8,556 | $ | 6.77 | 10,000 | $ | 578,898,960 |
ProShares Ultra Gold:
As of September 30, 2017 and 2016, the ProShares Ultra Gold Fund was exposed to commodity price 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
third-party custodian.
Euro:
Futures Positions as of September 30, 2017 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2017 | 2 | $ | 16.68 | 5,000 | $ | 166,760 |
Forward Agreements as of September 30, 2017 | ||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||
0.999 Fine Troy Ounce Silver | Citibank, N.A. | Long | $ | 16.8646 | $ | 161,967,618 | ||||||
0.999 Fine Troy Ounce Silver | Goldman Sachs International | Long | 16.8644 | 131,471,490 | ||||||||
0.999 Fine Troy Ounce Silver | Societe Generale | Long | 16.8645 | 63,815,268 | ||||||||
0.999 Fine Troy Ounce Silver | UBS AG | Long | 16.8644 | 132,149,438 |
Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Long | December 2016 | 2 | $ | 19.21 | 5,000 | $ | 192,140 |
Forward Agreements as of September 30, 2016 | ||||||||||||
Reference Index | Counterparty | Long or Short | Valuation Price | Notional Amount at Value | ||||||||
0.999 Fine Troy Ounce Silver | Citibank, N.A. | Long | $ | 19.3535 | $ | 216,797,907 | ||||||
0.999 Fine Troy Ounce Silver | Deutsche Bank AG | Long | 19.3551 | 110,726,656 | ||||||||
0.999 Fine Troy Ounce Silver | Goldman Sachs International | Long | 19.3535 | 188,634,694 | ||||||||
0.999 Fine Troy Ounce Silver | Societe Generale | Long | 19.3537 | 67,428,291 | ||||||||
0.999 Fine Troy Ounce Silver | UBS AG | Long | 19.3535 | 160,692,111 |
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. Futureperiod 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 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.
Exchange Rate Sensitivity
Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:
ProShares Ultra Euro:
As of September 30, 2017 and 2016,2022, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20172023 and 2016,2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/06/23 | 7,691,921 | 1.0752 | $ | 8,270,353 | |||||||||||||
Euro | UBS AG | Long | 10/06/23 | 4,954,502 | 1.0752 | 5,327,055 | ||||||||||||||
Euro | UBS AG | Short | 10/06/23 | (323,000 | ) | 1.0602 | (342,445 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/07/22 | 12,276,921 | 0.9964 | $ | 12,232,264 | |||||||||||||
Euro | UBS AG | Long | 10/07/22 | 17,572,502 | 0.9940 | 17,466,744 | ||||||||||||||
Euro | UBS AG | Short | 10/07/22 | (1,566,000 | ) | 0.9801 | (1,534,866 | ) |
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 September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2023 | 264 | $ | 1,866.10 | 100 | $ | 49,265,040 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 190.8900 | $ | 105,703,033 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 190.8900 | 50,205,597 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 190.8900 | 90,264,166 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2022 | 409 | $ | 1,672.00 | 100 | $ | 68,384,800 |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 180.7152 | $ | 100,068,860 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 180.7152 | 47,529,603 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 180.7152 | 104,098,025 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2023 | 1,756 | $ | 22.45 | 5,000 | $ | 197,111,000 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 190.6601 | $ | 159,867,323 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 190.6601 | 21,119,991 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 190.6601 | 143,290,980 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 190.6601 | 134,864,794 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2022 | 2,163 | $ | 19.04 | 5,000 | $ | 205,906,785 |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 169.7456 | $ | 142,330,643 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 169.7456 | 18,803,260 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 169.7456 | 156,302,767 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 169.7456 | 124,719,934 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 14,181 | $ | 17.77 | 1,000 | $ | 252,013,387 | ||||||||||||
VIX Futures (Cboe) | Long | November 2023 | 9,464 | 18.25 | 1,000 | 172,682,983 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 28,597 | $ | 31.52 | 1,000 | $ | 901,263,052 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 19,065 | 31.07 | 1,000 | 592,381,961 |
Foreign Currency Forward Contracts as
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/06/23 | 2,355,724,056 | 0.006813 | $ | 16,049,086 | |||||||||||||
Yen | UBS AG | Long | 10/06/23 | 2,976,699,856 | 0.006807 | 20,261,769 | ||||||||||||||
Yen | UBS AG | Short | 10/06/23 | (97,972,000 | ) | 0.006790 | (665,202 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/07/22 | 1,186,245,517 | 0.006949 | $ | 8,243,617 | |||||||||||||
Yen | UBS AG | Long | 10/07/22 | 1,919,545,856 | 0.006945 | 13,331,165 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/22 | (33,368,000 | ) | 0.006974 | (232,706 | ) | ||||||||||||
Yen | UBS AG | Short | 10/07/22 | (133,030,000 | ) | 0.006945 | (923,831 | ) |
Qualitative Disclosure
third-party custodian.
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 2,296 | $ | 88.80 | 1,000 | $ | (203,884,800 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 2,404 | 81.12 | 1,000 | (195,012,480 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2024 | 2,500 | 77.86 | 1,000 | (194,650,000 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,174 | $ | 78.72 | 1,000 | $ | (249,857,280 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,344 | 73.00 | 1,000 | (244,112,000 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 3,500 | 69.66 | 1,000 | (243,810,000 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2023 | 7,624 | $ | 2.93 | 10,000 | $ | (223,306,960 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2022 | 7,167 | $ | 6.77 | 10,000 | $ | (484,919,220 | ) |
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/06/23 | 486,000 | 1.0694 | $ | 519,743 | |||||||||||||
Euro | UBS AG | Long | 10/06/23 | 10,804,000 | 1.0696 | 11,556,452 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/06/23 | (43,752,263 | ) | 1.0751 | (47,038,130 | ) | ||||||||||||
Euro | UBS AG | Short | 10/06/23 | (50,970,199 | ) | 1.0735 | (54,717,780 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Euro | UBS AG | Long | 10/07/22 | 38,000,000 | 0.9876 | $ | 37,528,206 | |||||||||||
Euro | Goldman Sachs International | Short | 10/07/22 | (78,612,263 | ) | 0.9970 | (78,374,875 | ) | ||||||||||
Euro | UBS AG | Short | 10/07/22 | (144,189,199 | ) | 0.9931 | (143,198,834 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2023 | 71 | $ | 1,866.10 | 100 | $ | (13,249,310 | ) |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 190.8900 | $ | (3,588,216 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 190.8900 | (4,702,766 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 190.8900 | (7,273,894 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2022 | 157 | $ | 1,672.00 | 100 | $ | (26,250,400 | ) |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 180.7152 | $ | (13,547,911 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 180.7152 | (8,863,141 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 180.7152 | (10,598,433 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2023 | 109 | $ | 22.45 | 5,000 | $ | (12,235,250 | ) |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 190.6601 | $ | (2,570,998 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 190.6601 | (9,365,796 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 190.6601 | (7,405,429 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 190.6601 | (2,368,019 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2022 | 506 | $ | 19.04 | 5,000 | $ | (48,168,670 | ) |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 169.7456 | $ | (2,288,972 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 169.7456 | (8,338,415 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 169.7456 | (6,593,089 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 169.7456 | (2,108,259 | ) |
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | UBS AG | Long | 10/06/23 | 428,237,000 | 0.006813 | $ | 2,917,500 | |||||||||||
Yen | Goldman Sachs International | Short | 10/06/23 | (3,330,184,165 | ) | 0.006821 | (22,714,958 | ) | ||||||||||
Yen | UBS AG | Short | 10/06/23 | (4,908,633,574 | ) | 0.006814 | (33,445,689 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 10/07/22 | 513,732,000 | 0.007033 | $ | 3,613,292 | |||||||||||
Yen | UBS AG | Long | 10/07/22 | 1,169,990,000 | 0.006995 | 8,183,497 | ||||||||||||
Yen | Goldman Sachs International | Short | 10/07/22 | (4,358,922,165 | ) | 0.006949 | (30,291,833 | ) | ||||||||||
Yen | UBS AG | Short | 10/07/22 | (12,349,528,574 | ) | 0.006949 | (85,811,526 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2024 | 617 | $ | 19.10 | 1,000 | $ | 11,784,515 | ||||||||||||
VIX Futures (Cboe) | Long | February 2024 | 1,028 | 19.30 | 1,000 | 19,841,839 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2024 | 1,028 | 19.60 | 1,000 | 20,146,847 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2024 | 411 | 19.90 | 1,000 | 8,178,119 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2023 | 728 | $ | 30.70 | 1,000 | $ | 22,351,129 | ||||||||||||
VIX Futures (Cboe) | Long | February 2023 | 1,214 | 30.31 | 1,000 | 36,796,340 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2023 | 1,214 | 30.18 | 1,000 | 36,638,520 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 486 | 30.25 | 1,000 | 14,700,868 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 7,067 | $ | 17.77 | 1,000 | $ | 125,589,070 | ||||||||||||
VIX Futures (Cboe) | Long | November 2023 | 4,719 | 18.25 | 1,000 | 86,104,290 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 8,381 | $ | 31.52 | 1,000 | $ | 264,135,596 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 5,587 | 31.07 | 1,000 | 173,597,588 |
There has
overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.
prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-185289). On May 21, 2013, a Registration Statement on FormS-1 (File333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-185288). On July 30, 2013, a Registration Statement on FormS-3 (FileNo. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-187820). On May 6, 2014, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-188215) was declared effective, updating the FormS-1 Registration Statementredemptions by among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional Shares. On July 30, 2014, a Registration Statement on FormS-1 (FileNo. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIXMid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a posteffective amendment to two FormS-1 registration statements (File Nos.333-188215 and333-185288). On July 30, 2014, a Registration Statement on FormS-3 (FileNo. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the FormS-1 to the FormS-3. On September 29, 2014, a Registration Statement on FormS-1 (FileNo. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-196884). On November 25, 2014, a Registration Statement on FormS-1 (FileNo. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 registration statement (FileNo. 333-198189) and the FormS-3 registration statement(333-196885). On November 25, 2014, a Registration Statement on FormS-3 (FileNo. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the FormS-3 to the FormS-1. On March 31, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective, which registered additional Shares for ProShares VIXMid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 registration statement (FileNo. 333-199642). On March 31, 2015, a Registration Statement on FormS-3 (FileNo. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-199641). On August 11, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the FormS-1; no additional Shares were registered with that filing. That registration statement was a combined prospectus and acted as apre-effective amendment to post-effective amendment No. 1 of the FormS-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on FormS-3 (FileNo. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on FormS-3 (FileNo. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra
Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. On March 1, 2017, a Registration Statement on FormS-3 (FileNo. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on FormS-3 (FileNo. 333-213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on FormS-1 (FileNo. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on FormS-3 (FileNo. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the FormS-3 to a FormS-1. On March 22, 2017, a Registration Statement on FormS-1 (FileNo. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On June 30, 2017, the Trust had four effective registration statements outstanding: (1) a FormS-1 Registration Statement (No.333-215929); (2) a FormS-1 Registration Statement (No.333-214904); (3) a FormS-1 Registration Statement (No.333-202724); and (4) a FormS-3 Registration Statement (No.333-215930).
Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited withduring the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.
Title of Securities Registered ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares VIXMid-Term Futures ETF Common Units of Beneficial Interest ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest ProShares UltraShort Gold Common Units of Beneficial Interest ProShares UltraShort Silver Common Units of Beneficial Interest ProShares Short Euro Common Units of Beneficial Interest ProShares UltraShort Australian Dollar Common Units of Beneficial Interest ProShares UltraShort Euro Common Units of Beneficial Interest ProShares UltraShort Yen Common Units of Beneficial Interest ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest ProShares Ultra Gold Common Units of Beneficial Interest ProShares Ultra Silver Common Units of Beneficial Interest ProShares Ultra Euro Common Units of Beneficial Interest ProShares Ultra Yen Common Units of Beneficial Interest Total: Amount
Registered As of
September 30, 2017 Shares Sold For the
Three Months Ended
September 30, 2017 Sale Price of Shares
Sold For the
Three Months Ended
September 30, 2017 1,878,742,424 3,106,250 $ 119,114,643 555,231,376 675,000 18,111,394 9,178,056,779 17,750,000 1,373,345,679 10,862,875,118 33,400,000 988,812,355 2,167,514,328 5,400,000 201,007,302 1,020,000,000 700,000 14,228,859 344,275,705 150,000 4,692,571 312,159,711 50,000 3,415,569 1,950,297,178 200,000 5,866,605 153,418,934 — — 172,771,084 — — 1,916,296,347 1,350,000 29,240,662 951,478,689 150,000 11,021,193 5,508,543,310 4,400,000 65,521,323 1,020,000,000 250,000 4,957,138 427,459,640 2,600,000 22,195,648 328,071,127 50,000 1,958,848 1,388,553,846 300,000 9,317,745 119,594,796 450,000 7,734,814 138,726,333 — $ — $ 40,394,066,725
(b) From July 1, 2017 throughthree months ended September 30, 2017, the number2023:
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 | ||||||||||
07/01/23 to 07/31/23 | 450,000 | $ | 88.08 | |||||||
08/01/23 to 08/31/23 | 450,000 | $ | 86.17 | |||||||
09/01/23 to 09/30/23 | 50,000 | $ | 92.61 | |||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 7,950,000 | $ | 26.87 | |||||||
08/01/23 to 08/31/23 | 1,950,000 | $ | 30.67 | |||||||
09/01/23 to 09/30/23 | 4,050,000 | $ | 35.16 | |||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 3,353,332 | $ | 63.97 | |||||||
08/01/23 to 08/31/23 | 6,000,000 | $ | 66.70 | |||||||
09/01/23 to 09/30/23 | 3,900,000 | $ | 55.93 | |||||||
ProShares Ultra Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 11.82 | |||||||
08/01/23 to 08/31/23 | — | $ | — | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares Ultra Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 100,000 | $ | 58.94 | |||||||
08/01/23 to 08/31/23 | 100,000 | $ | 57.47 | |||||||
09/01/23 to 09/30/23 | 150,000 | $ | 57.69 | |||||||
ProShares Ultra Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 600,000 | $ | 30.85 | |||||||
08/01/23 to 08/31/23 | 600,000 | $ | 29.62 | |||||||
09/01/23 to 09/30/23 | 250,000 | $ | 27.58 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 2,353,383 | $ | 18.57 | |||||||
08/01/23 to 08/31/23 | 5,050,000 | $ | 18.29 | |||||||
09/01/23 to 09/30/23 | 9,500,000 | $ | 16.29 | |||||||
ProShares Ultra Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 28.94 | |||||||
08/01/23 to 08/31/23 | — | $ | — | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 1,000,000 | $ | 21.53 | |||||||
08/01/23 to 08/31/23 | 1,650,000 | $ | 19.97 | |||||||
09/01/23 to 09/30/23 | 1,400,000 | $ | 16.73 | |||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 1,750,000 | $ | 60.64 | |||||||
08/01/23 to 08/31/23 | 3,050,000 | $ | 54.57 | |||||||
09/01/23 to 09/30/23 | 1,450,000 | $ | 62.25 | |||||||
ProShares UltraShort Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 100,000 | $ | 29.02 | |||||||
08/01/23 to 08/31/23 | 100,000 | $ | 29.31 | |||||||
09/01/23 to 09/30/23 | 150,000 | $ | 30.60 | |||||||
ProShares UltraShort Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 27.73 | |||||||
08/01/23 to 08/31/23 | 150,000 | $ | 29.27 | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares UltraShort Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 20.33 | |||||||
08/01/23 to 08/31/23 | 2,750,000 | $ | 19.57 | |||||||
09/01/23 to 09/30/23 | 300,000 | $ | 20.32 | |||||||
ProShares UltraShort Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 62.82 | |||||||
08/01/23 to 08/31/23 | — | $ | — | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 100,000 | $ | 20.17 | |||||||
08/01/23 to 08/31/23 | 75,000 | $ | 19.32 | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 125,618 | $ | 25.62 | |||||||
08/01/23 to 08/31/23 | 2,025,000 | $ | 24.51 | |||||||
09/01/23 to 09/30/23 | 475,000 | $ | 23.28 |
* | The registration statement covers an indeterminate amount of |
None.
(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. |
PROSHARES TRUST II |
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: November |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: November |
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