| ☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
| ☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | 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 | ||
ProShares Ultra Bloomberg Natural Gas | BOIL | NYSE Arca | ||
ProShares Ultra Euro | ULE | NYSE Arca | ||
ProShares Ultra Gold | UGL | NYSE Arca | ||
ProShares Ultra Silver | AGQ | NYSE Arca | ||
ProShares Ultra VIX Short-Term Futures ETF | UVXY | Cboe BZX Exchange | ||
ProShares Ultra Yen | YCL | NYSE Arca | ||
ProShares UltraShort | ||||
SCO | NYSE Arca | |||
ProShares UltraShort Bloomberg Natural Gas | KOLD | NYSE Arca | ||
ProShares UltraShort Euro | EUO | NYSE Arca | ||
ProShares UltraShort Gold | GLL | NYSE Arca | ||
ProShares UltraShort Silver | ZSL | NYSE Arca | ||
ProShares UltraShort Yen | YCS | NYSE Arca | ||
ProShares VIX Mid-Term Futures ETF | VIXM | Cboe BZX Exchange | ||
ProShares VIX Short-Term Futures ETF | VIXY | Cboe BZX Exchange |
| Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||
| Emerging Growth Company | ☐ | |||||
Page | ||||
Part I. FINANCIAL INFORMATION |
Documents | Page | |||
in Shareholders’ Equity, and Statements of Cash Flows: | ||||
| 72 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Cash | $ | 2,168,859 | $ | 4,105,781 | ||||
| Segregated cash balances with brokers for futures contracts | 36,300 | 68,310 | ||||||
| Receivable on open futures contracts | 3,562 | 21,094 | ||||||
| Interest receivable | 87 | 175 | ||||||
| Total assets | 2,208,808 | 4,195,360 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 281 | — | ||||||
| Payable to Sponsor | 1,695 | 3,391 | ||||||
Non-recurring fees and expenses payable | 14 | 14 | ||||||
| Total liabilities | 1,990 | 3,405 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 2,206,818 | 4,191,955 | ||||||
| Total liabilities and shareholders’ equity | $ | 2,208,808 | $ | 4,195,360 | ||||
| Shares outstanding | 50,000 | 100,000 | ||||||
| Net asset value per share | $ | 44.14 | $ | 41.92 | ||||
| Market value per share (Note 2) | $ | 44.16 | $ | 41.35 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Euro Fx Currency Futures - CME, expires December 2021 | 15 | $ | 2,175,000 | $ | 46,781 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 269 | $ | 127 | $ | 1,175 | $ | 7,776 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 5,193 | 5,247 | 19,278 | 16,266 | ||||||||||||
| Brokerage commissions | 79 | 82 | 339 | 272 | ||||||||||||
Non-recurring fees and expenses | — | 65 | — | 65 | ||||||||||||
| Total expenses | 5,272 | 5,394 | 19,617 | 16,603 | ||||||||||||
| Net investment income (loss) | (5,003 | ) | (5,267 | ) | (18,442 | ) | (8,827 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 57,489 | (77,567 | ) | 88,710 | (116,225 | ) | ||||||||||
| Net realized gain (loss) | 57,489 | (77,567 | ) | 88,710 | (116,225 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (4,770 | ) | (14,989 | ) | 91,407 | 31,531 | ||||||||||
| Short-term U.S. government and agency obligations | 0 | — | — | (30 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | 91,407 | 31,501 | ||||||||||
| Net realized and unrealized gain (loss) | 52,719 | (92,556 | ) | 180,117 | (84,724 | ) | ||||||||||
Net income (loss) | $ | 47,716 | $ | (97,823 | ) | $ | 161,675 | $ | (93,551 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,159,102 | $ | 2,286,467 | $ | 4,191,955 | $ | 2,282,195 | ||||||||
| Redemption of –, –, 50,000 and – shares, respectively | — | — | (2,146,812 | ) | — | |||||||||||
| Net addition (redemption) of –, –, (50,000) and – shares, respectively | — | — | (2,146,812 | ) | — | |||||||||||
| Net investment income (loss) | (5,003 | ) | (5,267 | ) | (18,442 | ) | (8,827 | ) | ||||||||
| Net realized gain (loss) | 57,489 | (77,567 | ) | 88,710 | (116,225 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | 91,407 | 31,501 | ||||||||||
| Net income (loss) | 47,716 | (97,823 | ) | 161,675 | (93,551 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 2,206,818 | $ | 2,188,644 | $ | 2,206,818 | $ | 2,188,644 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 161,675 | $ | (93,551 | ) | |||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Purchases of short-term U.S. government and agency obligations | (1,999,562 | ) | — | |||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,000,000 | 747,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (438 | ) | (1,225 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | — | 30 | ||||||
| Decrease (Increase) in receivable on futures contracts | 17,532 | (3,844 | ) | |||||
| Decrease (Increase) in interest receivable | 88 | 2,347 | ||||||
| Increase (Decrease) in payable to Sponsor | (1,696 | ) | (167 | ) | ||||
| Increase (Decrease) in payable on futures contracts | 281 | (5,100 | ) | |||||
| Net cash provided by (used in) operating activities | 177,880 | 645,490 | ||||||
Cash flow from financing activities | ||||||||
| Payment on shares redeemed | (2,146,812 | ) | — | |||||
| Net cash provided by (used in) financing activities | (2,146,812 | ) | — | |||||
Net increase (decrease) in cash | (1,968,932 | ) | 645,490 | |||||
| Cash, beginning of period | 4,174,091 | 1,540,916 | ||||||
| Cash, end of period | $ | 2,205,159 | $ | 2,186,406 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively) | $ | 129,992,467 | $ | 69,999,639 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $151,906,089 and $147,851,244, respectively) | $ | 151,418,355 | $ | 147,815,719 | ||||||||||||
| Cash | 57,127,931 | 132,392,153 | 34,531,284 | 44,359,519 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 130,619,573 | 134,187,067 | 113,898,635 | 138,651,465 | ||||||||||||
| Receivable on open futures contracts | 71,173,354 | 74,226,825 | 105,797,631 | 99,544,338 | ||||||||||||
| Interest receivable | 1,773 | 4,384 | 76,049 | 2,868 | ||||||||||||
| Total assets | 388,915,098 | 410,810,068 | 405,721,954 | 430,373,909 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | — | 6,125,130 | ||||||||||||||
| Payable on open futures contracts | 0 | 996,159 | 1,735,890 | — | ||||||||||||
| Brokerage commissions and futures account fees payable | 85,856 | 114,522 | 12,121 | 104,312 | ||||||||||||
| Payable to Sponsor | 304,044 | 326,566 | 328,987 | 331,873 | ||||||||||||
Non-recurring fees and expenses payable | 1,353 | 1,353 | ||||||||||||||
| Total liabilities | 391,253 | 1,438,600 | 2,076,998 | 6,561,315 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 388,523,845 | 409,371,468 | 403,644,956 | 423,812,594 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 388,915,098 | $ | 410,810,068 | $ | 405,721,954 | $ | 430,373,909 | ||||||||
| Shares outstanding | 7,134,307 | 9,884,307 | 8,384,307 | 6,884,307 | ||||||||||||
| Net asset value per share | $ | 54.46 | $ | 41.42 | $ | 48.14 | $ | 61.56 | ||||||||
| Market value per share (Note 2) | $ | 54.39 | $ | 41.44 | $ | 48.21 | $ | 61.55 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.006% due 10/21/21 | $ | 20,000,000 | $ | 19,999,112 | ||||
| 0.029% due 11/18/21 | 70,000,000 | 69,996,731 | ||||||
| 0.043% due 12/16/21 | 40,000,000 | 39,996,624 | ||||||
| Total short-term U.S. government and agency obligations (cost $129,993,650) | $ | 129,992,467 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (38% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.967% due 07/14/22 | $ | 25,000,000 | $ | 24,989,618 | ||||
| 1.014% due 07/21/22 | 50,000,000 | 49,970,140 | ||||||
| 0.223% due 11/03/22 | 77,000,000 | 76,458,597 | ||||||
| Total short-term U.S. government and agency obligations (cost $151,906,089) | $ | 151,418,355 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2021 | 4,341 | $ | 99,269,120 | $ | (2,399,545 | ) | ||||||
| VIX Futures - Cboe, expires November 2021 | 4,001 | 94,767,286 | (3,782,433 | ) | ||||||||
| $ | (6,181,978 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires July 2022 | 3,652 | $ | 104,309,520 | $ | 809,209 | |||||||
| VIX Futures - Cboe, expires August 2022 | 3,346 | 97,627,580 | 708,405 | |||||||||
| $ | 1,517,614 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 8,152 | $ | 53,301 | $ | 75,729 | $ | 909,185 | $ | 225,134 | $ | 33,687 | $ | 319,477 | $ | 67,577 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 1,055,823 | 1,116,999 | 3,415,545 | 3,592,232 | 1,034,361 | 1,317,153 | 2,020,898 | 2,359,722 | ||||||||||||||||||||||||
| Brokerage commissions | 208,885 | 167,648 | 638,744 | 585,356 | 177,552 | 253,949 | 365,250 | 429,859 | ||||||||||||||||||||||||
| Futures account fees | 209,717 | 291,350 | 795,836 | 752,869 | 107,221 | 328,342 | 324,251 | 586,119 | ||||||||||||||||||||||||
Non-recurring fees and expenses | — | 22,038 | — | 22,038 | ||||||||||||||||||||||||||||
| Total expenses | 1,474,425 | 1,598,035 | 4,850,125 | 4,952,495 | 1,319,134 | 1,899,444 | 2,710,399 | 3,375,700 | ||||||||||||||||||||||||
| Net investment income (loss) | (1,466,273 | ) | (1,544,734 | ) | (4,774,396 | ) | (4,043,310 | ) | (1,094,000 | ) | (1,865,757 | ) | (2,390,922 | ) | (3,308,123 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 34,573,906 | 60,593,315 | 168,120,340 | (129,091,526 | ) | (13,029,194 | ) | 109,337,017 | (54,129,808 | ) | 133,546,434 | |||||||||||||||||||||
| Short-term U.S. government and agency obligations | (1,303 | ) | (10 | ) | (1,303 | ) | (768 | ) | (76,018 | ) | — | (86,512 | ) | — | ||||||||||||||||||
| Net realized gain (loss) | 34,572,603 | 60,593,305 | 168,119,037 | (129,092,294 | ) | (13,105,212 | ) | 109,337,017 | (54,216,320 | ) | 133,546,434 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (43,362,244 | ) | (1,463,210 | ) | (14,530,761 | ) | (2,706,204 | ) | (34,466,848 | ) | (13,290,409 | ) | (29,757,664 | ) | 28,831,483 | |||||||||||||||||
| Short-term U.S. government and agency obligations | 12,400 | (189 | ) | (2,095 | ) | (2,866 | ) | (40,932 | ) | (17,721 | ) | (452,209 | ) | (14,495 | ) | |||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | (14,532,856 | ) | (2,709,070 | ) | (34,507,780 | ) | (13,308,130 | ) | (30,209,873 | ) | 28,816,988 | |||||||||||||||||
| Net realized and unrealized gain (loss) | (8,777,241 | ) | 59,129,906 | 153,586,181 | (131,801,364 | ) | (47,612,992 | ) | 96,028,887 | (84,426,193 | ) | 162,363,422 | ||||||||||||||||||||
Net income (loss) | $ | (10,243,514 | ) | $ | 57,585,172 | $ | 148,811,785 | $ | (135,844,674 | ) | $ | (48,706,992 | ) | $ | 94,163,130 | $ | (86,817,115 | ) | $ | 159,055,299 | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 588,615,946 | $ | 509,811,853 | $ | 409,371,468 | $ | 284,437,179 | $ | 495,588,849 | $ | 527,130,851 | $ | 423,812,594 | $ | 409,371,468 | ||||||||||||||||
| Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively | 30,777,084 | — | 150,390,026 | 914,411,669 | ||||||||||||||||||||||||||||
| Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively | (220,625,671 | ) | (231,931,959 | ) | (320,049,434 | ) | (727,539,108 | ) | ||||||||||||||||||||||||
| Addition of 1,600,000, 450,000, 4,600,000 and 2,850,000 shares, respectively | 75,921,860 | 21,503,474 | 232,437,331 | 119,612,942 | ||||||||||||||||||||||||||||
| Redemption of 2,300,000, 1,050,000, 3,100,000 and 2,150,000 shares, respectively | (119,158,761 | ) | (54,181,509 | ) | (165,787,854 | ) | (99,423,763 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively | (189,848,587 | ) | (231,931,959 | ) | (169,659,408 | ) | 186,872,561 | |||||||||||||||||||||||||
| Net addition (redemption) of (700,000), (600,000), 1,500,000 and 700,000 shares, respectively | (43,236,901 | ) | (32,678,035 | ) | 66,649,477 | 20,189,179 | ||||||||||||||||||||||||||
| Net investment income (loss) | (1,466,273 | ) | (1,544,734 | ) | (4,774,396 | ) | (4,043,310 | ) | (1,094,000 | ) | (1,865,757 | ) | (2,390,922 | ) | (3,308,123 | ) | ||||||||||||||||
| Net realized gain (loss) | 34,572,603 | 60,593,305 | 168,119,037 | (129,092,294 | ) | (13,105,212 | ) | 109,337,017 | (54,216,320 | ) | 133,546,434 | |||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | (14,532,856 | ) | (2,709,070 | ) | (34,507,780 | ) | (13,308,130 | ) | (30,209,873 | ) | 28,816,988 | |||||||||||||||||
| Net income (loss) | (10,243,514 | ) | 57,585,172 | 148,811,785 | (135,844,674 | ) | (48,706,992 | ) | 94,163,130 | (86,817,115 | ) | 159,055,299 | ||||||||||||||||||||
Shareholders’ equity, end of period | $ | 388,523,845 | $ | 335,465,066 | $ | 388,523,845 | $ | 335,465,066 | $ | 403,644,956 | $ | 588,615,946 | $ | 403,644,956 | $ | 588,615,946 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | 148,811,785 | $ | (135,844,674 | ) | $ | (86,817,115 | ) | $ | 159,055,299 | ||||||
| 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 | (411,950,977 | ) | (509,581,499 | ) | (569,767,938 | ) | (371,956,927 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 351,997,423 | 446,998,196 | 565,832,801 | 237,000,000 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (42,672 | ) | (466,825 | ) | (206,220 | ) | (32,691 | ) | ||||||||
| Net realized gain (loss) on investments | 1,303 | 768 | ||||||||||||||
| Change in unrealized appreciation (depreciation) on investments | 2,095 | 2,866 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | 3,053,471 | (38,580,764 | ) | |||||||||||||
| Net realized (gain) loss on investments | 86,512 | — | ||||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 452,209 | 14,495 | ||||||||||||||
| Decrease (Increase) in receivable on open futures contracts | (6,253,293 | ) | (11,016,780 | ) | ||||||||||||
| Decrease (Increase) in interest receivable | 2,611 | 120,515 | (73,181 | ) | 1,167 | |||||||||||
| Increase (Decrease) in payable to Sponsor | (22,522 | ) | 86,957 | (2,886 | ) | 124,617 | ||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (28,666 | ) | 92,881 | (92,191 | ) | 20,038 | ||||||||||
| Increase (Decrease) in payable on futures contracts | (996,159 | ) | 1,344,400 | |||||||||||||
| Increase (Decrease) in payable on open futures contracts | 1,735,890 | 4,589,992 | ||||||||||||||
| Net cash provided by (used in) operating activities | 90,827,692 | (235,827,179 | ) | (95,105,412 | ) | 17,799,210 | ||||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 150,390,026 | 914,411,669 | 232,437,331 | 119,612,942 | ||||||||||||
| Payment on shares redeemed | (320,049,434 | ) | (697,482,198 | ) | (171,912,984 | ) | (99,423,763 | ) | ||||||||
| Net cash provided by (used in) financing activities | (169,659,408 | ) | 216,929,471 | 60,524,347 | 20,189,179 | |||||||||||
Net increase (decrease) in cash | (78,831,716 | ) | (18,897,708 | ) | (34,581,065 | ) | 37,988,389 | |||||||||
| Cash, beginning of period | 266,579,220 | 167,544,087 | 183,010,984 | 266,579,220 | ||||||||||||
| Cash, end of period | $ | 187,747,504 | $ | 148,646,379 | $ | 148,429,919 | $ | 304,567,609 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively) | $ | 834,942,326 | $ | 219,998,394 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $527,457,948 and $848,800,309, respectively) | $ | 526,423,284 | $ | 848,757,567 | ||||||||||||
| Cash | 59,467,995 | 491,732,847 | 395,184,001 | 86,582,912 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 140,365,174 | 175,526,749 | 99,271,727 | 130,704,477 | ||||||||||||
| Segregated cash balances with brokers for swap agreements | 234,394,000 | — | ||||||||||||||
| Unrealized appreciation on swap agreements | 70,885,762 | 18,242,195 | — | 63,928,293 | ||||||||||||
| Receivable on open futures contracts | 2,775,359 | 1,611,608 | ||||||||||||||
| Interest receivable | 14,763 | 21,388 | 213,841 | 3,523 | ||||||||||||
| Total assets | 1,108,451,379 | 907,133,181 | 1,255,486,853 | 1,129,976,772 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | 16,894,746 | 3,627,934 | 20,080,952 | — | ||||||||||||
| Payable on open futures contracts | 21,213,241 | 25,317,560 | ||||||||||||||
| Brokerage commissions and futures account fees payable | 21,834 | — | 12,600 | 24,677 | ||||||||||||
| Payable to Sponsor | 856,541 | 728,955 | 1,025,667 | 850,965 | ||||||||||||
Non-recurring fees and expenses payable | 64,542 | 37,042 | ||||||||||||||
| Unrealized depreciation on swap agreements | 152,287,155 | — | ||||||||||||||
| Total liabilities | 17,837,663 | 4,393,931 | 194,619,615 | 26,193,202 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 1,090,613,716 | 902,739,250 | 1,060,867,238 | 1,103,783,570 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 1,108,451,379 | $ | 907,133,181 | $ | 1,255,486,853 | $ | 1,129,976,772 | ||||||||
| Shares outstanding | 12,910,774 | 24,810,774 | ||||||||||||||
Shares outstanding (Note 1 ) | 25,493,096 | 51,243,096 | ||||||||||||||
| Net asset value per share | $ | 84.47 | $ | 36.38 | ||||||||||||
Net asset value per share (Note 1 ) | $ | 41.61 | $ | 21.54 | ||||||||||||
| Market value per share (Note 2) | $ | 84.22 | $ | 36.27 | ||||||||||||
Market value per share (Note 1) (Note 2 ) | $ | 41.86 | $ | 21.70 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (77% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.018% due 10/14/21 † | $ | 145,000,000 | $ | 144,998,695 | ||||
0.039% due 10/21/21 † | 90,000,000 | 89,996,004 | ||||||
0.033% due 11/18/21 † | 150,000,000 | 149,992,995 | ||||||
0.043% due 12/16/21 † | 325,000,000 | 324,972,570 | ||||||
| 0.037% due 01/20/22 | 75,000,000 | 74,990,752 | ||||||
| 0.028% due 02/17/22 | 50,000,000 | 49,991,310 | ||||||
| Total short-term U.S. government and agency obligations (cost $834,947,719) | $ | 834,942,326 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (50% of shareholders’ equity) | ||||||||
Federal Home Loan Discount Notes ^^ : | ||||||||
| 1.000% due 07/01/22 | $ | 150,000,000 | $ | 150,000,000 | ||||
U.S. Treasury Bills ^^ : | ||||||||
0.393% due 07/21/22 † | 47,000,000 | 46,971,932 | ||||||
0.706% due 08/18/22 † | 150,000,000 | 149,724,000 | ||||||
0.637% due 11/03/22 † | 181,000,000 | 179,727,352 | ||||||
| Total short-term U.S. government and agency obligations (cost $527,457,948) | $ | 526,423,284 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| WTI Crude Oil - NYMEX, expires December 2021 | 5,657 | $ | 422,577,900 | $ | 158,475,710 | |||||||
| WTI Crude Oil - NYMEX, expires June 2022 | 5,843 | 415,729,450 | 89,351,620 | |||||||||
| WTI Crude Oil - NYMEX, expires December 2022 | 6,063 | 410,465,100 | 20,176,983 | |||||||||
| $ | 268,004,313 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| WTI Crude Oil - NYMEX, expires September 2022 | 2,204 | $ | 227,232,400 | $ | (17,930,940 | ) | ||||||
| WTI Crude Oil - NYMEX, expires December 2022 | 2,535 | 242,244,600 | 64,744,247 | |||||||||
| WTI Crude Oil - NYMEX, expires June 2023 | 2,688 | 235,522,560 | 11,641,492 | |||||||||
| $ | 58,454,799 | |||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | 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 | % | 10/06/21 | $ | 143,554,545 | $ | 10,910,833 | 0.35 | % | 07/06/22 | $ | 215,921,141 | $ | (21,668,621 | ) | |||||||||||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/21 | 203,094,978 | 15,436,191 | 0.35 | 07/06/22 | 321,089,755 | (42,218,820 | ) | |||||||||||||||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/21 | 248,642,399 | 18,898,011 | 0.35 | 07/06/22 | 373,984,332 | (37,530,948 | ) | |||||||||||||||||||||||
| Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 10/06/21 | 135,481,695 | 10,305,144 | 0.25 | 07/06/22 | 203,778,726 | (20,435,337 | ) | |||||||||||||||||||||||
| Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 10/06/21 | 201,694,052 | 15,335,583 | 0.30 | 07/06/22 | 303,369,078 | (30,433,429 | ) | |||||||||||||||||||||||
| | Total Unrealized Appreciation | | $ | 70,885,762 | Total Unrealized Depreciation | $ | (152,287,155 | ) | ||||||||||||||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 86,370 | $ | 50,356 | $ | 365,778 | $ | 1,817,563 | $ | 1,264,011 | $ | 111,333 | $ | 1,572,891 | $ | 279,408 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 2,775,351 | 3,210,517 | 8,104,728 | 6,887,044 | 3,098,904 | 2,794,292 | 6,183,716 | 5,329,377 | ||||||||||||||||||||||||
| Brokerage commissions | 198,498 | 600,233 | 701,710 | 1,744,115 | 140,210 | 210,012 | 335,751 | 503,212 | ||||||||||||||||||||||||
| Futures account fees | 215,514 | 635,311 | 632,199 | 1,172,060 | 109,601 | 317,748 | 362,288 | 416,685 | ||||||||||||||||||||||||
Non-recurring fees and expenses | 27,500 | 24,637 | 27,500 | 24,637 | ||||||||||||||||||||||||||||
| Total expenses | 3,216,863 | 4,470,698 | 9,466,137 | 9,827,856 | 3,348,715 | 3,322,052 | 6,881,755 | 6,249,274 | ||||||||||||||||||||||||
| Net investment income (loss) | (3,130,493 | ) | (4,420,342 | ) | (9,100,359 | ) | (8,010,293 | ) | (2,084,704 | ) | (3,210,719 | ) | (5,308,864 | ) | (5,969,866 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 92,637,432 | 294,310,497 | 539,758,995 | 174,272,485 | 244,497,710 | 255,445,062 | 510,907,542 | 447,121,563 | ||||||||||||||||||||||||
| Swap agreements | 13,693,131 | (8,356,234 | ) | 221,428,455 | (1,065,452,045 | ) | 118,798,382 | 65,060,597 | 651,811,620 | 207,735,324 | ||||||||||||||||||||||
| Short-term U.S. government and agency obligations | (4,742 | ) | — | (4,742 | ) | 159,318 | (4,653 | ) | — | (7,789 | ) | — | ||||||||||||||||||||
| Net realized gain (loss) | 106,325,821 | 285,954,263 | 761,182,708 | (891,020,242 | ) | 363,291,439 | 320,505,659 | 1,162,711,373 | 654,856,887 | |||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (48,048,297 | ) | (222,585,432 | ) | 123,440,274 | 127,961,958 | (187,136,364 | ) | 77,503,699 | (89,000,726 | ) | 171,488,571 | ||||||||||||||||||||
| Swap agreements | 31,138,258 | (10,038,323 | ) | 52,643,567 | (21,814,590 | ) | (24,001,881 | ) | 80,496,098 | (216,215,448 | ) | 21,505,309 | ||||||||||||||||||||
| Short-term U.S. government and agency obligations | 31,451 | (6,531 | ) | (7,634 | ) | (20,469 | ) | (405,864 | ) | (80,658 | ) | (991,922 | ) | (39,085 | ) | |||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | 176,076,207 | 106,126,899 | (211,544,109 | ) | 157,919,139 | (306,208,096 | ) | 192,954,795 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) | 89,447,233 | 53,323,977 | 937,258,915 | (784,893,343 | ) | 151,747,330 | 478,424,798 | 856,503,277 | 847,811,682 | |||||||||||||||||||||||
Net income (loss) | $ | 86,316,740 | $ | 48,903,635 | $ | 928,158,556 | $ | (792,903,636 | ) | $ | 149,662,626 | $ | 475,214,079 | $ | 851,194,413 | $ | 841,841,816 | |||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 1,303,530,902 | $ | 1,508,661,459 | $ | 902,739,250 | $ | 309,844,582 | $ | 1,336,980,685 | $ | 1,088,579,093 | $ | 1,103,783,570 | $ | 902,739,250 | ||||||||||||||||
| Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively | 62,865,806 | 659,253,641 | 240,118,659 | 3,612,784,316 | ||||||||||||||||||||||||||||
| Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively | (362,099,732 | ) | (1,020,933,679 | ) | (980,402,749 | ) | (1,933,840,206 | ) | ||||||||||||||||||||||||
Addition of 1,700,000, 4,200,000, 10,300,000 and 13,600,000 shares, respectively (Note 1) | 72,419,653 | 60,208,663 | 402,736,686 | 177,252,853 | ||||||||||||||||||||||||||||
Redemption of 11,450,000, 20,400,000, 36,050,000 and 46,200,000 shares, respectively (Note 1) | (498,195,726 | ) | (320,470,933 | ) | (1,296,847,431 | ) | (618,303,017 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively | (299,233,926 | ) | (361,680,038 | ) | (740,284,090 | ) | 1,678,944,110 | |||||||||||||||||||||||||
Net addition (redemption) of (9,750,000), (16,200,000), (25,750,000) and (32,600,000) shares, respectively (Note 1) | (425,776,073 | ) | (260,262,270 | ) | (894,110,745 | ) | (441,050,164 | ) | ||||||||||||||||||||||||
| Net investment income (loss) | (3,130,493 | ) | (4,420,342 | ) | (9,100,359 | ) | (8,010,293 | ) | (2,084,704 | ) | (3,210,719 | ) | (5,308,864 | ) | (5,969,866 | ) | ||||||||||||||||
| Net realized gain (loss) | 106,325,821 | 285,954,263 | 761,182,708 | (891,020,242 | ) | 363,291,439 | 320,505,659 | 1,162,711,373 | 654,856,887 | |||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | 176,076,207 | 106,126,899 | (211,544,109 | ) | 157,919,139 | (306,208,096 | ) | 192,954,795 | ||||||||||||||||||||
| Net income (loss) | 86,316,740 | 48,903,635 | 928,158,556 | (792,903,636 | ) | 149,662,626 | 475,214,079 | 851,194,413 | 841,841,816 | |||||||||||||||||||||||
Shareholders’ equity, end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | $ | 1,090,613,716 | $ | 1,195,885,056 | $ | 1,060,867,238 | $ | 1,303,530,902 | $ | 1,060,867,238 | $ | 1,303,530,902 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | 928,158,556 | $ | (792,903,636 | ) | $ | 851,194,413 | $ | 841,841,816 | |||||||
| 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 | (2,012,720,434 | ) | (609,752,656 | ) | (4,782,347,856 | ) | (1,692,766,532 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,397,994,503 | 611,325,151 | 5,104,987,142 | 980,000,000 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (230,377 | ) | (1,266,463 | ) | (1,304,714 | ) | (158,785 | ) | ||||||||
| Net realized gain (loss) on investments | 4,742 | (159,318 | ) | |||||||||||||
| Change in unrealized appreciation (depreciation) on investments | (52,635,933 | ) | 21,835,059 | |||||||||||||
| Decrease (Increase) in receivable on futures contracts | (1,163,751 | ) | (43,615,866 | ) | ||||||||||||
| Net realized (gain) loss on investments | 7,789 | — | ||||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 217,207,370 | (21,466,224 | ) | |||||||||||||
| Decrease (Increase) in receivable on open futures contracts | — | (4,050,185 | ) | |||||||||||||
| Decrease (Increase) in interest receivable | 6,625 | 93,028 | (210,318 | ) | (38,568 | ) | ||||||||||
| Increase (Decrease) in payable to Sponsor | 127,586 | 699,847 | 174,702 | 246,994 | ||||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 21,834 | — | (12,077 | ) | 22,929 | |||||||||||
| Increase (Decrease) in payable on futures contracts | — | (266,056 | ) | |||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 27,500 | — | ||||||||||||||
| Increase (Decrease) in payable on open futures contracts | (4,104,319 | ) | — | |||||||||||||
| Increase (Decrease) in securities purchased payable | — | 149,968,500 | ||||||||||||||
| Net cash provided by (used in) operating activities | 259,590,851 | (814,010,910 | ) | 1,385,592,132 | 253,599,945 | |||||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 240,118,659 | 3,605,599,295 | 402,736,686 | 177,252,853 | ||||||||||||
| Payment on shares redeemed | (967,135,937 | ) | (1,933,840,206 | ) | (1,276,766,479 | ) | (621,930,951 | ) | ||||||||
| Net cash provided by (used in) financing activities | (727,017,278 | ) | 1,671,759,089 | (874,029,793 | ) | (444,678,098 | ) | |||||||||
Net increase (decrease) in cash | (467,426,427 | ) | 857,748,179 | 511,562,339 | (191,078,153 | ) | ||||||||||
| Cash, beginning of period | 667,259,596 | 88,315,563 | 217,287,389 | 667,259,596 | ||||||||||||
| Cash, end of period | $ | 199,833,169 | $ | 946,063,742 | $ | 728,849,728 | $ | 476,181,443 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively) | $ | 32,997,127 | $ | 29,999,889 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $105,954,114 and $90,936,719, respectively) | $ | 105,739,904 | $ | 90,922,438 | ||||||||||||
| Cash | 57,275,787 | 92,972,312 | 33,945,129 | 6,846,634 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 29,792,570 | 44,320,410 | 52,657,500 | 47,289,091 | ||||||||||||
| Receivable from capital shares sold | 12,521,135 | — | 19,786,612 | 20,448,741 | ||||||||||||
| Receivable on open futures contracts | 12,504,114 | 13,775,851 | 13,543,290 | 33,998,620 | ||||||||||||
| Interest receivable | 1,065 | 4,326 | 39,868 | 1,130 | ||||||||||||
| Total assets | 145,091,798 | 181,072,788 | 225,712,303 | 199,506,654 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | — | 11,132,546 | 5,988,252 | — | ||||||||||||
| Payable on open futures contracts | 32,204,426 | 5,403,658 | ||||||||||||||
| Brokerage commissions and futures account fees payable | 145 | — | 6,507 | 63,628 | ||||||||||||
| Payable to Sponsor | 52,856 | 139,455 | 215,276 | 147,190 | ||||||||||||
Non-recurring fees and expenses payable | 416 | 416 | ||||||||||||||
| Total liabilities | 53,417 | 11,272,417 | 38,414,461 | 5,614,476 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 145,038,381 | 169,800,371 | 187,297,842 | 193,892,178 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 145,091,798 | $ | 181,072,788 | $ | 225,712,303 | $ | 199,506,654 | ||||||||
| Shares outstanding | 1,737,527 | 8,087,527 | 4,737,527 | 7,587,527 | ||||||||||||
| Net asset value per share | $ | 83.47 | $ | 21.00 | $ | 39.53 | $ | 25.55 | ||||||||
| Market value per share (Note 2) | $ | 82.30 | $ | 21.07 | $ | 42.10 | $ | 26.09 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (23% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.043% due 11/18/21 | $ | 8,000,000 | $ | 7,999,626 | ||||
| 0.044% due 12/16/21 | 15,000,000 | 14,998,734 | ||||||
| 0.037% due 01/20/22 | 10,000,000 | 9,998,767 | ||||||
| Total short-term U.S. government and agency obligations (cost $32,997,075) | $ | 32,997,127 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (56% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.967% due 07/14/22 | $ | 50,000,000 | $ | 49,979,235 | ||||
| 0.393% due 07/21/22 | 24,000,000 | 23,985,667 | ||||||
| 0.223% due 11/03/22 | 32,000,000 | 31,775,002 | ||||||
| Total short-term U.S. government and agency obligations (cost $105,954,114) | $ | 105,739,904 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Natural Gas - NYMEX, expires November 2021 | 4,944 | $ | 290,064,480 | $ | 42,185,730 | |||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Natural Gas - NYMEX, expires September 2022 | 6,954 | $ | 374,959,680 | $ | (194,426,957 | ) | ||||||
| ^^ | ||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 7,355 | $ | 15,347 | $ | 32,714 | $ | 191,160 | $ | 146,470 | $ | 11,544 | $ | 186,051 | $ | 25,359 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 161,130 | 199,772 | 568,903 | 378,784 | 534,624 | 152,958 | 931,234 | 407,773 | ||||||||||||||||||||||||
| Brokerage commissions | 40,472 | 106,449 | 195,831 | 214,255 | 114,706 | 63,062 | 203,158 | 155,359 | ||||||||||||||||||||||||
| Futures account fees | 18,263 | 31,540 | 112,998 | 44,182 | 63,213 | 12,887 | 134,330 | 94,735 | ||||||||||||||||||||||||
Non-recurring fees and expenses | — | 1,129 | — | 1,129 | ||||||||||||||||||||||||||||
| Total expenses | 219,865 | 338,890 | 877,732 | 638,350 | 712,543 | 228,907 | 1,268,722 | 657,867 | ||||||||||||||||||||||||
| Net investment income (loss) | (212,510 | ) | (323,543 | ) | (845,018 | ) | (447,190 | ) | (566,073 | ) | (217,363 | ) | (1,082,671 | ) | (632,508 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 33,925,711 | 41,156,156 | 80,409,384 | 2,225,390 | 164,990,694 | 4,901,288 | 241,211,382 | 46,483,673 | ||||||||||||||||||||||||
| Short-term U.S. government and agency obligations | 12 | — | 563 | 977 | — | — | (3,452 | ) | 551 | |||||||||||||||||||||||
| Net realized gain (loss) | 33,925,723 | 41,156,156 | 80,409,947 | 2,226,367 | 164,990,694 | 4,901,288 | 241,207,930 | 46,484,224 | ||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 25,134,988 | (4,754,372 | ) | 35,685,009 | (4,336,578 | ) | (271,251,560 | ) | 28,350,804 | (186,220,796 | ) | 10,550,021 | ||||||||||||||||||||
| Short-term U.S. government and agency obligations | 720 | (455 | ) | (252 | ) | (2,014 | ) | (36,909 | ) | (2,887 | ) | (199,929 | ) | (972 | ) | |||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | 35,684,757 | (4,338,592 | ) | (271,288,469 | ) | 28,347,917 | (186,420,725 | ) | 10,549,049 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) | 59,061,431 | 36,401,329 | 116,094,704 | (2,112,225 | ) | (106,297,775 | ) | 33,249,205 | 54,787,205 | 57,033,273 | ||||||||||||||||||||||
Net income (loss) | $ | 58,848,921 | $ | 36,077,786 | $ | 115,249,686 | $ | (2,559,415 | ) | $ | (106,863,848 | ) | $ | 33,031,842 | $ | 53,704,534 | $ | 56,400,765 | ||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 70,213,227 | $ | 50,599,783 | $ | 169,800,371 | $ | 45,160,205 | $ | 145,069,486 | $ | 74,307,070 | $ | 193,892,178 | $ | 169,800,371 | ||||||||||||||||
| Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively | 79,122,213 | 139,174,605 | 169,309,627 | 193,426,833 | ||||||||||||||||||||||||||||
| Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively | (63,145,980 | ) | (126,648,412 | ) | (309,321,303 | ) | (136,823,861 | ) | ||||||||||||||||||||||||
| Addition of 6,500,000, 650,000, 9,100,000 and 4,050,000 shares, respectively | 549,486,344 | 13,706,591 | 637,366,699 | 90,187,414 | ||||||||||||||||||||||||||||
| Redemption of 4,350,000, 2,150,000, 11,950,000 and 10,150,000 shares, respectively | (400,394,140 | ) | (50,832,276 | ) | (697,665,569 | ) | (246,175,323 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively | 15,976,233 | 12,526,193 | (140,011,676 | ) | 56,602,972 | |||||||||||||||||||||||||||
| Net addition (redemption) of 2,150,000, (1,500,000), (2,850,000) and (6,100,000) shares, respectively | 149,092,204 | (37,125,685 | ) | (60,298,870 | ) | (155,987,909 | ) | |||||||||||||||||||||||||
| Net investment income (loss) | (212,510 | ) | (323,543 | ) | (845,018 | ) | (447,190 | ) | (566,073 | ) | (217,363 | ) | (1,082,671 | ) | (632,508 | ) | ||||||||||||||||
| Net realized gain (loss) | 33,925,723 | 41,156,156 | 80,409,947 | 2,226,367 | 164,990,694 | 4,901,288 | 241,207,930 | 46,484,224 | ||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | 35,684,757 | (4,338,592 | ) | (271,288,469 | ) | 28,347,917 | (186,420,725 | ) | 10,549,049 | ||||||||||||||||||||
| Net income (loss) | 58,848,921 | 36,077,786 | 115,249,686 | (2,559,415 | ) | (106,863,848 | ) | 33,031,842 | 53,704,534 | 56,400,765 | ||||||||||||||||||||||
Shareholders’ equity, end of period | $ | 145,038,381 | $ | 99,203,762 | $ | 145,038,381 | $ | 99,203,762 | $ | 187,297,842 | $ | 70,213,227 | $ | 187,297,842 | $ | 70,213,227 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | 115,249,686 | $ | (2,559,415 | ) | $ | 53,704,534 | $ | 56,400,765 | |||||||
| 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 | (143,979,838 | ) | (115,881,108 | ) | (520,892,453 | ) | (118,983,722 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 140,999,619 | 83,563,843 | 505,991,302 | 118,999,676 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (16,708 | ) | (144,767 | ) | (119,696 | ) | (13,040 | ) | ||||||||
| Net realized gain (loss) on investments | (563 | ) | (977 | ) | ||||||||||||
| Change in unrealized appreciation (depreciation) on investments | 252 | 2,014 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | 1,271,737 | 37,024 | ||||||||||||||
| Net realized (gain) loss on investments | 3,452 | (551 | ) | |||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 199,929 | 972 | ||||||||||||||
| Decrease (Increase) in receivable on open futures contracts | 20,455,330 | 13,775,851 | ||||||||||||||
| Decrease (Increase) in interest receivable | 3,261 | 9,758 | (38,738 | ) | 2,763 | |||||||||||
| Increase (Decrease) in payable to Sponsor | (86,599 | ) | 29,126 | 68,086 | (91,354 | ) | ||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 145 | — | (57,121 | ) | 296 | |||||||||||
| Increase (Decrease) in payable on futures contracts | — | 2,392,727 | ||||||||||||||
| Increase (Decrease) in payable on open futures contracts | 26,800,768 | 210,440 | ||||||||||||||
| Net cash provided by (used in) operating activities | 113,440,992 | (32,551,775 | ) | 86,115,393 | 70,302,096 | |||||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 156,788,492 | 193,426,833 | 638,028,828 | 90,187,414 | ||||||||||||
| Payment on shares redeemed | (320,453,849 | ) | (136,823,861 | ) | (691,677,317 | ) | (257,307,869 | ) | ||||||||
| Net cash provided by (used in) financing activities | (163,665,357 | ) | 56,602,972 | (53,648,489 | ) | (167,120,455 | ) | |||||||||
Net increase (decrease) in cash | (50,224,365 | ) | 24,051,197 | 32,466,904 | (96,818,359 | ) | ||||||||||
| Cash, beginning of period | 137,292,722 | 17,619,062 | 54,135,725 | 137,292,722 | ||||||||||||
| Cash, end of period | $ | 87,068,357 | $ | 41,670,259 | $ | 86,602,629 | $ | 40,474,363 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively) | $ | 999,916 | $ | — | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $4,695,823 and $998,130, respectively) | $ | 4,690,703 | $ | 997,678 | ||||||||||||
| Cash | 2,644,602 | 4,045,092 | 5,061,750 | 6,891,458 | ||||||||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 607,000 | — | 691,000 | ||||||||||||
| Unrealized appreciation on foreign currency forward contracts | 2,136 | 89,103 | 17,639 | 84,150 | ||||||||||||
| Interest receivable | 100 | 162 | 1,535 | 153 | ||||||||||||
| Total assets | 3,646,754 | 4,741,357 | 9,771,627 | 8,664,439 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable to Sponsor | 2,813 | 3,625 | 5,967 | 3,846 | ||||||||||||
| Unrealized depreciation on foreign currency forward contracts | 164,822 | 367 | 350,034 | 1,498 | ||||||||||||
Non-recurring fees and expenses payable | 15 | 15 | ||||||||||||||
| Total liabilities | 167,650 | 4,007 | 356,001 | 5,344 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 3,479,104 | 4,737,350 | 9,415,626 | 8,659,095 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 3,646,754 | $ | 4,741,357 | $ | 9,771,627 | $ | 8,664,439 | ||||||||
| Shares outstanding | 250,000 | 300,000 | 850,000 | 650,000 | ||||||||||||
| Net asset value per share | $ | 13.92 | $ | 15.79 | $ | 11.08 | $ | 13.32 | ||||||||
| Market value per share (Note 2) | $ | 13.92 | $ | 15.81 | $ | 11.11 | $ | 13.33 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (29% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043% due 12/16/21 † | $ | 1,000,000 | $ | 999,916 | ||||
| Total short-term U.S. government and agency obligations (cost $999,912) | $ | 999,916 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations (50% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.393% due 07/21/22 † | $ | 4,000,000 | $ | 3,997,611 | ||||
0.554% due 11/03/22 † | 698,000 | 693,092 | ||||||
| Total short-term U.S. government and agency obligations (cost $4,695,823) | $ | 4,690,703 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | 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 | 10/08/21 | 3,388,921 | $ | 3,925,672 | $ | (90,545 | ) | 07/08/22 | 4,532,921 | $ | 4,750,259 | $ | (123,538 | ) | ||||||||||||||||||
| Euro with UBS AG | 10/08/21 | 2,801,502 | 3,245,215 | (74,277 | ) | 07/08/22 | 14,836,502 | 15,547,860 | (226,496 | ) | ||||||||||||||||||||||
| Total Unrealized Depreciation | | $ | (164,822 | ) | Total Unrealized Depreciation | | $ | (350,034 | ) | |||||||||||||||||||||||
Contracts to Sell | ||||||||||||||||||||||||||||||||
| Euro with Goldman Sachs International | 10/08/21 | (93,000 | ) | $ | (107,730 | ) | $ | 941 | ||||||||||||||||||||||||
| Euro with UBS AG | 10/08/21 | (84,000 | ) | (97,304 | ) | 1,195 | 07/08/22 | (1,446,000 | ) | $ | (1,515,331 | ) | $ | 17,639 | ||||||||||||||||||
| Total Unrealized Appreciation | $ | 2,136 | Total Unrealized Appreciation | $ | 17,639 | |||||||||||||||||||||||||||
| † | All or partial amount pledged as collateral for foreign currency |
| ^ | The positions and counterparties herein are as of |
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 393 | $ | 357 | $ | 1,415 | $ | 16,350 | $ | 6,522 | $ | 438 | $ | 11,109 | $ | 1,022 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 8,664 | 12,404 | 28,158 | 33,852 | 15,037 | 9,416 | 35,315 | 19,494 | ||||||||||||||||||||||||
Non-recurring fees and expenses | — | 108 | — | 108 | ||||||||||||||||||||||||||||
| Total expenses | 8,664 | 12,512 | 28,158 | 33,960 | 15,037 | 9,416 | 35,315 | 19,494 | ||||||||||||||||||||||||
| Net investment income (loss) | (8,271 | ) | (12,155 | ) | (26,743 | ) | (17,610 | ) | (8,515 | ) | (8,978 | ) | (24,206 | ) | (18,472 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | (446,365 | ) | 95,412 | (887,395 | ) | 68,070 | ||||||||||||||||||||
| Short-term U.S. government and agency obligations | — | — | (5,949 | ) | — | |||||||||||||||||||||||||||
| Net realized gain (loss) | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | (446,365 | ) | 95,412 | (893,344 | ) | 68,070 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | �� | |||||||||||||||||||||||||||||||
| Foreign currency forward contracts | 72,810 | (84,317 | ) | (251,422 | ) | (208,243 | ) | (282,077 | ) | (13,092 | ) | (415,047 | ) | (324,232 | ) | |||||||||||||||||
| Short-term U.S. government and agency obligations | 43 | — | 4 | (208 | ) | 787 | (127 | ) | (4,668 | ) | (39 | ) | ||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (251,418 | ) | (208,451 | ) | (281,290 | ) | (13,219 | ) | (419,715 | ) | (324,271 | ) | |||||||||||||||||
| Net realized and unrealized gain (loss) | (181,366 | ) | 357,397 | (437,567 | ) | 161,360 | (727,655 | ) | 82,193 | (1,313,059 | ) | (256,201 | ) | |||||||||||||||||||
Net income (loss) | $ | (189,637 | ) | $ | 345,242 | $ | (464,310 | ) | $ | 143,750 | $ | (736,170 | ) | $ | 73,215 | $ | (1,337,265 | ) | $ | (274,673 | ) | |||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 3,668,741 | $ | 4,067,686 | $ | 4,737,350 | $ | 6,204,424 | $ | 6,236,982 | $ | 3,611,724 | $ | 8,659,095 | $ | 4,737,350 | ||||||||||||||||
| Addition of –, 100,000, 100,000 and 200,000 shares, respectively | — | 1,470,669 | 1,488,793 | 2,838,707 | ||||||||||||||||||||||||||||
| Redemption of –, 100,000, 150,000 and 350,000 shares, respectively | — | (1,485,922 | ) | (2,282,729 | ) | (4,789,206 | ) | |||||||||||||||||||||||||
| Addition of 450,000, 100,000, 550,000 and 100,000 shares, respectively | 5,052,555 | 1,488,793 | 6,368,822 | 1,488,793 | ||||||||||||||||||||||||||||
| Redemption of 100,000, 100,000, 350,000 and 150,000 shares, respectively | (1,137,741 | ) | (1,504,991 | ) | (4,275,026 | ) | (2,282,729 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively | — | (15,253 | ) | (793,936 | ) | (1,950,499 | ) | |||||||||||||||||||||||||
| Net addition (redemption) of 350,000, –, 200,000 and (50,000) shares, respectively | 3,914,814 | (16,198 | ) | 2,093,796 | (793,936 | ) | ||||||||||||||||||||||||||
| Net investment income (loss) | (8,271 | ) | (12,155 | ) | (26,743 | ) | (17,610 | ) | (8,515 | ) | (8,978 | ) | (24,206 | ) | (18,472 | ) | ||||||||||||||||
| Net realized gain (loss) | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | (446,365 | ) | 95,412 | (893,344 | ) | 68,070 | ||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (251,418 | ) | (208,451 | ) | (281,290 | ) | (13,219 | ) | (419,715 | ) | (324,271 | ) | |||||||||||||||||
| Net income (loss) | (189,637 | ) | 345,242 | (464,310 | ) | 143,750 | (736,170 | ) | 73,215 | (1,337,265 | ) | (274,673 | ) | |||||||||||||||||||
Shareholders’ equity, end of period | $ | 3,479,104 | $ | 4,397,675 | $ | 3,479,104 | $ | 4,397,675 | $ | 9,415,626 | $ | 3,668,741 | $ | 9,415,626 | $ | 3,668,741 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | (464,310 | ) | $ | 143,750 | $ | (1,337,265 | ) | $ | (274,673 | ) | |||||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||
| Purchases of short-term U.S. government and agency obligations | (3,999,381 | ) | (1,395,795 | ) | (5,984,289 | ) | (2,999,505 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 3,000,000 | 5,375,000 | 2,290,249 | 2,000,000 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (531 | ) | (9,001 | ) | (9,602 | ) | (473 | ) | ||||||||
| Change in unrealized appreciation (depreciation) on investments | 251,418 | 208,451 | ||||||||||||||
| Net realized (gain) loss on investments | 5,949 | — | ||||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 419,715 | 324,271 | ||||||||||||||
| Decrease (Increase) in interest receivable | 62 | 1,304 | (1,382 | ) | 40 | |||||||||||
| Increase (Decrease) in payable to Sponsor | (812 | ) | (830 | ) | 2,121 | (586 | ) | |||||||||
| Net cash provided by (used in) operating activities | (1,213,554 | ) | 4,322,879 | (4,614,504 | ) | (950,926 | ) | |||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 1,488,793 | 2,838,707 | 6,368,822 | 1,488,793 | ||||||||||||
| Payment on shares redeemed | (2,282,729 | ) | (4,789,206 | ) | (4,275,026 | ) | (1,548,903 | ) | ||||||||
| Net cash provided by (used in) financing activities | (793,936 | ) | (1,950,499 | ) | 2,093,796 | (60,110 | ) | |||||||||
Net increase (decrease) in cash | (2,007,490 | ) | 2,372,380 | (2,520,708 | ) | (1,011,036 | ) | |||||||||
| Cash, beginning of period | 4,652,092 | 2,127,437 | 7,582,458 | 4,652,092 | ||||||||||||
| Cash, end of period | $ | 2,644,602 | $ | 4,499,817 | $ | 5,061,750 | $ | 3,641,056 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively) | $ | 185,985,614 | $ | 74,999,467 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $208,875,314 and $207,964,168, respectively) | $ | 208,696,447 | $ | 207,956,320 | ||||||||||||
| Cash | 45,172,246 | 164,381,859 | 32,582,080 | 9,328,332 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 7,404,375 | 11,581,250 | 6,922,800 | 6,093,750 | ||||||||||||
| Segregated cash balances with brokers for swap agreements | — | 7,489,000 | 2,207,000 | — | ||||||||||||
| Unrealized appreciation on swap agreements | — | 5,140,980 | — | 8,639,188 | ||||||||||||
| Receivable on open futures contracts | 2,711,621 | 148,784 | — | 944,644 | ||||||||||||
| Interest receivable | 2,629 | 6,531 | 32,405 | 690 | ||||||||||||
| Total assets | 241,276,485 | 263,747,871 | 250,440,732 | 232,962,924 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | 2,781,899 | — | 2,824,550 | — | ||||||||||||
| Payable on open futures contracts | 1,022,544 | — | ||||||||||||||
| Brokerage commissions and futures account fees payable | 5,068 | — | — | 4,034 | ||||||||||||
| Payable to Sponsor | 163,803 | 206,394 | 202,927 | 178,356 | ||||||||||||
| Unrealized depreciation on swap agreements | 7,406,864 | — | 6,451,858 | — | ||||||||||||
Non-recurring fees and expenses payable | 1,004 | 1,004 | ||||||||||||||
| Total liabilities | 10,358,638 | 207,398 | 10,501,879 | 182,390 | ||||||||||||
| �� | ||||||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 230,917,847 | 263,540,473 | 239,938,853 | 232,780,534 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 241,276,485 | $ | 263,747,871 | $ | 250,440,732 | $ | 232,962,924 | ||||||||
| Shares outstanding | 4,150,000 | 3,900,000 | 4,250,000 | 3,900,000 | ||||||||||||
| Net asset value per share | $ | 55.64 | $ | 67.57 | $ | 56.46 | $ | 59.69 | ||||||||
| Market value per share (Note 2) | $ | 55.59 | $ | 68.20 | $ | 56.50 | $ | 59.81 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (81% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.013% due 10/14/21 † | $ | 50,000,000 | $ | 49,999,550 | ||||
0.006% due 10/21/21 † | 25,000,000 | 24,998,890 | ||||||
0.028% due 11/18/21 † | 31,000,000 | 30,998,553 | ||||||
0.037% due 01/20/22 † | 50,000,000 | 49,993,835 | ||||||
| 0.028% due 02/17/22 | 30,000,000 | 29,994,786 | ||||||
| Total short-term U.S. government and agency obligations (cost $185,989,826) | $ | 185,985,614 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (87% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.967% due 07/14/22 | $ | 25,000,000 | $ | 24,989,618 | ||||
0.393% due 07/21/22 † | 95,000,000 | 94,943,266 | ||||||
0.706% due 08/18/22 † | 75,000,000 | 74,862,000 | ||||||
0.223% due 11/03/22 † | 14,000,000 | 13,901,563 | ||||||
| Total short-term U.S. government and agency obligations (cost $208,875,314) | $ | 208,696,447 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Gold Futures - COMEX, expires December 2021 | 856 | $ | 150,399,200 | $ | (3,936,408 | ) | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Gold Futures - COMEX, expires August 2022 | 954 | $ | 172,416,420 | $ | (3,932,509 | ) | ||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | 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 | % | 10/06/21 | $ | 107,235,945 | $ | (2,550,199 | ) | 0.25 | % | 07/06/22 | $ | 109,384,670 | $ | (2,221,389 | ) | ||||||||||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | 92,669,240 | (2,203,785 | ) | 0.25 | 07/06/22 | 84,543,271 | (1,919,639 | ) | ||||||||||||||||||||||
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | 111,553,685 | (2,652,880 | ) | 0.25 | 07/06/22 | 113,788,925 | (2,310,830 | ) | ||||||||||||||||||||||
| | Total Unrealized Depreciation | | $ | (7,406,864 | ) | Total Unrealized Depreciation | $ | (6,451,858 | ) | |||||||||||||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 14,338 | $ | 59,354 | $ | 70,259 | $ | 543,895 | $ | 319,154 | $ | 20,094 | $ | 414,267 | $ | 55,921 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 582,103 | 640,992 | 1,718,350 | 1,269,866 | 716,148 | 568,040 | 1,387,563 | 1,136,247 | ||||||||||||||||||||||||
| Brokerage commissions | 9,421 | 12,115 | 32,974 | 28,599 | 14,064 | 8,665 | 35,723 | 23,553 | ||||||||||||||||||||||||
| Futures account fees | 19,008 | 20,487 | 64,764 | 30,683 | 8,664 | 13,354 | 28,169 | 45,756 | ||||||||||||||||||||||||
Non-recurring fees and expenses | — | 3,751 | — | 3,751 | ||||||||||||||||||||||||||||
| Total expenses | 610,532 | 677,345 | 1,816,088 | 1,332,899 | 738,876 | 590,059 | 1,451,455 | 1,205,556 | ||||||||||||||||||||||||
| Net investment income (loss) | (596,194 | ) | (617,991 | ) | (1,745,829 | ) | (789,004 | ) | (419,722 | ) | (569,965 | ) | (1,037,188 | ) | (1,149,635 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (3,125,004 | ) | 2,752,270 | (12,636,331 | ) | 5,806,708 | (28,896,339 | ) | 7,294,570 | (8,706,319 | ) | (9,511,327 | ) | |||||||||||||||||||
| Swap agreements | (18,733,085 | ) | 22,990,026 | (14,963,523 | ) | 45,798,972 | (29,004,744 | ) | 38,211,797 | 8,623,832 | 3,769,562 | |||||||||||||||||||||
| Short-term U.S. government and agency obligations | — | — | 245 | — | — | — | — | 245 | ||||||||||||||||||||||||
| Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (27,599,609 | ) | 51,605,680 | (57,901,083 | ) | 45,506,367 | (82,487 | ) | (5,741,520 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 319,305 | 1,046,895 | (6,583,282 | ) | 3,086,565 | 3,312,504 | (4,648,838 | ) | (4,587,403 | ) | (6,902,587 | ) | ||||||||||||||||||||
| Swap agreements | 15,245,013 | (19,104,511 | ) | (12,547,844 | ) | (14,343,779 | ) | 1,658,698 | (28,812,307 | ) | (15,091,046 | ) | (27,792,857 | ) | ||||||||||||||||||
| Short-term U.S. government and agency obligations | 9,966 | 3,025 | (5,396 | ) | (1,725 | ) | (159 | ) | (17,158 | ) | (171,019 | ) | (15,362 | ) | ||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | (19,136,522 | ) | (11,258,939 | ) | 4,971,043 | (33,478,303 | ) | (19,849,468 | ) | (34,710,806 | ) | ||||||||||||||||||
| Net realized and unrealized gain (loss) | (6,283,805 | ) | 7,687,705 | (46,736,131 | ) | 40,346,741 | (52,930,040 | ) | 12,028,064 | (19,931,955 | ) | (40,452,326 | ) | |||||||||||||||||||
Net income (loss) | $ | (6,879,999 | ) | $ | 7,069,714 | $ | (48,481,960 | ) | $ | 39,557,737 | $ | (53,349,762 | ) | $ | 11,458,099 | $ | (20,969,143 | ) | $ | (41,601,961 | ) | |||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 243,456,703 | $ | 165,689,050 | $ | 263,540,473 | $ | 110,726,032 | $ | 355,029,822 | $ | 214,548,056 | $ | 232,780,534 | $ | 263,540,473 | ||||||||||||||||
| Addition of 250,000, 1,700,000, 1,250,000 and 3,150,000 shares, respectively | 14,836,141 | 120,448,172 | 75,112,671 | 204,437,233 | ||||||||||||||||||||||||||||
| Redemption of 350,000, 250,000, 1,000,000 and 1,400,000 shares, respectively | (20,494,998 | ) | (17,756,330 | ) | (59,253,337 | ) | (79,270,396 | ) | ||||||||||||||||||||||||
| Addition of 100,000, 400,000, 1,600,000 and 1,000,000 shares, respectively | 6,573,039 | 23,214,269 | 102,257,715 | 60,276,530 | ||||||||||||||||||||||||||||
| Redemption of 1,150,000, 100,000, 1,250,000 and 650,000 shares, respectively | (68,314,246 | ) | (5,763,721 | ) | (74,130,253 | ) | (38,758,339 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of (100,000), 1,450,000, 250,000 and 1,750,000 shares, respectively | (5,658,857 | ) | 102,691,842 | 15,859,334 | 125,166,837 | |||||||||||||||||||||||||||
| Net addition (redemption) of (1,050,000), 300,000, 350,000 and 350,000 shares, respectively | (61,741,207 | ) | 17,450,548 | 28,127,462 | 21,518,191 | |||||||||||||||||||||||||||
| Net investment income (loss) | (596,194 | ) | (617,991 | ) | (1,745,829 | ) | (789,004 | ) | (419,722 | ) | (569,965 | ) | (1,037,188 | ) | (1,149,635 | ) | ||||||||||||||||
| Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (27,599,609 | ) | 51,605,680 | (57,901,083 | ) | 45,506,367 | (82,487 | ) | (5,741,520 | ) | |||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | (19,136,522 | ) | (11,258,939 | ) | 4,971,043 | (33,478,303 | ) | (19,849,468 | ) | (34,710,806 | ) | ||||||||||||||||||
| Net income (loss) | (6,879,999 | ) | 7,069,714 | (48,481,960 | ) | 39,557,737 | (53,349,762 | ) | 11,458,099 | (20,969,143 | ) | (41,601,961 | ) | |||||||||||||||||||
Shareholders’ equity, end of period | $ | 230,917,847 | $ | 275,450,606 | $ | 230,917,847 | $ | 275,450,606 | $ | 239,938,853 | $ | 243,456,703 | $ | 239,938,853 | $ | 243,456,703 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | (48,481,960 | ) | $ | 39,557,737 | $ | (20,969,143 | ) | $ | (41,601,961 | ) | |||||
| 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 | (502,945,919 | ) | (491,677,717 | ) | (704,533,509 | ) | (422,955,514 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 391,999,771 | 313,257,000 | 704,000,000 | 281,999,771 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (45,150 | ) | (364,129 | ) | (377,637 | ) | (35,590 | ) | ||||||||
| Net realized gain (loss) on investments | (245 | ) | — | |||||||||||||
| Change in unrealized appreciation (depreciation) on investments | 12,553,240 | 14,345,504 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | (2,562,837 | ) | 170,073 | |||||||||||||
| Net realized (gain) loss on investments | — | (245 | ) | |||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 15,262,065 | 27,808,219 | ||||||||||||||
| Decrease (Increase) in receivable on open futures contracts | 944,644 | (520,982 | ) | |||||||||||||
| Decrease (Increase) in interest receivable | 3,902 | 44,228 | (31,715 | ) | 4,321 | |||||||||||
| Increase (Decrease) in payable to Sponsor | (42,591 | ) | 141,074 | 24,571 | (13,610 | ) | ||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 5,068 | — | (4,034 | ) | 4,167 | |||||||||||
| Increase (Decrease) in payable on futures contracts | — | 746,800 | ||||||||||||||
| Increase (Decrease) in payable on open futures contracts | 1,022,544 | — | ||||||||||||||
| Net cash provided by (used in) operating activities | (149,516,721 | ) | (123,779,430 | ) | (4,662,214 | ) | (155,311,424 | ) | ||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 75,112,671 | 204,437,233 | 102,257,715 | 40,405,473 | ||||||||||||
| Payment on shares redeemed | (56,471,438 | ) | (79,270,396 | ) | (71,305,703 | ) | (38,758,339 | ) | ||||||||
| �� | ||||||||||||||||
| Net cash provided by (used in) financing activities | 18,641,233 | 125,166,837 | 30,952,012 | 1,647,134 | ||||||||||||
Net increase (decrease) in cash | (130,875,488 | ) | 1,387,407 | 26,289,798 | (153,664,290 | ) | ||||||||||
| Cash, beginning of period | 183,452,109 | 38,526,723 | 15,422,082 | 183,452,109 | ||||||||||||
| Cash, end of period | $ | 52,576,621 | $ | 39,914,130 | $ | 41,711,880 | $ | 29,787,819 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively) | $ | 494,966,819 | $ | 244,993,989 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $290,825,356 and $451,896,236, respectively) | $ | 290,458,173 | $ | 451,872,982 | ||||||||||||
| Cash | 62,548,518 | 301,951,458 | 38,062,175 | 10,985,565 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 15,865,625 | 66,062,502 | 6,634,250 | 14,502,938 | ||||||||||||
| Segregated cash balances with brokers for swap agreements | — | 78,388,000 | 82,100,000 | — | ||||||||||||
| Unrealized appreciation on swap agreements | — | 56,752,666 | — | 40,591,699 | ||||||||||||
| Receivable from capital shares sold | 1,240,339 | — | ||||||||||||||
| Receivable on open futures contracts | 421,500 | — | — | 1,384,919 | ||||||||||||
| Interest receivable | 3,756 | 10,698 | 57,161 | 1,582 | ||||||||||||
| Total assets | 573,806,218 | 748,159,313 | 418,552,098 | 519,339,685 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | — | 3,483,770 | ||||||||||||||
| Payable on open futures contracts | 274,804 | 2,312,939 | 2,248,743 | — | ||||||||||||
| Brokerage commissions and futures account fees payable | 9,969 | — | — | 9,833 | ||||||||||||
| Payable to Sponsor | 449,040 | 539,986 | 313,910 | 392,488 | ||||||||||||
| Unrealized depreciation on swap agreements | 92,760,569 | — | 60,411,930 | — | ||||||||||||
Non-recurring fees and expenses payable | 2,360 | 2,360 | ||||||||||||||
| Total liabilities | 93,496,742 | 2,855,285 | 62,974,583 | 3,886,091 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | |||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 480,309,476 | 745,304,028 | 355,577,515 | 515,453,594 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 573,806,218 | $ | 748,159,313 | $ | 418,552,098 | $ | 519,339,685 | ||||||||
| Shares outstanding | 15,146,526 | 14,696,526 | 14,346,526 | 14,796,526 | ||||||||||||
| Net asset value per share | $ | 31.71 | $ | 50.71 | $ | 24.78 | $ | 34.84 | ||||||||
| Market value per share (Note 2) | $ | 31.99 | $ | 51.28 | $ | 24.47 | $ | 34.74 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (103% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.015% due 10/14/21 † | $ | 130,000,000 | $ | 129,998,830 | ||||
0.039% due 10/21/21 † | 60,000,000 | 59,997,336 | ||||||
0.032% due 11/18/21 † | 90,000,000 | 89,995,797 | ||||||
0.041% due 12/16/21 † | 100,000,000 | 99,991,560 | ||||||
0.037% due 01/20/22 † | 65,000,000 | 64,991,986 | ||||||
| 0.028% due 02/17/22 | 50,000,000 | 49,991,310 | ||||||
| Total short-term U.S. government and agency obligations (cost $494,973,149) | $ | 494,966,819 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (82% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.967% due 07/14/22 † | $ | 50,000,000 | $ | 49,979,235 | ||||
0.818% due 07/21/22 † | 73,000,000 | 72,956,405 | ||||||
| 0.674% due 07/28/22 | 50,000,000 | 49,962,875 | ||||||
0.706% due 08/18/22 † | 75,000,000 | 74,862,000 | ||||||
0.223% due 11/03/22 † | 43,000,000 | 42,697,658 | ||||||
| Total short-term U.S. government and agency obligations (cost $290,825,356) | $ | 290,458,173 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Silver Futures - COMEX, expires December 2021 | 1,213 | $ | 133,715,055 | $ | (5,439,801 | ) | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Silver Futures - COMEX, expires September 2022 | 773 | $ | 78,660,480 | $ | (4,317,941 | ) | ||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | 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 | % | 10/06/21 | $ | 219,572,067 | $ | (28,588,785 | ) | 0.25 | % | 07/06/22 | $ | 153,262,171 | $ | (14,941,465 | ) | ||||||||||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | 219,657,055 | (23,220,141 | ) | 0.30 | 07/06/22 | 177,466,859 | (18,119,916 | ) | ||||||||||||||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | 204,665,509 | (21,635,372 | ) | 0.30 | 07/06/22 | 168,307,407 | (15,214,853 | ) | ||||||||||||||||||||||
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | 182,787,599 | (19,316,271 | ) | 0.25 | 07/06/22 | 134,298,894 | (12,135,696 | ) | ||||||||||||||||||||||
| | Total Unrealized Depreciation | | $ | (92,760,569 | ) | | Total Unrealized Depreciation | | $ | (60,411,930 | ) | |||||||||||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 421,514 | $ | 65,529 | $ | 561,963 | $ | 163,658 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 1,082,340 | 1,615,157 | 2,299,939 | 3,246,292 | ||||||||||||
| Brokerage commissions | 28,732 | 40,715 | 59,283 | 87,297 | ||||||||||||
| Futures account fees | 6,188 | 48,893 | 26,693 | 211,080 | ||||||||||||
| Total expenses | 1,117,260 | 1,704,765 | 2,385,915 | 3,544,669 | ||||||||||||
| Net investment income (loss) | (695,746 | ) | (1,639,236 | ) | (1,823,952 | ) | (3,381,011 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (10,869,422 | ) | 10,593,269 | (16,614,384 | ) | 17,489,539 | ||||||||||
| Swap agreements | (145,324,753 | ) | 105,777,210 | (22,942,764 | ) | 103,791,491 | ||||||||||
| Short-term U.S. government and agency obligations | (1,174 | ) | — | (1,164 | ) | 191 | ||||||||||
| Net realized gain (loss) | (156,195,349 | ) | 116,370,479 | (39,558,312 | ) | 121,281,221 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (13,510,319 | ) | 372,122 | (6,824,486 | ) | (52,219,911 | ) | |||||||||
| Swap agreements | (36,561,200 | ) | (48,708,892 | ) | (101,003,629 | ) | (133,882,561 | ) | ||||||||
| Short-term U.S. government and agency obligations | (64,280 | ) | (57,475 | ) | (343,929 | ) | (35,554 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | (50,135,799 | ) | (48,394,245 | ) | (108,172,044 | ) | (186,138,026 | ) | ||||||||
| Net realized and unrealized gain (loss) | (206,331,148 | ) | 67,976,234 | (147,730,356 | ) | (64,856,805 | ) | |||||||||
Net income (loss) | $ | (207,026,894 | ) | $ | 66,336,998 | $ | (149,554,308 | ) | $ | (68,237,816 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 44,511 | $ | 103,976 | $ | 208,169 | $ | 1,018,578 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 1,394,627 | 1,462,400 | 4,640,919 | 2,369,293 | ||||||||||||
| Brokerage commissions | 27,419 | 54,812 | 114,716 | 99,986 | ||||||||||||
| Futures account fees | 47,170 | 80,036 | 258,250 | 100,982 | ||||||||||||
Non-recurring fees and expenses | — | 3,943 | — | 3,943 | ||||||||||||
| Total expenses | 1,469,216 | 1,601,191 | 5,013,885 | 2,574,204 | ||||||||||||
| Net investment income (loss) | (1,424,705 | ) | (1,497,215 | ) | (4,805,716 | ) | (1,555,626 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (49,762,947 | ) | 97,830,248 | (32,273,408 | ) | 107,671,815 | ||||||||||
| Swap agreements | (151,552,363 | ) | 192,408,549 | (47,760,872 | ) | 190,255,641 | ||||||||||
| Short-term U.S. government and agency obligations | (4,720 | ) | — | (4,529 | ) | — | ||||||||||
| Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | (80,038,809 | ) | 297,927,456 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 9,589,898 | (53,237,345 | ) | (42,630,013 | ) | (52,855,325 | ) | |||||||||
| Swap agreements | (15,630,674 | ) | (146,084,199 | ) | (149,513,235 | ) | (162,217,464 | ) | ||||||||
| Short-term U.S. government and agency obligations | 22,486 | 7,772 | (13,068 | ) | (754 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | (192,156,316 | ) | (215,073,543 | ) | ||||||||
| Net realized and unrealized gain (loss) | (207,338,320 | ) | 90,925,025 | (272,195,125 | ) | 82,853,913 | ||||||||||
Net income (loss) | $ | (208,763,025 | ) | $ | 89,427,810 | $ | (277,000,841 | ) | $ | 81,298,287 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 558,375,841 | $ | 572,501,249 | $ | 515,453,594 | $ | 745,304,028 | ||||||||
| Addition of 800,000, 1,000,000, 1,800,000 and 3,400,000 shares, respectively | 26,625,358 | 46,374,159 | 65,659,299 | 166,773,794 | ||||||||||||
| Redemption of 750,000, 450,000, 2,250,000 and 3,700,000 shares, respectively | (22,396,790 | ) | (23,433,679 | ) | (75,981,070 | ) | (182,061,279 | ) | ||||||||
| Net addition (redemption) of 50,000, 550,000, (450,000) and (300,000) shares, respectively | 4,228,568 | 22,940,480 | (10,321,771 | ) | (15,287,485 | ) | ||||||||||
| Net investment income (loss) | (695,746 | ) | (1,639,236 | ) | (1,823,952 | ) | (3,381,011 | ) | ||||||||
| Net realized gain (loss) | (156,195,349 | ) | 116,370,479 | (39,558,312 | ) | 121,281,221 | ||||||||||
| Change in net unrealized appreciation (depreciation) | (50,135,799 | ) | (48,394,245 | ) | (108,172,044 | ) | (186,138,026 | ) | ||||||||
| Net income (loss) | (207,026,894 | ) | 66,336,998 | (149,554,308 | ) | (68,237,816 | ) | |||||||||
Shareholders’ equity, end of period | $ | 355,577,515 | $ | 661,778,727 | $ | 355,577,515 | $ | 661,778,727 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 661,778,727 | $ | 249,671,968 | $ | 745,304,028 | $ | 239,254,842 | ||||||||
| Addition of 1,050,000, 8,050,000, 4,450,000 and 10,300,000 shares, respectively | 38,538,861 | 383,530,355 | 205,312,655 | 439,990,085 | ||||||||||||
| Redemption of 300,000, 1,800,000, 4,000,000 and 3,150,000 shares, respectively | (11,245,087 | ) | (101,746,977 | ) | (193,306,366 | ) | (139,660,058 | ) | ||||||||
| Net addition (redemption) of 750,000, 6,250,000, 450,000 and 7,150,000 shares, respectively | 27,293,774 | 281,783,378 | 12,006,289 | 300,330,027 | ||||||||||||
| Net investment income (loss) | (1,424,705 | ) | (1,497,215 | ) | (4,805,716 | ) | (1,555,626 | ) | ||||||||
| Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | (80,038,809 | ) | 297,927,456 | ||||||||||
| Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | (192,156,316 | ) | (215,073,543 | ) | ||||||||
| Net income (loss) | (208,763,025 | ) | 89,427,810 | (277,000,841 | ) | 81,298,287 | ||||||||||
Shareholders’ equity, end of period | $ | 480,309,476 | $ | 620,883,156 | $ | 480,309,476 | $ | 620,883,156 | ||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | (277,000,841 | ) | $ | 81,298,287 | $ | (149,554,308 | ) | $ | (68,237,816 | ) | |||||
| 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 | (1,369,823,802 | ) | (874,359,830 | ) | (1,255,430,782 | ) | (1,149,854,685 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,119,994,333 | 465,705,000 | 1,416,997,680 | 804,999,794 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (160,958 | ) | (692,431 | ) | (497,182 | ) | (125,027 | ) | ||||||||
| Net realized gain (loss) on investments | 4,529 | — | ||||||||||||||
| Change in unrealized appreciation (depreciation) on investments | 149,526,303 | 162,218,218 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | (421,500 | ) | — | |||||||||||||
| Net realized (gain) loss on investments | 1,164 | (191 | ) | |||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 101,347,558 | 133,918,115 | ||||||||||||||
| Decrease (Increase) in receivable on open futures contracts | 1,384,919 | (1,452,315 | ) | |||||||||||||
| Decrease (Increase) in interest receivable | 6,942 | 84,307 | (55,579 | ) | 4,936 | |||||||||||
| Increase (Decrease) in payable to Sponsor | (90,946 | ) | 391,121 | (78,578 | ) | 4,844 | ||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 9,969 | — | (9,833 | ) | 17,899 | |||||||||||
| Increase (Decrease) in payable on futures contracts | (2,038,135 | ) | 9,328,727 | |||||||||||||
| Increase (Decrease) in payable on open futures contracts | 2,248,743 | (2,312,939 | ) | |||||||||||||
| Net cash provided by (used in) operating activities | (379,994,106 | ) | (156,026,601 | ) | 116,353,802 | (283,037,385 | ) | |||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 205,312,655 | 439,990,085 | 64,418,960 | 166,773,794 | ||||||||||||
| Payment on shares redeemed | (193,306,366 | ) | (135,435,342 | ) | (79,464,840 | ) | (182,061,279 | ) | ||||||||
| Net cash provided by (used in) financing activities | 12,006,289 | 304,554,743 | (15,045,880 | ) | (15,287,485 | ) | ||||||||||
Net increase (decrease) in cash | (367,987,817 | ) | 148,528,142 | 101,307,922 | (298,324,870 | ) | ||||||||||
| Cash, beginning of period | 446,401,960 | 79,058,662 | 25,488,503 | 446,401,960 | ||||||||||||
| Cash, end of period | $ | 78,414,143 | $ | 227,586,804 | $ | 126,796,425 | $ | 148,077,090 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively) | $ | 274,984,707 | $ | 244,995,969 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $243,860,580 and $221,725,609, respectively) | $ | 243,251,317 | $ | 221,660,593 | ||||||||||||
| Cash | 175,755,806 | 181,991,996 | 82,159,514 | 108,688,034 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 531,626,515 | 879,704,000 | 389,544,785 | 463,432,845 | ||||||||||||
| Segregated cash balances with brokers for swap agreements | — | 7,976,000 | ||||||||||||||
| Unrealized appreciation on swap agreements | 7,933,765 | — | ||||||||||||||
| Receivable from capital shares sold | — | 49,086,388 | 2,179,827 | — | ||||||||||||
| Receivable on open futures contracts | 64,382,858 | 16,422,512 | 259,159,176 | 33,597,688 | ||||||||||||
| Interest receivable | 5,331 | 7,054 | 198,453 | 5,060 | ||||||||||||
| Total assets | 1,054,688,982 | 1,380,183,919 | 976,493,072 | 827,384,220 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | 26,870,187 | — | ||||||||||||||
| Payable on open futures contracts | 5,927,604 | 22,424,475 | — | 9,447,456 | ||||||||||||
| Brokerage commissions and futures account fees payable | 244,898 | 485,039 | 71,435 | 167,855 | ||||||||||||
| Payable to Sponsor | 795,603 | 1,040,582 | 738,104 | 611,836 | ||||||||||||
| Unrealized depreciation on swap agreements | — | 24,807 | — | 477,437 | ||||||||||||
Non-recurring fees and expenses payable | 4,817 | 4,817 | ||||||||||||||
| Total liabilities | 33,843,109 | 23,979,720 | 809,539 | 10,704,584 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 1,020,845,873 | 1,356,204,199 | 975,683,533 | 816,679,636 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 1,054,688,982 | $ | 1,380,183,919 | $ | 976,493,072 | $ | 827,384,220 | ||||||||
| Shares outstanding (Note 1) | 41,778,420 | 12,713,091 | 67,228,420 | 65,828,420 | ||||||||||||
| Net asset value per share (Note 1) | $ | 24.43 | $ | 106.68 | $ | 14.51 | $ | 12.41 | ||||||||
| Market value per share (Note 1)(Note 2) | $ | 24.55 | $ | 106.50 | ||||||||||||
| Market value per share (Note 1) (Note 2) | $ | 14.53 | $ | 12.43 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (27% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.030% due 10/14/21 | $ | 100,000,000 | $ | 99,999,100 | ||||
| 0.042% due 11/18/21 | 10,000,000 | 9,999,533 | ||||||
0.043% due 12/16/21 † | 165,000,000 | 164,986,074 | ||||||
| Total short-term U.S. government and agency obligations (cost $274,983,511) | $ | 274,984,707 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (25% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.967% due 07/14/22 | $ | 50,000,000 | $ | 49,979,235 | ||||
| 0.393% due 07/21/22 | 50,000,000 | 49,970,140 | ||||||
| 0.674% due 07/28/22 | 50,000,000 | 49,962,875 | ||||||
| 0.223% due 11/03/22 | 94,000,000 | 93,339,067 | ||||||
| Total short-term U.S. government and agency obligations (cost $243,860,580) | $ | 243,251,317 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2021 | 32,595 | $ | 745,375,941 | $ | 62,929,777 | |||||||
| VIX Futures - Cboe, expires November 2021 | 30,104 | 713,040,334 | 27,089,105 | |||||||||
| $ | 90,018,882 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires July 2022 | 26,481 | $ | 756,358,266 | $ | 41,121,658 | |||||||
| VIX Futures - Cboe, expires August 2022 | 24,277 | 708,339,740 | (5,677,140 | ) | ||||||||
| $ | 35,444,518 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
| Swap agreement with Goldman Sachs International based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 0.94 | % | 10/06/21 | $ | 73,401,625 | $ | 7,933,765 | |||||||||
| | Total Unrealized Appreciation | | $ | 7,933,765 | ||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 430,670 | $ | 202,556 | $ | 525,931 | $ | 316,525 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 2,293,738 | 2,293,121 | 4,254,915 | 6,676,198 | ||||||||||||
| Brokerage commissions | 970,211 | 1,173,276 | 1,906,969 | 3,129,904 | ||||||||||||
| Futures account fees | 444,123 | 711,443 | 1,226,811 | 2,555,256 | ||||||||||||
| Total expenses | 3,708,072 | 4,177,840 | 7,388,695 | 12,361,358 | ||||||||||||
| Net investment income (loss) | (3,277,402 | ) | (3,975,284 | ) | (6,862,764 | ) | (12,044,833 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 91,039,435 | (811,706,279 | ) | 349,477,533 | (1,464,769,961 | ) | ||||||||||
| Swap agreements | — | (42,822,782 | ) | 22,556,586 | (94,277,124 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (337,934 | ) | 2,137 | (353,087 | ) | 20,657 | ||||||||||
| Net realized gain (loss) | 90,701,501 | (854,526,924 | ) | 371,681,032 | (1,559,026,428 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 196,657,178 | 244,143,655 | 161,801,275 | (40,259,928 | ) | |||||||||||
| Swap agreements | — | — | 477,437 | 24,807 | ||||||||||||
| Short-term U.S. government and agency obligations | 78,171 | (28,407 | ) | (544,247 | ) | (8,962 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | 196,735,349 | 244,115,248 | 161,734,465 | (40,244,083 | ) | |||||||||||
| Net realized and unrealized gain (loss) | 287,436,850 | (610,411,676 | ) | 533,415,497 | (1,599,270,511 | ) | ||||||||||
Net income (loss) | $ | 284,159,448 | $ | (614,386,960 | ) | $ | 526,552,733 | $ | (1,611,315,344 | ) | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,127,608,641 | $ | 1,284,373,170 | $ | 816,679,636 | $ | 1,356,204,199 | ||||||||
| Addition of 58,400,000, 12,955,000, 141,500,000 and 32,585,000 shares, respectively (Note 1) | 799,757,076 | 434,635,046 | 1,971,472,943 | 2,373,778,077 | ||||||||||||
| Redemption of 74,700,000, 5,629,671, 140,100,000 and 15,169,671 shares, respectively (Note 1) | (1,235,841,632 | ) | (263,750,553 | ) | (2,339,021,779 | ) | (1,277,796,229 | ) | ||||||||
| Net addition (redemption) of (16,300,000), 7,325,329, 1,400,000 and 17,415,329 shares, respectively (Note 1) | (436,084,556 | ) | 170,884,493 | (367,548,836 | ) | 1,095,981,848 | ||||||||||
| Net investment income (loss) | (3,277,402 | ) | (3,975,284 | ) | (6,862,764 | ) | (12,044,833 | ) | ||||||||
| Net realized gain (loss) | 90,701,501 | (854,526,924 | ) | 371,681,032 | (1,559,026,428 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 196,735,349 | 244,115,248 | 161,734,465 | (40,244,083 | ) | |||||||||||
| Net income (loss) | 284,159,448 | (614,386,960 | ) | 526,552,733 | (1,611,315,344 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 975,683,533 | $ | 840,870,703 | $ | 975,683,533 | $ | 840,870,703 | ||||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 526,552,733 | $ | (1,611,315,344 | ) | |||
| 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 | (1,476,792,269 | ) | (921,859,566 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,454,556,289 | 956,989,987 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (252,157 | ) | (111,822 | ) | ||||
| Net realized (gain) loss on investments | 353,166 | (20,657 | ) | |||||
| Change in unrealized (appreciation) depreciation on investments | 66,810 | (15,845 | ) | |||||
| Decrease (Increase) in receivable on open futures contracts | (225,561,488 | ) | 3,699,493 | |||||
| Decrease (Increase) in interest receivable | (193,393 | ) | 3,866 | |||||
| Increase (Decrease) in payable to Sponsor | 126,268 | (385,457 | ) | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (96,420 | ) | (230,052 | ) | ||||
| Increase (Decrease) in payable on open futures contracts | (9,447,456 | ) | (15,175,224 | ) | ||||
| Increase (Decrease) in securities purchased payable | — | 17,072,317 | ||||||
| Net cash provided by (used in) operating activities | 269,312,083 | (1,571,348,304 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 1,969,293,116 | 2,417,278,189 | ||||||
| Payment on shares redeemed | (2,339,021,779 | ) | (1,277,796,229 | ) | ||||
| Net cash provided by (used in) financing activities | (369,728,663 | ) | 1,139,481,960 | |||||
Net increase (decrease) in cash | (100,416,580 | ) | (431,866,344 | ) | ||||
| Cash, beginning of period | 572,120,879 | 1,069,671,996 | ||||||
| Cash, end of period | $ | 471,704,299 | $ | 637,805,652 | ||||
June 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $998,111 and $–, respectively) | $ | 992,969 | $ | — | ||||
| Cash | 4,110,683 | 2,232,820 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 225,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,012 | 821 | ||||||
| Interest receivable | 1,364 | 95 | ||||||
| Total assets | 5,107,028 | 2,458,736 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 3,093 | 1,954 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 79,162 | 93,933 | ||||||
| Total liabilities | 82,255 | 95,887 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 5,024,773 | 2,362,849 | ||||||
| Total liabilities and shareholders’ equity | $ | 5,107,028 | $ | 2,458,736 | ||||
| Shares outstanding | 149,970 | 49,970 | ||||||
| Net asset value per share | $ | 33.51 | $ | 47.29 | ||||
| Market value per share (Note 2) | $ | 33.49 | $ | 47.29 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (20% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.554% due 11/03/22 † | $ | 1,000,000 | $ | 992,969 | ||||
| Total short-term U.S. government and agency obligations (cost $998,111) | $ | 992,969 | ||||||
Foreign Currency Forward Contracts ^ | Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | ||||||||||||
Contracts to Purchase | ||||||||||||||||
| Yen with Goldman Sachs International | 07/08/22 | 333,241,517 | $ | 2,456,755 | $ | (34,398 | ) | |||||||||
| Yen with UBS AG | 07/08/22 | 1,080,855,856 | 7,968,387 | (44,764 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (79,162 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
| Yen with UBS AG | 07/08/22 | (54,170,000 | ) | $ | (399,357 | ) | $ | 2,012 | ||||||||
| Total Unrealized Appreciation | | $ | 2,012 | |||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 3,064 | $ | 307 | $ | 3,937 | $ | 663 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 8,036 | 6,262 | 13,465 | 12,911 | ||||||||||||
| Total expenses | 8,036 | 6,262 | 13,465 | 12,911 | ||||||||||||
| Net investment income (loss) | (4,972 | ) | (5,955 | ) | (9,528 | ) | (12,248 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | (761,478 | ) | (140,007 | ) | (880,249 | ) | (279,474 | ) | ||||||||
| Short-term U.S. government and agency obligations | — | — | 1,548 | — | ||||||||||||
| Net realized gain (loss) | (761,478 | ) | (140,007 | ) | (878,701 | ) | (279,474 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | 154,501 | 118,748 | 15,962 | (137,341 | ) | |||||||||||
| Short-term U.S. government and agency obligations | (2,316 | ) | (132 | ) | (5,142 | ) | (88 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 152,185 | 118,616 | 10,820 | (137,429 | ) | |||||||||||
| Net realized and unrealized gain (loss) | (609,293 | ) | (21,391 | ) | (867,881 | ) | (416,903 | ) | ||||||||
Net income (loss) | $ | (614,265 | ) | $ | (27,346 | ) | $ | (877,409 | ) | $ | (429,151 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,099,705 | $ | 2,587,694 | $ | 2,362,849 | $ | 2,989,499 | ||||||||
| Addition of 100,000, –, 100,000 and – shares, respectively | 3,539,333 | — | 3,539,333 | — | ||||||||||||
| Net addition (redemption) of 100,000, –, 100,000 and – shares, respectively | 3,539,333 | — | 3,539,333 | — | ||||||||||||
| Net investment income (loss) | (4,972 | ) | (5,955 | ) | (9,528 | ) | (12,248 | ) | ||||||||
| Net realized gain (loss) | (761,478 | ) | (140,007 | ) | (878,701 | ) | (279,474 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 152,185 | 118,616 | 10,820 | (137,429 | ) | |||||||||||
| Net income (loss) | (614,265 | ) | (27,346 | ) | (877,409 | ) | (429,151 | ) | ||||||||
Shareholders’ equity, end of period | $ | 5,024,773 | $ | 2,560,348 | $ | 5,024,773 | $ | 2,560,348 | ||||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (877,409 | ) | $ | (429,151 | ) | ||
| 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 | ) | (1,499,740 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,548 | 500,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (2,342 | ) | (173 | ) | ||||
| Net realized (gain) loss on investments | (1,548 | ) | — | |||||
| Change in unrealized (appreciation) depreciation on investments | (10,820 | ) | 137,429 | |||||
| Decrease (Increase) in interest receivable | (1,269 | ) | 44 | |||||
| Increase (Decrease) in payable to Sponsor | 1,139 | (346 | ) | |||||
| Net cash provided by (used in) operating activities | (1,886,470 | ) | (1,291,937 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 3,539,333 | — | ||||||
| Net cash provided by (used in) financing activities | 3,539,333 | — | ||||||
Net increase (decrease) in cash | 1,652,863 | (1,291,937 | ) | |||||
| Cash, beginning of period | 2,457,820 | 2,924,696 | ||||||
| Cash, end of period | $ | 4,110,683 | $ | 1,632,759 | ||||
June 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $232,892,020 and $55,932,300, respectively) | $ | 232,635,606 | $ | 55,916,023 | ||||
| Cash | 90,387,278 | 29,602,412 | ||||||
| Segregated cash balances with brokers for futures contracts | 157,055,967 | 24,841,141 | ||||||
| Receivable on open futures contracts | 33,012,400 | 4,064,439 | ||||||
| Interest receivable | 99,815 | 1,359 | ||||||
| Total assets | 513,191,066 | 114,425,374 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 11,682,748 | 175,557 | ||||||
| Brokerage commissions and futures account fees payable | 12,618 | 7,944 | ||||||
| Payable to Sponsor | 338,396 | 74,271 | ||||||
| Total liabilities | 12,033,762 | 257,772 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 501,157,304 | 114,167,602 | ||||||
| Total liabilities and shareholders’ equity | $ | 513,191,066 | $ | 114,425,374 | ||||
| Shares outstanding (Note 1) | 21,755,220 | 1,776,760 | ||||||
| Net asset value per share (Note 1) | $ | 23 .04 | $ | 64 .26 | ||||
| Market value per share (Note 1) (Note 2) | $ | 22 .93 | $ | 63 .75 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (46% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.967% due 07/14/22 | $ | 75,000,000 | $ | 74,968,852 | ||||
| 0.824% due 07/21/22 | 72,000,000 | 71,957,002 | ||||||
| 0.674% due 07/28/22 | 50,000,000 | 49,962,875 | ||||||
| 0.223% due 11/03/22 | 36,000,000 | 35,746,877 | ||||||
| Total short-term U.S. government and agency obligations (cost $232,892,020) | $ | 232,635,606 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| WTI Crude Oil - NYMEX, expires September 2022 | 3,134 | $ | 323,115,400 | $ | 23,341,763 | |||||||
| WTI Crude Oil - NYMEX, expires December 2022 | 3,605 | 344,493,800 | (352,389 | ) | ||||||||
| WTI Crude Oil - NYMEX, expires June 2023 | 3,824 | 335,058,880 | 5,527,457 | |||||||||
| $ | 28,516,831 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 289,299 | $ | 18,343 | $ | 343,206 | $ | 29,178 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 946,110 | 181,035 | 1,438,757 | 402,298 | ||||||||||||
| Brokerage commissions | 107,079 | 28,581 | 184,135 | 71,625 | ||||||||||||
| Futures account fees | 85,802 | 17,468 | 155,979 | 65,180 | ||||||||||||
| Total expenses | 1,138,991 | 227,084 | 1,778,871 | 539,103 | ||||||||||||
| Net investment income (loss) | (849,692 | ) | (208,741 | ) | (1,435,665 | ) | (509,925 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (102,594,000 | ) | (26,010,421 | ) | (209,076,101 | ) | (75,188,186 | ) | ||||||||
| Net realized gain (loss) | (102,594,000 | ) | (26,010,421 | ) | (209,076,101 | ) | (75,188,186 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 34,810,301 | (9,944,438 | ) | 36,926,293 | (4,307,804 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (53,187 | ) | (2,994 | ) | (240,137 | ) | (784 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 34,757,114 | (9,947,432 | ) | 36,686,156 | (4,308,588 | ) | ||||||||||
| Net realized and unrealized gain (loss) | (67,836,886 | ) | (35,957,853 | ) | (172,389,945 | ) | (79,496,774 | ) | ||||||||
Net income (loss) | $ | (68,686,578 | ) | $ | (36,166,594 | ) | $ | (173,825,610 | ) | $ | (80,006,699 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 416,799,231 | $ | 91,718,390 | $ | 114,167,602 | $ | 96,839,233 | ||||||||
| Addition of 12,320,000, 387,500, 27,890,000 and 777,500 shares, respectively (Note 1) | 278,861,920 | 43,181,460 | 788,890,799 | 107,484,439 | ||||||||||||
| Redemption of 4,851,540, 147,734, 7,911,540 and 317,734 shares, respectively (Note 1) | (125,817,269 | ) | (19,333,197 | ) | (228,075,487 | ) | (44,916,914 | ) | ||||||||
| Net addition (redemption) of 7,468,460, 239,766, 19,978,460 and 459,766 shares, respectively (Note 1) | 153,044,651 | 23,848,263 | 560,815,312 | 62,567,525 | ||||||||||||
| Net investment income (loss) | (849,692 | ) | (208,741 | ) | (1,435,665 | ) | (509,925 | ) | ||||||||
| Net realized gain (loss) | (102,594,000 | ) | (26,010,421 | ) | (209,076,101 | ) | (75,188,186 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 34,757,114 | (9,947,432 | ) | 36,686,156 | (4,308,588 | ) | ||||||||||
| Net income (loss) | (68,686,578 | ) | (36,166,594 | ) | (173,825,610 | ) | (80,006,699 | ) | ||||||||
Shareholders’ equity, end of period | $ | 501,157,304 | $ | 79,400,059 | $ | 501,157,304 | $ | 79,400,059 | ||||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (173,825,610 | ) | $ | (80,006,699 | ) | ||
| 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 | (988,742,468 | ) | (92,987,219 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 812,000,000 | 60,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (217,252 | ) | (9,935 | ) | ||||
| Change in unrealized (appreciation) depreciation on investments | 240,137 | 784 | ||||||
| Decrease (Increase) in receivable on open futures contracts | (28,947,961 | ) | 32,573 | |||||
| Decrease (Increase) in interest receivable | (98,456 | ) | 1,820 | |||||
| Increase (Decrease) in payable to Sponsor | 264,125 | (22,244 | ) | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 4,674 | 12,516 | ||||||
| Increase (Decrease) in payable on open futures contracts | 11,507,191 | 242,424 | ||||||
| Net cash provided by (used in) operating activities | (367,815,620 | ) | (112,735,980 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 788,890,799 | 107,484,439 | ||||||
| Payment on shares redeemed | (228,075,487 | ) | (44,916,914 | ) | ||||
| Net cash provided by (used in) financing activities | 560,815,312 | 62,567,525 | ||||||
Net increase (decrease) in cash | 192,999,692 | (50,168,455 | ) | |||||
| Cash, beginning of period | 54,443,553 | 97,113,373 | ||||||
| Cash, end of period | $ | 247,443,245 | $ | 46,944,918 | ||||
June 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $59,954,167 and $123,855,553, respectively) | $ | 59,578,128 | $ | 123,821,548 | ||||
| Cash | 49,173,153 | 53,547,476 | ||||||
| Segregated cash balances with brokers for futures contracts | 61,959,000 | 59,453,451 | ||||||
| Receivable on open futures contracts | 73,179,660 | 30,090,351 | ||||||
| Interest receivable | 37,048 | 1,749 | ||||||
| Total assets | 243,926,989 | 266,914,575 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 25,091,911 | 15,986,002 | ||||||
| Payable on open futures contracts | 6,843,311 | 8,542,438 | ||||||
| Brokerage commissions and futures account fees payable | 11,280 | 46,867 | ||||||
| Payable to Sponsor | 157,041 | 194,138 | ||||||
| Total liabilities | 32,103,543 | 24,769,445 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 211,823,446 | 242,145,130 | ||||||
| Total liabilities and shareholders’ equity | $ | 243,926,989 | $ | 266,914,575 | ||||
| Shares outstanding (Note 1) | 4,966,856 | 978,742 | ||||||
| Net asset value per share (Note 1) | $ | 42.65 | $ | 247.40 | ||||
| Market value per share (Note 1) (Note 2) | $ | 40.02 | $ | 242.20 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (28% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.223% due 11/03/22 | $ | 60,000,000 | $ | 59,578,128 | ||||
| Total short-term U.S. government and agency obligations (cost $59,954,167) | $ | 59,578,128 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Natural Gas - NYMEX, expires September 2022 | 7,871 | $ | 424,404,320 | $ | 154,070,341 | |||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 122,188 | $ | 7,750 | $ | 178,013 | $ | 15,633 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 510,704 | 191,311 | 1,053,068 | 350,648 | ||||||||||||
| Brokerage commissions | 144,907 | 96,343 | 365,858 | 182,023 | ||||||||||||
| Futures account fees | 76,956 | 33,853 | 206,885 | 57,126 | ||||||||||||
| Total expenses | 732,567 | 321,507 | 1,625,811 | 589,797 | ||||||||||||
| Net investment income (loss) | (610,379 | ) | (313,757 | ) | (1,447,798 | ) | (574,164 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (282,646,685 | ) | (10,305,304 | ) | (397,312,383 | ) | (16,664,698 | ) | ||||||||
| Short-term U.S. government and agency obligations | (199 | ) | — | (58,809 | ) | — | ||||||||||
| Net realized gain (loss) | (282,646,884 | ) | (10,305,304 | ) | (397,371,192 | ) | (16,664,698 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 228,166,248 | (33,691,003 | ) | 140,634,090 | (17,797,456 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (87,121 | ) | (2,758 | ) | (342,034 | ) | (1,241 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 228,079,127 | (33,693,761 | ) | 140,292,056 | (17,798,697 | ) | ||||||||||
| Net realized and unrealized gain (loss) | (54,567,757 | ) | (43,999,065 | ) | (257,079,136 | ) | (34,463,395 | ) | ||||||||
Net income (loss) | $ | (55,178,136 | ) | $ | (44,312,822 | ) | $ | (258,526,934 | ) | $ | (35,037,559 | ) | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 250,340,837 | $ | 69,459,275 | $ | 242,145,130 | $ | 24,977,745 | ||||||||
| Addition of 18,700,000, 172,500, 23,340,000 and 377,500 shares, respectively (Note 1) | 489,076,501 | 93,913,245 | 944,035,742 | 235,963,431 | ||||||||||||
| Redemption of 17,601,764, 35,000, 19,351,886 and 177,500 shares, respectively (Note 1) | (472,415,756 | ) | (21,534,398 | ) | (715,830,492 | ) | (128,378,317 | ) | ||||||||
| Net addition (redemption) of 1,098,236, 137,500, 3,988,114 and 200,000 shares, respectively (Note 1) | 16,660,745 | 72,378,847 | 228,205,250 | 107,585,114 | ||||||||||||
| Net investment income (loss) | (610,379 | ) | (313,757 | ) | (1,447,798 | ) | (574,164 | ) | ||||||||
| Net realized gain (loss) | (282,646,884 | ) | (10,305,304 | ) | (397,371,192 | ) | (16,664,698 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 228,079,127 | (33,693,761 | ) | 140,292,056 | (17,798,697 | ) | ||||||||||
| Net income (loss) | (55,178,136 | ) | (44,312,822 | ) | (258,526,934 | ) | (35,037,559 | ) | ||||||||
Shareholders’ equity, end of period | $ | 211,823,446 | $ | 97,525,300 | $ | 211,823,446 | $ | 97,525,300 | ||||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (258,526,934 | ) | $ | (35,037,559 | ) | ||
| 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 | (346,906,626 | ) | (94,989,543 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 410,859,860 | 64,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (110,657 | ) | (7,481 | ) | ||||
| Net realized (gain) loss on investments | 58,809 | — | ||||||
| Change in unrealized (appreciation) depreciation on investments | 342,034 | 1,241 | ||||||
| Decrease (Increase) in receivable on open futures contracts | (43,089,309 | ) | — | |||||
| Decrease (Increase) in interest receivable | (35,299 | ) | (1,297 | ) | ||||
| Increase (Decrease) in payable to Sponsor | (37,097 | ) | 43,211 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (35,587 | ) | 9,927 | |||||
| Increase (Decrease) in payable on open futures contracts | (1,699,127 | ) | 469,496 | |||||
| Net cash provided by (used in) operating activities | (239,179,933 | ) | (65,512,005 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 944,035,742 | 235,963,431 | ||||||
| Payment on shares redeemed | (706,724,583 | ) | (130,982,494 | ) | ||||
| Net cash provided by (used in) financing activities | 237,311,159 | 104,980,937 | ||||||
Net increase (decrease) in cash | (1,868,774 | ) | 39,468,932 | |||||
| Cash, beginning of period | 113,000,927 | 19,147,382 | ||||||
| Cash, end of period | $ | 111,132,153 | $ | 58,616,314 | ||||
June 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $19,986,920 and $46,968,288, respectively) | $ | 19,885,112 | $ | 46,961,125 | ||||
| Cash | 39,223,441 | 7,554,065 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 3,382,293 | 135,118 | ||||||
| Interest receivable | 17,859 | 603 | ||||||
| Total assets | 62,508,705 | 54,650,911 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 51,398 | 44,707 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 187,210 | 343,159 | ||||||
| Total liabilities | 238,608 | 387,866 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 62,270,097 | 54,263,045 | ||||||
| Total liabilities and shareholders’ equity | $ | 62,508,705 | $ | 54,650,911 | ||||
| Shares outstanding | 2,050,000 | 2,100,000 | ||||||
| Net asset value per share | $ | 30.38 | $ | 25.84 | ||||
| Market value per share (Note 2) | $ | 30.41 | $ | 25.86 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.393% due 07/21/22 † | $ | 4,000,000 | $ | 3,997,611 | ||||
0.223% due 11/03/22 † | 16,000,000 | 15,887,501 | ||||||
| Total short-term U.S. government and agency obligations (cost $19,986,920) | $ | 19,885,112 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
| Euro with Goldman Sachs International | 07/08/22 | 12,080,000 | $ | 12,659,194 | $ | (101,019 | ) | |||||||||
| Euro with UBS AG | 07/08/22 | 12,060,000 | 12,638,235 | (86,191 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (187,210 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Euro with Goldman Sachs International | 07/08/22 | (51,635,263 | ) | $ | (54,110,993 | ) | $ | 1,346,162 | ||||||||
| Euro with UBS AG | 07/08/22 | (91,489,199 | ) | (95,875,786 | ) | 2,036,131 | ||||||||||
| | Total Unrealized Appreciation | | $ | 3,382,293 | ||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of |
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 39,011 | $ | 5,640 | $ | 54,416 | $ | 12,806 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 146,934 | 114,680 | 264,390 | 238,718 | ||||||||||||
| Total expenses | 146,934 | 114,680 | 264,390 | 238,718 | ||||||||||||
| Net investment income (loss) | (107,923 | ) | (109,040 | ) | (209,974 | ) | (225,912 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | 3,065,129 | (795,757 | ) | 5,607,263 | (725,230 | ) | ||||||||||
| Short-term U.S. government and agency obligations | — | — | 210,974 | — | ||||||||||||
| Net realized gain (loss) | 3,065,129 | (795,757 | ) | 5,818,237 | (725,230 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | 3,061,048 | (509,443 | ) | 3,403,124 | 3,881,954 | |||||||||||
| Short-term U.S. government and agency obligations | (21,310 | ) | (1,727 | ) | (94,645 | ) | (887 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 3,039,738 | (511,170 | ) | 3,308,479 | 3,881,067 | |||||||||||
| Net realized and unrealized gain (loss) | 6,104,867 | (1,306,927 | ) | 9,126,716 | 3,155,837 | |||||||||||
Net income (loss) | $ | 5,996,944 | $ | (1,415,967 | ) | $ | 8,916,742 | $ | 2,929,925 | |||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 50,498,084 | $ | 54,932,137 | $ | 54,263,045 | $ | 52,953,339 | ||||||||
| Addition of 500,000, –, 550,000 and 200,000 shares, respectively | 14,656,401 | — | 16,028,063 | 4,613,244 | ||||||||||||
| Redemption of 300,000, 200,000, 600,000 and 500,000 shares, respectively | (8,881,332 | ) | (4,695,730 | ) | (16,937,753 | ) | (11,676,068 | ) | ||||||||
| Net addition (redemption) of 200,000, (200,000), (50,000) and (300,000) shares, respectively | 5,775,069 | (4,695,730 | ) | (909,690 | ) | (7,062,824 | ) | |||||||||
| Net investment income (loss) | (107,923 | ) | (109,040 | ) | (209,974 | ) | (225,912 | ) | ||||||||
| Net realized gain (loss) | 3,065,129 | (795,757 | ) | 5,818,237 | (725,230 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 3,039,738 | (511,170 | ) | 3,308,479 | 3,881,067 | |||||||||||
| Net income (loss) | 5,996,944 | (1,415,967 | ) | 8,916,742 | 2,929,925 | |||||||||||
Shareholders’ equity, end of period | $ | 62,270,097 | $ | 48,820,440 | $ | 62,270,097 | $ | 48,820,440 | ||||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 8,916,742 | $ | 2,929,925 | ||||
| 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 | (44,986,222 | ) | (69,991,234 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 72,210,974 | 52,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (32,410 | ) | (6,372 | ) | ||||
| Net realized (gain) loss on investments | (210,974 | ) | — | |||||
| Change in unrealized (appreciation) depreciation on investments | (3,308,479 | ) | (3,881,067 | ) | ||||
| Decrease (Increase) in interest receivable | (17,256 | ) | 970 | |||||
| Increase (Decrease) in payable to Sponsor | 6,691 | (7,018 | ) | |||||
| Net cash provided by (used in) operating activities | 32,579,066 | (18,954,796 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 16,028,063 | 4,613,244 | ||||||
| Payment on shares redeemed | (16,937,753 | ) | (11,676,068 | ) | ||||
| Net cash provided by (used in) financing activities | (909,690 | ) | (7,062,824 | ) | ||||
Net increase (decrease) in cash | 31,669,376 | (26,017,620 | ) | |||||
| Cash, beginning of period | 7,554,065 | 44,132,228 | ||||||
| Cash, end of period | $ | 39,223,441 | $ | 18,114,608 | ||||
June 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $13,992,602 and $25,984,097, respectively) | $ | 13,940,167 | $ | 25,980,516 | ||||
| Cash | 17,059,170 | 1,287,229 | ||||||
| Segregated cash balances with brokers for futures contracts | 1,338,300 | 703,125 | ||||||
| Unrealized appreciation on swap agreements | 720,984 | — | ||||||
| Receivable from capital shares sold | 1,579,684 | — | ||||||
| Receivable on open futures contracts | 5,100 | — | ||||||
| Interest receivable | 6,819 | 434 | ||||||
| Total assets | 34,650,224 | 27,971,304 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 14,954 | 92,537 | ||||||
| Brokerage commissions and futures account fees payable | — | 294 | ||||||
| Payable to Sponsor | 23,986 | 25,512 | ||||||
| Unrealized depreciation on swap agreements | — | 993,117 | ||||||
| Total liabilities | 38,940 | 1,111,460 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 34,611,284 | 26,859,844 | ||||||
| Total liabilities and shareholders’ equity | $ | 34,650,224 | $ | 27,971,304 | ||||
| Shares outstanding | 1,096,977 | 846,977 | ||||||
| Net asset value per share | $ | 31.55 | $ | 31.71 | ||||
| Market value per share (Note 2) | $ | 31.59 | $ | 31.66 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.393% due 07/21/22 † | $ | 6,000,000 | $ | 5,996,417 | ||||
0.223% due 11/03/22 † | 8,000,000 | 7,943,750 | ||||||
| Total short-term U.S. government and agency obligations | ||||||||
| (cost $13,992,602) | $ | 13,940,167 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Gold Futures - COMEX, expires August 2022 | 184 | $ | 33,254,320 | $ | 811,562 | |||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
| Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 07/06/22 | $ | (14,809,140 | ) | $ | 295,777 | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 07/06/22 | (9,688,247 | ) | 193,824 | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/22 | (11,585,084 | ) | 231,383 | |||||||||||
| Total Unrealized Appreciation | $ | 720,984 | ||||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 19,975 | $ | 3,176 | $ | 29,660 | $ | 6,138 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 75,676 | 69,968 | 141,814 | 133,695 | ||||||||||||
| Brokerage commissions | 2,985 | 2,283 | 5,796 | 5,873 | ||||||||||||
| Futures account fees | 580 | 1,802 | 2,446 | 6,488 | ||||||||||||
| Total expenses | 79,241 | 74,053 | 150,056 | 146,056 | ||||||||||||
| Net investment income (loss) | (59,266 | ) | (70,877 | ) | (120,396 | ) | (139,918 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 1,310,720 | (2,050,237 | ) | (680,529 | ) | (715,255 | ) | |||||||||
| Swap agreements | 3,247,150 | (4,934,310 | ) | (1,070,274 | ) | (2,266,102 | ) | |||||||||
| Short-term U.S. government and agency obligations | — | — | 4 | 169 | ||||||||||||
| Net realized gain (loss) | 4,557,870 | (6,984,547 | ) | (1,750,799 | ) | (2,981,188 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 485,575 | 546,794 | 653,483 | 782,869 | ||||||||||||
| Swap agreements | (187,339 | ) | 3,260,286 | 1,714,101 | 2,843,547 | |||||||||||
| Short-term U.S. government and agency obligations | (8,285 | ) | (1,027 | ) | (48,854 | ) | (216 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 289,951 | 3,806,053 | 2,318,730 | 3,626,200 | ||||||||||||
| Net realized and unrealized gain (loss) | 4,847,821 | (3,178,494 | ) | 567,931 | 645,012 | |||||||||||
Net income (loss) | $ | 4,788,555 | $ | (3,249,371 | ) | $ | 447,535 | $ | 505,094 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 11,979 | $ | 88,621 | $ | 328,504 | $ | 1,601,884 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 2,221,755 | 2,969,740 | 8,897,953 | 5,646,893 | ||||||||||||
| Brokerage commissions | 1,095,975 | 1,102,235 | 4,225,879 | 2,282,095 | ||||||||||||
| Futures account fees | 688,048 | 1,143,160 | 3,243,304 | 1,614,431 | ||||||||||||
Non-recurring fees and expenses | — | 10,480 | — | 10,480 | ||||||||||||
| Total expenses | 4,005,778 | 5,225,615 | 16,367,136 | 9,553,899 | ||||||||||||
| Net investment income (loss) | (3,993,799 | ) | (5,136,994 | ) | (16,038,632 | ) | (7,952,015 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (185,968,398 | ) | (541,559,555 | ) | (1,650,738,359 | ) | 43,875,522 | |||||||||
| Swap agreements | (12,412,592 | ) | (17,978,295 | ) | (106,689,716 | ) | 14,791,068 | |||||||||
| Short-term U.S. government and agency obligations | — | — | 20,657 | — | ||||||||||||
| Net realized gain (loss) | (198,380,990 | ) | (559,537,850 | ) | (1,757,407,418 | ) | 58,666,590 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 178,803,476 | 11,342,353 | 138,543,548 | 66,121,853 | ||||||||||||
| Swap agreements | 7,933,765 | 3,959,662 | 7,958,572 | 209,784 | ||||||||||||
| Short-term U.S. government and agency obligations | 4,980 | 1,112 | (3,982 | ) | (12,474 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 186,742,221 | 15,303,127 | 146,498,138 | 66,319,163 | ||||||||||||
| Net realized and unrealized gain (loss) | (11,638,769 | ) | (544,234,723 | ) | (1,610,909,280 | ) | 124,985,753 | |||||||||
Net income (loss) | $ | (15,632,568 | ) | $ | (549,371,717 | ) | $ | (1,626,947,912 | ) | $ | 117,033,738 | |||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 32,598,451 | $ | 41,243,515 | $ | 26,859,844 | $ | 20,337,376 | ||||||||
| Addition of 700,000, 300,000, 1,150,000 and 1,050,000 shares, respectively | 20,554,617 | 10,071,690 | 33,744,566 | 37,362,906 | ||||||||||||
| Redemption of 800,000, 450,000, 900,000 and 750,000 shares, respectively | (23,330,339 | ) | (15,230,820 | ) | (26,440,661 | ) | (25,370,362 | ) | ||||||||
| Net addition (redemption) of (100,000), (150,000), 250,000 and 300,000 shares, respectively | (2,775,722 | ) | (5,159,130 | ) | 7,303,905 | 11,992,544 | ||||||||||
| Net investment income (loss) | (59,266 | ) | (70,877 | ) | (120,396 | ) | (139,918 | ) | ||||||||
| Net realized gain (loss) | 4,557,870 | (6,984,547 | ) | (1,750,799 | ) | (2,981,188 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | 289,951 | 3,806,053 | 2,318,730 | 3,626,200 | ||||||||||||
| Net income (loss) | 4,788,555 | (3,249,371 | ) | 447,535 | 505,094 | |||||||||||
Shareholders’ equity, end of period | $ | 34,611,284 | $ | 32,835,014 | $ | 34,611,284 | $ | 32,835,014 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 840,870,703 | $ | 992,156,607 | $ | 1,356,204,199 | $ | 527,636,003 | ||||||||
| Addition of 37,800,000, 4,280,000, 70,385,000 and 7,755,000 shares, respectively (Note 1) | 923,628,398 | 1,066,976,088 | 3,297,406,475 | 2,276,625,957 | ||||||||||||
| Redemption of 26,150,000, 805,000, 41,319,671 and 5,430,000 shares, respectively (Note 1) | (728,020,660 | ) | (202,149,457 | ) | (2,005,816,889 | ) | (1,613,684,177 | ) | ||||||||
| Net addition (redemption) of 11,650,000, 3,475,000, 29,065,329 and 2,325,000 shares, respectively (Note 1) | 195,607,738 | 864,826,631 | 1,291,589,586 | 662,941,780 | ||||||||||||
| Net investment income (loss) | (3,993,799 | ) | (5,136,994 | ) | (16,038,632 | ) | (7,952,015 | ) | ||||||||
| Net realized gain (loss) | (198,380,990 | ) | (559,537,850 | ) | (1,757,407,418 | ) | 58,666,590 | |||||||||
| Change in net unrealized appreciation (depreciation) | 186,742,221 | 15,303,127 | 146,498,138 | 66,319,163 | ||||||||||||
| Net income (loss) | (15,632,568 | ) | (549,371,717 | ) | (1,626,947,912 | ) | 117,033,738 | |||||||||
Shareholders’ equity, end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | $ | 1,020,845,873 | $ | 1,307,611,521 | ||||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 447,535 | $ | 505,094 | ||||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Purchases of short-term U.S. government and agency obligations | (17,987,491 | ) | (30,995,460 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 29,999,990 | 18,999,936 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (21,000 | ) | (2,843 | ) | ||||
| Net realized (gain) loss on investments | (4 | ) | (169 | ) | ||||
| Change in unrealized (appreciation) depreciation on investments | (1,665,247 | ) | (2,843,331 | ) | ||||
| Decrease (Increase) in receivable on open futures contracts | (5,100 | ) | 1,317 | |||||
| Decrease (Increase) in interest receivable | (6,385 | ) | 89 | |||||
| Increase (Decrease) in payable to Sponsor | (1,526 | ) | 4,798 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (294 | ) | 406 | |||||
| Increase (Decrease) in payable on open futures contracts | (77,583 | ) | 81,805 | |||||
| Net cash provided by (used in) operating activities | 10,682,895 | (14,248,358 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 32,164,882 | 37,362,906 | ||||||
| Payment on shares redeemed | (26,440,661 | ) | (25,370,362 | ) | ||||
| Net cash provided by (used in) financing activities | 5,724,221 | 11,992,544 | ||||||
Net increase (decrease) in cash | 16,407,116 | (2,255,814 | ) | |||||
| Cash, beginning of period | 1,990,354 | 20,633,371 | ||||||
| Cash, end of period | $ | 18,397,470 | $ | 18,377,557 | ||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (1,626,947,912 | ) | $ | 117,033,738 | |||
| 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 | (1,136,829,195 | ) | (965,269,478 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,106,989,987 | 701,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (132,855 | ) | (901,502 | ) | ||||
| Net realized gain (loss) on investments | (20,657 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | (7,954,590 | ) | (197,310 | ) | ||||
| Decrease (Increase) in securities sold receivable | — | (246,192 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | (47,960,346 | ) | (72,257,550 | ) | ||||
| Decrease (Increase) in interest receivable | 1,723 | 203,751 | ||||||
| Increase (Decrease) in payable to Sponsor | (244,979 | ) | 633,542 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (240,141 | ) | 419,056 | |||||
| Increase (Decrease) in payable on futures contracts | (16,496,871 | ) | (34,019,820 | ) | ||||
| Net cash provided by (used in) operating activities | (1,729,835,836 | ) | (253,601,765 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 3,346,492,863 | 2,248,489,431 | ||||||
| Payment on shares redeemed | (1,978,946,702 | ) | (1,613,684,177 | ) | ||||
| Net cash provided by (used in) financing activities | 1,367,546,161 | 634,805,254 | ||||||
Net increase (decrease) in cash | (362,289,675 | ) | 381,203,489 | |||||
| Cash, beginning of period | 1,069,671,996 | 361,561,329 | ||||||
| Cash, end of period | $ | 707,382,321 | $ | 742,764,818 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $999,970 and $–, respectively) | $ | 999,953 | $ | — | ||||
| Cash | 1,601,167 | 2,618,696 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 306,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 757 | 67,235 | ||||||
| Interest receivable | 66 | 111 | ||||||
| Total assets | 2,601,943 | 2,992,042 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 2,029 | 2,384 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 60,023 | 148 | ||||||
Non-recurring fees and expenses payable | 11 | 11 | ||||||
| Total liabilities | 62,063 | 2,543 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 2,539,880 | 2,989,499 | ||||||
| Total liabilities and shareholders’ equity | $ | 2,601,943 | $ | 2,992,042 | ||||
| Shares outstanding | 49,970 | 49,970 | ||||||
| Net asset value per share | $ | 50.83 | $ | 59.83 | ||||
| Market value per share (Note 2) | $ | 50.82 | $ | 59.82 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 39 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.023 % due11/18/21 † | $ | 1,000,000 | $ | 999,953 | ||||
Total short-term U.S. government and agency obligations (cost $ 999,970 ) | $ | 999,953 | ||||||
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 | 10/08/21 | 327,930,517 | $ | 2,946,301 | $ | (34,305 | ) | |||||||||
| Yen with UBS AG | 10/08/21 | 253,562,756 | 2,278,140 | (25,718 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (60,023 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | (6,319,000 | ) | $ | (56,773 | ) | $ | (182 | ) | |||||||
| Yen with UBS AG | 10/08/21 | (10,090,000 | ) | (90,654 | ) | 939 | ||||||||||
| | Total Unrealized Appreciation | | $ | 757 | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 260 | $ | 171 | $ | 923 | $ | 9,100 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 6,233 | 6,813 | 19,144 | 20,655 | ||||||||||||
Non-recurring fees and expenses | — | 78 | — | 78 | ||||||||||||
| Total expenses | 6,233 | 6,891 | 19,144 | 20,733 | ||||||||||||
| Net investment income (loss) | (5,973 | ) | (6,720 | ) | (18,221 | ) | (11,633 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | (25,554 | ) | 126,569 | (305,028 | ) | 11,333 | ||||||||||
| Net realized gain (loss) | (25,554 | ) | 126,569 | (305,028 | ) | 11,333 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | 10,988 | (1,524 | ) | (126,353 | ) | 48,104 | ||||||||||
| Short-term U.S. government and agency obligations | 71 | — | (17 | ) | (74 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | (126,370 | ) | 48,030 | ||||||||||
| Net realized and unrealized gain (loss) | (14,495 | ) | 125,045 | (431,398 | ) | 59,363 | ||||||||||
Net income (loss) | $ | (20,468 | ) | $ | 118,325 | $ | (449,619 | ) | $ | 47,730 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,560,348 | $ | 2,764,355 | $ | 2,989,499 | $ | 5,580,964 | ||||||||
| Redemption of –, –, – and 50,000 shares, respectively | — | — | — | (2,746,014 | ) | |||||||||||
| Net addition (redemption) of –, –, – and (50,000) shares, respectively | — | — | — | (2,746,014 | ) | |||||||||||
| Net investment income (loss) | (5,973 | ) | (6,720 | ) | (18,221 | ) | (11,633 | ) | ||||||||
| Net realized gain (loss) | (25,554 | ) | 126,569 | (305,028 | ) | 11,333 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | (126,370 | ) | 48,030 | ||||||||||
| Net income (loss) | (20,468 | ) | 118,325 | (449,619 | ) | 47,730 | ||||||||||
Shareholders’ equity, end of period | $ | 2,539,880 | $ | 2,882,680 | $ | 2,539,880 | $ | 2,882,680 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (449,619 | ) | $ | 47,730 | |||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Purchases of short-term U.S. government and agency obligations | (1,499,740 | ) | (99,700 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 500,000 | 1,911,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (230 | ) | (3,270 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 126,370 | (48,030 | ) | |||||
| Decrease (Increase) in interest receivable | 45 | 4,622 | ||||||
| Increase (Decrease) in payable to Sponsor | (355 | ) | (2,235 | ) | ||||
| Net cash provided by (used in) operating activities | (1,323,529 | ) | 1,810,117 | |||||
Cash flow from financing activities | ||||||||
| Payment on shares redeemed | — | (2,746,014 | ) | |||||
| Net cash provided by (used in) financing activities | — | (2,746,014 | ) | |||||
Net increase (decrease) in cash | (1,323,529 | ) | (935,897 | ) | ||||
| Cash, beginning of period | 2,924,696 | 3,783,138 | ||||||
| Cash, end of period | $ | 1,601,167 | $ | 2,847,241 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Cash | $ | 4,739,816 | $ | 2,133,707 | ||||
| Segregated cash balances with brokers for futures contracts | 239,360 | 100,320 | ||||||
| Interest receivable | 187 | 119 | ||||||
| Total assets | 4,979,363 | 2,234,146 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 61,327 | 9,118 | ||||||
| Payable to Sponsor | 3,748 | 2,370 | ||||||
Non-recurring fees and expenses payable | 19 | 19 | ||||||
| Total liabilities | 65,094 | 11,507 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 4,914,269 | 2,222,639 | ||||||
| Total liabilities and shareholders’ equity | $ | 4,979,363 | $ | 2,234,146 | ||||
| Shares outstanding | 100,000 | 50,000 | ||||||
| Net asset value per share | $ | 49.14 | $ | 44.45 | ||||
| Market value per share (Note 2) | $ | 49.16 | $ | 43.89 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Australian Dollar Fx Currency Futures - CME, expires December 2021 | 136 | $ | 9,838,240 | $ | 182,163 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 443 | $ | 289 | $ | 961 | $ | 20,385 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 8,860 | 12,478 | 19,191 | 42,496 | ||||||||||||
| Brokerage commissions | 962 | 928 | 1,722 | 3,766 | ||||||||||||
Non-recurring fees and expenses | — | 177 | — | 177 | ||||||||||||
| Total expenses | 9,822 | 13,583 | 20,913 | 46,439 | ||||||||||||
| Net investment income (loss) | (9,379 | ) | (13,294 | ) | (19,952 | ) | (26,054 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 188,884 | (432,100 | ) | 17,207 | (799,054 | ) | ||||||||||
| Net realized gain (loss) | 188,884 | (432,100 | ) | 17,207 | (799,054 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 56,770 | 5,020 | 321,113 | 390,370 | ||||||||||||
| Short-term U.S. government and agency obligations | — | — | — | (206 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | 56,770 | 5,020 | 321,113 | 390,164 | ||||||||||||
| Net realized and unrealized gain (loss) | 245,654 | (427,080 | ) | 338,320 | (408,890 | ) | ||||||||||
Net income (loss) | $ | 236,275 | $ | (440,374 | ) | $ | 318,368 | $ | (434,944 | ) | ||||||
June 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $12,996,113 and $22,995,121, respectively) | $ | 12,979,368 | $ | 22,994,261 | ||||
| Cash | 12,637,173 | 1,829,901 | ||||||
| Segregated cash balances with brokers for futures contracts | 3,798,437 | 1,081,575 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 2,572,000 | ||||||
| Unrealized appreciation on swap agreements | 1,873,038 | — | ||||||
| Receivable from capital shares sold | 1,587,633 | — | ||||||
| Receivable on open futures contracts | 191,494 | 15,446 | ||||||
| Interest receivable | 5,185 | 378 | ||||||
| Total assets | 33,072,328 | 28,493,561 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | — | 5,840 | ||||||
| Brokerage commissions and futures account fees payable | — | 747 | ||||||
| Payable to Sponsor | 19,488 | 28,560 | ||||||
| Unrealized depreciation on swap agreements | — | 1,921,414 | ||||||
| Total liabilities | 19,488 | 1,956,561 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 33,052,840 | 26,537,000 | ||||||
| Total liabilities and shareholders’ equity | $ | 33,072,328 | $ | 28,493,561 | ||||
| Shares outstanding (Note 1) | 1,041,329 | 991,329 | ||||||
| Net asset value per share (Note 1) | $ | 31.74 | $ | 26.77 | ||||
| Market value per share (Note 1) (Note 2) | $ | 32.19 | $ | 26.84 | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,304,732 | $ | 5,614,042 | $ | 2,222,639 | $ | 5,608,612 | ||||||||
| Addition of 50,000, –, 50,000 and – shares, respectively | 2,373,262 | — | 2,373,262 | — | ||||||||||||
| Net addition (redemption) of 50,000, –, 50,000 and – shares, respectively | 2,373,262 | — | 2,373,262 | — | ||||||||||||
| Net investment income (loss) | (9,379 | ) | (13,294 | ) | (19,952 | ) | (26,054 | ) | ||||||||
| Net realized gain (loss) | 188,884 | (432,100 | ) | 17,207 | (799,054 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 56,770 | 5,020 | 321,113 | 390,164 | ||||||||||||
| Net income (loss) | 236,275 | (440,374 | ) | 318,368 | (434,944 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 4,914,269 | $ | 5,173,668 | $ | 4,914,269 | $ | 5,173,668 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 318,368 | $ | (434,944 | ) | |||
| 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 | — | (498,498 | ) | |||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 4,436,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | — | (6,234 | ) | |||||
| Change in unrealized appreciation (depreciation) on investments | — | 206 | ||||||
| Decrease (Increase) in interest receivable | (68 | ) | 1,510 | |||||
| Increase (Decrease) in payable to Sponsor | 1,378 | (759 | ) | |||||
| Increase (Decrease) in payable on futures contracts | 52,209 | 6,830 | ||||||
| Net cash provided by (used in) operating activities | 371,887 | 3,504,111 | ||||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 2,373,262 | — | ||||||
| Net cash provided by (used in) financing activities | 2,373,262 | — | ||||||
Net increase (decrease) in cash | 2,745,149 | 3,504,111 | ||||||
| Cash, beginning of period | 2,234,027 | 1,717,873 | ||||||
| Cash, end of period | $ | 4,979,176 | $ | 5,221,984 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,250 and $ – , respectively) | $ | 32,997,116 | $ | — | ||||
| Cash | 37,673,178 | 74,317,150 | ||||||
| Segregated cash balances with brokers for futures contracts | 23,127,496 | 22,608,223 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 188,000 | ||||||
| Receivable on open futures contracts | — | 60,902 | ||||||
| Interest receivable | 1,383 | 3,299 | ||||||
| Total assets | 93,799,173 | 97,177,574 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 143,515 | 257,410 | ||||||
| Brokerage commissions and futures account fees payable | 12,910 | — | ||||||
| Payable to Sponsor | 67,184 | 80,580 | ||||||
Non-recurring fees and expenses payable | 351 | 351 | ||||||
| Total liabilities | 223,960 | 338,341 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 93,575,213 | 96,839,233 | ||||||
| Total liabilities and shareholders’ equity | $ | 93,799,173 | $ | 97,177,574 | ||||
| Shares outstanding (Note 1) | 6,183,799 | 2,084,971 | ||||||
| Net asset value per share (Note 1) | $ | 15.13 | $ | 46.45 | ||||
| Market value per share (Note 1)(Note 2) | $ | 15.18 | $ | 46.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.043% due 10/14/21 | $ | 5,000,000 | $ | 4,999,955 | ||||
| 0.043% due 11/18/21 | 8,000,000 | 7,999,627 | ||||||
| 0.037% due 01/20/22 | 20,000,000 | 19,997,534 | ||||||
| Total short-term U.S. government and agency obligations (cost $32,997,250) | $ | 32,997,116 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| WTI Crude Oil - NYMEX, expires December 2021 | 848 | $ | 63,345,600 | $ | (10,110,286 | ) | ||||||
| WTI Crude Oil - NYMEX, expires June 2022 | 876 | 62,327,400 | (7,616,511 | ) | ||||||||
| WTI Crude Oil - NYMEX, expires December 2022 | 909 | 61,539,300 | (2,739,363 | ) | ||||||||
| $ | (20,466,160 | ) | ||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 6,891 | $ | 4,832 | $ | 36,069 | $ | 259,750 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 201,146 | 238,038 | 603,444 | 789,307 | ||||||||||||
| Brokerage commissions | 29,277 | 64,657 | 100,902 | 488,442 | ||||||||||||
| Futures account fees | 18,193 | 39,565 | 83,373 | 132,868 | ||||||||||||
Non-recurring fees and expenses | — | 4,892 | — | 4,892 | ||||||||||||
| Total expenses | 248,616 | 347,152 | 787,719 | 1,415,509 | ||||||||||||
| Net investment income (loss) | (241,725 | ) | (342,320 | ) | (751,650 | ) | (1,155,759 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (11,449,562 | ) | (12,932,125 | ) | (86,637,748 | ) | (13,146,261 | ) | ||||||||
| Swap agreements | — | (3,364,704 | ) | — | 41,576,107 | |||||||||||
| Short-term U.S. government and agency obligations | — | — | — | (20 | ) | |||||||||||
| Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | (86,637,748 | ) | 28,429,826 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (1,521,543 | ) | 3,752,436 | (5,829,347 | ) | 3,196,977 | ||||||||||
| Swap agreements | — | 2,095,678 | — | 4,033,931 | ||||||||||||
| Short-term U.S. government and agency obligations | 650 | 0 | (134 | ) | (3,162 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | (5,829,481 | ) | 7,227,746 | ||||||||||
| Net realized and unrealized gain (loss) | (12,970,455 | ) | (10,448,715 | ) | (92,467,229 | ) | 35,657,572 | |||||||||
Net income (loss) | $ | (13,212,180 | ) | $ | (10,791,035 | ) | $ | (93,218,879 | ) | $ | 34,501,813 | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 79,400,059 | $ | 117,821,898 | $ | 96,839,233 | $ | 125,451,681 | ||||||||
| Addition of 3,350,000, 1,075,000, 7,237,500 and 6,662,500 shares, respectively (Note 1) | 56,590,239 | 69,006,205 | 164,074,678 | 737,435,154 | ||||||||||||
| Redemption of 1,550,000, 1,475,000, 3,138,672 and 8,025,000 shares, respectively (Note 1) | (29,202,905 | ) | (95,618,902 | ) | (74,119,819 | ) | (816,970,482 | ) | ||||||||
| Net addition (redemption) of 1,800,000, (400,000), 4,098,828 and (1,362,500) shares, respectively (Note 1) | 27,387,334 | (26,612,697 | ) | 89,954,859 | (79,535,328 | ) | ||||||||||
| Net investment income (loss) | (241,725 | ) | (342,320 | ) | (751,650 | ) | (1,155,759 | ) | ||||||||
| Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | (86,637,748 | ) | 28,429,826 | |||||||||
| Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | (5,829,481 | ) | 7,227,746 | ||||||||||
| Net income (loss) | (13,212,180 | ) | (10,791,035 | ) | (93,218,879 | ) | 34,501,813 | |||||||||
Shareholders’ equity, end of period | $ | 93,575,213 | $ | 80,418,166 | $ | 93,575,213 | $ | 80,418,166 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (93,218,879 | ) | $ | 34,501,813 | |||
| 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 | (117,984,270 | ) | (32,897,274 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 85,000,000 | 95,246,647 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (12,980 | ) | (153,272 | ) | ||||
| Net realized gain (loss) on investments | — | 20 | ||||||
| Change in unrealized appreciation (depreciation) on investments | 134 | (4,030,769 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | 60,902 | 281,879 | ||||||
| Decrease (Increase) in interest receivable | 1,916 | 51,970 | ||||||
| Increase (Decrease) in payable to Sponsor | (13,396 | ) | (20,975 | ) | ||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 12,910 | — | ||||||
| Increase (Decrease) in payable on futures contracts | (113,895 | ) | 3,316,805 | |||||
| Net cash provided by (used in) operating activities | (126,267,558 | ) | 96,296,844 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 164,074,678 | 741,702,169 | ||||||
| Payment on shares redeemed | (74,119,819 | ) | (816,970,482 | ) | ||||
| Net cash provided by (used in) financing activities | 89,954,859 | (75,268,313 | ) | |||||
Net increase (decrease) in cash | (36,312,699 | ) | 21,028,531 | |||||
| Cash, beginning of period | 97,113,373 | 61,909,177 | ||||||
| Cash, end of period | $ | 60,800,674 | $ | 82,937,708 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $56,994,979 and $9,999,612, respectively) | $ | 56,993,148 | $ | 9,999,861 | ||||
| Cash | 84,342,212 | 12,600,775 | ||||||
| Segregated cash balances with brokers for futures contracts | 29,635,820 | 6,546,607 | ||||||
| Interest receivable | 2,662 | 548 | ||||||
| Total assets | 170,973,842 | 29,147,791 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 16,371,629 | 2,604,177 | ||||||
| Payable on open futures contracts | 15,998,799 | 1,543,700 | ||||||
| Brokerage commissions and futures account fees payable | 27,103 | — | ||||||
| Payable to Sponsor | 107,494 | 22,029 | ||||||
Non-recurring fees and expenses payable | 140 | 140 | ||||||
| Total liabilities | 32,505,165 | 4,170,046 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 138,468,677 | 24,977,745 | ||||||
| Total liabilities and shareholders’ equity | $ | 170,973,842 | $ | 29,147,791 | ||||
| Shares outstanding | 19,724,832 | 524,832 | ||||||
| Net asset value per share | $ | 7.02 | $ | 47.59 | ||||
| Market value per share (Note 2) | $ | 7.12 | $ | 47.38 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 41 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043 % due10/14/21 | $ | 5,000,000 | $ | 4,999,955 | ||||
0.043 % due11/18/21 | 7,000,000 | 6,999,673 | ||||||
0.044 % due12/16/21 | 15,000,000 | 14,998,734 | ||||||
0.028 % due02/17/22 | 30,000,000 | 29,994,786 | ||||||
Total short-term U.S. government and agency obligations (cost $ 56,994,979 ) | $ | 56,993,148 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (39% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.393% due 07/21/22 † | $ | 11,000,000 | $ | 10,993,430 | ||||
0.223% due 11/03/22 † | 2,000,000 | 1,985,938 | ||||||
| Total short-term U.S. government and agency obligations (cost $12,996,113) | $ | 12,979,368 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Natural Gas - NYMEX, expires November 2021 | 4,720 | $ | 276,922,400 | $ | (35,288,843 | ) | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Silver Futures - COMEX, expires September 2022 | 445 | $ | 45,283,200 | $ | 2,516,890 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 9,879 | $ | 8,136 | $ | 25,512 | $ | 51,939 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 258,824 | 138,507 | 609,472 | 207,544 | ||||||||||||
| Brokerage commissions | 67,808 | 98,416 | 249,831 | 177,159 | ||||||||||||
| Futures account fees | 42,064 | 20,454 | 99,190 | 25,803 | ||||||||||||
Non-recurring fees and expenses | — | 345 | — | 345 | ||||||||||||
| Total expenses | 368,696 | 257,722 | 958,493 | 410,851 | ||||||||||||
| Net investment income (loss) | (358,817 | ) | (249,586 | ) | (932,981 | ) | (358,912 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (95,609,878 | ) | (31,450,011 | ) | (112,274,576 | ) | (20,587,193 | ) | ||||||||
| Short-term U.S. government and agency obligations | — | 19 | — | (531 | ) | |||||||||||
| Net realized gain (loss) | (95,609,878 | ) | (31,449,992 | ) | (112,274,576 | ) | (20,587,724 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (17,870,697 | ) | 8,968,702 | (35,668,153 | ) | 9,530,001 | ||||||||||
| Short-term U.S. government and agency obligations | (839 | ) | 435 | (2,080 | ) | 108 | ||||||||||
| Change in net unrealized appreciation (depreciation) | (17,871,536 | ) | 8,969,137 | (35,670,233 | ) | 9,530,109 | ||||||||||
| Net realized and unrealized gain (loss) | (113,481,414 | ) | (22,480,855 | ) | (147,944,809 | ) | (11,057,615 | ) | ||||||||
Net income (loss) | $ | (113,840,231 | ) | $ | (22,730,441 | ) | $ | (148,877,790 | ) | $ | (11,416,527 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 97,525,300 | $ | 28,552,210 | $ | 24,977,745 | $ | 12,515,603 | ||||||||
| Addition of 20,500,000, 3,200,000, 28,050,000 and 4,400,000 shares, respectively | 210,189,776 | 130,455,301 | 446,153,207 | 198,730,524 | ||||||||||||
| Redemption of 5,300,000, 2,400,000, 8,850,000 and 3,500,000 shares, respectively | (55,406,168 | ) | (89,339,084 | ) | (183,784,485 | ) | (152,891,614 | ) | ||||||||
| Net addition (redemption) of 15,200,000, 800,000, 19,200,000 and 900,000 shares, respectively | 154,783,608 | 41,116,217 | 262,368,722 | 45,838,910 | ||||||||||||
| Net investment income (loss) | (358,817 | ) | (249,586 | ) | (932,981 | ) | (358,912 | ) | ||||||||
| Net realized gain (loss) | (95,609,878 | ) | (31,449,992 | ) | (112,274,576 | ) | (20,587,724 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | (17,871,536 | ) | 8,969,137 | (35,670,233 | ) | 9,530,109 | ||||||||||
| Net income (loss) | (113,840,231 | ) | (22,730,441 | ) | (148,877,790 | ) | (11,416,527 | ) | ||||||||
Shareholders’ equity, end of period | $ | 138,468,677 | $ | 46,937,986 | $ | 138,468,677 | $ | 46,937,986 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (148,877,790 | ) | $ | (11,416,527 | ) | ||
| 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 | (144,983,115 | ) | (54,978,482 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 98,000,000 | 28,159,767 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (12,252 | ) | (21,483 | ) | ||||
| Net realized gain (loss) on investments | — | 531 | ||||||
| Change in unrealized appreciation (depreciation) on investments | 2,080 | (108 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | — | (1,269,994 | ) | |||||
| Decrease (Increase) in interest receivable | (2,114 | ) | 5,726 | |||||
| Increase (Decrease) in payable to Sponsor | 85,465 | 40,651 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 27,103 | — | ||||||
| Increase (Decrease) in payable on futures contracts | 14,455,099 | (6,826 | ) | |||||
| Net cash provided by (used in) operating activities | (181,305,524 | ) | (39,486,745 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 446,153,207 | 198,730,524 | ||||||
| Payment on shares redeemed | (170,017,033 | ) | (130,442,926 | ) | ||||
| Net cash provided by (used in) financing activities | 276,136,174 | 68,287,598 | ||||||
Net increase (decrease) in cash | 94,830,650 | 28,800,853 | ||||||
| Cash, beginning of period | 19,147,382 | 7,370,891 | ||||||
| Cash, end of period | $ | 113,978,032 | $ | 36,171,744 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $34,997,966 and $9,999,612, respectively) | $ | 34,997,817 | $ | 9,999,861 | ||||
| Cash | 11,552,843 | 42,133,228 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 1,999,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,284,006 | 5,705 | ||||||
| Interest receivable | 396 | 2,148 | ||||||
| Total assets | 48,835,062 | 54,139,942 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 36,822 | 43,974 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 157,203 | 1,142,409 | ||||||
Non-recurring fees and expenses payable | 220 | 220 | ||||||
| Total liabilities | 194,245 | 1,186,603 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 48,640,817 | 52,953,339 | ||||||
| Total liabilities and shareholders’ equity | $ | 48,835,062 | $ | 54,139,942 | ||||
| Shares outstanding | 1,950,000 | 2,350,000 | ||||||
| Net asset value per share | $ | 24.94 | $ | 22.53 | ||||
| Market value per share (Note 2) | $ | 24.93 | $ | 22.52 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (72% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043% due 10/14/21 † | $ | 5,000,000 | $ | 4,999,955 | ||||
0.039% due 10/21/21 † | 10,000,000 | �� | 9,999,555 | |||||
0.043% due 11/18/21 † | 5,000,000 | 4,999,767 | ||||||
| 0.044% due 12/16/21 | 10,000,000 | 9,999,156 | ||||||
| 0.037% due 01/20/22 | 5,000,000 | 4,999,384 | ||||||
| Total short-term U.S. government and agency obligations (cost $34,997,966) | $ | 34,997,817 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
| Euro with UBS AG | 10/08/21 | 5,650,000 | $ | 6,544,869 | $ | (157,203 | ) | |||||||||
| | Total Unrealized Depreciation | | $ | (157,203 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Euro with Goldman Sachs International | 10/08/21 | (39,458,263 | ) | $ | (45,707,819 | ) | $ | 1,000,511 | ||||||||
| Euro with UBS AG | 10/08/21 | (49,895,199 | ) | (57,797,799 | ) | 1,283,495 | ||||||||||
| | Total Unrealized Appreciation | | $ | 2,284,006 | ||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
| Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 07/06/22 | $ | (2,464,774 | ) | $ | 221,841 | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 07/06/22 | (8,978,838 | ) | 808,139 | |||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/22 | (7,099,463 | ) | 638,732 | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/22 | (2,270,181 | ) | 204,326 | |||||||||||
| Total Unrealized Appreciation | $ | 1,873,038 | ||||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 5,008 | $ | 18,939 | $ | 17,814 | $ | 486,623 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 116,733 | 161,145 | 355,451 | 638,218 | ||||||||||||
Non-recurring fees and expenses | — | 2,622 | — | 2,622 | ||||||||||||
| Total expenses | 116,733 | 163,767 | 355,451 | 640,840 | ||||||||||||
| Net investment income (loss) | (111,725 | ) | (144,828 | ) | (337,637 | ) | (154,217 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | 2,974,466 | (7,511,153 | ) | 2,249,236 | (8,749,738 | ) | ||||||||||
| Short-term U.S. government and agency obligations | — | (14 | ) | — | (14 | ) | ||||||||||
| Net realized gain (loss) | 2,974,466 | (7,511,167 | ) | 2,249,236 | (8,749,752 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | (618,447 | ) | 1,523,931 | 3,263,507 | 3,449,397 | |||||||||||
| Short-term U.S. government and agency obligations | 489 | 1,860 | (398 | ) | (3,038 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (617,958 | ) | 1,525,791 | 3,263,109 | 3,446,359 | |||||||||||
| Net realized and unrealized gain (loss) | 2,356,508 | (5,985,376 | ) | 5,512,345 | (5,303,393 | ) | ||||||||||
Net income (loss) | $ | 2,244,783 | $ | (6,130,204 | ) | $ | 5,174,708 | $ | (5,457,610 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 48,820,440 | $ | 78,848,965 | $ | 52,953,339 | $ | 120,581,173 | ||||||||
| Addition of 100,000, 1,000,000, 300,000 and 1,350,000 shares, respectively | 2,387,142 | 24,186,298 | 7,000,386 | 34,244,548 | ||||||||||||
| Redemption of 200,000, 1,150,000, 700,000 and 3,050,000 shares, respectively | (4,811,548 | ) | (28,327,526 | ) | (16,487,616 | ) | (80,790,578 | ) | ||||||||
| Net addition (redemption) of (100,000), (150,000), (400,000) and (1,700,000) shares, respectively | (2,424,406 | ) | (4,141,228 | ) | (9,487,230 | ) | (46,546,030 | ) | ||||||||
| Net investment income (loss) | (111,725 | ) | (144,828 | ) | (337,637 | ) | (154,217 | ) | ||||||||
| Net realized gain (loss) | 2,974,466 | (7,511,167 | ) | 2,249,236 | (8,749,752 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (617,958 | ) | 1,525,791 | 3,263,109 | 3,446,359 | |||||||||||
| Net income (loss) | 2,244,783 | (6,130,204 | ) | 5,174,708 | (5,457,610 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 48,640,817 | $ | 68,577,533 | $ | 48,640,817 | $ | 68,577,533 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 5,174,708 | $ | (5,457,610 | ) | |||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Purchases of short-term U.S. government and agency obligations | (89,988,404 | ) | (198,751,004 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 65,000,000 | 220,684,953 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (9,950 | ) | (338,406 | ) | ||||
| Net realized gain (loss) on investments | — | 14 | ||||||
| Change in unrealized appreciation (depreciation) on investments | (3,263,109 | ) | (3,446,359 | ) | ||||
| Decrease (Increase) in interest receivable | 1,752 | 59,976 | ||||||
| Increase (Decrease) in payable to Sponsor | (7,152 | ) | (47,737 | ) | ||||
| Net cash provided by (used in) operating activities | (23,092,155 | ) | 12,703,827 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 7,000,386 | 34,244,548 | ||||||
| Payment on shares redeemed | (16,487,616 | ) | (78,341,410 | ) | ||||
| Net cash provided by (used in) financing activities | (9,487,230 | ) | (44,096,862 | ) | ||||
Net increase (decrease) in cash | (32,579,385 | ) | (31,393,035 | ) | ||||
| Cash, beginning of period | 44,132,228 | 44,280,278 | ||||||
| Cash, end of period | $ | 11,552,843 | $ | 12,887,243 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively) | $ | 17,998,972 | $ | — | ||||
| Cash | 8,368,137 | 16,935,121 | ||||||
| Segregated cash balances with brokers for futures contracts | 860,625 | 1,503,750 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 2,194,500 | ||||||
| Unrealized appreciation on swap agreements | 830,123 | — | ||||||
| Receivable on open futures contracts | — | 1,317 | ||||||
| Interest receivable | 299 | 742 | ||||||
| Total assets | 28,058,156 | 20,635,430 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 306,991 | 12,410 | ||||||
| Brokerage commissions and futures account fees payable | 211 | — | ||||||
| Payable to Sponsor | 19,851 | 16,835 | ||||||
| Unrealized depreciation on swap agreements | — | 268,728 | ||||||
Non-recurring fees and expenses payable | 81 | 81 | ||||||
| Total liabilities | 327,134 | 298,054 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 27,731,022 | 20,337,376 | ||||||
| Total liabilities and shareholders’ equity | $ | 28,058,156 | $ | 20,635,430 | ||||
| Shares outstanding | 796,977 | 646,977 | ||||||
| Net asset value per share | $ | 34.80 | $ | 31.43 | ||||
| Market value per share (Note 2) | $ | 34.82 | $ | 31.14 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (65% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.043% due 10/14/21 | $ | 5,000,000 | $ | 4,999,955 | ||||
0.039% due 10/21/21 † | 3,000,000 | 2,999,867 | ||||||
0.043% due 11/18/21 † | 5,000,000 | 4,999,767 | ||||||
| 0.037% due 01/20/22 | 5,000,000 | 4,999,383 | ||||||
| Total short-term U.S. government and agency obligations (cost $17,999,022) | $ | 17,998,972 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Gold Futures - COMEX, expires December 2021 | 114 | $ | 20,029,800 | $ | 432,050 | |||||||
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 | % | 10/06/21 | $ | (14,518,233 | ) | $ | 340,577 | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 10/06/21 | (9,497,933 | ) | 223,115 | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | (11,357,509 | ) | 266,431 | |||||||||||
| | Total Unrealized Appreciation | | $ | 830,123 | ||||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 3,075 | $ | 1,831 | $ | 9,213 | $ | 65,111 | $ | 18,743 | $ | 2,678 | $ | 27,663 | $ | 5,795 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 66,304 | 45,591 | 199,999 | 129,451 | 62,381 | 72,831 | 123,334 | 157,576 | ||||||||||||||||||||||||
| Brokerage commissions | 3,301 | 1,980 | 9,174 | 5,743 | 6,677 | 3,824 | 11,978 | 11,268 | ||||||||||||||||||||||||
| Futures account fees | 1,856 | 1,232 | 8,344 | 2,597 | 1,169 | 4,207 | 4,443 | 14,198 | ||||||||||||||||||||||||
Non-recurring fees and expenses | — | 499 | — | 499 | ||||||||||||||||||||||||||||
| Total expenses | 71,461 | 49,302 | 217,517 | 138,290 | 70,227 | 80,862 | 139,755 | 183,042 | ||||||||||||||||||||||||
| Net investment income (loss) | (68,386 | ) | (47,471 | ) | (208,304 | ) | (73,179 | ) | (51,484 | ) | (78,184 | ) | (112,092 | ) | (177,247 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (883,113 | ) | (1,305,687 | ) | (1,598,368 | ) | (5,001,545 | ) | 5,944,050 | (216,957 | ) | 4,650,280 | (1,453,150 | ) | ||||||||||||||||||
| Swap agreements | 2,096,834 | (2,715,850 | ) | (169,268 | ) | (7,040,145 | ) | 3,467,182 | (5,659,499 | ) | (2,612,794 | ) | (7,355,657 | ) | ||||||||||||||||||
| Short-term U.S. government and agency obligations | — | — | 169 | — | — | — | (190 | ) | 85 | |||||||||||||||||||||||
| Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | (1,767,467 | ) | (12,041,690 | ) | 9,411,232 | (5,876,456 | ) | 2,037,296 | (8,808,722 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (153,889 | ) | 782,022 | 628,980 | 893,052 | 2,249,743 | (3,005,003 | ) | 1,864,397 | 491,967 | ||||||||||||||||||||||
| Swap agreements | (1,744,696 | ) | 1,906,708 | 1,098,851 | 1,834,548 | 1,599,944 | 2,081,517 | 3,794,452 | 6,050,311 | |||||||||||||||||||||||
| Short-term U.S. government and agency obligations | 166 | 331 | (50 | ) | (496 | ) | 3,625 | (1,834 | ) | (15,885 | ) | (1,087 | ) | |||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | 1,727,781 | 2,727,104 | 3,853,312 | (925,320 | ) | 5,642,964 | 6,541,191 | ||||||||||||||||||||||
| Net realized and unrealized gain (loss) | (684,698 | ) | (1,332,476 | ) | (39,686 | ) | (9,314,586 | ) | 13,264,544 | (6,801,776 | ) | 7,680,260 | (2,267,531 | ) | ||||||||||||||||||
Net income (loss) | $ | (753,084 | ) | $ | (1,379,947 | ) | $ | (247,990 | ) | $ | (9,387,765 | ) | $ | 13,213,060 | $ | (6,879,960 | ) | $ | 7,568,168 | $ | (2,444,778 | ) | ||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 32,835,014 | $ | 15,851,043 | $ | 20,337,376 | $ | 21,047,560 | $ | 23,406,516 | $ | 45,144,664 | $ | 26,537,000 | $ | 28,885,775 | ||||||||||||||||
| Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively | 21,916,482 | 23,162,997 | 59,279,388 | 38,594,844 | ||||||||||||||||||||||||||||
| Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively | (26,267,390 | ) | (10,494,112 | ) | (51,637,752 | ) | (23,114,658 | ) | ||||||||||||||||||||||||
| Addition of 700,000, 300,000, 1,800,000 and 2,750,000 shares, respectively (Note 1) | 17,707,417 | 7,086,666 | 43,267,561 | 65,182,313 | ||||||||||||||||||||||||||||
| Redemption of 750,000, 425,415, 1,750,000 and 2,300,415 shares, respectively (Note 1) | (21,274,153 | ) | (10,491,607 | ) | (44,319,889 | ) | (56,763,547 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively | (4,350,908 | ) | 12,668,885 | 7,641,636 | 15,480,186 | |||||||||||||||||||||||||||
| Net addition (redemption) of (50,000), (125,415), 50,000 and 449,585 shares, respectively (Note 1) | (3,566,736 | ) | (3,404,941 | ) | (1,052,328 | ) | 8,418,766 | |||||||||||||||||||||||||
| Net investment income (loss) | (68,386 | ) | (47,471 | ) | (208,304 | ) | (73,179 | ) | (51,484 | ) | (78,184 | ) | (112,092 | ) | (177,247 | ) | ||||||||||||||||
| Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | (1,767,467 | ) | (12,041,690 | ) | 9,411,232 | (5,876,456 | ) | 2,037,296 | (8,808,722 | ) | |||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | 1,727,781 | 2,727,104 | 3,853,312 | (925,320 | ) | 5,642,964 | 6,541,191 | ||||||||||||||||||||||
| Net income (loss) | (753,084 | ) | (1,379,947 | ) | (247,990 | ) | (9,387,765 | ) | 13,213,060 | (6,879,960 | ) | 7,568,168 | (2,444,778 | ) | ||||||||||||||||||
Shareholders’ equity, end of period | $ | 27,731,022 | $ | 27,139,981 | $ | 27,731,022 | $ | 27,139,981 | $ | 33,052,840 | $ | 34,859,763 | $ | 33,052,840 | $ | 34,859,763 | ||||||||||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (247,990 | ) | $ | (9,387,765 | ) | ||
| 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 | (40,994,386 | ) | (19,981,048 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 22,999,935 | 27,371,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,402 | ) | (34,425 | ) | ||||
| Net realized gain (loss) on investments | (169 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | (1,098,801 | ) | (1,834,052 | ) | ||||
| Decrease (Increase) in receivable on futures contracts | 1,317 | (55,281 | ) | |||||
| Decrease (Increase) in interest receivable | 443 | 11,119 | ||||||
| Increase (Decrease) in payable to Sponsor | 3,016 | 472 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 211 | — | ||||||
| Increase (Decrease) in payable on futures contracts | 294,581 | (25,211 | ) | |||||
| Net cash provided by (used in) operating activities | (19,046,245 | ) | (3,935,191 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 59,279,388 | 38,594,844 | ||||||
| Payment on shares redeemed | (51,637,752 | ) | (23,114,658 | ) | ||||
| Net cash provided by (used in) financing activities | 7,641,636 | 15,480,186 | ||||||
Net increase (decrease) in cash | (11,404,609 | ) | 11,544,995 | |||||
| Cash, beginning of period | 20,633,371 | 9,895,915 | ||||||
| Cash, end of period | $ | 9,228,762 | $ | 21,440,910 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively) | $ | 21,998,799 | $ | — | ||||
| Cash | 11,285,816 | 18,919,314 | ||||||
| Segregated cash balances with brokers for futures contracts | 4,768,750 | 1,503,250 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 11,732,485 | ||||||
| Unrealized appreciation on swap agreements | 4,090,510 | — | ||||||
| Receivable from capital shares sold | 1,563,293 | — | ||||||
| Receivable on open futures contracts | — | 39,445 | ||||||
| Interest receivable | 479 | 814 | ||||||
| Total assets | 43,707,647 | 32,195,308 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 3,126,586 | — | ||||||
| Payable on open futures contracts | 176,667 | 86,282 | ||||||
| Brokerage commissions and futures account fees payable | 1,471 | — | ||||||
| Payable to Sponsor | 28,913 | 25,557 | ||||||
| Unrealized depreciation on swap agreements | — | 3,197,561 | ||||||
Non-recurring fees and expenses payable | 133 | 133 | ||||||
| Total liabilities | 3,333,770 | 3,309,533 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 40,373,877 | 28,885,775 | ||||||
| Total liabilities and shareholders’ equity | $ | 43,707,647 | $ | 32,195,308 | ||||
| Shares outstanding (Note 1) | 1,291,329 | 1,041,744 | ||||||
| Net asset value per share (Note 1) | $ | 31.27 | $ | 27.73 | ||||
| Market value per share (Note 1)(Note 2) | $ | 30.97 | $ | 27.40 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (54% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043% due 10/14/21 † | $ | 5,000,000 | $ | 4,999,955 | ||||
0.013% due 10/21/21 † | 9,000,000 | 8,999,600 | ||||||
0.043% due 11/18/21 † | 3,000,000 | 2,999,860 | ||||||
| 0.037% due 01/20/22 | 5,000,000 | 4,999,384 | ||||||
| Total short-term U.S. government and agency obligations (cost $21,999,135) | $ | 21,998,799 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Silver Futures - COMEX, expires December 2021 | 380 | $ | 41,889,300 | $ | 2,955,976 | |||||||
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 | % | 10/06/21 | $ | (7,432,206 | ) | $ | 782,817 | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | (9,839,512 | ) | 1,036,372 | |||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | (7,779,988 | ) | 819,178 | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | (13,786,912 | ) | 1,452,143 | |||||||||||
| | Total Unrealized Appreciation | | $ | 4,090,510 | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 3,100 | $ | 3,192 | $ | 8,895 | $ | 48,379 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 90,963 | 84,377 | 248,539 | 147,262 | ||||||||||||
| Brokerage commissions | 8,141 | 8,539 | 19,409 | 16,460 | ||||||||||||
| Futures account fees | 6,528 | 4,945 | 20,726 | 6,620 | ||||||||||||
Non-recurring fees and expenses | — | 321 | — | 321 | ||||||||||||
| Total expenses | 105,632 | 98,182 | 288,674 | 170,663 | ||||||||||||
| Net investment income (loss) | (102,532 | ) | (94,990 | ) | (279,779 | ) | (122,284 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 523,159 | (6,023,570 | ) | (929,991 | ) | (5,016,408 | ) | |||||||||
| Swap agreements | 6,138,986 | (9,873,250 | ) | (1,216,671 | ) | (13,915,911 | ) | |||||||||
| Short-term U.S. government and agency obligations | — | — | 85 | — | ||||||||||||
| Net realized gain (loss) | 6,662,145 | (15,896,820 | ) | (2,146,577 | ) | (18,932,319 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 2,684,085 | 4,674,780 | 3,176,052 | 4,541,796 | ||||||||||||
| Swap agreements | 1,237,760 | 6,454,866 | 7,288,071 | 8,024,939 | ||||||||||||
| Short-term U.S. government and agency obligations | 751 | 88 | (336 | ) | (616 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 3,922,596 | 11,129,734 | 10,463,787 | 12,566,119 | ||||||||||||
| �� | ||||||||||||||||
| Net realized and unrealized gain (loss) | 10,584,741 | (4,767,086 | ) | 8,317,210 | (6,366,200 | ) | ||||||||||
Net income (loss) | $ | 10,482,209 | $ | (4,862,076 | ) | $ | 8,037,431 | $ | (6,488,484 | ) | ||||||
Six Months Ended June 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 7,568,168 | $ | (2,444,778 | ) | |||
| 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 | (20,979,051 | ) | (39,995,436 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 30,999,081 | 22,999,988 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (21,212 | ) | (3,358 | ) | ||||
| Net realized (gain) loss on investments | 190 | (85 | ) | |||||
| Change in unrealized (appreciation) depreciation on investments | (3,778,567 | ) | (6,049,224 | ) | ||||
| Decrease (Increase) in receivable on open futures contracts | (176,048 | ) | 38,813 | |||||
| Decrease (Increase) in interest receivable | (4,807 | ) | 304 | |||||
| Increase (Decrease) in payable to Sponsor | (9,072 | ) | (3,427 | ) | ||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (747 | ) | 620 | |||||
| Increase (Decrease) in payable on open futures contracts | (5,840 | ) | (80,422 | ) | ||||
| Net cash provided by (used in) operating activities | 13,592,095 | (25,537,005 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 41,679,928 | 65,182,313 | ||||||
| Payment on shares redeemed | (44,319,889 | ) | (56,763,547 | ) | ||||
| Net cash provided by (used in) financing activities | (2,639,961 | ) | 8,418,766 | |||||
Net increase (decrease) in cash | 10,952,134 | (17,118,239 | ) | |||||
| Cash, beginning of period | 5,483,476 | 32,155,049 | ||||||
| Cash, end of period | $ | 16,435,610 | $ | 15,036,810 | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 34,859,763 | $ | 10,145,625 | $ | 28,885,775 | $ | 13,834,163 | ||||||||
| Addition of 1,000,000, 2,825,000, 3,750,000 and 3,025,000 shares, respectively (Note 1) | 26,169,229 | 102,544,682 | 91,351,542 | 122,851,884 | ||||||||||||
| Redemption of 1,200,000, 1,637,500, 3,500,415 and 1,837,500 shares, respectively (Note 1) | (31,137,324 | ) | (56,772,556 | ) | (87,900,871 | ) | (79,141,888 | ) | ||||||||
| Net addition (redemption) of (200,000), 1,187,500, 249,585 and 1,187,500 shares, respectively (Note 1) | (4,968,095 | ) | 45,772,126 | 3,450,671 | 43,709,996 | |||||||||||
| Net investment income (loss) | (102,532 | ) | (94,990 | ) | (279,779 | ) | (122,284 | ) | ||||||||
| Net realized gain (loss) | 6,662,145 | (15,896,820 | ) | (2,146,577 | ) | (18,932,319 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | 3,922,596 | 11,129,734 | 10,463,787 | 12,566,119 | ||||||||||||
| Net income (loss) | 10,482,209 | (4,862,076 | ) | 8,037,431 | (6,488,484 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 40,373,877 | $ | 51,055,675 | $ | 40,373,877 | $ | 51,055,675 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 8,037,431 | $ | (6,488,484 | ) | |||
| 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 | (49,994,362 | ) | (19,382,698 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 27,999,988 | 13,574,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,676 | ) | (27,476 | ) | ||||
| Net realized gain (loss) on investments | (85 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | (7,287,735 | ) | (8,024,323 | ) | ||||
| Decrease (Increase) in receivable on futures contracts | 39,445 | (499,230 | ) | |||||
| Decrease (Increase) in interest receivable | 335 | 3,740 | ||||||
| Increase (Decrease) in payable to Sponsor | 3,356 | 22,693 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 1,471 | — | ||||||
| Increase (Decrease) in payable on futures contracts | 90,385 | 774,314 | ||||||
| Net cash provided by (used in) operating activities | (21,114,447 | ) | (20,047,464 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 89,788,249 | 122,851,884 | ||||||
| Payment on shares redeemed | (84,774,285 | ) | (79,141,888 | ) | ||||
| Net cash provided by (used in) financing activities | 5,013,964 | 43,709,996 | ||||||
Net increase (decrease) in cash | (16,100,483 | ) | 23,662,532 | |||||
| Cash, beginning of period | 32,155,049 | 6,646,212 | ||||||
| Cash, end of period | $ | 16,054,566 | $ | 30,308,744 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively) | $ | 16,998,447 | $ | — | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $10,994,894 and $20,990,068, respectively) | $ | 10,961,261 | $ | 20,987,825 | ||||||||||||
| Cash | 5,846,465 | 21,470,564 | 33,655,143 | 3,003,251 | ||||||||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 2,804,000 | ||||||||||||||
| Unrealized appreciation on foreign currency forward contracts | 549,354 | 7,008 | 1,127,711 | 1,237,168 | ||||||||||||
| Interest receivable | 361 | 914 | 12,600 | 339 | ||||||||||||
| Total assets | 23,394,627 | 24,282,486 | 45,756,715 | 25,228,583 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable to Sponsor | 17,831 | 19,348 | 31,627 | 20,211 | ||||||||||||
| Unrealized depreciation on foreign currency forward contracts | 47,780 | 571,974 | 156,206 | 367,588 | ||||||||||||
Non-recurring fees and expenses payable | 94 | 94 | ||||||||||||||
| Total liabilities | 65,705 | 591,416 | 187,833 | 387,799 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 23,328,922 | 23,691,070 | 45,568,882 | 24,840,784 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 23,394,627 | $ | 24,282,486 | $ | 45,756,715 | $ | 25,228,583 | ||||||||
| Shares outstanding | 299,290 | 349,290 | ||||||||||||||
Shares outstanding (Note 1 ) | 798,580 | 598,580 | ||||||||||||||
| Net asset value per share | $ | 77.95 | $ | 67.83 | ||||||||||||
Net asset value per share (Note 1 ) | $ | 57.06 | $ | 41.50 | ||||||||||||
| Market value per share (Note 2) | $ | 77.96 | $ | 67.81 | ||||||||||||
Market value per share (Note 1) (Note 2 ) | $ | 57.13 | $ | 41.50 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (73% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.006% due 10/21/21 † | $ | 3,000,000 | $ | 2,999,867 | ||||
| 0.043% due 11/18/21 | 4,000,000 | 3,999,813 | ||||||
| 0.037% due 01/20/22 | 10,000,000 | 9,998,767 | ||||||
| Total short-term U.S. government and agency obligations (cost $16,998,654) | $ | 16,998,447 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (24% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.393% due 07/21/22 † | $ | 6,000,000 | $ | 5,996,417 | ||||
0.223% due 11/03/22 † | 5,000,000 | 4,964,844 | ||||||
| Total short-term U.S. government and agency obligations (cost $10,994,894) | $ | 10,961,261 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | 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 | 10/08/21 | 32,600,000 | $ | 292,895 | $ | (5,286 | ) | |||||||||||||||||||||||||
| Yen with UBS AG | 10/08/21 | 373,110,000 | 3,352,216 | (42,494 | ) | 07/08/22 | 1,505,180,000 | $ | 11,096,632 | $ | (156,206 | ) | ||||||||||||||||||||
| | Total Unrealized Depreciation | | $ | (47,780 | ) | Total Unrealized Depreciation | | $ | (156,206 | ) | ||||||||||||||||||||||
Contracts to Sell | ||||||||||||||||||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | (1,558,854,165 | ) | $ | (14,005,562 | ) | $ | 143,685 | 07/08/22 | (1,658,463,165 | ) | $ | (12,226,680 | ) | $ | 164,849 | ||||||||||||||||
| Yen with UBS AG | 10/08/21 | (4,049,118,875 | ) | (36,379,405 | ) | 405,669 | 07/08/22 | (12,207,008,574 | ) | (89,993,668 | ) | 962,862 | ||||||||||||||||||||
| | Total Unrealized Appreciation | | $ | 549,354 | Total Unrealized Appreciation | $ | 1,127,711 | |||||||||||||||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of |
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 2,392 | $ | 5,085 | $ | 9,558 | $ | 136,411 | $ | 26,913 | $ | 3,570 | $ | 36,312 | $ | 7,166 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 57,037 | 60,238 | 196,036 | 209,105 | 93,181 | 72,446 | 153,001 | 138,999 | ||||||||||||||||||||||||
Non-recurring fees and expenses | — | 717 | — | 717 | ||||||||||||||||||||||||||||
| Total expenses | 57,037 | 60,955 | 196,036 | 209,822 | 93,181 | 72,446 | 153,001 | 138,999 | ||||||||||||||||||||||||
| Net investment income (loss) | (54,645 | ) | (55,870 | ) | (186,478 | ) | (73,411 | ) | (66,268 | ) | (68,876 | ) | (116,689 | ) | (131,833 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | 7,917,170 | 1,598,086 | 8,997,343 | 2,857,659 | ||||||||||||||||||||||
| Short-term U.S. government and agency obligations | — | — | 102,971 | — | ||||||||||||||||||||||||||||
| Net realized gain (loss) | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | 7,917,170 | 1,598,086 | 9,100,314 | 2,857,659 | ||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | (190,261 | ) | 200,915 | 1,066,540 | (427,974 | ) | (1,364,477 | ) | (1,644,087 | ) | 101,925 | 1,256,801 | ||||||||||||||||||||
| Short-term U.S. government and agency obligations | 329 | 606 | (207 | ) | (1,113 | ) | (3,452 | ) | (1,390 | ) | (31,390 | ) | (536 | ) | ||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 1,066,333 | (429,087 | ) | (1,367,929 | ) | (1,645,477 | ) | 70,535 | 1,256,265 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) | 7,512 | (1,250,130 | ) | 4,121,436 | (2,276,510 | ) | 6,549,241 | (47,391 | ) | 9,170,849 | 4,113,924 | |||||||||||||||||||||
Net income (loss) | $ | (47,133 | ) | $ | (1,306,000 | ) | $ | 3,934,958 | $ | (2,349,921 | ) | $ | 6,482,973 | $ | (116,267 | ) | $ | 9,054,160 | $ | 3,982,091 | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 27,231,748 | $ | 29,787,034 | $ | 23,691,070 | $ | 38,132,320 | $ | 27,726,701 | $ | 34,921,840 | $ | 24,840,784 | $ | 23,691,070 | ||||||||||||||||
| Addition of –, –, 100,000 and 100,000 shares, respectively | — | — | 7,132,412 | 7,806,745 | ||||||||||||||||||||||||||||
| Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively | (3,855,693 | ) | (3,700,271 | ) | (11,429,518 | ) | (18,808,381 | ) | ||||||||||||||||||||||||
Addition of 650,000, –, 850,000 and 200,000 shares, respectively (Note 1) | 34,515,397 | — | 44,120,719 | 7,132,412 | ||||||||||||||||||||||||||||
Redemption of 450,000, 200,000, 650,000 and 200,000 shares, respectively (Note 1) | (23,156,189 | ) | (7,573,825 | ) | (32,446,781 | ) | (7,573,825 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively | (3,855,693 | ) | (3,700,271 | ) | (4,297,106 | ) | (11,001,636 | ) | ||||||||||||||||||||||||
Net addition (redemption) of 200,000, (200,000), 200,000 and – shares, respectively (Note 1) | 11,359,208 | (7,573,825 | ) | 11,673,938 | (441,413 | ) | ||||||||||||||||||||||||||
| Net investment income (loss) | (54,645 | ) | (55,870 | ) | (186,478 | ) | (73,411 | ) | (66,268 | ) | (68,876 | ) | (116,689 | ) | (131,833 | ) | ||||||||||||||||
| Net realized gain (loss) | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | 7,917,170 | 1,598,086 | 9,100,314 | 2,857,659 | ||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 1,066,333 | (429,087 | ) | (1,367,929 | ) | (1,645,477 | ) | 70,535 | 1,256,265 | ||||||||||||||||||||
| Net income (loss) | (47,133 | ) | (1,306,000 | ) | 3,934,958 | (2,349,921 | ) | 6,482,973 | (116,267 | ) | 9,054,160 | 3,982,091 | ||||||||||||||||||||
Shareholders’ equity, end of period | $ | 23,328,922 | $ | 24,780,763 | $ | 23,328,922 | $ | 24,780,763 | $ | 45,568,882 | $ | 27,231,748 | $ | 45,568,882 | $ | 27,231,748 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | 3,934,958 | $ | (2,349,921 | ) | $ | 9,054,160 | $ | 3,982,091 | |||||||
| 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 | (43,494,229 | ) | (46,753,062 | ) | (17,984,733 | ) | (33,495,479 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 26,500,000 | 59,374,000 | 28,102,971 | 21,500,000 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,425 | ) | (78,419 | ) | (20,093 | ) | (3,456 | ) | ||||||||
| Change in unrealized appreciation (depreciation) on investments | (1,066,333 | ) | 429,087 | |||||||||||||
| Net realized (gain) loss on investments | (102,971 | ) | — | |||||||||||||
| Change in unrealized (appreciation) depreciation on investments | (70,535 | ) | (1,256,265 | ) | ||||||||||||
| Decrease (Increase) in interest receivable | 553 | 18,897 | (12,261 | ) | 184 | |||||||||||
| Increase (Decrease) in payable to Sponsor | (1,517 | ) | (13,487 | ) | 11,416 | 1,932 | ||||||||||
| Net cash provided by (used in) operating activities | (14,130,993 | ) | 10,627,095 | 18,977,954 | (9,270,993 | ) | ||||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 7,132,412 | 7,806,745 | 44,120,719 | 7,132,412 | ||||||||||||
| Payment on shares redeemed | (11,429,518 | ) | (18,808,381 | ) | (32,446,781 | ) | (7,573,825 | ) | ||||||||
| Net cash provided by (used in) financing activities | (4,297,106 | ) | (11,001,636 | ) | 11,673,938 | (441,413 | ) | |||||||||
Net increase (decrease) in cash | (18,428,099 | ) | (374,541 | ) | 30,651,892 | (9,712,406 | ) | |||||||||
| Cash, beginning of period | 24,274,564 | 12,507,112 | 3,003,251 | 24,274,564 | ||||||||||||
| Cash, end of period | $ | 5,846,465 | $ | 12,132,571 | $ | 33,655,143 | $ | 14,562,158 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively) | $ | 61,995,036 | $ | 44,999,732 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $31,975,556 and $85,937,303, respectively) | $ | 31,775,002 | $ | 85,922,969 | ||||||||||||
| Cash | 43,870,674 | 14,723,084 | 48,979,153 | 8,130,069 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 21,337,800 | 13,079,750 | 14,189,600 | 18,941,750 | ||||||||||||
| Receivable on open futures contracts | 551,816 | 247,077 | 815,775 | 63,397 | ||||||||||||
| Interest receivable | 1,638 | 643 | 22,932 | 1,097 | ||||||||||||
| Total assets | 127,756,964 | 73,050,286 | 95,782,462 | 113,059,282 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | — | 915,787 | ||||||||||||||
| Payable on open futures contracts | — | 94,495 | ||||||||||||||
| Brokerage commissions and futures account fees payable | 9,018 | 10,395 | — | 7,124 | ||||||||||||
| Payable to Sponsor | 74,809 | 49,009 | 61,191 | 81,983 | ||||||||||||
| Total liabilities | 83,827 | 975,191 | 61,191 | 183,602 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 127,673,137 | 72,075,095 | 95,721,271 | 112,875,680 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 127,756,964 | $ | 73,050,286 | $ | 95,782,462 | $ | 113,059,282 | ||||||||
| Shares outstanding | 3,962,403 | 1,962,403 | 2,712,403 | 3,687,403 | ||||||||||||
| Net asset value per share | $ | 32.22 | $ | 36.73 | $ | 35.29 | $ | 30.61 | ||||||||
| Market value per share (Note 2) | $ | 32.31 | $ | 36.70 | $ | 35.38 | $ | 30.57 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.006% due 10/21/21 | $ | 10,000,000 | $ | 9,999,556 | ||||
| 0.042% due 11/18/21 | 12,000,000 | 11,999,440 | ||||||
| 0.043% due 12/16/21 | 25,000,000 | 24,997,890 | ||||||
| 0.037% due 01/20/22 | 15,000,000 | 14,998,150 | ||||||
| Total short-term U.S. government and agency obligations (cost $61,995,381) | $ | 61,995,036 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.223% due 11/03/22 | $ | 32,000,000 | $ | 31,775,002 | ||||
| Total short-term U.S. government and agency obligations (cost $31,975,556) | $ | 31,775,002 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires January 2022 | 872 | $ | 21,626,210 | $ | 1,256,557 | |||||||
| VIX Futures - Cboe, expires February 2022 | 1,677 | 42,304,841 | 1,690,707 | |||||||||
| VIX Futures - Cboe, expires March 2022 | 1,677 | 43,023,603 | 1,475,197 | |||||||||
| VIX Futures - Cboe, expires April 2022 | 804 | 20,765,953 | 394,387 | |||||||||
| $ | 4,816,848 | |||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2022 | 569 | $ | 16,944,251 | $ | 1,648,250 | |||||||
| VIX Futures - Cboe, expires November 2022 | 1,089 | 32,144,884 | 1,059,336 | |||||||||
| VIX Futures - Cboe, expires December 2022 | 1,090 | 31,400,611 | 444,206 | |||||||||
| VIX Futures - Cboe, expires January 2023 | 521 | 15,420,610 | (71,125 | ) | ||||||||
| $ | 3,080,667 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 8,914 | $ | 13,590 | $ | 27,487 | $ | 199,491 | $ | 52,826 | $ | 8,349 | $ | 76,749 | $ | 18,573 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 221,356 | 172,587 | 586,702 | 391,147 | 210,584 | 187,266 | 426,247 | 365,346 | ||||||||||||||||||||||||
| Brokerage commissions | 20,803 | 19,350 | 48,211 | 51,973 | 15,500 | 16,096 | 40,369 | 27,408 | ||||||||||||||||||||||||
| Futures account fees | 28,911 | 26,113 | 86,674 | 46,624 | 10,906 | 32,131 | 46,394 | 57,763 | ||||||||||||||||||||||||
| Total expenses | 271,070 | 218,050 | 721,587 | 489,744 | 236,990 | 235,493 | 513,010 | 450,517 | ||||||||||||||||||||||||
| Net investment income (loss) | (262,156 | ) | (204,460 | ) | (694,100 | ) | (290,253 | ) | (184,164 | ) | (227,144 | ) | (436,261 | ) | (431,944 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | 7,862,052 | (14,405,542 | ) | 12,653,885 | (10,866,226 | ) | ||||||||||||||||||||
| Short-term U.S. government and agency obligations | — | — | (336 | ) | — | |||||||||||||||||||||||||||
| Net realized gain (loss) | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | 7,862,052 | (14,405,542 | ) | 12,653,549 | (10,866,226 | ) | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 10,651,835 | 1,751,675 | 5,950,464 | 5,422,315 | 4,040,230 | 3,575,301 | 3,705,055 | (4,701,371 | ) | |||||||||||||||||||||||
| Short-term U.S. government and agency obligations | 1,117 | 405 | (1,004 | ) | (898 | ) | (47,560 | ) | (3,271 | ) | (186,220 | ) | (2,121 | ) | ||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | 5,949,460 | 5,421,417 | 3,992,670 | 3,572,030 | 3,518,835 | (4,703,492 | ) | |||||||||||||||||||||||
| �� | ||||||||||||||||||||||||||||||||
| Net realized and unrealized gain (loss) | 6,628,819 | 2,507,925 | (8,940,899 | ) | 27,130,202 | 11,854,722 | (10,833,512 | ) | 16,172,384 | (15,569,718 | ) | |||||||||||||||||||||
Net income (loss) | $ | 6,366,663 | $ | 2,303,465 | $ | (9,634,999 | ) | $ | 26,839,949 | $ | 11,670,558 | $ | (11,060,656 | ) | $ | 15,736,123 | $ | (16,001,662 | ) | |||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 92,662,734 | $ | 59,085,470 | $ | 72,075,095 | $ | 45,986,584 | $ | 97,869,914 | $ | 75,122,747 | $ | 112,875,680 | $ | 72,075,095 | ||||||||||||||||
| Addition of 1,200,000, 1,150,000, 2,625,000 and 2,250,000 shares, respectively | 37,425,551 | 45,600,053 | 87,035,790 | 85,866,144 | ||||||||||||||||||||||||||||
| Redemption of 275,000, 125,000, 625,000 and 1,925,000 shares, respectively | (8,781,811 | ) | (5,031,468 | ) | (21,802,749 | ) | (56,735,157 | ) | ||||||||||||||||||||||||
| Addition of 300,000, 1,025,000, 1,000,000 and 1,425,000 shares, respectively | 10,043,451 | 33,730,245 | 32,179,053 | 49,610,239 | ||||||||||||||||||||||||||||
| Redemption of 700,000, 150,000, 1,975,000 and 350,000 shares, respectively | (23,862,652 | ) | (5,129,602 | ) | (65,069,585 | ) | (13,020,938 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of 925,000, 1,025,000, 2,000,000 and 325,000 shares, respectively | 28,643,740 | 40,568,585 | 65,233,041 | 29,130,987 | ||||||||||||||||||||||||||||
| Net addition (redemption) of (400,000), 875,000, (975,000) and 1,075,000 shares, respectively | (13,819,201 | ) | 28,600,643 | (32,890,532 | ) | 36,589,301 | ||||||||||||||||||||||||||
| Net investment income (loss) | (262,156 | ) | (204,460 | ) | (694,100 | ) | (290,253 | ) | (184,164 | ) | (227,144 | ) | (436,261 | ) | (431,944 | ) | ||||||||||||||||
| Net realized gain (loss) | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | 7,862,052 | (14,405,542 | ) | 12,653,549 | (10,866,226 | ) | ||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | 5,949,460 | 5,421,417 | 3,992,670 | 3,572,030 | 3,518,835 | (4,703,492 | ) | |||||||||||||||||||||||
| Net income (loss) | 6,366,663 | 2,303,465 | (9,634,999 | ) | 26,839,949 | 11,670,558 | (11,060,656 | ) | 15,736,123 | (16,001,662 | ) | |||||||||||||||||||||
Shareholders’ equity, end of period | $ | 127,673,137 | $ | 101,957,520 | $ | 127,673,137 | $ | 101,957,520 | $ | 95,721,271 | $ | 92,662,734 | $ | 95,721,271 | $ | 92,662,734 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | (9,634,999 | ) | $ | 26,839,949 | $ | 15,736,123 | $ | (16,001,662 | ) | ||||||
| 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 | (112,984,923 | ) | (116,503,878 | ) | (51,992,010 | ) | (72,990,517 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 96,000,000 | 70,600,000 | 105,998,548 | 93,000,000 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (11,385 | ) | (104,027 | ) | (45,127 | ) | (8,188 | ) | ||||||||
| Change in unrealized appreciation (depreciation) on investments | 1,004 | 898 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | (304,739 | ) | (1,087,170 | ) | ||||||||||||
| Net realized (gain) loss on investments | 336 | — | ||||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 186,220 | 2,121 | ||||||||||||||
| Decrease (Increase) in receivable on open futures contracts | (752,378 | ) | 136,487 | |||||||||||||
| Decrease (Increase) in interest receivable | (995 | ) | 32,512 | (21,835 | ) | (1,364 | ) | |||||||||
| Increase (Decrease) in payable to Sponsor | 25,800 | 40,237 | (20,792 | ) | 7,645 | |||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (1,377 | ) | 12,012 | (7,124 | ) | 2,100 | ||||||||||
| Increase (Decrease) in payable on futures contracts | — | (1,129,877 | ) | |||||||||||||
| Increase (Decrease) in payable on open futures contracts | (94,495 | ) | 102,601 | |||||||||||||
| Net cash provided by (used in) operating activities | (26,911,614 | ) | (21,299,344 | ) | 68,987,466 | 4,249,223 | ||||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 87,035,790 | 85,866,144 | 32,179,053 | 48,084,371 | ||||||||||||
| Payment on shares redeemed | (22,718,536 | ) | (56,735,157 | ) | (65,069,585 | ) | (13,936,725 | ) | ||||||||
| Net cash provided by (used in) financing activities | 64,317,254 | 29,130,987 | (32,890,532 | ) | 34,147,646 | |||||||||||
Net increase (decrease) in cash | 37,405,640 | 7,831,643 | 36,096,934 | 38,396,869 | ||||||||||||
| Cash, beginning of period | 27,802,834 | 33,130,653 | 27,071,819 | 27,802,834 | ||||||||||||
| Cash, end of period | $ | 65,208,474 | $ | 40,962,296 | $ | 63,168,753 | $ | 66,199,703 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively) | $ | 127,990,204 | $ | 84,999,583 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $169,905,842 and $150,887,871, respectively) | $ | 169,526,219 | $ | 150,861,898 | ||||||||||||
| Cash | 107,057,042 | 71,736,247 | 36,024,677 | 11,013,736 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 133,904,930 | 134,825,900 | 97,881,220 | 104,947,080 | ||||||||||||
| Receivable from capital shares sold | — | 3,026,614 | ||||||||||||||
| Receivable on open futures contracts | 1,461,435 | 2,295,585 | 38,448,080 | 2,115,232 | ||||||||||||
| Interest receivable | 3,891 | 2,815 | 72,133 | 1,774 | ||||||||||||
| Total assets | 370,417,502 | 293,860,130 | 341,952,329 | 271,966,334 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable on open futures contracts | 1,413,813 | 231,900 | — | 2,037,391 | ||||||||||||
| Brokerage commissions and futures account fees payable | 52,197 | 81,049 | 18,674 | 38,926 | ||||||||||||
| Payable to Sponsor | 174,159 | 156,632 | 219,339 | 186,853 | ||||||||||||
| Total liabilities | 1,640,169 | 469,581 | 238,013 | 2,263,170 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 368,777,333 | 293,390,549 | 341,714,316 | 269,703,164 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 370,417,502 | $ | 293,860,130 | $ | 341,952,329 | $ | 271,966,334 | ||||||||
| Shares outstanding (Note 1) | 16,257,826 | 5,331,579 | 18,757,826 | 17,832,826 | ||||||||||||
| Net asset value per share (Note 1) | $ | 22.68 | $ | 55.03 | $ | 18.22 | $ | 15.12 | ||||||||
| Market value per share (Note 1)(Note 2) | $ | 22.80 | $ | 54.96 | ||||||||||||
| Market value per share (Note 1) (Note 2) | $ | 18.25 | $ | 15.17 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 35 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.016 % due10/14/21 | $ | 30,000,000 | $ | 29,999,730 | ||||
0.043 % due11/18/21 | 8,000,000 | 7,999,626 | ||||||
0.043 % due12/16/21 | 50,000,000 | 49,995,780 | ||||||
0.037 % due01/20/22 | 40,000,000 | 39,995,068 | ||||||
Total short-term U.S. government and agency obligations (cost $ 127,990,453 ) | $ | 127,990,204 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2021 | 8,245 | $ | 188,545,011 | $ | 15,851,921 | |||||||
| VIX Futures - Cboe, expires November 2021 | 7,617 | 180,415,500 | 5,515,175 | |||||||||
| $ | 21,367,096 | |||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 11,739 | $ | 34,770 | $ | 91,187 | $ | 1,117,617 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 660,051 | 560,301 | 2,154,874 | 1,584,861 | ||||||||||||
| Brokerage commissions | 97,516 | 66,969 | 365,013 | 311,826 | ||||||||||||
| Futures account fees | 151,758 | 165,725 | 591,272 | 278,752 | ||||||||||||
| Total expenses | 909,325 | 792,995 | 3,111,159 | 2,175,439 | ||||||||||||
| Net investment income (loss) | (897,586 | ) | (758,225 | ) | (3,019,972 | ) | (1,057,822 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | |||||||||
| Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 42,164,263 | 555,267 | 27,731,186 | 16,595,465 | ||||||||||||
| Short-term U.S. government and agency obligations | 4,034 | 1,199 | (1,396 | ) | (5,725 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | 27,729,790 | 16,589,740 | ||||||||||||
| Net realized and unrealized gain (loss) | (9,700,136 | ) | (74,563,669 | ) | (276,619,877 | ) | 266,361,676 | |||||||||
Net income (loss) | $ | (10,597,722 | ) | $ | (75,321,894 | ) | $ | (279,639,849 | ) | $ | 265,303,854 | |||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (50% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.967% due 07/14/22 | $ | 25,000,000 | $ | 24,989,618 | ||||
| 0.894% due 07/21/22 | 62,000,000 | 61,962,973 | ||||||
| 0.674% due 07/28/22 | 25,000,000 | 24,981,438 | ||||||
| 0.223% due 11/03/22 | 58,000,000 | 57,592,190 | ||||||
| Total short-term U.S. government and agency obligations (cost $169,905,842) | $ | 169,526,219 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires July 2022 | 6,185 | $ | 176,657,825 | $ | 5,185,782 | |||||||
| VIX Futures - Cboe, expires August 2022 | 5,672 | 165,494,213 | (1,810,355 | ) | ||||||||
| $ | 3,375,427 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 207,903 | $ | 40,988 | $ | 278,612 | $ | 79,448 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 773,717 | 669,363 | 1,479,408 | 1,494,823 | ||||||||||||
| Brokerage commissions | 171,182 | 94,839 | 287,656 | 267,497 | ||||||||||||
| Futures account fees | 115,783 | 174,368 | 316,440 | 439,514 | ||||||||||||
| Total expenses | 1,060,682 | 938,570 | 2,083,504 | 2,201,834 | ||||||||||||
| Net investment income (loss) | (852,779 | ) | (897,582 | ) | (1,804,892 | ) | (2,122,386 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 23,659,182 | (175,846,641 | ) | 77,393,309 | (252,481,234 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (397 | ) | — | (300 | ) | — | ||||||||||
| Net realized gain (loss) | 23,658,785 | (175,846,641 | ) | 77,393,009 | (252,481,234 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 46,680,364 | 39,005,837 | 33,506,046 | (14,433,077 | ) | |||||||||||
| Short-term U.S. government and agency obligations | (79,587 | ) | (13,490 | ) | (353,650 | ) | (5,430 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 46,600,777 | 38,992,347 | 33,152,396 | (14,438,507 | ) | |||||||||||
| Net realized and unrealized gain (loss) | 70,259,562 | (136,854,294 | ) | 110,545,405 | (266,919,741 | ) | ||||||||||
Net income (loss) | $ | 69,406,783 | $ | (137,751,876 | ) | $ | 108,740,513 | $ | (269,042,127 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 272,352,675 | $ | 221,343,175 | $ | 293,390,549 | $ | 279,792,503 | $ | 404,950,400 | $ | 349,578,758 | $ | 269,703,164 | $ | 293,390,549 | ||||||||||||||||
| Addition of 8,175,000, 3,925,000, 18,125,000 and 10,256,250 shares, respectively (Note 1) | 141,195,554 | 124,484,014 | 302,368,469 | 451,376,724 | ||||||||||||||||||||||||||||
| Redemption of 13,800,000, 1,992,503, 17,200,000 and 4,280,003 shares, respectively (Note 1) | (273,838,421 | ) | (63,958,221 | ) | (339,097,830 | ) | (203,372,471 | ) | ||||||||||||||||||||||||
| Addition of 6,300,000, 1,662,500, 16,556,250 and 4,331,250 shares, respectively (Note 1) | 142,476,815 | 156,332,956 | 593,853,539 | 342,792,630 | ||||||||||||||||||||||||||||
| Redemption of 1,350,000, 243,750, 5,630,003 and 6,618,750 shares, respectively (Note 1) | (35,454,435 | ) | (23,081,940 | ) | (238,826,906 | ) | (608,616,690 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of 4,950,000, 1,418,750, 10,926,247 and (2,287,500) shares, respectively (Note 1) | 107,022,380 | 133,251,016 | 355,026,633 | (265,824,060 | ) | |||||||||||||||||||||||||||
| Net addition (redemption) of (5,625,000), 1,932,497, 925,000 and 5,976,247 shares, respectively (Note 1) | (132,642,867 | ) | 60,525,793 | (36,729,361 | ) | 248,004,253 | ||||||||||||||||||||||||||
| Net investment income (loss) | (897,586 | ) | (758,225 | ) | (3,019,972 | ) | (1,057,822 | ) | (852,779 | ) | (897,582 | ) | (1,804,892 | ) | (2,122,386 | ) | ||||||||||||||||
| Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | 23,658,785 | (175,846,641 | ) | 77,393,009 | (252,481,234 | ) | |||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | 27,729,790 | 16,589,740 | 46,600,777 | 38,992,347 | 33,152,396 | (14,438,507 | ) | |||||||||||||||||||||||
| Net income (loss) | (10,597,722 | ) | (75,321,894 | ) | (279,639,849 | ) | 265,303,854 | 69,406,783 | (137,751,876 | ) | 108,740,513 | (269,042,127 | ) | |||||||||||||||||||
Shareholders’ equity, end of period | $ | 368,777,333 | $ | 279,272,297 | $ | 368,777,333 | $ | 279,272,297 | $ | 341,714,316 | $ | 272,352,675 | $ | 341,714,316 | $ | 272,352,675 | ||||||||||||||||
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | (279,639,849 | ) | $ | 265,303,854 | $ | 108,740,513 | $ | (269,042,127 | ) | ||||||
| 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 | (425,941,319 | ) | (390,519,095 | ) | (772,834,858 | ) | (330,954,205 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 383,000,000 | 348,000,000 | 753,998,870 | 308,000,000 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (50,698 | ) | (589,708 | ) | (182,283 | ) | (43,465 | ) | ||||||||
| Change in unrealized appreciation (depreciation) on investments | 1,396 | 5,725 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | 834,150 | (6,431,358 | ) | |||||||||||||
| Net realized (gain) loss on investments | 300 | — | ||||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 353,650 | 5,430 | ||||||||||||||
| Decrease (Increase) in receivable on open futures contracts | (36,332,848 | ) | 317,767 | |||||||||||||
| Decrease (Increase) in interest receivable | (1,076 | ) | 120,780 | (70,359 | ) | 1,122 | ||||||||||
| Increase (Decrease) in payable to Sponsor | 17,527 | 52,310 | 32,486 | (12,148 | ) | |||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (28,852 | ) | 59,366 | (20,252 | ) | (15,157 | ) | |||||||||
| Increase (Decrease) in payable on futures contracts | 1,181,913 | (12,920,593 | ) | |||||||||||||
| Increase (Decrease) in payable on open futures contracts | (2,037,391 | ) | 2,355,834 | |||||||||||||
| Net cash provided by (used in) operating activities | (320,626,808 | ) | 203,081,281 | 51,647,828 | (289,386,949 | ) | ||||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 593,853,539 | 342,792,630 | 305,395,083 | 451,376,724 | ||||||||||||
| Payment on shares redeemed | (238,826,906 | ) | (608,616,690 | ) | (339,097,830 | ) | (203,372,471 | ) | ||||||||
| Net cash provided by (used in) financing activities | 355,026,633 | (265,824,060 | ) | (33,702,747 | ) | 248,004,253 | ||||||||||
Net increase (decrease) in cash | 34,399,825 | (62,742,779 | ) | 17,945,081 | (41,382,696 | ) | ||||||||||
| Cash, beginning of period | 206,562,147 | 194,935,341 | 115,960,816 | 206,562,147 | ||||||||||||
| Cash, end of period | $ | 240,961,972 | $ | 132,192,562 | $ | 133,905,897 | $ | 165,179,451 | ||||||||
September 30, 2021 (unaudited) | December 31, 2020 | June 30, 2022 (unaudited) | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively) | $ | 2,327,838,468 | $ | 1,034,986,384 | ||||||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $2,087,271,449 and $2,505,722,885, respectively) | $ | 2,082,952,015 | $ | 2,505,429,337 | ||||||||||||
| Cash | 778,499,094 | 1,651,161,384 | 952,775,804 | 394,413,910 | ||||||||||||
| Segregated cash balances with brokers for futures contracts | 1,069,584,913 | 1,491,618,088 | 1,005,152,221 | 1,010,799,328 | ||||||||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 5,716,000 | — | 916,000 | ||||||||||||
| Segregated cash balances with brokers for swap agreements | — | 107,967,985 | 318,701,000 | 2,572,000 | ||||||||||||
| Unrealized appreciation on swap agreements | 83,740,160 | 80,135,841 | 2,594,022 | 113,159,180 | ||||||||||||
| Unrealized appreciation on foreign currency forward contracts | 2,836,253 | 169,051 | 4,529,655 | 1,457,257 | ||||||||||||
| Receivable from capital shares sold | 14,084,428 | 49,086,388 | 26,374,095 | 23,475,355 | ||||||||||||
| Receivable on open futures contracts | 155,985,619 | 108,851,000 | 524,152,606 | 205,819,074 | ||||||||||||
| Interest receivable | 40,866 | 66,871 | 895,067 | 22,943 | ||||||||||||
| Total assets | 4,432,609,801 | 4,529,758,992 | 4,918,126,485 | 4,258,064,384 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
| Payable for capital shares redeemed | 66,045,047 | 18,280,444 | 53,985,665 | 25,594,902 | ||||||||||||
| Payable on open futures contracts | 24,303,801 | 27,874,393 | 76,965,857 | 51,142,167 | ||||||||||||
| Brokerage commissions and futures account fees payable | 470,680 | 691,005 | 145,235 | 476,241 | ||||||||||||
| Payable to Sponsor | 3,159,235 | 3,407,672 | 3,736,397 | 3,178,585 | ||||||||||||
| Unrealized depreciation on swap agreements | 100,167,433 | 3,491,096 | 219,150,943 | 3,391,968 | ||||||||||||
| Unrealized depreciation on foreign currency forward contracts | 429,828 | 1,714,898 | 772,612 | 806,178 | ||||||||||||
Non-recurring fees and expenses payable | 75,570 | 48,070 | ||||||||||||||
| Total liabilities | 194,651,594 | 55,507,578 | 354,756,709 | 84,590,041 | ||||||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | 0 | 0 | ||||||||||||
Shareholders’ equity | ||||||||||||||||
| Shareholders’ equity | 4,237,958,207 | 4,474,251,414 | 4,563,369,776 | 4,173,474,343 | ||||||||||||
| Total liabilities and shareholders’ equity | $ | 4,432,609,801 | $ | 4,529,758,992 | $ | 4,918,126,485 | $ | 4,258,064,384 | ||||||||
| Shares outstanding (Note 1) | 133,773,980 | 228,676,695 | 178,619,037 | 151,164,114 | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020* | 2021 | 2020* | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Investment Income | ||||||||||||||||||||||||||||||||
| Interest | $ | 225,068 | $ | 462,274 | $ | 1,311,362 | $ | 8,985,252 | $ | 3,593,473 | $ | 536,552 | $ | 4,620,355 | $ | 1,086,294 | ||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
| Management fee | 9,892,153 | 11,098,146 | 32,386,686 | 24,755,322 | 11,608,051 | 10,325,523 | 22,225,008 | 22,494,533 | ||||||||||||||||||||||||
| Brokerage commissions | 1,808,557 | 2,304,413 | 6,704,455 | 6,308,753 | 1,894,153 | 1,992,098 | 3,802,918 | 4,895,898 | ||||||||||||||||||||||||
| Futures account fees | 1,447,030 | 2,459,918 | 5,996,930 | 4,208,471 | 1,030,206 | 1,696,496 | 2,835,129 | 4,549,900 | ||||||||||||||||||||||||
Non-recurring fees and expenses | 27,500 | 75,802 | 27,500 | 75,802 | ||||||||||||||||||||||||||||
| Total expenses | 13,175,240 | 15,938,279 | 45,115,571 | 35,348,348 | 14,532,410 | 14,014,117 | 28,863,055 | 31,940,331 | ||||||||||||||||||||||||
| Net investment income (loss) | (12,950,172 | ) | (15,476,005 | ) | (43,804,209 | ) | (26,363,096 | ) | (10,938,937 | ) | (13,477,565 | ) | (24,242,700 | ) | (30,854,037 | ) | ||||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||
| Futures contracts | (240,784,887 | ) | (171,502,419 | ) | (1,427,934,171 | ) | 110,215,750 | 101,692,223 | (653,015,480 | ) | 510,140,998 | (1,187,149,284 | ) | |||||||||||||||||||
| Swap agreements | (160,769,089 | ) | 173,110,242 | 50,628,405 | (794,321,232 | ) | (48,816,783 | ) | 155,633,013 | 656,366,206 | 211,397,494 | |||||||||||||||||||||
| Options | — | — | — | (9,707,000 | ) | — | — | — | — | |||||||||||||||||||||||
| Foreign currency forward contracts | 2,892,137 | (8,394,521 | ) | 4,813,162 | (10,216,017 | ) | 9,774,456 | 757,734 | 12,836,962 | 1,921,025 | ||||||||||||||||||||||
| Short-term U.S. government and agency obligations | (10,753 | ) | (5 | ) | 11,145 | 296,893 | (420,375 | ) | 2,137 | (192,800 | ) | 21,898 | ||||||||||||||||||||
| Net realized gain (loss) | (398,672,592 | ) | (6,786,703 | ) | (1,372,481,459 | ) | (703,731,606 | ) | 62,229,521 | (496,622,596 | ) | 1,179,151,366 | (973,808,867 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||||||||||
| Futures contracts | 158,443,180 | (249,176,198 | ) | 230,326,477 | 178,965,282 | 10,131,053 | 328,994,435 | 62,770,119 | 71,883,297 | |||||||||||||||||||||||
| Swap agreements | 38,179,426 | (160,810,119 | ) | (93,072,018 | ) | (184,272,631 | ) | (57,491,778 | ) | 8,316,702 | (326,324,133 | ) | (131,251,444 | ) | ||||||||||||||||||
| Foreign currency forward contracts | (724,910 | ) | 1,639,005 | 3,952,272 | 2,861,284 | 1,568,995 | (2,047,874 | ) | 3,105,964 | 4,677,182 | ||||||||||||||||||||||
| Short-term U.S. government and agency obligations | 88,814 | 9,658 | (38,045 | ) | (61,092 | ) | (768,379 | ) | (233,144 | ) | (4,025,886 | ) | (126,859 | ) | ||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 195,986,510 | (408,337,654 | ) | 141,168,686 | (2,507,157 | ) | (46,560,109 | ) | 335,030,119 | (264,473,936 | ) | (54,817,824 | ) | |||||||||||||||||||
| Net realized and unrealized gain (loss) | (202,686,082 | ) | (415,124,357 | ) | (1,231,312,773 | ) | (706,238,763 | ) | 15,669,412 | (161,592,477 | ) | 914,677,430 | (1,028,626,691 | ) | ||||||||||||||||||
Net income (loss) | $ | (215,636,254 | ) | $ | (430,600,362 | ) | $ | (1,275,116,982 | ) | $ | (732,601,859 | ) | $ | 4,730,475 | $ | (175,070,042 | ) | $ | 890,434,730 | $ | (1,059,480,728 | ) | ||||||||||
| * | The operations include the activity of ProShares ETF and ProShares UltraShort Australian Dollar ETF through |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020* | 2021 | 2020* | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 4,404,846,864 | $ | 4,052,758,690 | $ | 4,474,251,414 | $ | 2,356,325,101 | $ | 5,338,066,570 | $ | 4,534,203,653 | $ | 4,173,474,343 | $ | 4,474,251,414 | ||||||||||||||||
| Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1) | 1,649,296,999 | 2,922,142,022 | 5,597,393,110 | 9,686,341,059 | ||||||||||||||||||||||||||||
| Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1) | (1,600,549,402 | ) | (2,015,018,595 | ) | (4,558,569,335 | ) | (6,780,782,546 | ) | ||||||||||||||||||||||||
Addition of 111,695,000, 25,865,000, 244,305,000 and 74,621,250 shares, respectively (Note 1) | 2,545,986,476 | 913,598,315 | 5,628,786,761 | 3,948,096,111 | ||||||||||||||||||||||||||||
Redemption of 134,203,304, 33,480,323, 245,538,426 and 87,095,323 shares, respectively (Note 1) | (3,325,413,745 | ) | (867,885,062 | ) | (6,129,326,058 | ) | (2,958,019,933 | ) | ||||||||||||||||||||||||
| Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively (Note 1) | 48,747,597 | 907,123,427 | 1,038,823,775 | 2,905,558,513 | ||||||||||||||||||||||||||||
Net addition (redemption) of (22,508,304), (7,615,323), (1,233,426) and (12,474,073) shares, respectively (Note 1) | (779,427,269 | ) | 45,713,253 | (500,539,297 | ) | 990,076,178 | ||||||||||||||||||||||||||
| Net investment income (loss) | (12,950,172 | ) | (15,476,005 | ) | (43,804,209 | ) | (26,363,096 | ) | (10,938,937 | ) | (13,477,565 | ) | (24,242,700 | ) | (30,854,037 | ) | ||||||||||||||||
| Net realized gain (loss) | (398,672,592 | ) | (6,786,703 | ) | (1,372,481,459 | ) | (703,731,606 | ) | 62,229,521 | (496,622,596 | ) | 1,179,151,366 | (973,808,867 | ) | ||||||||||||||||||
| Change in net unrealized appreciation (depreciation) | 195,986,510 | (408,337,654 | ) | 141,168,686 | (2,507,157 | ) | (46,560,109 | ) | 335,030,119 | (264,473,936 | ) | (54,817,824 | ) | |||||||||||||||||||
| Net income (loss) | (215,636,254 | ) | (430,600,362 | ) | (1,275,116,982 | ) | (732,601,859 | ) | 4,730,475 | (175,070,042 | ) | 890,434,730 | (1,059,480,728 | ) | ||||||||||||||||||
Shareholders’ equity, end of period | $ | 4,237,958,207 | $ | 4,529,281,755 | $ | 4,237,958,207 | $ | 4,529,281,755 | $ | 4,563,369,776 | $ | 4,404,846,864 | $ | 4,563,369,776 | $ | 4,404,846,864 | ||||||||||||||||
| * | The operations include the activity of ProShares |
Nine Months Ended September 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020* | 2022 | 2021 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
| Net income (loss) | $ | (1,275,116,982 | ) | $ | (732,601,859 | ) | $ | 890,434,730 | $ | (1,059,480,728 | ) | |||||
| 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 | (6,612,113,856 | ) | (4,582,922,901 | ) | (11,579,158,324 | ) | (5,451,274,846 | ) | ||||||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 5,319,975,559 | 3,736,919,081 | 12,000,836,596 | 4,024,989,152 | ||||||||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (740,687 | ) | (5,453,567 | ) | (3,419,714 | ) | (563,137 | ) | ||||||||
| Net realized gain (loss) on investments | (11,145 | ) | (296,893 | ) | ||||||||||||
| Change in unrealized appreciation (depreciation) on investments | 89,157,791 | 181,472,439 | ||||||||||||||
| Decrease (Increase) in securities sold receivable | — | (242,309 | ) | |||||||||||||
| Net realized (gain) loss on investments | 192,879 | (21,898 | ) | |||||||||||||
| Change in unrealized (appreciation) depreciation on investments | 327,244,055 | 126,701,121 | ||||||||||||||
| Decrease (Increase) in receivable on futures contracts | (47,134,619 | ) | (161,192,003 | ) | (318,333,532 | ) | 964,203 | |||||||||
| Decrease (Increase) in interest receivable | 26,005 | 916,323 | (872,124 | ) | (19,482 | ) | ||||||||||
| Increase (Decrease) in payable to Sponsor | (248,437 | ) | 1,913,708 | 557,811 | (104,518 | ) | ||||||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (220,325 | ) | 583,315 | (331,006 | ) | (154,311 | ) | |||||||||
| Increase (Decrease) in payable on futures contracts | (3,570,592 | ) | (32,538,644 | ) | 25,823,690 | (9,525,111 | ) | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable | 27,500 | — | ||||||||||||||
| Increase (Decrease) in securities purchased payable | — | 167,040,817 | ||||||||||||||
| Net cash provided by (used in) operating activities | (2,529,969,788 | ) | (1,593,443,310 | ) | 1,342,975,061 | (2,201,448,738 | ) | |||||||||
Cash flow from financing activities | ||||||||||||||||
| Proceeds from addition of shares | 5,632,395,070 | 9,655,286,527 | 5,625,888,021 | 3,970,199,298 | ||||||||||||
| Payment on shares redeemed | (4,510,804,732 | ) | (6,721,603,064 | ) | (6,100,935,295 | ) | (2,975,566,551 | ) | ||||||||
| Net cash provided by (used in) financing activities | 1,121,590,338 | 2,933,683,463 | (475,047,274 | ) | 994,632,747 | |||||||||||
Net increase (decrease) in cash | (1,408,379,450 | ) | 1,340,240,153 | 867,927,787 | (1,206,815,991 | ) | ||||||||||
| Cash, beginning of period | 3,256,463,457 | 1,190,195,205 | 1,408,701,238 | 3,256,463,457 | ||||||||||||
| Cash, end of period | $ | 1,848,084,007 | $ | 2,530,435,358 | $ | 2,276,629,025 | $ | 2,049,647,466 | ||||||||
| * | The operations include the activity of ProShares |
Execution Date | Date Trading | |||||
(Prior to Opening | Resumed at Post- | |||||
Fund | of Trading) | Type of Split | Resumed at Post- | |||
| ProShares Ultra VIX Short-Term Futures ETF | May 25, 2021 | 1-for-10 reverse Share split | May 26, 2021 | |||
| ProShares UltraShort Bloomberg Crude Oil | May 25, 2021 | 1-for-4 reverse Share split | May 26, 2021 | |||
| ProShares UltraShort Silver | May 25, 2021 | 1-for-4 reverse Share split | May 26, 2021 | |||
| ProShares VIX Short-Term Futures ETF | May 25, 2021 | 1-for-4 reverse Share split | May 26, 2021 | |||
| ProShares UltraShort Bloomberg Natural Gas | January 13, 2022 | 1-for-5 reverse Share split | January 14, 2022 | |||
| ProShares UltraShort Yen | May 25, 2022 | 2-for-1 forward Share split | May 26, 2022 | |||
| ProShares Ultra Bloomberg Crude Oil | May 25, 2022 | 4-for-1 forward Share split | May 26, 2022 | |||
| ProShares UltraShort Bloomberg Natural Gas | May 25, 2022 | 1-for-4 reverse Share split | May 26, 2022 | |||
| ProShares UltraShort Bloomberg Crude Oil | May 25, 2022 | 1-for-5 reverse Share split | May 26, 2022 | |||
Create/Redeem | NAV Calculation | NAV | |||||||
Fund | Cut-off* | Time | Calculation Date | ||||||
| Ultra Silver and UltraShort Silver | 1:00 p.m. | 1:25 p.m. | |||||||
| Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | |||||||
| Ultra Bloomberg Crude Oil, | |||||||||
| Ultra Bloomberg Natural Gas, | |||||||||
| UltraShort Bloomberg Crude Oil and | |||||||||
| UltraShort Bloomberg Natural Gas | 2:00 p.m. | 2:30 p.m. | |||||||
| Ultra Euro, | |||||||||
| Ultra Yen, | |||||||||
| UltraShort Euro and | |||||||||
| UltraShort Yen | 3:00 p.m. | 4:00 p.m. | |||||||
| Short VIX Short-Term Futures | |||||||||
| Ultra VIX Short-Term Futures | |||||||||
| VIX Mid-Term Futures | |||||||||
| VIX Short-Term Futures | 2:00 p.m. | 4:00 p.m. | |||||||
| * | 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 |
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 Euro | $ | — | $ | 46,781 | $ | — | $ | — | $ | 46,781 | ||||||||||
ProShares Short VIX Short-Term Fut u res ETF | 129,992,467 | (6,181,978 | ) | — | — | 123,810,489 | ||||||||||||||
| ProShares Ultra Bloomberg Crude Oil | 834,942,326 | 268,004,313 | — | 70,885,762 | 1,173,832,401 | |||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 32,997,127 | 42,185,730 | — | — | 75,182,857 | |||||||||||||||
| ProShares Ultra Euro | 999,916 | — | (162,686 | ) | — | 837,230 | ||||||||||||||
| ProShares Ultra Gold | 185,985,614 | (3,936,408 | ) | — | (7,406,864 | ) | 174,642,342 | |||||||||||||
| ProShares Ultra Silver | 494,966,819 | (5,439,801 | ) | — | (92,760,569 | ) | 396,766,449 | |||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 274,984,707 | 90,018,882 | — | 7,933,765 | 372,937,354 | |||||||||||||||
| ProShares Ultra Yen | 999,953 | — | (59,266 | ) | — | 940,687 | ||||||||||||||
| ProShares UltraShort Australian Dollar | — | 182,163 | — | — | 182,163 | |||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | 32,997,116 | (20,466,160 | ) | — | — | 12,530,956 | ||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 56,993,148 | (35,288,843 | ) | — | — | 21,704,305 | ||||||||||||||
| ProShares UltraShort Euro | 34,997,817 | — | 2,126,803 | — | 37,124,620 | |||||||||||||||
| ProShares UltraShort Gold | 17,998,972 | 432,050 | — | 830,123 | 19,261,145 | |||||||||||||||
| ProShares UltraShort Silver | 21,998,799 | 2,955,976 | — | 4,090,510 | 29,045,285 | |||||||||||||||
| ProShares UltraShort Yen | 16,998,447 | — | 501,574 | — | 17,500,021 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | 61,995,036 | 4,816,848 | — | — | 66,811,884 | |||||||||||||||
| ProShares VIX Short-Term Futures ETF | 127,990,204 | 21,367,096 | — | — | 149,357,300 | |||||||||||||||
Total Trust | $ | 2,327,838,468 | $ | 358,696,649 | $ | 2,406,425 | $ | (16,427,273 | ) | $ | 2,672,514,269 | |||||||||
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | 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 | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | ||||||||||||||||||||||||||||||
| ProShares Short Euro | $ | — | $ | (44,626 | ) | $ | — | $ | — | $ | (44,626 | ) | ||||||||||||||||||||||||||||
| ProShares Short VIX Short-Term Futures ETF | 69,999,639 | 8,348,783 | — | — | 78,348,422 | $ | 151,418,355 | $ | 1,517,614 | $ | — | $ | — | $ | 152,935,969 | |||||||||||||||||||||||||
| ProShares Ultra Bloomberg Crude Oil | 219,998,394 | 144,564,039 | — | 18,242,195 | 382,804,628 | 526,423,284 | 58,454,799 | — | (152,287,155 | ) | 432,590,928 | |||||||||||||||||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 29,999,889 | 6,500,721 | — | — | 36,500,610 | 105,739,904 | (194,426,957 | ) | — | — | (88,687,053 | ) | ||||||||||||||||||||||||||||
| ProShares Ultra Euro | — | — | 88,736 | — | 88,736 | 4,690,703 | — | (332,395 | ) | — | 4,358,308 | |||||||||||||||||||||||||||||
| ProShares Ultra Gold | 74,999,467 | 2,646,874 | — | 5,140,980 | 82,787,321 | 208,696,447 | (3,932,509 | ) | — | (6,451,858 | ) | 198,312,080 | ||||||||||||||||||||||||||||
| ProShares Ultra Silver | 244,993,989 | 37,190,212 | — | 56,752,666 | 338,936,867 | 290,458,173 | (4,317,941 | ) | — | (60,411,930 | ) | 225,728,302 | ||||||||||||||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 244,995,969 | (48,524,666 | ) | — | (24,807 | ) | 196,446,496 | 243,251,317 | 35,444,518 | — | — | 278,695,835 | ||||||||||||||||||||||||||||
| ProShares Ultra Yen | — | — | 67,087 | — | 67,087 | 992,969 | — | (77,150 | ) | — | 915,819 | |||||||||||||||||||||||||||||
| ProShares UltraShort Australian Dollar | — | (138,950 | ) | — | — | (138,950 | ) | |||||||||||||||||||||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | (14,636,813 | ) | — | — | (14,636,813 | ) | 232,635,606 | 28,516,831 | — | — | 261,152,437 | ||||||||||||||||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 9,999,861 | 379,310 | — | — | 10,379,171 | 59,578,128 | 154,070,341 | — | — | 213,648,469 | ||||||||||||||||||||||||||||||
| ProShares UltraShort Euro | 9,999,861 | — | (1,136,704 | ) | — | 8,863,157 | 19,885,112 | — | 3,195,083 | — | 23,080,195 | |||||||||||||||||||||||||||||
| ProShares UltraShort Gold | — | (196,930 | ) | — | (268,728 | ) | (465,658 | ) | 13,940,167 | 811,562 | — | 720,984 | 15,472,713 | |||||||||||||||||||||||||||
| ProShares UltraShort Silver | — | (220,076 | ) | — | (3,197,561 | ) | (3,417,637 | ) | 12,979,368 | 2,516,890 | — | 1,873,038 | 17,369,296 | |||||||||||||||||||||||||||
| ProShares UltraShort Yen | — | — | (564,966 | ) | — | (564,966 | ) | 10,961,261 | — | 971,505 | — | 11,932,766 | ||||||||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 44,999,732 | (1,133,616 | ) | — | — | 43,866,116 | 31,775,002 | 3,080,667 | — | — | 34,855,669 | |||||||||||||||||||||||||||||
| ProShares VIX Short-Term Futures ETF | 84,999,583 | (6,364,090 | ) | — | — | 78,635,493 | 169,526,219 | 3,375,427 | — | — | 172,901,646 | |||||||||||||||||||||||||||||
Total Trust | $ | 1,034,986,384 | $ | 128,370,172 | $ | (1,545,847 | ) | $ | 76,644,745 | $ | 1,238,455,454 | |||||||||||||||||||||||||||||
Combined Trust: | $ | 2,082,952,015 | $ | 85,111,242 | $ | 3,757,043 | $ | (216,556,921 | ) | $ | 1,955,263,379 | |||||||||||||||||||||||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
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 Euro | $ | — | $ | (5,400 | ) | $ | — | $ | — | $ | (5,400 | ) | ||||||||
| ProShares Short VIX Short-Term Futures ETF | 147,815,719 | 31,275,278 | — | — | 179,090,997 | |||||||||||||||
| ProShares Ultra Bloomberg Crude Oil | 848,757,567 | 147,455,525 | — | 63,928,293 | 1,060,141,385 | |||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 90,922,438 | (8,206,161 | ) | — | — | 82,716,277 | ||||||||||||||
| ProShares Ultra Euro | 997,678 | — | 82,652 | — | 1,080,330 | |||||||||||||||
| ProShares Ultra Gold | 207,956,320 | 654,894 | — | 8,639,188 | 217,250,402 | |||||||||||||||
| ProShares Ultra Silver | 451,872,982 | 2,506,545 | — | 40,591,699 | 494,971,226 | |||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 221,660,593 | (126,356,757 | ) | — | (477,437 | ) | 94,826,399 | |||||||||||||
| ProShares Ultra Yen | — | — | (93,112 | ) | — | (93,112 | ) | |||||||||||||
| ProShares UltraShort Australian Dollar | 1,999,875 | (65,155 | ) | — | — | 1,934,720 | ||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | 55,916,023 | (8,409,462 | ) | — | — | 47,506,561 | ||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 123,821,548 | 13,436,251 | — | — | 137,257,799 | |||||||||||||||
| ProShares UltraShort Euro | 46,961,125 | — | (208,041 | ) | — | 46,753,084 | ||||||||||||||
| ProShares UltraShort Gold | 25,980,516 | 158,079 | — | (993,117 | ) | 25,145,478 | ||||||||||||||
| ProShares UltraShort Silver | 22,994,261 | 652,493 | — | (1,921,414 | ) | 21,725,340 | ||||||||||||||
| ProShares UltraShort Yen | 20,987,825 | — | 869,580 | — | 21,857,405 | |||||||||||||||
| ProShares VIX Mid-Term Futures ETF | 85,922,969 | (624,388 | ) | — | — | 85,298,581 | ||||||||||||||
| ProShares VIX Short-Term Futures ETF | 150,861,898 | (30,130,619 | ) | — | — | 120,731,279 | ||||||||||||||
Combined Trust: | $ | 2,505,429,337 | $ | 22,341,123 | $ | 651,079 | $ | 109,767,212 | $ | 2,638,188,751 | ||||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
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 | Receivables 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 | $ | — | $ | 6,181,978 | * | |||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 97,952,647 | * | — | |||||||||||
| ProShares VIX Mid-Term Futures ETF | 4,816,848 | * | — | |||||||||||
| ProShares VIX Short-Term Futures ETF | 21,367,096 | * | — | |||||||||||
| 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 | 338,890,075 | * | — | |||||||||||
| ProShares Ultra Bloomberg Natural Gas | 42,185,730 | * | — | |||||||||||
| ProShares Ultra Gold | — | 11,343,272 | * | |||||||||||
| ProShares Ultra Silver | — | 98,200,370 | * | |||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | 20,466,160 | * | |||||||||||
| ProShares UltraShort Bloomberg Natural Gas | — | 35,288,843 | * | |||||||||||
| ProShares UltraShort Gold | 1,262,173 | * | — | |||||||||||
| ProShares UltraShort Silver | 7,046,486 | * | — | |||||||||||
| 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 Short Euro | 46,781 | * | – | |||||||||||
| ProShares Ultra Euro | 2,136 | 164,822 | ||||||||||||
| ProShares Ultra Yen | 757 | 60,023 | ||||||||||||
| ProShares UltraShort Australian Dollar | 182,163 | * | – | |||||||||||
| ProShares UltraShort Euro | 2,284,006 | 157,203 | ||||||||||||
| ProShares UltraShort Yen | 549,354 | 47,780 | ||||||||||||
Total Trust | $ | 516,586,252 | * | $ | 171,910,451 | * | ||||||||
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 | Receivables 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 | $ | 8,348,783 | * | $ | — | |||||||||
| ProShares Ultra VIX Short-Term Futures ETF | — | 48,549,473 | * | |||||||||||
| ProShares VIX Mid-Term Futures ETF | 147,915 | * | 1,281,531 | * | ||||||||||
| ProShares VIX Short-Term Futures ETF | — | 6,364,090 | * | |||||||||||
| 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 | 162,806,234 | * | — | |||||||||||
| ProShares Ultra Bloomberg Natural Gas | 6,500,721 | * | — | |||||||||||
| ProShares Ultra Gold | 7,787,854 | * | — | |||||||||||
| ProShares Ultra Silver | 93,942,878 | * | — | |||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | 14,636,813 | * | |||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 379,310 | * | — | |||||||||||
| ProShares UltraShort Gold | — | 465,658 | * | |||||||||||
| ProShares UltraShort Silver | — | 3,417,637 | * | |||||||||||
| 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 Short Euro | — | 44,626 | * | |||||||||||
| ProShares Ultra Euro | 89,103 | 367 | ||||||||||||
| ProShares Ultra Yen | 67,235 | 148 | ||||||||||||
| ProShares UltraShort Australian Dollar | — | 138,950 | * | |||||||||||
| ProShares UltraShort Euro | 5,705 | 1,142,409 | ||||||||||||
| ProShares UltraShort Yen | 7,008 | 571,974 | ||||||||||||
Total Trust | $ | 280,082,746 | * | $ | 76,613,676 | * | ||||||||
Fair Value of Derivative Instruments as of June 30, 2022 | Fair Value of Derivative Instruments as of June 30, 2022 | |||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
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 | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||||||||||
| 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 | Receivables on open futures contracts | Payable on open futures contracts | |||||||||||||||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | 34,573,906 | $ | (43,362,244 | ) | ProShares Short VIX Short-Term Futures ETF | $ | 1,517,614 | * | $ | — | |||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | (198,380,990 | ) | 186,737,241 | ProShares Ultra VIX Short-Term Futures ETF | 41,121,658 | * | 5,677,140 | * | ||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | (4,024,133 | ) | 10,651,835 | ProShares VIX Mid-Term Futures ETF | 3,151,792 | * | 71,125 | * | ||||||||||||||||||
| ProShares VIX Short-Term Futures ETF | (51,868,433 | ) | 42,164,263 | ProShares VIX Short-Term Futures ETF | 5,185,782 | * | 1,810,355 | * | ||||||||||||||||||
| Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | 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 | 106,330,563 | (16,910,039 | ) | ProShares Ultra Bloomberg Crude Oil | 76,385,739 | * | 170,218,095 | * | ||||||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 33,925,711 | 25,134,988 | ProShares Ultra Bloomberg Natural Gas | — | 194,426,957 | * | ||||||||||||||||||||
| ProShares Ultra Gold | (21,858,089 | ) | 15,564,318 | ProShares Ultra Gold | — | 10,384,367 | * | |||||||||||||||||||
| ProShares Ultra Silver | (201,315,310 | ) | (6,040,776 | ) | ProShares Ultra Silver | — | 64,729,871 | * | ||||||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | (11,449,562 | ) | (1,521,543 | ) | �� | ProShares UltraShort | ||||||||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | (95,609,878 | ) | (17,870,697 | ) | Bloomberg Crude Oil | 28,869,220 | * | 352,389 | * | |||||||||||||||||
| ProShares UltraShort Gold | 1,213,721 | (1,898,585 | ) | ProShares UltraShort Bloomberg Natural Gas | 154,070,341 | * | — | |||||||||||||||||||
| ProShares UltraShort Silver | 6,662,145 | 3,921,845 | ProShares UltraShort Gold | 1,532,546 | * | — | ||||||||||||||||||||
| ProShares UltraShort Silver | 4,389,928 | * | — | |||||||||||||||||||||||
| 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 | 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 Short Euro | 57,489 | (4,770 | ) | ProShares Ultra Euro | 17,639 | 350,034 | ||||||||||||||||||||
| ProShares Ultra Euro | (254,219 | ) | 72,810 | ProShares Ultra Yen | 2,012 | 79,162 | ||||||||||||||||||||
| ProShares Ultra Yen | (25,554 | ) | 10,988 | ProShares UltraShort Euro | 3,382,293 | 187,210 | ||||||||||||||||||||
| ProShares UltraShort Australian Dollar | 188,884 | 56,770 | ProShares UltraShort Yen | 1,127,711 | 156,206 | |||||||||||||||||||||
| ProShares UltraShort Euro | 2,974,466 | (618,447 | ) | |||||||||||||||||||||||
| ProShares UltraShort Yen | 197,444 | (190,261 | ) | Combined Trust: | $ | 320,754,275 | * | $ | 448,442,911 | * | ||||||||||||||||
Total Trust | $ | (398,661,839 | ) | $ | 195,897,696 | |||||||||||||||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of December 31, 2021 | ||||||||||||||
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 | Receivables 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 | $ | 31,275,278 | * | $ | — | |||||||||
| ProShares Ultra VIX Short-Term Futures ETF | — | 126,834,194 | * | |||||||||||
| ProShares VIX Mid-Term Futures ETF | 642,035 | * | 1,266,423 | * | ||||||||||
| ProShares VIX Short-Term Futures ETF | — | 30,130,619 | * | |||||||||||
| 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 | 211,383,818 | * | — | |||||||||||
| ProShares Ultra Bloomberg Natural Gas | — | 8,206,161 | * | |||||||||||
| ProShares Ultra Gold | 9,294,082 | * | — | |||||||||||
| ProShares Ultra Silver | 43,098,244 | * | — | |||||||||||
| ProShares UltraShort Bloomberg Crude Oil | 549,283 | * | 8,958,745 | * | ||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 13,436,251 | * | — | |||||||||||
| ProShares UltraShort Gold | 158,079 | * | 993,117 | * | ||||||||||
| ProShares UltraShort Silver | 652,493 | *1,921,414 | * | |||||||||||
| 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 Short Euro | — | 5,400 | * | |||||||||||
| ProShares Ultra Euro | 84,150 | 1,498 | ||||||||||||
| ProShares Ultra Yen | 821 | 93,933 | ||||||||||||
| ProShares UltraShort Australian Dollar | — | 65,155 | * | |||||||||||
| ProShares UltraShort Euro | 135,118 | 343,159 | ||||||||||||
| ProShares UltraShort Yen | 1,237,168 | 367,588 | ||||||||||||
Combined Trust: | $ | 311,946,820 | * | $ | 179,187,406 | * | ||||||||
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 | $ | 168,120,340 | $ | (14,530,761 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (1,757,428,075 | ) | 146,502,120 | |||||||||
ProShares VIX Mid-Term Futures ETF | (14,890,359 | ) | 5,950,464 | |||||||||
| ProShares VIX Short-Term Futures ETF | (304,349,667 | ) | 27,731,186 | |||||||||
| 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 | 761,187,450 | 176,083,841 | ||||||||||
| ProShares Ultra Bloomberg Natural Gas | 80,409,384 | 35,685,009 | ||||||||||
| ProShares Ultra Gold | (27,599,854 | ) | (19,131,126 | ) | ||||||||
| ProShares Ultra Silver | (80,034,280 | ) | (192,143,248 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (86,637,748 | ) | (5,829,347 | ) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | (112,274,576 | ) | (35,668,153 | ) | ||||||||
| ProShares UltraShort Gold | (1,767,636 | ) | 1,727,831 | |||||||||
| ProShares UltraShort Silver | (2,146,662 | ) | 10,464,123 | |||||||||
| 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 | 88,710 | 91,407 | ||||||||||
| ProShares Ultra Euro | (186,149 | ) | (251,422 | ) | ||||||||
| ProShares Ultra Yen | (305,028 | ) | (126,353 | ) | ||||||||
| ProShares UltraShort Australian Dollar | 17,207 | 321,113 | ||||||||||
| ProShares UltraShort Euro | 2,249,236 | 3,263,507 | ||||||||||
| ProShares UltraShort Yen | 3,055,103 | 1,066,540 | ||||||||||
Total Trust | $ | (1,372,492,604 | ) | $ | 141,206,731 | |||||||
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 | 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 | Net realized gain (loss) on futures contracts/ changes in unrealized appreciation (depreciation) on futures contracts | ||||||||||||||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | 60,593,315 | $ | (1,463,210 | ) | ProShares Short VIX Short-Term Futures ETF | $ | (13,029,194 | ) | $ | (34,466,848 | ) | ||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | (559,537,850 | ) | 15,302,015 | ProShares Ultra VIX Short-Term Futures ETF | 91,039,435 | 196,657,178 | ||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 755,845 | 1,751,675 | ProShares VIX Mid-Term Futures ETF | 7,862,052 | 4,040,230 | |||||||||||||||||||
| ProShares VIX Short-Term Futures ETF | (75,120,135 | ) | 555,267 | ProShares VIX Short-Term Futures ETF | 23,659,182 | 46,680,364 | ||||||||||||||||||
| Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | 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 | 285,954,263 | (232,623,755 | ) | ProShares Ultra Bloomberg Crude Oil | 363,296,092 | (211,138,245 | ) | |||||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 41,156,156 | (4,754,372 | ) | ProShares Ultra Bloomberg Natural Gas | 164,990,694 | (271,251,560 | ) | |||||||||||||||||
| ProShares Ultra Gold | 25,742,296 | (18,057,616 | ) | ProShares Ultra Gold | (57,901,083 | ) | 4,971,202 | |||||||||||||||||
| ProShares Ultra Silver | 290,238,797 | (199,321,544 | ) | ProShares Ultra Silver | (156,194,175 | ) | (50,071,519 | ) | ||||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | (16,296,829 | ) | 5,848,114 | ProShares UltraShort Bloomberg Crude Oil | (102,594,000 | ) | 34,810,301 | |||||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | (31,450,011 | ) | 8,968,702 | ProShares UltraShort Bloomberg Natural Gas | (282,646,685 | ) | 228,166,248 | |||||||||||||||||
| ProShares UltraShort Gold | (4,021,537 | ) | 2,688,730 | ProShares UltraShort Gold | 4,557,870 | 298,236 | ||||||||||||||||||
| ProShares UltraShort Silver | (15,896,820 | ) | 11,129,646 | ProShares UltraShort Silver | 9,411,232 | 3,849,687 | ||||||||||||||||||
| Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | 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 | (77,567 | ) | (14,989 | ) | ProShares Ultra Euro | (446,365 | ) | (282,077 | ) | |||||||||||||||
| ProShares Ultra Euro | 441,714 | (84,317 | ) | ProShares Ultra Yen | (761,478 | ) | 154,501 | |||||||||||||||||
| ProShares Ultra Yen | 126,569 | (1,524 | ) | ProShares UltraShort Euro | 3,065,129 | 3,061,048 | ||||||||||||||||||
| ProShares UltraShort Australian Dollar | (432,100 | ) | 5,020 | ProShares UltraShort Yen | 7,917,170 | (1,364,477 | ) | |||||||||||||||||
| ProShares UltraShort Euro | (7,511,153 | ) | 1,523,931 | |||||||||||||||||||||
| ProShares UltraShort Yen | (1,451,651 | ) | 200,915 | Combined Trust | $ | 62,225,876 | $ | (45,885,731 | ) | |||||||||||||||
Total Trust | $ | (6,786,698 | ) | $ | (408,347,312 | ) | ||||||||||||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
| VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | (54,129,808 | ) | $ | (29,757,664 | ) | ||||||
| ProShares Ultra VIX Short-Term Futures ETF | 372,034,119 | 162,278,712 | ||||||||||
| ProShares VIX Mid-Term Futures ETF | 12,653,885 | 3,705,055 | ||||||||||
| ProShares VIX Short-Term Futures ETF | 77,393,309 | 33,506,046 | ||||||||||
| Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
| ProShares Ultra Bloomberg Crude Oil | 1,162,719,162 | (305,216,174 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 241,211,382 | (186,220,796 | ) | |||||||||
| ProShares Ultra Gold | (82,487 | ) | (19,678,449 | ) | ||||||||
| ProShares Ultra Silver | (39,557,148 | ) | (107,828,115 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (209,076,101 | ) | 36,926,293 | |||||||||
| ProShares UltraShort Bloomberg Natural Gas | (397,312,383 | ) | 140,634,090 | |||||||||
| ProShares UltraShort Gold | (1,750,803 | ) | 2,367,584 | |||||||||
| ProShares UltraShort Silver | 2,037,486 | 5,658,849 | ||||||||||
| Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
| ProShares Ultra Euro | (887,395 | ) | (415,047 | ) | ||||||||
| ProShares Ultra Yen | (880,249 | ) | 15,962 | |||||||||
| ProShares UltraShort Euro | 5,607,263 | 3,403,124 | ||||||||||
| ProShares UltraShort Yen | 8,997,343 | 101,925 | ||||||||||
Combined Trust: | $ | 1,178,977,575 | $ | (260,518,605 | ) | |||||||
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 | 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 | 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 | $ | (129,091,526 | ) | $ | (2,706,204 | ) | ProShares Short VIX Short-Term Futures ETF | $ | 109,337,017 | $ | (13,290,409 | ) | ||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 58,666,590 | 66,331,637 | ProShares Ultra VIX Short-Term Futures ETF | (854,529,061 | ) | 244,143,655 | ||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 21,708,785 | 5,422,315 | ProShares VIX Mid-Term Futures ETF | (14,405,542 | ) | 3,575,301 | ||||||||||||||||||
| ProShares VIX Short-Term Futures ETF | 249,771,936 | 16,595,465 | ProShares VIX Short-Term Futures ETF | (175,846,641 | ) | 39,005,837 | ||||||||||||||||||
| Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | 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 | (891,179,560 | ) | 106,147,368 | ProShares Ultra Bloomberg Crude Oil | 320,505,659 | 157,999,797 | ||||||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 2,225,390 | (4,336,578 | ) | ProShares Ultra Bloomberg Natural Gas | 4,901,288 | 28,350,804 | ||||||||||||||||||
| ProShares Ultra Gold | 51,605,680 | (11,257,214 | ) | ProShares Ultra Gold | 45,506,367 | (33,461,145 | ) | |||||||||||||||||
| ProShares Ultra Silver | 297,927,456 | (215,072,789 | ) | ProShares Ultra Silver | 116,370,479 | (48,336,770 | ) | |||||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | 28,429,846 | 7,230,908 | ProShares UltraShort Bloomberg Crude Oil | (26,010,421 | ) | (9,944,438 | ) | |||||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | (20,587,193 | ) | 9,530,001 | ProShares UltraShort Bloomberg Natural Gas | (10,305,304 | ) | (33,691,003 | ) | ||||||||||||||||
| ProShares UltraShort Gold | (12,041,690 | ) | 2,727,600 | ProShares UltraShort Gold | (6,984,547 | ) | 3,807,080 | |||||||||||||||||
| ProShares UltraShort Silver | (18,932,319 | ) | 12,566,735 | ProShares UltraShort Silver | (5,876,456 | ) | (923,486 | ) | ||||||||||||||||
| 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 | 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 | (116,225 | ) | 31,531 | ProShares Short Euro | (38,172 | ) | 17,623 | |||||||||||||||||
| ProShares Ultra Euro | 369,811 | (208,243 | ) | ProShares Ultra Euro | 95,412 | (13,092 | ) | |||||||||||||||||
| ProShares Ultra Yen | 11,333 | 48,104 | ProShares Ultra Yen | (140,007 | ) | 118,748 | ||||||||||||||||||
| ProShares UltraShort Australian Dollar | (799,054 | ) | 390,370 | ProShares UltraShort Australian Dollar | (7,133 | ) | 58,291 | |||||||||||||||||
| ProShares UltraShort Euro | (8,749,738 | ) | 3,449,397 | ProShares UltraShort Euro | (795,757 | ) | (509,443 | ) | ||||||||||||||||
| ProShares UltraShort Yen | (1,847,423 | ) | (427,974 | ) | ProShares UltraShort Yen | 1,598,086 | (1,644,087 | ) | ||||||||||||||||
Total Trust | $ | (372,627,901 | ) | $ | (3,537,571 | ) | Combined Trust | $ | (496,624,733 | ) | $ | 335,263,263 | ||||||||||||
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 | $ | 133,546,434 | $ | 28,831,483 | ||||||||
| ProShares Ultra VIX Short-Term Futures ETF | (1,559,047,085 | ) | (40,235,121 | ) | ||||||||
| ProShares VIX Mid-Term Futures ETF | (10,866,226 | ) | (4,701,371 | ) | ||||||||
| ProShares VIX Short-Term Futures ETF | (252,481,234 | ) | (14,433,077 | ) | ||||||||
| 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 | 654,856,887 | 192,993,880 | ||||||||||
| ProShares Ultra Bloomberg Natural Gas | 46,483,673 | 10,550,021 | ||||||||||
| ProShares Ultra Gold | (5,741,765 | ) | (34,695,444 | ) | ||||||||
| ProShares Ultra Silver | 121,281,030 | (186,102,472 | ) | |||||||||
| ProShares UltraShort Bloomberg Crude Oil | (75,188,186 | ) | (4,307,804 | ) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | (16,664,698 | ) | (17,797,456 | ) | ||||||||
| ProShares UltraShort Gold | (2,981,357 | ) | 3,626,416 | |||||||||
| ProShares UltraShort Silver | (8,808,807 | ) | 6,542,278 | |||||||||
| 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 | 31,221 | 96,177 | ||||||||||
| ProShares Ultra Euro | 68,070 | (324,232 | ) | |||||||||
| ProShares Ultra Yen | (279,474 | ) | (137,341 | ) | ||||||||
| ProShares UltraShort Australian Dollar | (171,677 | ) | 264,343 | |||||||||
| ProShares UltraShort Euro | (725,230 | ) | 3,881,954 | |||||||||
| ProShares UltraShort Yen | 2,857,659 | 1,256,801 | ||||||||||
Combined Trust: | $ | (973,830,765) | $ | (54,690,965) | ||||||||
Fair Values of Derivative Instruments as of September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Fair Values of Derivative Instruments as of June 30, 2022 | Fair Values of Derivative Instruments as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | Liabilities | 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 | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
| ProShares Ultra Bloomberg | ||||||||||||||||||||||||||||||||||||||||||||||||
| Crude Oil | ||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements | $ | 70,885,762 | $ | 0 | $ | 70,885,762 | $ | 0 | $ | 0 | $ | 0 | $ | — | $ | — | $ | — | $ | 152,287,155 | $ | — | $ | 152,287,155 | ||||||||||||||||||||||||
| ProShares Ultra Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | 2,136 | 0 | 2,136 | 164,822 | 0 | 164,822 | 17,639 | — | 17,639 | 350,034 | — | 350,034 | ||||||||||||||||||||||||||||||||||||
| ProShares Ultra Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements | 0 | 0 | 0 | 7,406,864 | 0 | 7,406,864 | — | — | — | 6,451,858 | — | 6,451,858 | ||||||||||||||||||||||||||||||||||||
| ProShares Ultra Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements | 0 | 0 | 0 | 92,760,569 | 0 | 92,760,569 | ||||||||||||||||||||||||||||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements | 7,933,765 | 0 | 7,933,765 | 0 | 0 | 0 | — | — | — | 60,411,930 | — | 60,411,930 | ||||||||||||||||||||||||||||||||||||
| ProShares Ultra Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | 757 | 0 | 757 | 60,023 | 0 | 60,023 | 2,012 | — | 2,012 | 79,162 | — | 79,162 | ||||||||||||||||||||||||||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | 2,284,006 | 0 | 2,284,006 | 157,203 | 0 | 157,203 | 3,382,293 | — | 3,382,293 | 187,210 | — | 187,210 | ||||||||||||||||||||||||||||||||||||
| ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements | 830,123 | 0 | 830,123 | 0 | 0 | 0 | 720,984 | — | 720,984 | — | — | — | ||||||||||||||||||||||||||||||||||||
| ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements | 4,090,510 | 0 | 4,090,510 | 0 | 0 | 0 | 1,873,038 | — | 1,873,038 | — | — | — | ||||||||||||||||||||||||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
| Foreign currency forward contracts | 549,354 | 0 | 549,354 | 47,780 | 0 | 47,780 | 1,127,711 | — | 1,127,711 | 156,206 | — | 156,206 | ||||||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 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. | $ | (21,668,621 | ) | $ | — | $ | 21,668,621 | $ | — | |||||||
| Goldman Sachs International | (42,218,820 | ) | — | 42,218,820 | — | |||||||||||
| Morgan Stanley & Co. International PLC | (37,530,948 | ) | — | 37,530,948 | — | |||||||||||
| Societe Generale | (20,435,337 | ) | 18,175,337 | 2,260,000 | — | |||||||||||
| UBS AG | (30,433,429 | ) | 22,524,429 | 7,909,000 | — | |||||||||||
| ProShares Ultra Euro | ||||||||||||||||
| Goldman Sachs International | (123,538 | ) | 123,538 | — | — | |||||||||||
| UBS AG | (208,857 | ) | 208,857 | — | — | |||||||||||
| ProShares Ultra Gold | ||||||||||||||||
| Citibank, N.A. | (2,221,389 | ) | 1,781,389 | 440,000 | — | |||||||||||
| Goldman Sachs International | (1,919,639 | ) | 1,919,639 | — | — | |||||||||||
| UBS AG | (2,310,830 | ) | 543,830 | 1,767,000 | — | |||||||||||
| ProShares Ultra Silver | ||||||||||||||||
| Citibank, N.A. | (14,941,465 | ) | — | 14,941,465 | — | |||||||||||
| Goldman Sachs International | (18,119,916 | ) | 18,119,916 | — | — | |||||||||||
| Morgan Stanley & Co. International PLC | (15,214,853 | ) | — | 15,214,853 | — | |||||||||||
| UBS AG | (12,135,696 | ) | 9,307,696 | 2,828,000 | — | |||||||||||
| ProShares Ultra Yen | ||||||||||||||||
| Goldman Sachs International | (34,398 | ) | 34,398 | — | — | |||||||||||
| UBS AG | (42,752 | ) | 42,752 | — | — | |||||||||||
| ProShares UltraShort Euro | ||||||||||||||||
| Goldman Sachs International | 1,245,143 | (1,245,143 | ) | — | — | |||||||||||
| UBS AG | 1,949,940 | (1,892,423 | ) | — | 57,517 | |||||||||||
| ProShares UltraShort Gold | ||||||||||||||||
| Citibank, N.A. | 295,777 | — | — | 295,777 | ||||||||||||
| Goldman Sachs International | 193,824 | — | — | 193,824 | ||||||||||||
| UBS AG | 231,383 | — | — | 231,383 | ||||||||||||
| ProShares UltraShort Silver | ||||||||||||||||
| Citibank, N.A. | 221,841 | — | — | 221,841 | ||||||||||||
| Goldman Sachs International | 808,139 | (510,736 | ) | — | 297,403 | |||||||||||
| Morgan Stanley & Co. International PLC | 638,732 | — | (381,000 | ) | 257,732 | |||||||||||
| UBS AG | 204,326 | — | — | 204,326 | ||||||||||||
| ProShares UltraShort Yen | ||||||||||||||||
| Goldman Sachs International | 162,849 | — | — | 162,849 | ||||||||||||
| UBS AG | 806,656 | (806,656 | ) | — | — | |||||||||||
Fair Values of Derivative Instruments as of December 31, 2021 | ||||||||||||||||||||||||
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 | $ | 63,928,293 | $ | — | $ | 63,928,293 | $ | — | $ | — | $ | — | ||||||||||||
| ProShares Ultra Euro | ||||||||||||||||||||||||
| Foreign currency forward contracts | 84,150 | — | 84,150 | 1,498 | — | 1,498 | ||||||||||||||||||
| ProShares Ultra Gold | ||||||||||||||||||||||||
| Swap agreements | 8,639,188 | — | 8,639,188 | — | — | — | ||||||||||||||||||
| ProShares Ultra Silver | ||||||||||||||||||||||||
| Swap agreements | 40,591,699 | — | 40,591,699 | — | — | — | ||||||||||||||||||
| ProShares Ultra VIX Short-Term | ||||||||||||||||||||||||
| Futures ETF | ||||||||||||||||||||||||
| Swap agreements | — | — | — | 477,437 | — | 477,437 | ||||||||||||||||||
| ProShares Ultra Yen | ||||||||||||||||||||||||
| Foreign currency forward contracts | 821 | — | 821 | 93,933 | — | 93,933 | ||||||||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||||||||||
| Foreign currency forward contracts | 135,118 | — | 135,118 | 343,159 | — | 343,159 | ||||||||||||||||||
| ProShares UltraShort Gold | ||||||||||||||||||||||||
| Swap agreements | — | — | — | 993,117 | — | 993,117 | ||||||||||||||||||
| ProShares UltraShort Silver | ||||||||||||||||||||||||
| Swap agreements | — | — | — | 1,921,414 | — | 1,921,414 | ||||||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||||||||||||
| Foreign currency forward contracts | 1,237,168 | —�� | 1,237,168 | 367,588 | — | 367,588 | ||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021 | ||||||||||||||||
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. | $ | 10,910,833 | $ | 0 | $ | (10,820,000 | ) | $ | 90,833 | |||||||
| Goldman Sachs International | 15,436,191 | (15,436,191 | ) | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | 18,898,011 | 0 | (18,898,011 | ) | 0 | |||||||||||
| Societe Generale | 10,305,144 | (10,302,497 | ) | (2,648 | ) | 0 | ||||||||||
| UBS AG | 15,335,583 | 0 | (15,200,000 | ) | 135,583 | |||||||||||
| ProShares Ultra Euro | ||||||||||||||||
| Goldman Sachs International | (89,604 | ) | 89,604 | 0 | 0 | |||||||||||
| UBS AG | (73,082 | ) | 73,082 | 0 | 0 | |||||||||||
| ProShares Ultra Gold | ||||||||||||||||
| Citibank, N.A. | (2,550,199 | ) | 2,550,199 | 0 | 0 | |||||||||||
| Goldman Sachs International | (2,203,785 | ) | 2,203,785 | 0 | 0 | |||||||||||
| UBS AG | (2,652,880 | ) | 2,652,880 | 0 | 0 | |||||||||||
| ProShares Ultra Silver | ||||||||||||||||
| Citibank, N.A. | (28,588,785 | ) | 28,588,785 | 0 | 0 | |||||||||||
| Goldman Sachs International | (23,220,141 | ) | 23,220,141 | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | (21,635,372 | ) | 21,635,372 | 0 | 0 | |||||||||||
| UBS AG | (19,316,271 | ) | 19,316,271 | 0 | 0 | |||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
| Goldman Sachs & Co. | 7,933,765 | (7,933,765 | ) | 0 | 0 | |||||||||||
| ProShares Ultra Yen | ||||||||||||||||
| Goldman Sachs International | (34,487 | ) | 34,487 | 0 | 0 | |||||||||||
| UBS AG | (24,779 | ) | 24,779 | 0 | 0 | |||||||||||
| ProShares UltraShort Euro | ||||||||||||||||
| Goldman Sachs International | 1,000,511 | (970,612 | ) | 0 | 29,899 | |||||||||||
| UBS AG | 1,126,292 | 0 | (1,070,000 | ) | 56,292 | |||||||||||
| ProShares UltraShort Gold | ||||||||||||||||
| Citibank, N.A. | 340,577 | 0 | (340,577 | ) | 0 | |||||||||||
| Goldman Sachs International | 223,115 | (223,115 | ) | 0 | 0 | |||||||||||
| UBS AG | 266,431 | 0 | (266,431 | ) | 0 | |||||||||||
| ProShares UltraShort Silver | ||||||||||||||||
| Citibank, N.A. | 782,817 | 0 | (782,817 | ) | 0 | |||||||||||
| Goldman Sachs International | 1,036,372 | (1,036,372 | ) | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | 819,178 | 0 | (819,178 | ) | 0 | |||||||||||
| UBS AG | 1,452,143 | 0 | (1,452,143 | ) | 0 | |||||||||||
| ProShares UltraShort Yen | ||||||||||||||||
| Goldman Sachs International | 138,399 | 0 | 0 | 138,399 | ||||||||||||
| UBS AG | 363,175 | 0 | (363,175 | ) | 0 | |||||||||||
Fair Values of Derivative Instruments as of December 31, 2020 | ||||||||||||||||||||||||
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 | $ | 18,242,195 | $ | 0 | $ | 18,242,195 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
| ProShares Ultra Euro Foreign currency forward contracts | 89,103 | 0 | 89,103 | 367 | 0 | 367 | ||||||||||||||||||
| ProShares Ultra Gold Swap agreements | 5,140,980 | 0 | 5,140,980 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares Ultra Silver Swap agreements | 56,752,666 | 0 | 56,752,666 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF Swap agreements | 0 | 0 | 0 | 24,807 | 0 | 24,807 | ||||||||||||||||||
| ProShares Ultra Yen Foreign currency forward contracts | 67,235 | 0 | 67,235 | 148 | 0 | 148 | ||||||||||||||||||
| ProShares UltraShort Euro Foreign currency forward contracts | 5,705 | 0 | 5,705 | 1,142,409 | 0 | 1,142,409 | ||||||||||||||||||
| ProShares UltraShort Gold Swap agreements | 0 | 0 | 0 | 268,728 | 0 | 268,728 | ||||||||||||||||||
| ProShares UltraShort Silver Swap agreements | 0 | 0 | 0 | 3,197,561 | 0 | 3,197,561 | ||||||||||||||||||
| ProShares UltraShort Yen Foreign currency forward contracts | 7,008 | 0 | 7,008 | 571,974 | 0 | 571,974 | ||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 | ||||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021 | Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021 | |||||||||||||||||||||||||||||||
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 | 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. | $ | 9,839,441 | $ | — | $ | (9,839,441 | ) | $ | — | |||||||||||||||||||||||
| Goldman Sachs International | $ | 1,377,243 | $ | (1,281,309 | ) | $ | 0 | $ | 95,934 | 13,920,431 | (13,889,225 | ) | (31,206 | ) | — | |||||||||||||||||
Morgan Stanley & Co. Internatio n al PLC | 10,959,227 | 0 | (10,629,000 | ) | 330,227 | |||||||||||||||||||||||||||
| Morgan Stanley & Co. International PLC | 17,042,319 | — | (17,042,319 | ) | — | |||||||||||||||||||||||||||
| Societe Generale | 1,679,334 | (1,679,334 | ) | 0 | 0 | 9,295,046 | (9,292,398 | ) | (2,648 | ) | — | |||||||||||||||||||||
| UBS AG | 4,226,391 | (4,151,442 | ) | (6,270 | ) | 68,679 | 13,831,056 | — | (13,831,056) | — | ||||||||||||||||||||||
| ProShares Ultra Euro | ||||||||||||||||||||||||||||||||
| Goldman Sachs International | 22,950 | 0 | 0 | 22,950 | 10,301 | — | — | 10,301 | ||||||||||||||||||||||||
| UBS AG | 65,786 | 0 | 0 | 65,786 | 72,351 | — | — | 72,351 | ||||||||||||||||||||||||
| ProShares Ultra Gold | ||||||||||||||||||||||||||||||||
| Citibank, N.A. | 1,770,050 | 0 | (1,670,000 | ) | 100,050 | 2,974,490 | — | (2,100,000 | ) | 874,490 | ||||||||||||||||||||||
| Goldman Sachs International | 1,529,612 | (1,497,203 | ) | 0 | 32,409 | 2,570,443 | (1,877,749 | ) | (250 | ) | 692,444 | |||||||||||||||||||||
| UBS AG | 1,841,318 | 0 | 0 | 1,841,318 | 3,094,255 | — | (2,180,000 | ) | 914,255 | |||||||||||||||||||||||
| ProShares Ultra Silver | ||||||||||||||||||||||||||||||||
| Citibank, N.A. | 18,010,776 | 0 | (18,010,776 | ) | 0 | 10,785,304 | — | (7,890,000 | ) | 2,895,304 | ||||||||||||||||||||||
| Goldman Sachs International | 12,930,574 | (12,930,574 | ) | 0 | 0 | 10,781,897 | (8,181,572 | ) | (5,925 | ) | 2,594,400 | |||||||||||||||||||||
| Morgan Stanley & Co. International PLC | 12,353,706 | 0 | (12,353,706 | ) | 0 | 10,046,034 | — | (7,306,000 | ) | 2,740,034 | ||||||||||||||||||||||
| UBS AG | 13,457,610 | (4,126,610 | ) | (9,331,000 | ) | 0 | 8,978,464 | — | (6,570,000 | ) | 2,408,464 | |||||||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||
| Goldman Sachs & Co. | (24,807 | ) | 0 | 24,807 | 0 | (477,437 | ) | — | — | (477,437 | ) | |||||||||||||||||||||
| ProShares Ultra Yen | ||||||||||||||||||||||||||||||||
| Goldman Sachs International | 34,265 | 0 | 0 | 34,265 | (54,919 | ) | — | 54,919 | — | |||||||||||||||||||||||
| UBS AG | 32,822 | 0 | 0 | 32,822 | (38,193 | ) | — | — | (38,193 | ) | ||||||||||||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||
| Goldman Sachs International | (388,233 | ) | 0 | 388,233 | 0 | (83,325 | ) | 83,325 | — | — | ||||||||||||||||||||||
| UBS AG | (748,471 | ) | 748,471 | 0 | 0 | (124,716 | ) | 124,716 | — | — | ||||||||||||||||||||||
| ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||
| Citibank, N.A. | (80,068 | ) | 0 | 80,068 | 0 | (407,735 | ) | 407,735 | — | — | ||||||||||||||||||||||
| Goldman Sachs International | (82,645 | ) | 0 | 82,645 | 0 | (266,413 | ) | 266,413 | — | — | ||||||||||||||||||||||
| UBS AG | (106,015 | ) | 0 | 106,015 | 0 | (318,969 | ) | 318,969 | — | — | ||||||||||||||||||||||
| ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||
| Citibank, N.A. | (1,208,988 | ) | 0 | 1,208,988 | 0 | (367,632 | ) | 367,632 | — | — | ||||||||||||||||||||||
| Goldman Sachs International | (927,829 | ) | 0 | 927,829 | 0 | (486,710 | ) | 368,710 | 118,000 | — | ||||||||||||||||||||||
| Morgan Stanley & Co. International PLC | (579,421 | ) | 0 | 579,421 | 0 | (385,104 | ) | — | 385,104 | — | ||||||||||||||||||||||
| UBS AG | (481,323 | ) | 0 | 481,323 | 0 | (681,968 | ) | 681,968 | — | — | ||||||||||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||
| Goldman Sachs International | (207,021 | ) | 0 | 207,021 | 0 | 312,169 | (302,523 | ) | — | 9,646 | ||||||||||||||||||||||
| UBS AG | (357,945 | ) | 0 | 357,945 | 0 | 557,411 | — | (520,000 | ) | 37,411 | ||||||||||||||||||||||
Fund | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | ||||||||||||
| ProShares Short Euro | $ | 0 | $ | 0 | ||||||||||||
| ProShares Short VIX Short-Term Futures ETF | 75,629 | 139,978 | $ | 58,615 | $ | 118,759 | ||||||||||
| ProShares Ultra Bloomberg Crude Oil | 0 | 0 | — | — | ||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 0 | 0 | — | — | ||||||||||||
| ProShares Ultra Euro | 0 | 0 | — | — | ||||||||||||
| ProShares Ultra Gold | 0 | 0 | — | — | ||||||||||||
| ProShares Ultra Silver | 0 | 0 | — | — | ||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 908,895 | 2,277,545 | 956,110 | 2,182,872 | ||||||||||||
| ProShares Ultra Yen | 0 | 0 | — | — | ||||||||||||
| ProShares UltraShort Australian Dollar | 0 | 0 | ||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | 0 | 0 | — | — | ||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 0 | 0 | — | — | ||||||||||||
| ProShares UltraShort Euro | 0 | 0 | — | — | ||||||||||||
| ProShares UltraShort Gold | 0 | 0 | — | — | ||||||||||||
| ProShares UltraShort Silver | 0 | 0 | — | — | ||||||||||||
| ProShares UltraShort Yen | 0 | 0 | — | — | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 13,723 | 32,535 | 10,258 | 29,225 | ||||||||||||
| ProShares VIX Short-Term Futures ETF | 81,985 | 314,310 | 149,306 | 250,276 | ||||||||||||
Total Trust | $ | 1,080,232 | $ | 2,764,368 | ||||||||||||
Combined Trust: | $ | 1,174,289 | $ | 2,581,132 | ||||||||||||
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 43.18 | $ | 55.61 | $ | 78.24 | $ | 35.33 | $ | 14.67 | $ | 57.28 | ||||||||||||
| Net investment income (loss) | (0.10 | ) | (0.19 | ) | (0.20 | ) | (0.14 | ) | (0.03 | ) | (0.14 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 1.06 | (0.96 | ) | 6.43 | 48.28 | (0.72 | ) | (1.50 | ) | |||||||||||||||
| Change in net asset value from operations | 0.96 | (1.15 | ) | 6.23 | 48.14 | (0.75 | ) | (1.64 | ) | |||||||||||||||
| Net asset value, at September 30, 2021 | $ | 44.14 | $ | 54.46 | $ | 84.47 | $ | 83.47 | $ | 13.92 | $ | 55.64 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 43.14 | $ | 55.55 | $ | 78.23 | $ | 37.17 | $ | 14.66 | $ | 57.22 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 44.16 | $ | 54.39 | $ | 84.22 | $ | 82.30 | $ | 13.92 | $ | 55.59 | ||||||||||||
Total Return, at net asset value^ | 2.3 | % | (2.1 | )% | 8.0 | % | 136.3 | % | (5.1 | )% | (2.9 | )% | ||||||||||||
Total Return, at market value^ | 2.4 | % | (2.1 | )% | 7.7 | % | 121.4 | % | (5.1 | )% | (2.9 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.96 | % | 1.33 | % | 1.10 | % | 1.30 | % | 0.95 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.92 | )% | (1.32 | )% | (1.07 | )% | (1.25 | )% | (0.91 | )% | (0.97 | )% | ||||||||||||
For the Three Months Ended June 30, 2022 (unaudited) | For the Three Months Ended June 30, 2022 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | |||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 45.97 | $ | 27.91 | $ | 51.24 | $ | 46.09 | $ | 18.11 | $ | 21.55 | ||||||||||||||||||||||||||||||||
| Net asset value, at March 31, 2022 | $ | 54.55 | $ | 37.94 | $ | 56.06 | $ | 12.47 | $ | 66.99 | ||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.10 | ) | (0.11 | ) | (0.12 | ) | (0.12 | ) | (0.05 | ) | (0.05 | ) | (0.13 | ) | (0.07 | ) | (0.21 | ) | (0.02 | ) | (0.09 | ) | ||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | (14.16 | ) | (3.37 | ) | (0.29 | ) | 3.17 | (2.93 | ) | (14.48 | ) | (6.28 | ) | 3.74 | (16.32 | ) | (1.37 | ) | (10.44 | ) | ||||||||||||||||||||||||
| Change in net asset value from operations | (14.26 | ) | (3.48 | ) | (0.41 | ) | 3.05 | (2.98 | ) | (14.53 | ) | (6.41 | ) | 3.67 | (16.53 | ) | (1.39 | ) | (10.53 | ) | ||||||||||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 31.71 | $ | 24.43 | $ | 50.83 | $ | 49.14 | $ | 15.13 | $ | 7.02 | ||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2021 † | $ | 46.12 | $ | 27.98 | $ | 51.26 | $ | 45.96 | $ | 18.11 | $ | 20.44 | ||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2021 † | $ | 31.99 | $ | 24.55 | $ | 50.82 | $ | 49.16 | $ | 15.18 | $ | 7.12 | ||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 39.53 | $ | 11.08 | $ | 56.46 | ||||||||||||||||||||||||||||||||||
Market value per share, at March 31, 2022 † | $ | 54.56 | $ | 38.33 | $ | 56.31 | $ | 12.46 | $ | 66.14 | ||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 42.10 | $ | 11.11 | $ | 56.50 | ||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | (31.0 | )% | (12.5 | )% | (0.8 | )% | 6.6 | % | (16.5 | )% | (67.4 | )% | (11.8 | )% | 9 .7 | % | (29.5 | )% | (11.1 | )% | (15.7 | )% | ||||||||||||||||||||||
Total Return, at market value^ | (30.6 | )% | (12.3 | )% | (0.9 | )% | 7.0 | % | (16.2 | )% | (65.2 | )% | (11.6 | )% | 9 .2 | % | (25.2 | )% | (10.8 | )% | (14.6 | )% | ||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 1.00 | % | 1.71 | % | 0.95 | % | 1.05 | % | 1.17 | % | 1.35 | % | 1.21 | % | 1.01 | % | 1 .26 | % | 0.95 | % | 0 .98 | % | ||||||||||||||||||||||
| Net investment income gain (loss) | (0.97 | )% | (1.71 | )% | (0.91 | )% | (1.01 | )% | (1.14 | )% | (1.32 | )% | (1.00 | )% | (0.64 | )% | (1.01 | )% | (0.54 | )% | (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 |
| ^^ | The expense ratio would be |
For the Three Months Ended June 30, 2022 (unaudited) | For the Three Months Ended June 30, 2022 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | Ultra Silver | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil* | UltraShort Bloomberg Natural Gas* | |||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 23.81 | $ | 34.67 | $ | 23.37 | $ | 77.96 | $ | 30.51 | $ | 24.09 | ||||||||||||||||||||||||||||||||
| Net asset value, at March 31, 2022 | $ | 39.06 | $ | 13.50 | $ | 42.02 | $ | 29.17 | $ | 64.71 | ||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.06 | ) | (0.08 | ) | (0.07 | ) | (0.17 | ) | (0.08 | ) | (0.07 | ) | (0.05 | ) | (0.05 | ) | (0.05 | ) | (0.05 | ) | (0.08 | ) | ||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | 1.19 | 0.21 | 7.97 | 0.16 | 1.79 | (1.34 | ) | (14.23 | ) | 1.06 | (8.46 | ) | (6.08 | ) | (21.98 | ) | ||||||||||||||||||||||||||||
| Change in net asset value from operations | 1.13 | 0.13 | 7.90 | (0.01 | ) | 1.71 | (1.41 | ) | (14.28 | ) | 1.01 | (8.51 | ) | (6.13 | ) | (22.06 | ) | |||||||||||||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 24.94 | $ | 34.80 | $ | 31.27 | $ | 77.95 | $ | 32.22 | $ | 22.68 | ||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2021 † | $ | 23.82 | $ | 34.69 | $ | 23.28 | $ | 77.98 | $ | 30.54 | $ | 24.08 | ||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2021 † | $ | 24.93 | $ | 34.82 | $ | 30.97 | $ | 77.96 | $ | 32.31 | $ | 22.80 | ||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2022 | $ | 24.78 | $ | 14.51 | $ | 33.51 | $ | 23.04 | $ | 42.65 | ||||||||||||||||||||||||||||||||||
Market value per share, at March 31, 2022 † | $ | 38.53 | $ | 13.46 | $ | 42.09 | $ | 28.95 | $ | 64.56 | ||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2022 † | $ | 24.47 | $ | 14.53 | $ | 33.49 | $ | 22.93 | $ | 40.02 | ||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | 4.8 | % | 0.4 | % | 33.8 | % | (0.0 | )% @ | 5.6 | % | (5.8 | )% | (36.6 | )% | 7 .5 | % | (20.3 | )% | (21.0 | )% | (34.1 | )% | ||||||||||||||||||||||
Total Return, at market value^ | 4.7 | % | 0.4 | % | 33.0 | % | (0.0 | )% @ | 5.8 | % | (5.3 | )% | (36.5 | )% | 8 .0 | % | (20.4 | )% | (20.8 | )% | (38.0 | )% | ||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.04 | % | 1.17 | % | 0.98 | % | 1.53 | % | 0.95 | % | 1.14 | % | 1.36 | % | ||||||||||||||||||||||
| Net investment income gain (loss) | (0.91 | )% | (0.98 | )% | (1.07 | )% | (0.91 | )% | (1.01 | )% | (1.16 | )% | (0.61 | )% | (1.36 | )% | (0.59 | )% | (0.85 | )% | (1.14 | )% | ||||||||||||||||||||||
| * | 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 |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% |
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 45.73 | $ | 31.40 | $ | 28.59 | $ | 28.31 | $ | 13.56 | $ | 64.98 | ||||||||||||
| Net investment income (loss) | (0.11 | ) | (0.11 | ) | (0.10 | ) | (0.14 | ) | (0.03 | ) | (0.17 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (1.85 | ) | 4.08 | 0.25 | 6.19 | 1.13 | 4.05 | |||||||||||||||||
| Change in net asset value from operations | (1.96 | ) | 3.97 | 0.15 | 6.05 | 1.10 | 3.88 | |||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 43.77 | $ | 35.37 | $ | 28.74 | $ | 34.36 | $ | 14.66 | $ | 68.86 | ||||||||||||
Market value per share, at June 30, 2020 † | $ | 44.83 | $ | 31.50 | $ | 28.68 | $ | 28.36 | $ | 13.57 | $ | 64.83 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 43.28 | $ | 35.50 | $ | 28.45 | $ | 34.63 | $ | 14.64 | $ | 68.58 | ||||||||||||
Total Return, at net asset value^ | (4.3 | )% | 12.6 | % | 0.5 | % | 21.4 | % | 8.1 | % | 6.0 | % | ||||||||||||
Total Return, at market value^ | (3.5 | )% | 12.7 | % | (0.8 | )% | 22.1 | % | 7.9 | % | 5.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.98 | % | 1.36 | % | 1.32 | % | 1.61 | % | 0.96 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.95 | )% | (1.31 | )% | (1.31 | )% | (1.54 | )% | (0.93 | )% | (0.92 | )% | ||||||||||||
For the Three Months Ended June 30, 2022 (unaudited) | For the Three Months Ended June 30, 2022 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | UltraShort Silver | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 29.56 | $ | 329.28 | $ | 55.32 | $ | 56.14 | $ | 73.18 | $ | 67.21 | ||||||||||||||||||||||||||||||||||||
| Net asset value, at March 31, 2022 | $ | 27.30 | $ | 27.23 | $ | 21.45 | $ | 46.32 | $ | 31.45 | $ | 16.61 | ||||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.12 | ) | (0.97 | ) | (0.13 | ) | (0.13 | ) | (0.22 | ) | (0.16 | ) | (0.05 | ) | (0.05 | ) | (0.05 | ) | (0.09 | ) | (0.06 | ) | (0.04 | ) | ||||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | 12.81 | (126.77 | ) | 2.50 | (4.27 | ) | (6.50 | ) | (28.73 | ) | 3.13 | 4.37 | 10.34 | 10.83 | 3.90 | 1.65 | ||||||||||||||||||||||||||||||||
| Change in net asset value from operations | 12.69 | (127.74 | ) | 2.37 | (4.40 | ) | (6.72 | ) | (28.89 | ) | 3.08 | 4.32 | 10.29 | 10.74 | 3.84 | 1.61 | ||||||||||||||||||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 42.25 | $ | 201.54 | $ | 57.69 | $ | 51.74 | $ | 66.46 | $ | 38.32 | ||||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2020 † | $ | 29.33 | $ | 327.70 | $ | 55.31 | $ | 56.06 | $ | 73.00 | $ | 67.21 | ||||||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2020 † | $ | 41.77 | $ | 199.20 | $ | 57.69 | $ | 51.67 | $ | 67.08 | $ | 38.01 | ||||||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2022 | $ | 30.38 | $ | 31.55 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 18.22 | ||||||||||||||||||||||||||||||||||||
Market value per share, at March 31, 2022 † | $ | 27.31 | $ | 27.61 | $ | 21.78 | $ | 46.37 | $ | 31.50 | $ | 16.57 | ||||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2022 † | $ | 30.41 | $ | 31.59 | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 18.25 | ||||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | 42.9 | % | (38.8 | )% | 4.3 | % | (7.8 | )% | (9.2 | )% | (43.0 | )% | 11.3 | % | 15.9 | % | 48.0 | % | 23.2 | % | 12.2 | % | 9 .6 | % | ||||||||||||||||||||||||
Total Return, at market value^ | 42.4 | % | (39.2 | )% | 4.3 | % | (7.8 | )% | (8.1 | )% | (43.5 | )% | 11.4 | % | 14.4 | % | 47.8 | % | 23.2 | % | 12.3 | % | 10.1 | % | ||||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 1.04 | % | 1.67 | % | 0.96 | % | 1.03 | % | 1.39 | % | 1.77 | % | 0.95 | % | 0.99 | % | 1.06 | % | 0.95 | % | 0.96 | % | 1.16 | % | ||||||||||||||||||||||||
| Net investment income gain (loss) | (0.97 | )% | (1.64 | )% | (0.94 | )% | (1.01 | )% | (1.37 | )% | (1.71 | )% | (0.70 | )% | (0.74 | )% | (0.78 | )% | (0.68 | )% | (0.74 | )% | (0.94 | )% | ||||||||||||||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the 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 |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, |
For the Three Months Ended June 30, 2021 (unaudited) | For the Three Months Ended June 30, 2021 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | |||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 26.73 | $ | 35.46 | $ | 78.50 | $ | 74.60 | $ | 40.40 | $ | 111.70 | ||||||||||||||||||||||||||||||||
| Net asset value, at March 31, 2021 | $ | 47.13 | $ | 13.14 | $ | 21.31 | $ | 14.45 | $ | 54.32 | ||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.05 | ) | (0.08 | ) | (0.09 | ) | (0.16 | ) | (0.10 | ) | (0.26 | ) | (0.17 | ) | (0.04 | ) | (0.08 | ) | (0.03 | ) | (0.14 | ) | ||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | (2.19 | ) | (3.34 | ) | (39.64 | ) | (3.49 | ) | 0.69 | �� | (29.31 | ) | 8.65 | 6.46 | 14.10 | 0.25 | 3.10 | |||||||||||||||||||||||||||
| Change in net asset value from operations | (2.24 | ) | (3.42 | ) | (39.73 | ) | (3.65 | ) | 0.59 | (29.57 | ) | 8.48 | 6.42 | 14.02 | 0.22 | 2.96 | ||||||||||||||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 24.49 | $ | 32.04 | $ | 38.77 | $ | 70.95 | $ | 40.99 | $ | 82.13 | ||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2020 † | $ | 26.73 | $ | 35.57 | $ | 79.08 | $ | 74.58 | $ | 40.24 | $ | 111.04 | ||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2020 † | $ | 24.49 | $ | 32.19 | $ | 39.24 | $ | 70.93 | $ | 40.68 | $ | 81.64 | ||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 55.61 | $ | 19.56 | $ | 35.33 | $ | 14.67 | $ | 57.28 | ||||||||||||||||||||||||||||||||||
Market value per share, at March 31, 2021 † | $ | 47.10 | $ | 13.21 | $ | 21.20 | $ | 14.47 | $ | 53.91 | ||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2021 † | $ | 55.55 | $ | 19.56 | $ | 37.17 | $ | 14.66 | $ | 57.22 | ||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | (8.4 | )% | (9.7 | )% | (50.6 | )% | (4.9 | )% | 1.5 | % | (26.5 | )% | 18.0 | % | 48.9 | % | 65.8 | % | 1.6 | % | 5.5 | % | ||||||||||||||||||||||
Total Return, at market value^ | (8.4 | )% | (9.5 | )% | (50.4 | )% | (4.9 | )% | 1.1 | % | (26.5 | )% | 17.9 | % | 48.0 | % | 75.3 | % | 1.3 | % | 6.1 | % | ||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.03 | % | 1.11 | % | 0.96 | % | 1.07 | % | 1.20 | % | 1.37 | % | 1.13 | % | 1.42 | % | 0.95 | % | 0.99 | % | ||||||||||||||||||||||
| Net investment income gain (loss) | (0.85 | )% | (0.99 | )% | (1.07 | )% | (0.88 | )% | (1.01 | )% | (1.15 | )% | (1.35 | )% | (1.09 | )% | (1.35 | )% | (0.91 | )% | (0.95 | )% | ||||||||||||||||||||||
| * | 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 |
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
| Net asset value, at December 31, 2020 | $ | 41.92 | $ | 41.42 | $ | 36.38 | $ | 21.00 | $ | 15.79 | $ | 67.57 | ||||||||||||
| Net investment income (loss) | (0.29 | ) | (0.49 | ) | (0.49 | ) | (0.29 | ) | (0.10 | ) | (0.43 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 2.51 | 13.53 | 48.58 | 62.76 | (1.77 | ) | (11.50 | ) | ||||||||||||||||
| Change in net asset value from operations | 2.22 | 13.04 | 48.09 | 62.47 | (1.87 | ) | (11.93 | ) | ||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 44.14 | $ | 54.46 | $ | 84.47 | $ | 83.47 | $ | 13.92 | $ | 55.64 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 41.35 | $ | 41.44 | $ | 36.27 | $ | 21.07 | $ | 15.81 | $ | 68.20 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 44.16 | $ | 54.39 | $ | 84.22 | $ | 82.30 | $ | 13.92 | $ | 55.59 | ||||||||||||
Total Return, at net asset value^ | 5.2 | % | 31.5 | % | 132.2 | % | 297.6 | % | (11.9 | )% | (17.7 | )% | ||||||||||||
Total Return, at market value^ | 6.8 | % | 31.3 | % | 132.2 | % | 290.7 | % | (11.9 | )% | (18.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.35 | % | 1.11 | % | 1.47 | % | 0.95 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.91 | )% | (1.33 | )% | (1.07 | )% | (1.41 | )% | (0.90 | )% | (0.97 | )% | ||||||||||||
| ^^ | The expense ratio would be |
For the Three Months Ended June 30, 2021 (unaudited) | For the Three Months Ended June 30, 2021 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas* | |||||||||||||||||||||||||||||||||
| Net asset value, at December 31, 2020 | $ | 50.71 | $ | 106.68 | $ | 59.83 | $ | 44.45 | $ | 46.45 | $ | 47.59 | ||||||||||||||||||||||||||||||||
| Net asset value, at March 31, 2021 | $ | 41.35 | $ | 56.32 | $ | 51.78 | $ | 143.99 | $ | 782.71 | ||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.33 | ) | (0.59 | ) | (0.36 | ) | (0.34 | ) | (0.21 | ) | (0.23 | ) | (0.12 | ) | (0.17 | ) | (0.12 | ) | (0.31 | ) | (2.47 | ) | ||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | (18.67 | ) | (81.66 | ) | (8.64 | ) | 5.03 | (31.11 | ) | (40.34 | ) | 4.74 | (28.24 | ) | (0.42 | ) | (53.12 | ) | (349.17 | ) | ||||||||||||||||||||||||
| Change in net asset value from operations | (19.00 | ) | (82.25 | ) | (9.00 | ) | 4.69 | (31.32 | ) | (40.57 | ) | 4.62 | (28.41 | ) | (0.54 | ) | (53.43 | ) | (351.64 | ) | ||||||||||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 31.71 | $ | 24.43 | $ | 50.83 | $ | 49.14 | $ | 15.13 | $ | 7.02 | ||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2020 † | $ | 51.28 | $ | 106.50 | $ | 59.82 | $ | 43.89 | $ | 46.56 | $ | 47.38 | ||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2021 † | $ | 31.99 | $ | 24.55 | $ | 50.82 | $ | 49.16 | $ | 15.18 | $ | 7.12 | ||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 45.97 | $ | 27.91 | $ | 51.24 | $ | 90.56 | $ | 431.07 | ||||||||||||||||||||||||||||||||||
Market value per share, at March 31, 2021 † | $ | 41.10 | $ | 56.50 | $ | 51.78 | $ | 143.00 | $ | 786.40 | ||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2021 † | $ | 46.12 | $ | 27.98 | $ | 51.26 | $ | 90.55 | $ | 408.80 | ||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | (37.5 | )% | (77.1 | )% | (15.0 | )% | 10.6 | % | (67.4 | )% | (85.3 | )% | 11.2 | % | (50.5 | )% | (1.1 | )% | (37.1 | )% | (44.9 | )% | ||||||||||||||||||||||
Total Return, at market value^ | (37.6 | )% | (77.0 | )% | (15.1 | )% | 12.0 | % | (67.4 | )% | (85.0 | )% | 12.2 | % | (50.5 | )% | (1.0 | )% | (36.7 | )% | (48.0 | )% | ||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 1.03 | % | 1.75 | % | 0.95 | % | 1.04 | % | 1.24 | % | 1.49 | % | 1.00 | % | 1.73 | % | 0.95 | % | 1.19 | % | 1.60 | % | ||||||||||||||||||||||
| Net investment income gain (loss) | (0.98 | )% | (1.71 | )% | (0.90 | )% | (0.99 | )% | (1.18 | )% | (1.45 | )% | (0.96 | )% | (1.65 | )% | (0.90 | )% | (1.10 | )% | (1.56 | )% | ||||||||||||||||||||||
| * | 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 |
| ^^ | The expense ratio would be |
For the Three Months Ended June 30, 2021 (unaudited) | For the Three Months Ended June 30, 2021 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||||||||||||||||||||
| Net asset value, at December 31, 2020 | $ | 22.53 | $ | 31.43 | $ | 27.73 | $ | 67.83 | $ | 36.73 | $ | 55.03 | ||||||||||||||||||||||||||||||||||||
| Net asset value, at March 31, 2021 | $ | 24.41 | $ | 37.60 | $ | 27.92 | $ | 38.86 | $ | 34.74 | $ | 37.29 | ||||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.16 | ) | (0.25 | ) | (0.20 | ) | (0.50 | ) | (0.25 | ) | (0.28 | ) | (0.05 | ) | (0.08 | ) | (0.06 | ) | (0.09 | ) | (0.08 | ) | (0.09 | ) | ||||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | 2.57 | 3.62 | 3.74 | 10.62 | (4.26 | ) | (32.07 | ) | (0.55 | ) | (2.85 | ) | (4.49 | ) | 0.21 | (4.15 | ) | (13.11 | ) | |||||||||||||||||||||||||||||
| Change in net asset value from operations | 2.41 | 3.37 | 3.54 | 10.12 | (4.51 | ) | (32.35 | ) | (0.60 | ) | (2.93 | ) | (4.55 | ) | 0.12 | (4.23 | ) | (13.20 | ) | |||||||||||||||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 24.94 | $ | 34.80 | $ | 31.27 | $ | 77.95 | $ | 32.22 | $ | 22.68 | ||||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2020 † | $ | 22.52 | $ | 31.14 | $ | 27.40 | $ | 67.81 | $ | 36.70 | $ | 54.96 | ||||||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2021 † | $ | 24.93 | $ | 34.82 | $ | 30.97 | $ | 77.96 | $ | 32.31 | $ | 22.80 | ||||||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 23.81 | $ | 34.67 | $ | 23.37 | $ | 38.98 | $ | 30.51 | $ | 24.09 | ||||||||||||||||||||||||||||||||||||
Market value per share, at March 31, 2021 † | $ | 24.42 | $ | 37.89 | $ | 28.04 | $ | 38.88 | $ | 35.06 | $ | 37.40 | ||||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2021 † | $ | 23.82 | $ | 34.69 | $ | 23.28 | $ | 38.99 | $ | 30.54 | $ | 24.08 | ||||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | 10.7 | % | 10.7 | % | 12.8 | % | 14.9 | % | (12.3 | )% | (58.8 | )% | (2.5 | )% | (7.8 | )% | (16.3 | )% | 0.3 | % | (12.2 | )% | (35.6 | )% | ||||||||||||||||||||||||
Total Return, at market value^ | 10.7 | % | 11.8 | % | 13.0 | % | 15.0 | % | (12.0 | )% | (58.5 | )% | (2.5 | )% | (8.4 | )% | (17.0 | )% | 0.3 | % | (12.9 | )% | (35.4 | )% | ||||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.03 | % | 1.10 | % | 0.95 | % | 1.05 | % | 1.23 | % | 0.95 | % | 1.01 | % | 1.05 | % | 0.95 | % | 1.07 | % | 1.19 | % | ||||||||||||||||||||||||
| Net investment income gain (loss) | (0.90 | )% | (0.99 | )% | (1.07 | )% | (0.90 | )% | (1.01 | )% | (1.19 | )% | (0.90 | )% | (0.96 | )% | (1.02 | )% | (0.90 | )% | (1.03 | )% | (1.14 | )% | ||||||||||||||||||||||||
| * | 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 |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short Euro | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | ||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||
| Net investment income (loss) | (0.18 | ) | (0.28 | ) | (0.25 | ) | (0.35 | ) | (0.05 | ) | (0.28 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (1.69 | ) | (29.97 | ) | (480.24 | ) | (49.26 | ) | 0.92 | 19.93 | ||||||||||||||
| Change in net asset value from operations | (1.87 | ) | (30.25 | ) | (480.49 | ) | (49.61 | ) | 0.87 | 19.65 | ||||||||||||||
| Net asset value, at September 30, 2020 | $ | 43.77 | $ | 35.37 | $ | 28.74 | $ | 34.36 | $ | 14.66 | $ | 68.86 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 43.28 | $ | 35.50 | $ | 28.45 | $ | 34.63 | $ | 14.64 | $ | 68.58 | ||||||||||||
Total Return, at net asset value^ | (4.1 | )% | (46.1 | )% | (94.4 | )% | (59.1 | )% | 6.3 | % | 39.9 | % | ||||||||||||
Total Return, at market value^ | (5.3 | )% | (45.6 | )% | (94.4 | )% | (58.5 | )% | 6.3 | % | 39.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.31 | % | 1.35 | % | 1.60 | % | 0.95 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.52 | )% | (1.07 | )% | (1.10 | )% | (1.12 | )% | (0.49 | )% | (0.59 | )% | ||||||||||||
For the Six Months Ended June 30, 2022 (unaudited) | For the Six Months Ended June 30, 2022 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | |||||||||||||||||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 31.70 | $ | 126.74 | $ | 55.83 | $ | 56.09 | $ | 48.77 | $ | 38.53 | ||||||||||||||||||||||||||||||||
| Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 25.55 | $ | 13.32 | $ | 59.69 | ||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.17 | ) | (2.43 | ) | (0.22 | ) | (0.26 | ) | (0.86 | ) | (0.52 | ) | (0.29 | ) | (0.15 | ) | (0.29 | ) | (0.04 | ) | (0.22 | ) | ||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | 10.72 | 77.23 | 2.08 | (4.09 | ) | 18.55 | 0.31 | (13.13 | ) | 20.22 | 14.27 | (2.20 | ) | (3.01 | ) | |||||||||||||||||||||||||||||
| Change in net asset value from operations | 10.55 | 74.80 | 1.86 | (4.35 | ) | 17.69 | (0.21 | ) | (13.42 | ) | 20.07 | 13.98 | (2.24 | ) | (3.23 | ) | ||||||||||||||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 42.25 | $ | 201.54 | $ | 57.69 | $ | 51.74 | $ | 66.46 | $ | 38.32 | ||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2019 † | $ | 31.65 | $ | 128.90 | $ | 55.83 | $ | 55.88 | $ | 48.60 | $ | 38.82 | ||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2020 † | $ | 41.77 | $ | 199.20 | $ | 57.69 | $ | 51.67 | $ | 67.08 | $ | 38.01 | ||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 39.53 | $ | 11.08 | $ | 56.46 | ||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 26.09 | $ | 13.33 | $ | 59.81 | ||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 42.10 | $ | 11.11 | $ | 56.50 | ||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | 33.3 | % | 59.0 | % | 3.3 | % | (7.8 | )% | 36.3 | % | (0.5 | )% | (21.8 | )% | 93.2 | % | 54.7 | % | (16.8 | )% | (5.4 | )% | ||||||||||||||||||||||
Total Return, at market value^ | 32.0 | % | 54.5 | % | 3.3 | % | (7.5 | )% | 38.0 | % | (2.1 | )% | (21.7 | )% | 92.9 | % | 61.4 | % | (16.7 | )% | (5.5 | )% | ||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 1.03 | % | 1.61 | % | 0.95 | % | 1.04 | % | 1.70 | % | 1.88 | % | 1.28 | % | 1.05 | % | 1.29 | % | 0.95 | % | 0.99 | % | ||||||||||||||||||||||
| Net investment income gain (loss) | (0.62 | )% | (1.34 | )% | (0.54 | )% | (0.58 | )% | (1.39 | )% | (1.64 | )% | (1.12 | )% | (0.82 | )% | (1.10 | )% | (0.65 | )% | (0.71 | )% | ||||||||||||||||||||||
| * | 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 |
| ^^ | The expense ratio would be |
For the Six Months Ended June 30, 2022 (unaudited) | For the Six Months Ended June 30, 2022 (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | |||||||||||||||||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 26.80 | $ | 53.02 | $ | 107.04 | $ | 76.37 | $ | 21.27 | $ | 49.19 | ||||||||||||||||||||||||||||||||
| Net asset value, at December 31, 2021 | $ | 34.84 | $ | 12.41 | $ | 47.29 | $ | 64.26 | $ | 247.40 | ||||||||||||||||||||||||||||||||||
| Net investment income (loss) | (0.05 | ) | (0.15 | ) | (0.29 | ) | (0.19 | ) | (0.16 | ) | (0.34 | ) | (0.13 | ) | (0.11 | ) | (0.13 | ) | (0.12 | ) | (0.31 | ) | ||||||||||||||||||||||
| Net realized and unrealized gain (loss)# | (2.26 | ) | (20.83 | ) | (67.98 | ) | (5.23 | ) | 19.88 | 33.28 | (9.93 | ) | 2.21 | (13.65 | ) | (41.10 | ) | (204.44 | ) | |||||||||||||||||||||||||
| Change in net asset value from operations | (2.31 | ) | (20.98 | ) | (68.27 | ) | (5.42 | ) | 19.72 | 32.94 | (10.06 | ) | 2.10 | (13.78 | ) | (41.22 | ) | (204.75 | ) | |||||||||||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 24.49 | $ | 32.04 | $ | 38.77 | $ | 70.95 | $ | 40.99 | $ | 82.13 | ||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2019 † | $ | 26.80 | $ | 53.21 | $ | 107.20 | $ | 76.35 | $ | 21.29 | $ | 49.72 | ||||||||||||||||||||||||||||||||
Market value per share, at September 30, 2020 † | $ | 24.49 | $ | 32.19 | $ | 39.24 | $ | 70.93 | $ | 40.68 | $ | 81.64 | ||||||||||||||||||||||||||||||||
| Net asset value, at June 30, 2022 | $ | 24.78 | $ | 14.51 | $ | 33.51 | $ | 23.04 | $ | 42.65 | ||||||||||||||||||||||||||||||||||
Market value per share, at December 31, 2021 † | $ | 34.74 | $ | 12.43 | $ | 47.29 | $ | 63.75 | $ | 242.20 | ||||||||||||||||||||||||||||||||||
Market value per share, at June 30, 2022 † | $ | 24.47 | $ | 14.53 | $ | 33.49 | $ | 22.93 | $ | 40.02 | ||||||||||||||||||||||||||||||||||
Total Return, at net asset value^ | (8.6 | )% | (39.6 | )% | (63.8 | )% | (7.1 | )% | 92.8 | % | 67.0 | % | (28.9 | )% | 17.0 | % | (29.2 | )% | (64.2 | )% | (82.8 | )% | ||||||||||||||||||||||
Total Return, at market value^ | (8.6 | )% | (39.5 | )% | (63.4 | )% | (7.1 | )% | 91.1 | % | 64.2 | % | (29.6 | )% | 16.9 | % | (29.2 | )% | (64.0 | )% | (83.5 | )% | ||||||||||||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.06 | % | 1.17 | % | 0.98 | % | 1.65 | % | 0.95 | % | 1.18 | % | 1.47 | % | ||||||||||||||||||||||
| Net investment income gain (loss) | (0.23 | )% | (0.54 | )% | (0.79 | )% | (0.33 | )% | (0.63 | )% | (0.57 | )% | (0.75 | )% | (1.53 | )% | (0.67 | )% | (0.95 | )% | (1.30 | )% | ||||||||||||||||||||||
| * | 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 |
| ^^ | The expense ratio would be 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. |
For the Six Months Ended June 30, 2022 (unaudited) | ||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at December 31, 2021 | $ | 25.84 | $ | 31.71 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 15.12 | ||||||||||||
| Net investment income (loss) | (0.11 | ) | (0.12 | ) | (0.11 | ) | (0.17 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 4.65 | (0.04 | ) | 5.08 | 15.73 | 4.82 | 3.19 | |||||||||||||||||
| Change in net asset value from operations | 4.54 | (0.16 | ) | 4.97 | 15.56 | 4.68 | 3.10 | |||||||||||||||||
| Net asset value, at June 30, 2022 | $ | 30.38 | $ | 31.55 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 18.22 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 25.86 | $ | 31.66 | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 15.17 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 30.41 | $ | 31.59 | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 18.25 | ||||||||||||
Total Return, at net asset value^ | 17.5 | % | (0.5 | )% | 18.6 | % | 37.5 | % | 15.3 | % | 20.4 | % | ||||||||||||
Total Return, at market value^ | 17.6 | % | (0.2 | )% | 19.9 | % | 37.7 | % | 15.7 | % | 20.3 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.00 | % | 1.07 | % | 0.95 | % | 1.02 | % | 1.20 | % | ||||||||||||
| Net investment income gain (loss) | (0.75 | )% | (0.81 | )% | (0.86 | )% | (0.72 | )% | (0.87 | )% | (1.04 | )% | ||||||||||||
| * | 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 June 30, 2022. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
For the Six Months Ended June 30, 2021 (unaudited) | ||||||||||||||||||||
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | |||||||||||||||
| Net asset value, at December 31, 2020 | $ | 41.42 | $ | 9.10 | $ | 21.00 | $ | 15.79 | $ | 67.57 | ||||||||||
| Net investment income (loss) | (0.31 | ) | (0.07 | ) | (0.17 | ) | (0.07 | ) | (0.29 | ) | ||||||||||
| Net realized and unrealized gain (loss)# | 14.50 | 10.53 | 14.50 | (1.05 | ) | (10.00 | ) | |||||||||||||
| Change in net asset value from operations | 14.19 | 10.46 | 14.33 | (1.12 | ) | (10.29 | ) | |||||||||||||
| Net asset value, at June 30, 2021 | $ | 55.61 | $ | 19.56 | $ | 35.33 | $ | 14.67 | $ | 57.28 | ||||||||||
Market value per share, at December 31, 2020 † | $ | 41.44 | $ | 9.07 | $ | 21.07 | $ | 15.81 | $ | 68.20 | ||||||||||
Market value per share, at June 30, 2021 † | $ | 55.55 | $ | 19.56 | $ | 37.17 | $ | 14.66 | $ | 57.22 | ||||||||||
Total Return, at net asset value^ | 34.3 | % | 115.0 | % | 68.3 | % | (7.1 | )% | (15.2 | )% | ||||||||||
Total Return, at market value^ | 34.1 | % | 115.7 | % | 76.4 | % | (7.3 | )% | (16.1 | )% | ||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||
| Expense ratio^^ | 1.36 | % | 1.11 | % | 1.53 | % | 0.95 | % | 1.01 | % | ||||||||||
| Net investment income gain (loss) | (1.33 | )% | (1.06 | )% | (1.47 | )% | (0.90 | )% | (0.96 | )% | ||||||||||
| * | 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 June 30, 2021. |
| ^^ | The expense ratio would be 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. |
For the Six Months Ended June 30, 2021 (unaudited) | ||||||||||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | |||||||||||||||
| Net asset value, at December 31, 2020 | $ | 50.71 | $ | 106.68 | $ | 59.83 | $ | 232.23 | $ | 951.82 | ||||||||||
| Net investment income (loss) | (0.24 | ) | (0.55 | ) | (0.25 | ) | (0.81 | ) | (5.26 | ) | ||||||||||
| Net realized and unrealized gain (loss)# | (4.50 | ) | (78.22 | ) | (8.34 | ) | (140.86 | ) | (515.49 | ) | ||||||||||
| Change in net asset value from operations | (4.74 | ) | (78.77 | ) | (8.59 | ) | (141.67 | ) | (520.75 | ) | ||||||||||
| Net asset value, at June 30, 2021 | $ | 45.97 | $ | 27.91 | $ | 51.24 | $ | 90.56 | $ | 431.07 | ||||||||||
Market value per share, at December 31, 2020 † | $ | 51.28 | $ | 106.50 | $ | 59.82 | $ | 232.80 | $ | 947.60 | ||||||||||
Market value per share, at June 30, 2021 † | $ | 46.12 | $ | 27.98 | $ | 51.26 | $ | 90.55 | $ | 408.80 | ||||||||||
Total Return, at net asset value^ | (9.4 | )% | (73.8 | )% | (14.4 | )% | (61.0 | )% | (54.7 | )% | ||||||||||
Total Return, at market value^ | (10.1 | )% | (73.7 | )% | (14.3 | )% | (61.1 | )% | (56.9 | )% | ||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||
| Expense ratio^^ | 1.04 | % | 1.76 | % | 0.95 | % | 1.27 | % | 1.60 | % | ||||||||||
| Net investment income gain (loss) | (0.99 | )% | (1.71 | )% | (0.90 | )% | (1.20 | )% | (1.56 | )% | ||||||||||
| * | 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 June 30, 2021. |
| ^^ | The expense ratio would be 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. |
For the Six Months Ended June 30, 2021 (unaudited) | ||||||||||||||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at December 31, 2020 | $ | 22.53 | $ | 31.43 | $ | 27.73 | $ | 33.91 | $ | 36.73 | $ | 55.03 | ||||||||||||
| Net investment income (loss) | (0.10 | ) | (0.17 | ) | (0.13 | ) | (0.16 | ) | (0.18 | ) | (0.23 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 1.38 | 3.41 | (4.23 | ) | 5.22 | (6.04 | ) | (30.71 | ) | |||||||||||||||
| Change in net asset value from operations | 1.28 | 3.24 | (4.36 | ) | 5.06 | (6.22 | ) | (30.94 | ) | |||||||||||||||
| Net asset value, at June 30, 2021 | $ | 23.81 | $ | 34.67 | $ | 23.37 | $ | 38.98 | $ | 30.51 | $ | 24.09 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 22.52 | $ | 31.14 | $ | 27.40 | $ | 33.91 | $ | 36.70 | $ | 54.96 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 23.82 | $ | 34.69 | $ | 23.28 | $ | 38.99 | $ | 30.54 | $ | 24.08 | ||||||||||||
Total Return, at net asset value^ | 5.7 | % | 10.3 | % | (15.7 | )% | 15.0 | % | (16.9 | )% | (56.2 | )% | ||||||||||||
Total Return, at market value^ | 5.8 | % | 11.4 | % | (15.0 | )% | 14.9 | % | (16.8 | )% | (56.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.04 | % | 1.10 | % | 0.95 | % | 1.05 | % | 1.25 | % | ||||||||||||
| Net investment income gain (loss) | (0.90 | )% | (0.99 | )% | (1.07 | )% | (0.90 | )% | (1.00 | )% | (1.21 | )% | ||||||||||||
| * | 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 June 30, 2021. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 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. |
Fund | Interest Income Three Months Ended September 30, 2021 | Interest Income Three Months Ended September 30, 2020 | Interest Income Nine Months Ended September 30, 2021 | Interest Income Nine Months Ended September 30, 2020 | ||||||||||||
ProShares Short Euro | $ | 269 | $ | 127 | $ | 1,175 | $ | 7,776 | ||||||||
ProShares Short VIX Short-Term Futures ETF | 8,152 | 53,301 | 75,729 | 909,185 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 86,370 | 50,356 | 365,778 | 1,817,563 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 7,355 | 15,347 | 32,714 | 191,160 | ||||||||||||
ProShares Ultra Euro | 393 | 357 | 1,415 | 16,350 | ||||||||||||
ProShares Ultra Gold | 14,338 | 59,354 | 70,259 | 543,895 | ||||||||||||
ProShares Ultra Silver | 44,511 | 103,976 | 208,169 | 1,018,578 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 11,979 | 88,621 | 328,504 | 1,601,884 | ||||||||||||
ProShares Ultra Yen | 260 | 171 | 923 | 9,100 | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF* | — | — | — | 346,326 | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF* | — | — | — | 166,789 | ||||||||||||
ProShares UltraShort Australian Dollar | 443 | 289 | 961 | 20,385 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 6,891 | 4,832 | 36,069 | 259,750 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 9,879 | 8,136 | 25,512 | 51,939 | ||||||||||||
ProShares UltraShort Euro | 5,008 | 18,939 | 17,814 | 486,623 | ||||||||||||
ProShares UltraShort Gold | 3,075 | 1,831 | 9,213 | 65,111 | ||||||||||||
ProShares UltraShort Silver | 3,100 | 3,192 | 8,895 | 48,379 | ||||||||||||
ProShares UltraShort Yen | 2,392 | 5,085 | 9,558 | 136,411 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 8,914 | 13,590 | 27,487 | 199,491 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 11,739 | 34,770 | 91,187 | 1,117,617 | ||||||||||||
Fund | Interest Income Three Months Ended June 30, 2022 | Interest Income Three Months Ended June 30, 2021 | Interest Income Six Months Ended June 30, 2022 | Interest Income Six Months Ended June 30, 2021 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | 225,134 | 33,687 | 319,477 | 67,577 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 1,264,011 | 111,333 | 1,572,891 | 279,408 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 146,470 | 11,544 | 186,051 | 25,359 | ||||||||||||
ProShares Ultra Euro | 6,522 | 438 | 11,109 | 1,022 | ||||||||||||
ProShares Ultra Gold | 319,154 | 20,094 | 414,267 | 55,921 | ||||||||||||
ProShares Ultra Silver | 421,514 | 65,529 | 561,963 | 163,658 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 430,670 | 202,556 | 525,931 | 316,525 | ||||||||||||
ProShares Ultra Yen | 3,064 | 307 | 3,937 | 663 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 289,299 | 18,343 | 343,206 | 29,178 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 122,188 | 7,750 | 178,013 | 15,633 | ||||||||||||
ProShares UltraShort Euro | 39,011 | 5,640 | 54,416 | 12,806 | ||||||||||||
ProShares UltraShort Gold | 19,975 | 3,176 | 29,660 | 6,138 | ||||||||||||
ProShares UltraShort Silver | 18,743 | 2,678 | 27,663 | 5,795 | ||||||||||||
ProShares UltraShort Yen | 26,913 | 3,570 | 36,312 | 7,166 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 52,826 | 8,349 | 76,749 | 18,573 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 207,903 | 40,988 | 278,612 | 79,448 |
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 2,159,102 | $ | 2,286,467 | $ | 495,588,849 | $ | 527,130,851 | ||||||||
NAV end of period | $ | 2,206,818 | $ | 2,188,644 | $ | 403,644,956 | $ | 588,615,946 | ||||||||
Percentage change in NAV | 2.2 | % | (4.3 | )% | (18.6 | )% | 11.7 | % | ||||||||
Shares outstanding beginning of period | 50,000 | 50,000 | 9,084,307 | 11,184,307 | ||||||||||||
Shares outstanding end of period | 50,000 | 50,000 | 8,384,307 | 10,584,307 | ||||||||||||
Percentage change in shares outstanding | — | % | — | % | (7.7 | )% | (5.4 | )% | ||||||||
Shares created | — | — | 1,600,000 | 450,000 | ||||||||||||
Shares redeemed | — | — | 2,300,000 | 1,050,000 | ||||||||||||
Per share NAV beginning of period | $ | 43.18 | $ | 45.73 | $ | 54.55 | $ | 47.13 | ||||||||
Per share NAV end of period | $ | 44.14 | $ | 43.77 | $ | 48.14 | $ | 55.61 | ||||||||
Percentage change in per share NAV | 2.3 | % | (4.3 | )% | (11.8 | )% | 18.0 | % | ||||||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | 10.3 | % | (35.2 | )% | ||||||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | 90.4 | % | 70.4 | % | ||||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (5,003 | ) | $ | (5,267 | ) | $ | (1,094,000 | ) | $ | (1,865,757 | ) | ||||
Management fee | 5,193 | 5,247 | 1,034,361 | 1,317,153 | ||||||||||||
Brokerage commission | 79 | 82 | 177,552 | 253,949 | ||||||||||||
Non-recurring fees and expenses | — | 65 | ||||||||||||||
Futures account fees | 107,221 | 328,342 | ||||||||||||||
Net realized gain (loss) | 57,489 | (77,567 | ) | (13,105,212 | ) | 109,337,017 | ||||||||||
Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | (34,507,780 | ) | (13,308,130 | ) | ||||||||
Net Income (loss) | $ | 47,716 | $ | (97,823 | ) | $ | (48,706,992 | ) | $ | 94,163,130 | ||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 588,615,946 | $ | 509,811,853 | $ | 1,336,980,685 | $ | 1,088,579,093 | ||||||||
NAV end of period | $ | 388,523,845 | $ | 335,465,066 | $ | 1,060,867,238 | $ | 1,303,530,902 | ||||||||
Percentage change in NAV | (34.0 | )% | (34.2 | )% | (20.7 | )% | 19.7 | % | ||||||||
Shares outstanding beginning of period | 10,584,307 | 16,234,307 | 35,243,096 | 82,843,096 | ||||||||||||
Shares outstanding end of period | 7,134,307 | 9,484,307 | 25,493,096 | 66,643,096 | ||||||||||||
Percentage change in shares outstanding | (32.6 | )% | (41.6 | )% | (27.7 | )% | (19.6 | )% | ||||||||
Shares created | 550,000 | — | 1,700,000 | 4,200,000 | ||||||||||||
Shares redeemed | 4,000,000 | 6,750,000 | 11,450,000 | 20,400,000 | ||||||||||||
Per share NAV beginning of period | $ | 55.61 | $ | 31.40 | $ | 37.94 | $ | 13.14 | ||||||||
Per share NAV end of period | $ | 54.46 | $ | 35.37 | $ | 41.61 | $ | 19.56 | ||||||||
Percentage change in per share NAV | (2.1 | )% | 12.6 | % | 9.7 | % | 48.9 | % | ||||||||
Percentage change in benchmark | (5,6 | )% | (26.3 | )% | 6.8 | % | 23.1 | % | ||||||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | 37.5 | % | 23.9 | % | ||||||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (2,084,704 | ) | $ | (3,210,719 | ) | ||
Management fee | 3,098,904 | 2,794,292 | ||||||
Brokerage commission | 140,210 | 210,012 | ||||||
Futures account fees | 109,601 | 317,748 | ||||||
Net realized gain (loss) | 363,291,439 | 320,505,659 | ||||||
Change in net unrealized appreciation (depreciation) | (211,544,109 | ) | 157,919,139 | |||||
Net Income (loss) | $ | 149,662,626 | $ | 475,214,079 | ||||
| * | See Note 1 of the Notes to Financial Statements in item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil. |
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 145,069,486 | $ | 74,307,070 | ||||
NAV end of period | $ | 187,297,842 | $ | 70,213,227 | ||||
Percentage change in NAV | 29.1 | % | (5.5 | )% | ||||
Shares outstanding beginning of period | 2,587,527 | 3,487,527 | ||||||
Shares outstanding end of period | 4,737,527 | 1,987,527 | ||||||
Percentage change in shares outstanding | 83.1 | % | (43.0 | )% | ||||
Shares created | 6,500,000 | 650,000 | ||||||
Shares redeemed | 4,350,000 | 2,150,000 | ||||||
Per share NAV beginning of period | $ | 56.06 | $ | 21.31 | ||||
Per share NAV end of period | $ | 39.53 | $ | 35.33 | ||||
Percentage change in per share NAV | (29.5 | )% | 65.8 | % | ||||
Percentage change in benchmark | (6.0 | )% | 30.3 | % | ||||
Benchmark annualized volatility | 37.5 | % | 27.8 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (1,466,273 | ) | $ | (1,544,734 | ) | ||
Management fee | 1,055,823 | 1,116,999 | ||||||
Brokerage commission | 208,885 | 167,648 | ||||||
Non-recurring fees and expenses | — | 22,038 | ||||||
Net realized gain (loss) | 34,572,603 | 60,593,305 | ||||||
Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | ||||
Net Income (loss) | $ | (10,243,514 | ) | $ | 57,585,172 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 1,303,530,902 | $ | 1,508,661,459 | ||||
NAV end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | ||||
Percentage change in NAV | (16.3 | )% | (20.7 | )% | ||||
Shares outstanding beginning of period | 16,660,774 | 52,760,774 | ||||||
Shares outstanding end of period | 12,910,774 | 41,610,774 | ||||||
Percentage change in shares outstanding | (22.5 | )% | (21.1 | )% | ||||
Shares created | 950,000 | 21,500,000 | ||||||
Shares redeemed | 4,700,000 | 32,650,000 | ||||||
Per share NAV beginning of period | $ | 78.24 | $ | 28.59 | ||||
Per share NAV end of period | $ | 84.47 | $ | 28.74 | ||||
Percentage change in per share NAV | 8.0 | % | 0.5 | % | ||||
Percentage change in benchmark | 5.4 | % | 2.6 | % | ||||
Benchmark annualized volatility | 30.9 | % | 26.3 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (3,130,493 | ) | $ | (4,420,342 | ) | ||
Management fee | 2,775,351 | 3,210,517 | ||||||
Brokerage commission | 198,498 | 600,233 | ||||||
Non-recurring fees and expenses | 27,500 | 24,637 | ||||||
Net realized gain (loss) | 106,325,821 | 285,954,263 | ||||||
Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | ||||
Net Income (loss) | $ | 86,316,740 | $ | 48,903,635 | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 70,213,227 | $ | 50,599,783 | ||||
NAV end of period | $ | 145,038,381 | $ | 99,203,762 | ||||
Percentage change in NAV | 106.6 | % | 96.1 | % | ||||
Shares outstanding beginning of period | 1,987,527 | 1,787,527 | ||||||
Shares outstanding end of period | 1,737,527 | 2,887,527 | ||||||
Percentage change in shares outstanding | (12.6 | )% | 61.5 | % | ||||
Shares created | 1,150,000 | 4,350,000 | ||||||
Shares redeemed | 1,400,000 | 3,250,000 | ||||||
Per share NAV beginning of period | $ | 35.33 | $ | 28.31 | ||||
Per share NAV end of period | $ | 83.47 | $ | 34.36 | ||||
Percentage change in per share NAV | 136.3 | % | 21.4 | % | ||||
Percentage change in benchmark | 58.6 | % | 15.0 | % | ||||
Benchmark annualized volatility | 48.6 | % | 58.7 | % | ||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (566,073 | ) | $ | (217,363 | ) | ||
Management fee | 534,624 | 152,958 | ||||||
Brokerage commission | 114,706 | 63,062 | ||||||
Futures account fees | 63,213 | 12,887 | ||||||
Net realized gain (loss) | 164,990,694 | 4,901,288 | ||||||
Change in net unrealized appreciation (depreciation) | (271,288,469 | ) | 28,347,917 | |||||
Net Income (loss) | $ | (106,863,848 | ) | $ | 33,031,842 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (212,510 | ) | $ | (323,543 | ) | ||
Management fee | 161,130 | 199,772 | ||||||
Brokerage commission | 40,472 | 106,449 | ||||||
Non-recurring fees and expenses | — | 1,129 | ||||||
Net realized gain (loss) | 33,925,723 | 41,156,156 | ||||||
Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | |||||
Net Income (loss) | $ | 58,848,921 | $ | 36,077,786 | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 3,668,741 | $ | 4,067,686 | $ | 6,236,982 | $ | 3,611,724 | ||||||||
NAV end of period | $ | 3,479,104 | $ | 4,397,675 | $ | 9,415,626 | $ | 3,668,741 | ||||||||
Percentage change in NAV | (5.2 | )% | 8.1 | % | 51.0 | % | 1.6 | % | ||||||||
Shares outstanding beginning of period | 250,000 | 300,000 | 500,000 | 250,000 | ||||||||||||
Shares outstanding end of period | 250,000 | 300,000 | 850,000 | 250,000 | ||||||||||||
Percentage change in shares outstanding | — | % | — | % | 70.0 | % | — | % | ||||||||
Shares created | — | 100,000 | 450,000 | 100,000 | ||||||||||||
Shares redeemed | — | 100,000 | 100,000 | 100,000 | ||||||||||||
Per share NAV beginning of period | $ | 14.67 | $ | 13.56 | $ | 12.47 | $ | 14.45 | ||||||||
Per share NAV end of period | $ | 13.92 | $ | 14.66 | $ | 11.08 | $ | 14.67 | ||||||||
Percentage change in per share NAV | (5.1 | )% | 8.1 | % | (11.1 | )% | 1.6 | % | ||||||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | (5.3 | )% | 1.1 | % | ||||||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | 9.1 | % | 5.9 | % | ||||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (8,271 | ) | $ | (12,155 | ) | $ | (8,515 | ) | $ | (8,978 | ) | ||||
Management fee | 8,664 | 12,404 | 15,037 | 9,416 | ||||||||||||
Non-recurring fees and expenses | — | 108 | ||||||||||||||
Net realized gain (loss) | (254,219 | ) | 441,714 | (446,365 | ) | 95,412 | ||||||||||
Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (281,290 | ) | (13,219 | ) | |||||||||
Net Income (loss) | $ | (189,637 | ) | $ | 345,242 | $ | (736,170 | ) | $ | 73,215 | ||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 243,456,703 | $ | 165,689,050 | $ | 355,029,822 | $ | 214,548,056 | ||||||||
NAV end of period | $ | 230,917,847 | $ | 275,450,606 | $ | 239,938,853 | $ | 243,456,703 | ||||||||
Percentage change in NAV | (5.2 | )% | 66.2 | % | (32.4 | )% | 13.5 | % | ||||||||
Shares outstanding beginning of period | 4,250,000 | 2,550,000 | 5,300,000 | 3,950,000 | ||||||||||||
Shares outstanding end of period | 4,150,000 | 4,000,000 | 4,250,000 | 4,250,000 | ||||||||||||
Percentage change in shares outstanding | (2.4 | )% | 56.9 | % | (19.8 | )% | 7.6 | % | ||||||||
Shares created | 250,000 | 1,700,000 | 100,000 | 400,000 | ||||||||||||
Shares redeemed | 350,000 | 250,000 | 1,150,000 | 100,000 | ||||||||||||
Per share NAV beginning of period | $ | 57.28 | $ | 64.98 | $ | 66.99 | $ | 54.32 | ||||||||
Per share NAV end of period | $ | 55.64 | $ | 68.86 | $ | 56.46 | $ | 57.28 | ||||||||
Percentage change in per share NAV | (2.9 | )% | 6.0 | % | (15.7 | )% | 5.5 | % | ||||||||
Percentage change in benchmark | (1.0 | )% | 3.6 | % | (7.6 | )% | 3.2 | % | ||||||||
Benchmark annualized volatility | 13.8 | % | 25.4 | % | 13.8 | % | 14.6 | % | ||||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (596,194 | ) | $ | (617,991 | ) | $ | (419,722 | ) | $ | (569,965 | ) | ||||
Management fee | 582,103 | 640,992 | 716,148 | 568,040 | ||||||||||||
Brokerage commission | 9,421 | 12,115 | 14,064 | 8,665 | ||||||||||||
Non-recurring fees and expenses | — | 3,751 | ||||||||||||||
Futures account fees | 8,664 | 13,354 | ||||||||||||||
Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (57,901,083 | ) | 45,506,367 | ||||||||||
Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | 4,971,043 | (33,478,303 | ) | ||||||||||
Net Income (loss) | $ | (6,879,999 | ) | $ | 7,069,714 | $ | (53,349,762 | ) | $ | 11,458,099 | ||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 661,778,727 | $ | 249,671,968 | $ | 558,375,841 | $ | 572,501,249 | ||||||||
NAV end of period | $ | 480,309,476 | $ | 620,883,156 | $ | 355,577,515 | $ | 661,778,727 | ||||||||
Percentage change in NAV | (27.4 | )% | 148.7 | % | (36.3 | )% | 15.6 | % | ||||||||
Shares outstanding beginning of period | 14,396,526 | 8,446,526 | 14,296,526 | 13,846,526 | ||||||||||||
Shares outstanding end of period | 15,146,526 | 14,696,526 | 14,346,526 | 14,396,526 | ||||||||||||
Percentage change in shares outstanding | 5.2 | % | 74.0 | % | 0.3 | % | 4.0 | % | ||||||||
Shares created | 1,050,000 | 8,050,000 | 800,000 | 1,000,000 | ||||||||||||
Shares redeemed | 300,000 | 1,800,000 | 750,000 | 450,000 | ||||||||||||
Per share NAV beginning of period | $ | 45.97 | $ | 29.56 | $ | 39.06 | $ | 41.35 | ||||||||
Per share NAV end of period | $ | 31.71 | $ | 42.25 | $ | 24.78 | $ | 45.97 | ||||||||
Percentage change in per share NAV | (31.0 | )% | 42.9 | % | (36.6 | )% | 11.2 | % | ||||||||
Percentage change in benchmark | (16.0 | )% | 25.1 | % | (19.4 | )% | 6.5 | % | ||||||||
Benchmark annualized volatility | 26.7 | % | 33.8 | % | 23.7 | % | 25.5 | % | ||||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (1,424,705 | ) | $ | (1,497,215 | ) | $ | (695,746 | ) | $ | (1,639,236 | ) | ||||
Management fee | 1,394,627 | 1,462,400 | 1,082,340 | 1,615,157 | ||||||||||||
Brokerage commission | 27,419 | 54,812 | 28,732 | 40,715 | ||||||||||||
Non-recurring fees and expenses | — | 3,943 | ||||||||||||||
Futures account fees | 6,188 | 48,893 | ||||||||||||||
Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | (156,195,349 | ) | 116,370,479 | ||||||||||
Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | (50,135,799 | ) | (48,394,245 | ) | ||||||||
Net Income (loss) | $ | (208,763,025 | ) | $ | 89,427,810 | $ | (207,026,894 | ) | $ | 66,336,998 | ||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 840,870,703 | $ | 992,156,607 | $ | 1,127,608,641 | $ | 1,284,373,170 | ||||||||
NAV end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | $ | 975,683,533 | $ | 840,870,703 | ||||||||
Percentage change in NAV | 21.4 | % | 31.8 | % | (13.5 | )% | (34.5 | )% | ||||||||
Shares outstanding beginning of period | 30,128,420 | 3,013,091 | 83,528,420 | 22,803,091 | ||||||||||||
Shares outstanding end of period | 41,778,420 | 6,488,091 | 67,228,420 | 30,128,420 | ||||||||||||
Percentage change in shares outstanding | 38.7 | % | 115.3 | % | (19.5 | )% | 32.1 | % | ||||||||
Shares created | 37,800,000 | 4,280,000 | 58,400,000 | 12,955,000 | ||||||||||||
Shares redeemed | 26,150,000 | 805,000 | 74,700,000 | 5,629,671 | ||||||||||||
Per share NAV beginning of period | $ | 27.91 | $ | 329.28 | $ | 13.50 | $ | 56.32 | ||||||||
Per share NAV end of period | $ | 24.43 | $ | 201.54 | $ | 14.51 | $ | 27.91 | ||||||||
Percentage change in per share NAV | (12.5 | )% | (38.8 | )% | 7.5 | % | (50.5 | )% | ||||||||
Percentage change in benchmark | (5.6 | )% | (26.3 | )% | 10.3 | % | (35.2 | )% | ||||||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | 90.4 | % | 70.4 | % | ||||||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (3,277,402 | ) | $ | (3,975,284 | ) | ||
Management fee | 2,293,738 | 2,293,121 | ||||||
Brokerage commission | 970,211 | 1,173,276 | ||||||
Futures account fees | 444,123 | 711,443 | ||||||
Net realized gain (loss) | 90,701,501 | (854,526,924 | ) | |||||
Change in net unrealized appreciation (depreciation) | 196,735,349 | 244,115,248 | ||||||
Net Income (loss) | $ | 284,159,448 | $ | (614,386,960 | ) | |||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 2,099,705 | $ | 2,587,694 | ||||
NAV end of period | $ | 5,024,773 | $ | 2,560,348 | ||||
Percentage change in NAV | 139.3 | % | (1.1 | )% | ||||
Shares outstanding beginning of period | 49,970 | 49,970 | ||||||
Shares outstanding end of period | 149,970 | 49,970 | ||||||
Percentage change in shares outstanding | 200.1 | % | — | % | ||||
Shares created | 100,000 | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 42.02 | $ | 51.78 | ||||
Per share NAV end of period | $ | 33.51 | $ | 51.24 | ||||
Percentage change in per share NAV | (20.3 | )% | (1.1 | )% | ||||
Percentage change in benchmark | (10.3 | )% | (0.3 | )% | ||||
Benchmark annualized volatility | 11.5 | % | 4.9 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (3,993,799 | ) | $ | (5,136,994 | ) | ||
Management fee | 2,221,755 | 2,969,740 | ||||||
Brokerage commission | 1,095,975 | 1,102,235 | ||||||
Non-recurring fees and expenses | — | 10,480 | ||||||
Net realized gain (loss) | (198,380,990 | ) | (559,537,850 | ) | ||||
Change in net unrealized appreciation (depreciation) | 186,742,221 | 15,303,127 | ||||||
Net Income (loss) | $ | (15,632,568 | ) | $ | (549,371,717 | ) | ||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,560,348 | $ | 2,764,355 | ||||
NAV end of period | $ | 2,539,880 | $ | 2,882,680 | ||||
Percentage change in NAV | (0.8 | )% | 4.3 | % | ||||
Shares outstanding beginning of period | 49,970 | 49,970 | ||||||
Shares outstanding end of period | 49,970 | 49,970 | ||||||
Percentage change in shares outstanding | — | % | — | % | ||||
Shares created | — | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 51.24 | $ | 55.32 | ||||
Per share NAV end of period | $ | 50.83 | $ | 57.69 | ||||
Percentage change in per share NAV | (0.8 | )% | 4.3 | % | ||||
Percentage change in benchmark | (0.2 | )% | 2.4 | % | ||||
Benchmark annualized volatility | 5.5 | % | 5.8 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (5,973 | ) | $ | (6,720 | ) | $ | (4,972 | ) | $ | (5,955 | ) | ||||
Management fee | 6,233 | 6,813 | 8,036 | 6,262 | ||||||||||||
Non-recurring fees and expenses | — | 78 | ||||||||||||||
Net realized gain (loss) | (25,554 | ) | 126,569 | (761,478 | ) | (140,007 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | 152,185 | 118,616 | |||||||||||
Net Income (loss) | $ | (20,468 | ) | $ | 118,325 | $ | (614,265 | ) | $ | (27,346 | ) | |||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,304,732 | $ | 5,614,042 | ||||
NAV end of period | $ | 4,914,269 | $ | 5,173,668 | ||||
Percentage change in NAV | 113.2 | % | (7.8 | )% | ||||
Shares outstanding beginning of period | 50,000 | 100,000 | ||||||
Shares outstanding end of period | 100,000 | 100,000 | ||||||
Percentage change in shares outstanding | 100.0 | % | — | % | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 46.09 | $ | 56.14 | ||||
Per share NAV end of period | $ | 49.14 | $ | 51.74 | ||||
Percentage change in per share NAV | 6.6 | % | (7.8 | )% | ||||
Percentage change in benchmark | (3.6 | )% | 3.8 | % | ||||
Benchmark annualized volatility | 8.8 | % | 9.0 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (9,379 | ) | $ | (13,294 | ) | ||
Management fee | 8,860 | 12,478 | ||||||
Brokerage commission | 962 | 928 | ||||||
Non-recurring fees and expenses | — | 177 | ||||||
Net realized gain (loss) | 188,884 | (432,100 | ) | |||||
Change in net unrealized appreciation (depreciation) | 56,770 | 5,020 | ||||||
Net Income (loss) | $ | 236,275 | $ | (440,374 | ) | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 79,400,059 | $ | 117,821,898 | $ | 416,799,231 | $ | 91,718,390 | ||||||||
NAV end of period | $ | 93,575,213 | $ | 80,418,166 | $ | 501,157,304 | $ | 79,400,059 | ||||||||
Percentage change in NAV | 17.9 | % | (31.7 | )% | 20.2 | % | (13.4 | )% | ||||||||
Shares outstanding beginning of period | 4,383,799 | 1,609,971 | 14,286,760 | 636,994 | ||||||||||||
Shares outstanding end of period | 6,183,799 | 1,209,971 | 21,755,220 | 876,760 | ||||||||||||
Percentage change in shares outstanding | 41.1 | % | (24.8 | )% | 52.3 | % | 37.6 | % | ||||||||
Shares created | 3,350,000 | 1,075,000 | 12,320,000 | 387,500 | ||||||||||||
Shares redeemed | 1,550,000 | 1,475,000 | 4,851,540 | 147,734 | ||||||||||||
Per share NAV beginning of period | $ | 18.11 | $ | 73.18 | $ | 29.17 | $ | 143.99 | ||||||||
Per share NAV end of period | $ | 15.13 | $ | 66.46 | $ | 23.04 | $ | 90.56 | ||||||||
Percentage change in per share NAV | (16.5 | )% | (9.2 | )% | (21.0 | )% | (37.1 | )% | ||||||||
Percentage change in benchmark | 5.4 | % | 2.6 | % | 6.8 | % | 23.1 | % | ||||||||
Benchmark annualized volatility | 30.9 | % | 26.3 | % | 37.5 | % | 23.9 | % | ||||||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (849,692 | ) | $ | (208,741 | ) | ||
Management fee | 946,110 | 181,035 | ||||||
Brokerage commission | 107,079 | 28,581 | ||||||
Futures account fees | 85,802 | 17,468 | ||||||
Net realized gain (loss) | (102,594,000 | ) | (26,010,421 | ) | ||||
Change in net unrealized appreciation (depreciation) | 34,757,114 | (9,947,432 | ) | |||||
Net Income (loss) | $ | (68,686,578 | ) | $ | (36,166,594 | ) | ||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 250,340,837 | $ | 69,459,275 | ||||
NAV end of period | $ | 211,823,446 | $ | 97,525,300 | ||||
Percentage change in NAV | (15.4 | )% | 40.4 | % | ||||
Shares outstanding beginning of period | 3,868,619 | 88,742 | ||||||
Shares outstanding end of period | 4,966,856 | 226,242 | ||||||
Percentage change in shares outstanding | 28.4 | % | 154.9 | % | ||||
Shares created | 18,700,000 | 172,500 | ||||||
Shares redeemed | 17,601,764 | 35,000 | ||||||
Per share NAV beginning of period | $ | 64.71 | $ | 782.71 | ||||
Per share NAV end of period | $ | 42.65 | $ | 431.07 | ||||
Percentage change in per share NAV | (34.1 | )% | (44.9 | )% | ||||
Percentage change in benchmark | (6.0 | )% | 30.3 | % | ||||
Benchmark annualized volatility | 87.3 | % | 27.8 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (241,725 | ) | $ | (342,320 | ) | $ | (610,379 | ) | $ | (313,757 | ) | ||||
Management fee | 201,146 | 238,038 | 510,704 | 191,311 | ||||||||||||
Brokerage commission | 29,277 | 64,657 | 144,907 | 96,343 | ||||||||||||
Non-recurring fees and expenses | — | 4,892 | ||||||||||||||
Futures account fees | 76,956 | 33,853 | ||||||||||||||
Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | (282,646,884 | ) | (10,305,304 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | 228,079,127 | (33,693,761 | ) | ||||||||||
Net Income (loss) | $ | (13,212,180 | ) | $ | (10,791,035 | ) | $ | (55,178,136 | ) | $ | (44,312,822 | ) | ||||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg |
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 97,525,300 | $ | 28,552,210 | ||||
NAV end of period | $ | 138,468,677 | $ | 46,937,986 | ||||
Percentage change in NAV | 42.0 | % | 64.4 | % | ||||
Shares outstanding beginning of period | 4,524,832 | 424,832 | ||||||
Shares outstanding end of period | 19,724,832 | 1,224,832 | ||||||
Percentage change in shares outstanding | 335.9 | % | 188.3 | % | ||||
Shares created | 20,500,000 | 3,200,000 | ||||||
Shares redeemed | 5,300,000 | 2,400,000 | ||||||
Per share NAV beginning of period | $ | 21.55 | $ | 67.21 | ||||
Per share NAV end of period | $ | 7.02 | $ | 38.32 | ||||
Percentage change in per share NAV | (67.4 | )% | (43.0 | )% | ||||
Percentage change in benchmark | 58.6 | % | 15.0 | % | ||||
Benchmark annualized volatility | 48.6 | % | 58.7 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (358,817 | ) | $ | (249,586 | ) | ||
Management fee | 258,824 | 138,507 | ||||||
Brokerage commission | 67,808 | 98,416 | ||||||
Non-recurring fees and expenses | — | 345 | ||||||
Net realized gain (loss) | (95,609,878 | ) | (31,449,992 | ) | ||||
Change in net unrealized appreciation (depreciation) | (17,871,536 | ) | 8,969,137 | |||||
Net Income (loss) | $ | (113,840,231 | ) | $ | (22,730,441 | ) | ||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 48,820,440 | $ | 78,848,965 | $ | 50,498,084 | $ | 54,932,137 | ||||||||
NAV end of period | $ | 48,640,817 | $ | 68,577,533 | $ | 62,270,097 | $ | 48,820,440 | ||||||||
Percentage change in NAV | (0.4 | )% | (13.0 | )% | 23.3 | % | (11.1 | )% | ||||||||
Shares outstanding beginning of period | 2,050,000 | 2,950,000 | 1,850,000 | 2,250,000 | ||||||||||||
Shares outstanding end of period | 1,950,000 | 2,800,000 | 2,050,000 | 2,050,000 | ||||||||||||
Percentage change in shares outstanding | (4.9 | )% | (5.1 | )% | 10.8 | % | (8.9 | )% | ||||||||
Shares created | 100,000 | 1,000,000 | 500,000 | — | ||||||||||||
Shares redeemed | 200,000 | 1,150,000 | 300,000 | 200,000 | ||||||||||||
Per share NAV beginning of period | $ | 23.81 | $ | 26.73 | $ | 27.30 | $ | 24.41 | ||||||||
Per share NAV end of period | $ | 24.94 | $ | 24.49 | $ | 30.38 | $ | 23.81 | ||||||||
Percentage change in per share NAV | 4.8 | % | (8.4 | )% | 11.3 | % | (2.5 | )% | ||||||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | (5.3 | )% | 1.1 | % | ||||||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | 9.1 | % | 5.9 | % | ||||||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (111,725 | ) | $ | (144,828 | ) | ||
Management fee | 116,733 | 161,145 | ||||||
Non-recurring fees and expenses | — | 2,622 | ||||||
Net realized gain (loss) | 2,974,466 | (7,511,167 | ) | |||||
Change in net unrealized appreciation (depreciation) | (617,958 | ) | 1,525,791 | |||||
Net Income (loss) | $ | 2,244,783 | $ | (6,130,204 | ) | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 32,835,014 | $ | 15,851,043 | ||||
NAV end of period | $ | 27,731,022 | $ | 27,139,981 | ||||
Percentage change in NAV | (15.5 | )% | 71.2 | % | ||||
Shares outstanding beginning of period | 946,977 | 446,977 | ||||||
Shares outstanding end of period | 796,977 | 846,977 | ||||||
Percentage change in shares outstanding | (15.8 | )% | 89.5 | % | ||||
Shares created | 650,000 | 750,000 | ||||||
Shares redeemed | 800,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 34.67 | $ | 35.46 | ||||
Per share NAV end of period | $ | 34.80 | $ | 32.04 | ||||
Percentage change in per share NAV | 0.4 | % | (9.6 | )% | ||||
Percentage change in benchmark | (1.0 | )% | 3.6 | % | ||||
Benchmark annualized volatility | 13.8 | % | 19.1 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (68,386 | ) | $ | (47,471 | ) | ||
Management fee | 66,304 | 45,591 | ||||||
Brokerage commission | 3,301 | 1,980 | ||||||
Non-recurring fees and expenses | — | 499 | ||||||
Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | |||||
Net Income (loss) | $ | (753,084 | ) | $ | (1,379,947 | ) | ||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 34,859,763 | $ | 10,145,625 | ||||
NAV end of period | $ | 40,373,877 | $ | 51,055,675 | ||||
Percentage change in NAV | 15.8 | % | 403.2 | % | ||||
Shares outstanding beginning of period | 1,491,329 | 129,244 | ||||||
Shares outstanding end of period | 1,291,329 | 1,316,744 | ||||||
Percentage change in shares outstanding | (13.4 | )% | 918.8 | % | ||||
Shares created | 1,000,000 | 2,825,000 | ||||||
Shares redeemed | 1,200,000 | 1,637,500 | ||||||
Per share NAV beginning of period | $ | 23.37 | $ | 78.50 | ||||
Per share NAV end of period | $ | 31.27 | $ | 38.77 | ||||
Percentage change in per share NAV | 33.8 | % | (50.6 | )% | ||||
Percentage change in benchmark | (16.0 | )% | 25.1 | % | ||||
Benchmark annualized volatility | 26.7 | % | 57.7 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (102,532 | ) | $ | (94,990 | ) | ||
Management fee | 90,963 | 84,377 | ||||||
Brokerage commission | 8,141 | 8,539 | ||||||
Non-recurring fees and expenses | — | 321 | ||||||
Net realized gain (loss) | 6,662,145 | (15,896,820 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,922,596 | 11,129,734 | ||||||
Net Income (loss) | $ | 10,482,209 | $ | (4,862,076 | ) | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 27,231,748 | $ | 29,787,034 | ||||
NAV end of period | $ | 23,328,922 | $ | 24,780,763 | ||||
Percentage change in NAV | (14.3 | )% | (16.8 | )% | ||||
Shares outstanding beginning of period | 349,290 | 399,290 | ||||||
Shares outstanding end of period | 299,290 | 349,290 | ||||||
Percentage change in shares outstanding | (14.3 | )% | (12.5 | )% | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 77.96 | $ | 74.60 | ||||
Per share NAV end of period | $ | 77.95 | $ | 70.95 | ||||
Percentage change in per share NAV | (0.0 | )%@ | (4.9 | )% | ||||
Percentage change in benchmark | (0.2 | )% | 2.4 | % | ||||
Benchmark annualized volatility | 5.5 | % | 5.8 | % | ||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (107,923 | ) | $ | (109,040 | ) | ||
Management fee | 146,934 | 114,680 | ||||||
Net realized gain (loss) | 3,065,129 | (795,757 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,039,738 | (511,170 | ) | |||||
Net Income (loss) | $ | 5,996,944 | $ | (1,415,967 | ) | |||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 32,598,451 | $ | 41,243,515 | ||||
NAV end of period | $ | 34,611,284 | $ | 32,835,014 | ||||
Percentage change in NAV | 6.2 | % | (20.4 | )% | ||||
Shares outstanding beginning of period | 1,196,977 | 1,096,977 | ||||||
Shares outstanding end of period | 1,096,977 | 946,977 | ||||||
Percentage change in shares outstanding | (8.4 | )% | (13.7 | )% | ||||
Shares created | 700,000 | 300,000 | ||||||
Shares redeemed | 800,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 27.23 | $ | 37.60 | ||||
Per share NAV end of period | $ | 31.55 | $ | 34.67 | ||||
Percentage change in per share NAV | 15.9 | % | (7.8 | )% | ||||
Percentage change in benchmark | (7.6 | )% | 3.2 | % | ||||
Benchmark annualized volatility | 13.8 | % | 14.6 | % | ||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (59,266 | ) | $ | (70,877 | ) | ||
Management fee | 75,676 | 69,968 | ||||||
Brokerage commission | 2,985 | 2,283 | ||||||
Futures account fees | 580 | 1,802 | ||||||
Net realized gain (loss) | 4,557,870 | (6,984,547 | ) | |||||
Change in net unrealized appreciation (depreciation) | 289,951 | 3,806,053 | ||||||
Net Income (loss) | $ | 4,788,555 | $ | (3,249,371 | ) | |||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 23,406,516 | $ | 45,144,664 | ||||
NAV end of period | $ | 33,052,840 | $ | 34,859,763 | ||||
Percentage change in NAV | 41.2 | % | (22.8 | )% | ||||
Shares outstanding beginning of period | 1,091,329 | 1,616,744 | ||||||
Shares outstanding end of period | 1,041,329 | 1,491,329 | ||||||
Percentage change in shares outstanding | (4.6 | )% | (7.8 | )% | ||||
Shares created | 700,000 | 300,000 | ||||||
Shares redeemed | 750,000 | 425,415 | ||||||
Per share NAV beginning of period | $ | 21.45 | $ | 27.92 | ||||
Per share NAV end of period | $ | 31.74 | $ | 23.37 | ||||
Percentage change in per share NAV | 48.0 | % | (16.3 | )% | ||||
Percentage change in benchmark | (19.4 | )% | 6.5 | % | ||||
Benchmark annualized volatility | 23.7 | % | 25.5 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (54,645 | ) | $ | (55,870 | ) | $ | (51,484 | ) | $ | (78,184 | ) | ||||
Management fee | 57,037 | 60,238 | 62,381 | 72,831 | ||||||||||||
Non-recurring fees and expenses | — | 717 | ||||||||||||||
Brokerage commission | 6,677 | 3,824 | ||||||||||||||
Futures account fees | 1,169 | 4,207 | ||||||||||||||
Net realized gain (loss) | 197,444 | (1,451,651 | ) | 9,411,232 | (5,876,456 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 3,853,312 | (925,320 | ) | ||||||||||
Net Income (loss) | $ | (47,133 | ) | $ | (1,306,000 | ) | $ | 13,213,060 | $ | (6,879,960 | ) | |||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 92,662,734 | $ | 59,085,470 | $ | 27,726,701 | $ | 34,921,840 | ||||||||
NAV end of period | $ | 127,673,137 | $ | 101,957,520 | $ | 45,568,882 | $ | 27,231,748 | ||||||||
Percentage change in NAV | 37.7 | % | 72.6 | % | 64.4 | % | (22.0 | )% | ||||||||
Shares outstanding beginning of period | 3,037,403 | 1,462,403 | 598,580 | 898,580 | ||||||||||||
Shares outstanding end of period | 3,962,403 | 2,487,403 | 798,580 | 698,580 | ||||||||||||
Percentage change in shares outstanding | 30.5 | % | 70.1 | % | 33.4 | % | (22.3 | )% | ||||||||
Shares created | 1,200,000 | 1,150,000 | 650,000 | — | ||||||||||||
Shares redeemed | 275,000 | 125,000 | 450,000 | 200,000 | ||||||||||||
Per share NAV beginning of period | $ | 30.51 | $ | 40.40 | $ | 46.32 | $ | 38.86 | ||||||||
Per share NAV end of period | $ | 32.22 | $ | 40.99 | $ | 57.06 | $ | 38.98 | ||||||||
Percentage change in per share NAV | 5.6 | % | 1.5 | % | 23.2 | % | 0.3 | % | ||||||||
Percentage change in benchmark | 6.0 | % | 1.8 | % | (10.3 | )% | (0.3 | )% | ||||||||
Benchmark annualized volatility | 22.9 | % | 26.2 | % | 11.4 | % | 4.9 | % | ||||||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (66,268 | ) | $ | (68,876 | ) | ||
Management fee | 93,181 | 72,446 | ||||||
Net realized gain (loss) | 7,917,170 | 1,598,086 | ||||||
Change in net unrealized appreciation (depreciation) | (1,367,929 | ) | (1,645,477 | ) | ||||
Net Income (loss) | $ | 6,482,973 | $ | (116,267 | ) | |||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen. |
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 97,869,914 | $ | 75,122,747 | ||||
NAV end of period | $ | 95,721,271 | $ | 92,662,734 | ||||
Percentage change in NAV | (2.2 | )% | 23.3 | % | ||||
Shares outstanding beginning of period | 3,112,403 | 2,162,403 | ||||||
Shares outstanding end of period | 2,712,403 | 3,037,403 | ||||||
Percentage change in shares outstanding | (12.9 | )% | 40.5 | % | ||||
Shares created | 300,000 | 1,025,000 | ||||||
Shares redeemed | 700,000 | 150,000 | ||||||
Per share NAV beginning of period | $ | 31.45 | $ | 34.74 | ||||
Per share NAV end of period | $ | 35.29 | $ | 30.51 | ||||
Percentage change in per share NAV | 12.2 | % | (12.2 | )% | ||||
Percentage change in benchmark | 12.9 | % | (11.9 | )% | ||||
Benchmark annualized volatility | 37.1 | % | 31.1 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (262,156 | ) | $ | (204,460 | ) | ||
Management fee | 221,356 | 172,587 | ||||||
Brokerage commission | 20,803 | 19,350 | ||||||
Net realized gain (loss) | (4,024,133 | ) | 755,845 | |||||
Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | ||||||
Net Income (loss) | $ | 6,366,663 | $ | 2,303,465 | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 272,352,675 | $ | 221,343,175 | ||||
NAV end of period | $ | 368,777,333 | $ | 279,272,297 | ||||
Percentage change in NAV | 35.3 | % | 26.2 | % | ||||
Shares outstanding beginning of period | 11,307,826 | 1,981,579 | ||||||
Shares outstanding end of period | 16,257,826 | 3,400,329 | ||||||
Percentage change in shares outstanding | 43.8 | % | 71.6 | % | ||||
Shares created | 6,300,000 | 1,662,500 | ||||||
Shares redeemed | 1,350,000 | 243,750 | ||||||
Per share NAV beginning of period | $ | 24.09 | $ | 111.70 | ||||
Per share NAV end of period | $ | 22.68 | $ | 82.13 | ||||
Percentage change in per share NAV | (5.8 | )% | (26.5 | )% | ||||
Percentage change in benchmark | (5.6 | )% | (26.3 | )% | ||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | ||||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (184,164 | ) | $ | (227,144 | ) | ||
Management fee | 210,584 | 187,266 | ||||||
Brokerage commission | 15,500 | 16,096 | ||||||
Futures account fees | 10,906 | 32,131 | ||||||
Net realized gain (loss) | 7,862,052 | (14,405,542 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,992,670 | 3,572,030 | ||||||
Net Income (loss) | $ | 11,670,558 | $ | (11,060,656 | ) | |||
Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 404,950,400 | $ | 349,578,758 | ||||
NAV end of period | $ | 341,714,316 | $ | 272,352,675 | ||||
Percentage change in NAV | (15.6 | )% | (22.1 | )% | ||||
Shares outstanding beginning of period | 24,382,826 | 9,375,329 | ||||||
Shares outstanding end of period | 18,757,826 | 11,307,826 | ||||||
Percentage change in shares outstanding | (23.1 | )% | 20.6 | % | ||||
Shares created | 8,175,000 | 3,925,000 | ||||||
Shares redeemed | 13,800,000 | 1,992,503 | ||||||
Per share NAV beginning of period | $ | 16.61 | $ | 37.29 | ||||
Per share NAV end of period | $ | 18.22 | $ | 24.09 | ||||
Percentage change in per share NAV | 9.6 | % | (35.6 | )% | ||||
Percentage change in benchmark | 10.3 | % | (35.2 | )% | ||||
Benchmark annualized volatility | 90.4 | % | 70.5 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (897,586 | ) | $ | (758,225 | ) | ||
Management fee | 660,051 | 560,301 | ||||||
Brokerage commission | 97,516 | 66,969 | ||||||
Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | ||||
Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | ||||||
Net Income (loss) | $ | (10,597,722 | ) | $ | (75,321,894 | ) | ||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 4,191,955 | $ | 2,282,195 | ||||
NAV end of period | $ | 2,206,818 | $ | 2,188,644 | ||||
Percentage change in NAV | (47.4 | )% | (4.1 | )% | ||||
Shares outstanding beginning of period | 100,000 | 50,000 | ||||||
Shares outstanding end of period | 50,000 | 50,000 | ||||||
Percentage change in shares outstanding | (50.0 | )% | – | % | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 41.92 | $ | 45.64 | ||||
Per share NAV end of period | $ | 44.14 | $ | 43.77 | ||||
Percentage change in per share NAV | 5.2 | % | (4.1 | )% | ||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | ||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (18,442 | ) | $ | (8,827 | ) | $ | (852,779 | ) | $ | (897,582 | ) | ||||
Management fee | 19,278 | 16,266 | 773,717 | 669,363 | ||||||||||||
Brokerage commission | 339 | 272 | 171,182 | 94,839 | ||||||||||||
Non-recurring fees and expenses | — | 65 | ||||||||||||||
Futures account fees | 115,783 | 174,368 | ||||||||||||||
Net realized gain (loss) | 88,710 | (116,225 | ) | 23,658,785 | (175,846,641 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 91,407 | 31,501 | 46,600,777 | 38,992,347 | ||||||||||||
Net Income (loss) | $ | 161,675 | $ | (93,551 | ) | $ | 69,406,783 | $ | (137,751,876 | ) | ||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 409,371,468 | $ | 284,437,179 | $ | 423,812,594 | $ | 409,371,468 | ||||||||
NAV end of period | $ | 388,523,845 | $ | 335,465,066 | $ | 403,644,956 | $ | 588,615,946 | ||||||||
Percentage change in NAV | (5.1 | )% | 17.9 | % | (4.8 | )% | 43.8 | % | ||||||||
Shares outstanding beginning of period | 9,884,307 | 4,334,307 | 6,884,307 | 9,884,307 | ||||||||||||
Shares outstanding end of period | 7,134,307 | 9,484,307 | 8,384,307 | 10,584,307 | ||||||||||||
Percentage change in shares outstanding | (27.8 | )% | 118.8 | % | 21.8 | % | 7.1 | % | ||||||||
Shares created | 3,400,000 | 25,850,000 | 4,600,000 | 2,850,000 | ||||||||||||
Shares redeemed | 6,150,000 | 20,700,000 | 3,100,000 | 2,150,000 | ||||||||||||
Per share NAV beginning of period | $ | 41.42 | $ | 65.62 | $ | 61.56 | $ | 41.42 | ||||||||
Per share NAV end of period | $ | 54.46 | $ | 35.37 | $ | 48.14 | $ | 55.61 | ||||||||
Percentage change in per share NAV | 31.5 | % | (46.1 | )% | (21.8 | )% | 34.3 | % | ||||||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | 21.6 | % | (56.0 | )% | ||||||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | 88.1 | % | 76.0 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (4,774,396 | ) | $ | (4,043,310 | ) | $ | (2,390,922 | ) | $ | (3,308,123 | ) | ||||
Management fee | 3,415,545 | 3,592,232 | 2,020,898 | 2,359,722 | ||||||||||||
Brokerage commission | 638,744 | 585,356 | 365,250 | 429,859 | ||||||||||||
Non-recurring fees and expenses | — | 22,038 | ||||||||||||||
Futures account fees | 324,251 | 586,119 | ||||||||||||||
Net realized gain (loss) | 168,119,037 | (129,092,294 | ) | (54,216,320 | ) | 133,546,434 | ||||||||||
Change in net unrealized appreciation (depreciation) | (14,532,856 | ) | (2,709,070 | ) | (30,209,873 | ) | 28,816,988 | |||||||||
Net Income (loss) | $ | 148,811,785 | $ | (135,844,674 | ) | $ | (86,817,115 | ) | $ | 159,055,299 | ||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 902,739,250 | $ | 309,844,582 | $ | 1,103,783,570 | $ | 902,739,250 | ||||||||
NAV end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | $ | 1,060,867,238 | $ | 1,303,530,902 | ||||||||
Percentage change in NAV | 20.8 | % | 286.0 | % | (3.9 | )% | 44.4 | % | ||||||||
Shares outstanding beginning of period | 24,810,774 | 608,453 | 51,243,096 | 99,243,096 | ||||||||||||
Shares outstanding end of period | 12,910,774 | 41,610,774 | 25,493,096 | 66,643,096 | ||||||||||||
Percentage change in shares outstanding | (48.0 | )% | 6,738.8 | % | (50.3 | )% | (32.8 | )% | ||||||||
Shares created | 4,350,000 | 109,662,000 | 10,300,000 | 13,600,000 | ||||||||||||
Shares redeemed | 16,250,000 | 68,659,679 | 36,050,000 | 46,200,000 | ||||||||||||
Per share NAV beginning of period | $ | 36.38 | $ | 509.23 | $ | 21.54 | $ | 9.10 | ||||||||
Per share NAV end of period | $ | 84.47 | $ | 28.74 | $ | 41.61 | $ | 19.56 | ||||||||
Percentage change in per share NAV | 132.2 | % | (94.4 | )% | 93.2 | % | 115.0 | % | ||||||||
Percentage change in benchmark | 58.2 | % | (33.6 | )% | 45.9 | % | 50.1 | % | ||||||||
Benchmark annualized volatility | 29.1 | % | 90.6 | % | 41.9 | % | 28.2 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (9,100,359 | ) | $ | (8,010,293 | ) | $ | (5,308,864 | ) | $ | (5,969,866 | ) | ||||
Management fee | 8,104,728 | 6,887,044 | 6,183,716 | 5,329,377 | ||||||||||||
Brokerage commission | 701,710 | 1,744,115 | 335,751 | 503,212 | ||||||||||||
Non-recurring fees and expenses | 27,500 | 24,637 | ||||||||||||||
Futures account fees | 362,288 | 416,685 | ||||||||||||||
Net realized gain (loss) | 761,182,708 | (891,020,242 | ) | 1,162,711,373 | 654,856,887 | |||||||||||
Change in net unrealized appreciation (depreciation) | 176,076,207 | 106,126,899 | (306,208,096 | ) | 192,954,795 | |||||||||||
Net Income (loss) | $ | 928,158,556 | $ | (792,903,636 | ) | $ | 851,194,413 | $ | 841,841,816 | |||||||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil. |
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 169,800,371 | $ | 45,160,205 | $ | 193,892,178 | $ | 169,800,371 | ||||||||
NAV end of period | $ | 145,038,381 | $ | 99,203,762 | $ | 187,297,842 | $ | 70,213,227 | ||||||||
Percentage change in NAV | (14.6 | )% | 119.7 | % | (3.4 | )% | (58.6 | )% | ||||||||
Shares outstanding beginning of period | 8,087,527 | 537,815 | 7,587,527 | 8,087,527 | ||||||||||||
Shares outstanding end of period | 1,737,527 | 2,887,527 | 4,737,527 | 1,987,527 | ||||||||||||
Percentage change in shares outstanding | (78.5 | )% | 436.9 | % | (37.6 | )% | (75.4 | )% | ||||||||
Shares created | 5,200,000 | 5,835,000 | 9,100,000 | 4,050,000 | ||||||||||||
Shares redeemed | 11,550,000 | 3,485,288 | 11,950,000 | 10,150,000 | ||||||||||||
Per share NAV beginning of period | $ | 21.00 | $ | 83.97 | $ | 25.55 | $ | 21.00 | ||||||||
Per share NAV end of period | $ | 83.47 | $ | 34.36 | $ | 39.53 | $ | 35.33 | ||||||||
Percentage change in per share NAV | 297.6 | % | (59.1 | )% | 54.7 | % | 68.3 | % | ||||||||
Percentage change in benchmark | 113.0 | % | (28.5 | )% | 48.9 | % | 34.2 | % | ||||||||
Benchmark annualized volatility | 40.5 | % | 53.5 | % | 80.3 | % | 35.5 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (845,018 | ) | $ | (447,190 | ) | $ | (1,082,671 | ) | $ | (632,508 | ) | ||||
Management fee | 568,903 | 378,784 | 931,234 | 407,773 | ||||||||||||
Brokerage commission | 195,831 | 214,255 | 203,158 | 155,359 | ||||||||||||
Non-recurring fees and expenses | — | 1,129 | ||||||||||||||
Futures account fees | 134,330 | 94,735 | ||||||||||||||
Net realized gain (loss) | 80,409,947 | 2,226,367 | 241,207,930 | 46,484,224 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 35,684,757 | (4,338,592 | ) | (186,420,725 | ) | 10,549,049 | ||||||||||
Net Income (loss) | $ | 115,249,686 | $ | (2,559,415 | ) | $ | 53,704,534 | $ | 56,400,765 | |||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||||||||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||||
NAV beginning of period | $ | 4,737,350 | $ | 6,204,424 | $ | 8,659,095 | $ | 4,737,350 | ||||||||
NAV end of period | $ | 3,479,104 | $ | 4,397,675 | $ | 9,415,626 | $ | 3,668,741 | ||||||||
Percentage change in NAV | (26.6 | )% | (29.1 | )% | 8.7 | % | (22.6 | )% | ||||||||
Shares outstanding beginning of period | 300,000 | 450,000 | 650,000 | 300,000 | ||||||||||||
Shares outstanding end of period | 250,000 | 300,000 | 850,000 | 250,000 | ||||||||||||
Percentage change in shares outstanding | (16.7 | )% | (33.3 | )% | 30.8 | % | (16.7 | )% | ||||||||
Shares created | 100,000 | 200,000 | 550,000 | 100,000 | ||||||||||||
Shares redeemed | 150,000 | 350,000 | 350,000 | 150,000 | ||||||||||||
Per share NAV beginning of period | $ | 15.79 | $ | 13.79 | $ | 13.32 | $ | 15.79 | ||||||||
Per share NAV end of period | $ | 13.92 | $ | 14.66 | $ | 11.08 | $ | 14.67 | ||||||||
Percentage change in per share NAV | (11.9 | )% | 6.3 | % | (16.8 | )% | (7.1 | )% | ||||||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | (7.9 | )% | (2.9 | )% | ||||||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | 8.8 | % | 6.1 | % | ||||||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (24,206 | ) | $ | (18,472 | ) | ||
Management fee | 35,315 | 19,494 | ||||||
Net realized gain (loss) | (893,344 | ) | 68,070 | |||||
Change in net unrealized appreciation (depreciation) | (419,715 | ) | (324,271 | ) | ||||
Net Income (loss) | $ | (1,337,265 | ) | $ | (274,673 | ) | ||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 232,780,534 | $ | 263,540,473 | ||||
NAV end of period | $ | 239,938,853 | $ | 243,456,703 | ||||
Percentage change in NAV | 3.1 | % | (7.6 | )% | ||||
Shares outstanding beginning of period | 3,900,000 | 3,900,000 | ||||||
Shares outstanding end of period | 4,250,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | 9.0 | % | 9.0 | % | ||||
Shares created | 1,600,000 | 1,000,000 | ||||||
Shares redeemed | 1,250,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 59.69 | $ | 67.57 | ||||
Per share NAV end of period | $ | 56.46 | $ | 57.28 | ||||
Percentage change in per share NAV | (5.4 | )% | (15.2 | )% | ||||
Percentage change in benchmark | (1.5 | )% | (7.0 | )% | ||||
Benchmark annualized volatility | 15.7 | % | 16.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (26,743 | ) | $ | (17,610 | ) | ||
Management fee | 28,158 | 33,852 | ||||||
Non-recurring fees and expenses | — | 108 | ||||||
Net realized gain (loss) | (186,149 | ) | 369,811 | |||||
Change in net unrealized appreciation (depreciation) | (251,418 | ) | (208,451 | ) | ||||
Net Income (loss) | $ | (464,310 | ) | $ | 143,750 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 263,540,473 | $ | 110,726,032 | ||||
NAV end of period | $ | 230,917,847 | $ | 275,450,606 | ||||
Percentage change in NAV | (12.4 | )% | 148.8 | % | ||||
Shares outstanding beginning of period | 3,900,000 | 2,250,000 | ||||||
Shares outstanding end of period | 4,150,000 | 4,000,000 | ||||||
Percentage change in shares outstanding | 6.4 | % | 77.8 | % | ||||
Shares created | 1,250,000 | 3,150,000 | ||||||
Shares redeemed | 1,000,000 | 1,400,000 | ||||||
Per share NAV beginning of period | $ | 67.57 | $ | 49.21 | ||||
Per share NAV end of period | $ | 55.64 | $ | 68.86 | ||||
Percentage change in per share NAV | (17.7 | )% | 39.9 | % | ||||
Percentage change in benchmark | (7.9 | )% | 21.4 | % | ||||
Benchmark annualized volatility | 15.7 | % | 22.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (1,745,829 | ) | $ | (789,004 | ) | $ | (1,037,188 | ) | $ | (1,149,635 | ) | ||||
Management fee | 1,718,350 | 1,269,866 | 1,387,563 | 1,136,247 | ||||||||||||
Brokerage commission | 32,974 | 28,599 | 35,723 | 23,553 | ||||||||||||
Non-recurring fees and expenses | — | 3,751 | ||||||||||||||
Futures account fees | 28,169 | 45,756 | ||||||||||||||
Net realized gain (loss) | (27,599,609 | ) | 51,605,680 | (82,487 | ) | (5,741,520 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (19,136,522 | ) | (11,258,939 | ) | (19,849,468 | ) | (34,710,806 | ) | ||||||||
Net Income (loss) | $ | (48,481,960 | ) | $ | 39,557,737 | $ | (20,969,143 | ) | $ | (41,601,961 | ) | |||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 745,304,028 | $ | 239,254,842 | $ | 515,453,594 | $ | 745,304,028 | ||||||||
NAV end of period | $ | 480,309,476 | $ | 620,883,156 | $ | 355,577,515 | $ | 661,778,727 | ||||||||
Percentage change in NAV | (35.6 | )% | 159.5 | % | (31.0 | )% | (11.2 | )% | ||||||||
Shares outstanding beginning of period | 14,696,526 | 7,546,526 | 14,796,526 | 14,696,526 | ||||||||||||
Shares outstanding end of period | 15,146,526 | 14,696,526 | 14,346,526 | 14,396,526 | ||||||||||||
Percentage change in shares outstanding | 3.1 | % | 94.7 | % | (3.0 | )% | (2.0 | )% | ||||||||
Shares created | 4,450,000 | 10,300,000 | 1,800,000 | 3,400,000 | ||||||||||||
Shares redeemed | 4,000,000 | 3,150,000 | 2,250,000 | 3,700,000 | ||||||||||||
Per share NAV beginning of period | $ | 50.71 | $ | 31.70 | $ | 34.84 | $ | 50.71 | ||||||||
Per share NAV end of period | $ | 31.71 | $ | 42.25 | $ | 24.78 | $ | 45.97 | ||||||||
Percentage change in per share NAV | (37.5 | )% | 33.3 | % | (28.9 | )% | (9.4 | )% | ||||||||
Percentage change in benchmark | (17.0 | )% | 27.4 | % | (13.4 | )% | (1.2 | )% | ||||||||
Benchmark annualized volatility | 33.0 | % | 48.6 | % | 28.2 | % | 35.9 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (4,805,716 | ) | $ | (1,555,626 | ) | $ | (1,823,952 | ) | $ | (3,381,011 | ) | ||||
Management fee | 4,640,919 | 2,369,293 | 2,299,939 | 3,246,292 | ||||||||||||
Brokerage commission | 114,716 | 99,986 | 59,283 | 87,297 | ||||||||||||
Non-recurring fees and expenses | — | 3,943 | ||||||||||||||
Futures account fees | 26,693 | 211,080 | ||||||||||||||
Net realized gain (loss) | (80,038,809 | ) | 297,927,456 | (39,558,312 | ) | 121,281,221 | ||||||||||
Change in net unrealized appreciation (depreciation) | (192,156,316 | ) | (215,073,543 | ) | (108,172,044 | ) | (186,138,026 | ) | ||||||||
Net Income (loss) | $ | (277,000,841 | ) | $ | 81,298,287 | $ | (149,554,308 | ) | $ | (68,237,816 | ) | |||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 1,356,204,199 | $ | 527,636,003 | $ | 816,679,636 | $ | 1,356,204,199 | ||||||||
NAV end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | $ | 975,683,533 | $ | 840,870,703 | ||||||||
Percentage change in NAV | (24.7 | )% | 147.8 | % | 19.5 | % | (38.0 | )% | ||||||||
Shares outstanding beginning of period | 12,713,091 | 4,163,091 | 65,828,420 | 12,713,091 | ||||||||||||
Shares outstanding end of period | 41,778,420 | 6,488,091 | 67,228,420 | 30,128,420 | ||||||||||||
Percentage change in shares outstanding | 228.6 | % | 55.8 | % | 2.1 | % | 137.0 | % | ||||||||
Shares created | 70,385,000 | 7,755,000 | 141,500,000 | 32,585,000 | ||||||||||||
Shares redeemed | 41,319,671 | 5,430,000 | 140,100,000 | 15,169,671 | ||||||||||||
Per share NAV beginning of period | $ | 106.68 | $ | 126.74 | $ | 12.41 | $ | 106.68 | ||||||||
Per share NAV end of period | $ | 24.43 | $ | 201.54 | $ | 14.51 | $ | 27.91 | ||||||||
Percentage change in per share NAV | (77.1 | )% | 59.0 | % | 17.0 | % | (73.8 | )% | ||||||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | 21.6 | % | (56.0 | )% | ||||||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | 88.1 | %% | 76.0 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (16,038,632 | ) | $ | (7,952,015 | ) | $ | (6,862,764 | ) | $ | (12,044,833 | ) | ||||
Management fee | 8,897,953 | 5,646,893 | 4,254,915 | 6,676,198 | ||||||||||||
Brokerage commission | 4,225,879 | 2,282,095 | 1,906,969 | 3,129,904 | ||||||||||||
Non-recurring fees and expenses | — | 10,480 | ||||||||||||||
Futures account fees | 1,226,811 | 2,555,256 | ||||||||||||||
Net realized gain (loss) | (1,757,407,418 | ) | 58,666,590 | 371,681,032 | (1,559,026,428 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 146,498,138 | 66,319,163 | 161,734,465 | (40,244,083 | ) | |||||||||||
Net Income (loss) | $ | (1,626,947,912 | ) | $ | 117,033,738 | $ | 526,552,733 | $ | (1,611,315,344 | ) | ||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 2,989,499 | $ | 5,580,964 | $ | 2,362,849 | $ | 2,989,499 | ||||||||
NAV end of period | $ | 2,539,880 | $ | 2,882,680 | $ | 5,024,773 | $ | 2,560,348 | ||||||||
Percentage change in NAV | (15.0 | )% | (48.3 | )% | 112.7 | % | (14.4 | )% | ||||||||
Shares outstanding beginning of period | 49,970 | 99,970 | 49,970 | 49,970 | ||||||||||||
Shares outstanding end of period | 49,970 | 49,970 | 149,970 | 49,970 | ||||||||||||
Percentage change in shares outstanding | — | % | (50.0 | )% | 200.1 | % | — | % | ||||||||
Shares created | — | — | 100,000 | — | ||||||||||||
Shares redeemed | — | 50,000 | — | — | ||||||||||||
Per share NAV beginning of period | $ | 59.83 | $ | 55.83 | $ | 47.29 | $ | 59.83 | ||||||||
Per share NAV end of period | $ | 50.83 | $ | 57.69 | $ | 33.51 | $ | 51.24 | ||||||||
Percentage change in per share NAV | (15.0 | )% | 3.3 | % | (29.2 | )% | (14.4 | )% | ||||||||
Percentage change in benchmark | (7.2 | )% | 3.0 | % | (15.2 | )% | (7.1 | )% | ||||||||
Benchmark annualized volatility | 5.2 | % | 10.2 | % | 9.5 | % | 5.0 | % | ||||||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (9,528 | ) | $ | (12,248 | ) | ||
Management fee | 13,465 | 12,911 | ||||||
Net realized gain (loss) | (878,701 | ) | (279,474 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,820 | (137,429 | ) | |||||
Net Income (loss) | $ | (877,409 | ) | $ | (429,151 | ) | ||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 114,167,602 | $ | 96,839,233 | ||||
NAV end of period | $ | 501,157,304 | $ | 79,400,059 | ||||
Percentage change in NAV | 339.0 | % | (18.0 | )% | ||||
Shares outstanding beginning of period | 1,776,760 | 416,994 | ||||||
Shares outstanding end of period | 21,755,220 | 876,760 | ||||||
Percentage change in shares outstanding | 1,124.4 | % | 110.3 | % | ||||
Shares created | 27,890,000 | 777,500 | ||||||
Shares redeemed | 7,911,540 | 317,734 | ||||||
Per share NAV beginning of period | $ | 64.26 | $ | 232.23 | ||||
Per share NAV end of period | $ | 23.04 | $ | 90.56 | ||||
Percentage change in per share NAV | (64.2 | )% | (61.0 | )% | ||||
Percentage change in benchmark | 45.9 | % | 50.1 | % | ||||
Benchmark annualized volatility | 41.9 | % | 28.2 | % | ||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
| Net investment income (loss) | $ | (1,435,665 | ) | $ | (509,925 | ) | ||
| Management fee | 1,438,757 | 402,298 | ||||||
| Brokerage commission | 184,135 | 71,625 | ||||||
| Futures account fees | 155,979 | 65,180 | ||||||
| Net realized gain (loss) | (209,076,101 | ) | (75,188,186 | ) | ||||
| Change in net unrealized appreciation (depreciation) | 36,686,156 | (4,308,588 | ) | |||||
| Net Income (loss) | $ | (173,825,610 | ) | $ | (80,006,699 | ) | ||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 242,145,130 | $ | 24,977,745 | ||||
NAV end of period | $ | 211,823,446 | $ | 97,525,300 | ||||
Percentage change in NAV | (12.5 | )% | 290.4 | % | ||||
Shares outstanding beginning of period | 978,742 | 26,242 | ||||||
Shares outstanding end of period | 4,966,856 | 226,242 | ||||||
Percentage change in shares outstanding | 407.5 | % | 762.1 | % | ||||
Shares created | 23,340,000 | 377,500 | ||||||
Shares redeemed | 19,351,886 | 177,500 | ||||||
Per share NAV beginning of period | $ | 247.40 | $ | 951.82 | ||||
Per share NAV end of period | $ | 42.65 | $ | 431.07 | ||||
Percentage change in per share NAV | (82.8 | )% | (54.7 | )% | ||||
Percentage change in benchmark | 48.9 | % | 34.2 | % | ||||
Benchmark annualized volatility | 80.3 | % | 35.5 | % | ||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (1,447,798 | ) | $ | (574,164 | ) | ||
Management fee | 1,053,068 | 350,648 | ||||||
Brokerage commission | 365,858 | 182,023 | ||||||
Futures account fees | 206,885 | 57,126 | ||||||
Net realized gain (loss) | (397,371,192 | ) | (16,664,698 | ) | ||||
Change in net unrealized appreciation (depreciation) | 140,292,056 | (17,798,697 | ) | |||||
Net Income (loss) | $ | (258,526,934 | ) | $ | (35,037,559 | ) | ||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. |
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 54,263,045 | $ | 52,953,339 | ||||
NAV end of period | $ | 62,270,097 | $ | 48,820,440 | ||||
Percentage change in NAV | 14.8 | % | (7.8 | )% | ||||
Shares outstanding beginning of period | 2,100,000 | 2,350,000 | ||||||
Shares outstanding end of period | 2,050,000 | 2,050,000 | ||||||
Percentage change in shares outstanding | (2.4 | )% | (12.8 | )% | ||||
Shares created | 550,000 | 200,000 | ||||||
Shares redeemed | 600,000 | 500,000 | ||||||
Per share NAV beginning of period | $ | 25.84 | $ | 22.53 | ||||
Per share NAV end of period | $ | 30.38 | $ | 23.81 | ||||
Percentage change in per share NAV | 17.5 | % | 5.7 | % | ||||
Percentage change in benchmark | (7.9 | )% | (2.9 | )% | ||||
Benchmark annualized volatility | 8.8 | % | 6.1 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (18,221 | ) | $ | (11,633 | ) | $ | (209,974 | ) | $ | (225,912 | ) | ||||
Management fee | 19,144 | 20,655 | 264,390 | 238,718 | ||||||||||||
Non-recurring fees and expenses | — | 78 | ||||||||||||||
Net realized gain (loss) | (305,028 | ) | 11,333 | 5,818,237 | (725,230 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (126,370 | ) | 48,030 | 3,308,479 | 3,881,067 | |||||||||||
Net Income (loss) | $ | (449,619 | ) | $ | 47,730 | $ | 8,916,742 | $ | 2,929,925 | |||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 2,222,639 | $ | 5,608,612 | $ | 26,859,844 | $ | 20,337,376 | ||||||||
NAV end of period | $ | 4,914,269 | $ | 5,173,668 | $ | 34,611,284 | $ | 32,835,014 | ||||||||
Percentage change in NAV | 121.1 | % | (7.8 | )% | 28.9 | % | 61.5 | % | ||||||||
Shares outstanding beginning of period | 50,000 | 100,000 | 846,977 | 646,977 | ||||||||||||
Shares outstanding end of period | 100,000 | 100,000 | 1,096,977 | 946,977 | ||||||||||||
Percentage change in shares outstanding | 100.0 | % | — | % | 29.5 | % | 46.4 | % | ||||||||
Shares created | 50,000 | — | 1,150,000 | 1,050,000 | ||||||||||||
Shares redeemed | — | — | 900,000 | 750,000 | ||||||||||||
Per share NAV beginning of period | $ | 44.45 | $ | 56.09 | $ | 31.71 | $ | 31.43 | ||||||||
Per share NAV end of period | $ | 49.14 | $ | 51.74 | $ | 31.55 | $ | 34.67 | ||||||||
Percentage change in per share NAV | 10.6 | % | (7.8 | )% | (0.5 | )% | 10.3 | % | ||||||||
Percentage change in benchmark | (6.2 | )% | 2.1 | % | (1.5 | )% | (7.0 | )% | ||||||||
Benchmark annualized volatility | 9.5 | % | 13.0 | % | 15.7 | % | 16.6 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (19,952 | ) | $ | (26,054 | ) | ||
Management fee | 19,191 | 42,496 | ||||||
Brokerage commission | 1,722 | 3,766 | ||||||
Non-recurring fees and expenses | — | 177 | ||||||
Net realized gain (loss) | 17,207 | (799,054 | ) | |||||
Change in net unrealized appreciation (depreciation) | 321,113 | 390,164 | ||||||
Net Income (loss) | $ | 318,368 | $ | (434,944 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 96,839,233 | $ | 125,451,681 | ||||
NAV end of period | $ | 93,575,213 | $ | 80,418,166 | ||||
Percentage change in NAV | (3.4 | )% | (35.9 | )% | ||||
Shares outstanding beginning of period | 2,084,971 | 2,572,471 | ||||||
Shares outstanding end of period | 6,183,799 | 1,209,971 | ||||||
Percentage change in shares outstanding | 196.6 | % | (53.0 | )% | ||||
Shares created | 7,237,500 | 6,662,500 | ||||||
Shares redeemed | 3,138,672 | 8,025,000 | ||||||
Per share NAV beginning of period | $ | 46.45 | $ | 48.77 | ||||
Per share NAV end of period | $ | 15.13 | $ | 66.46 | ||||
Percentage change in per share NAV | (67.4 | )% | 36.3 | % | ||||
Percentage change in benchmark | 58.2 | % | (33.6 | )% | ||||
Benchmark annualized volatility | 29.1 | % | 90.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (751,650 | ) | $ | (1,155,759 | ) | $ | (120,396 | ) | $ | (139,918 | ) | ||||
Management fee | 603,444 | 789,307 | 141,814 | 133,695 | ||||||||||||
Brokerage commission | 100,902 | 488,442 | 5,796 | 5,873 | ||||||||||||
Non-recurring fees and expenses | — | 4,892 | ||||||||||||||
Futures account fees | 2,446 | 6,488 | ||||||||||||||
Net realized gain (loss) | (86,637,748 | ) | 28,429,826 | (1,750,799 | ) | (2,981,188 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (5,829,481 | ) | 7,227,746 | 2,318,730 | 3,626,200 | |||||||||||
Net Income (loss) | $ | (93,218,879 | ) | $ | 34,501,813 | $ | 447,535 | $ | 505,094 | |||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 24,977,745 | $ | 12,515,603 | $ | 26,537,000 | $ | 28,885,775 | ||||||||
NAV end of period | $ | 138,468,677 | $ | 46,937,986 | $ | 33,052,840 | $ | 34,859,763 | ||||||||
Percentage change in NAV | 454.4 | % | 275.0 | % | 24.6 | % | 20.7 | % | ||||||||
Shares outstanding beginning of period | 524,832 | 324,832 | 991,329 | 1,041,744 | ||||||||||||
Shares outstanding end of period | 19,724,832 | 1,224,832 | 1,041,329 | 1,491,329 | ||||||||||||
Percentage change in shares outstanding | 3,658.3 | % | 277.1 | % | 5.0 | % | 43.2 | % | ||||||||
Shares created | 28,050,000 | 4,400,000 | 1,800,000 | 2,750,000 | ||||||||||||
Shares redeemed | 8,850,000 | 3,500,000 | 1,750,000 | 2,300,415 | ||||||||||||
Per share NAV beginning of period | $ | 47.59 | $ | 38.53 | $ | 26.77 | $ | 27.73 | ||||||||
Per share NAV end of period | $ | 7.02 | $ | 38.32 | $ | 31.74 | $ | 23.37 | ||||||||
Percentage change in per share NAV | (85.3 | )% | (0.5 | )% | 18.6 | % | (15.7 | )% | ||||||||
Percentage change in benchmark | 113.0 | % | (28.5 | )% | (13.4 | )% | (1.2 | )% | ||||||||
Benchmark annualized volatility | 40.5 | % | 53.5 | % | 28.2 | % | 35.9 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (932,981 | ) | $ | (358,912 | ) | ||
Management fee | 609,472 | 207,544 | ||||||
Brokerage commission | 249,831 | 177,159 | ||||||
Non-recurring fees and expenses | — | 345 | ||||||
Net realized gain (loss) | (112,274,576 | ) | (20,587,724 | ) | ||||
Change in net unrealized appreciation (depreciation) | (35,670,233 | ) | 9,530,109 | |||||
Net Income (loss) | $ | (148,877,790 | ) | $ | (11,416,527 | ) | ||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 52,953,339 | $ | 120,581,173 | ||||
NAV end of period | $ | 48,640,817 | $ | 68,577,533 | ||||
Percentage change in NAV | (8.1 | )% | (43.1 | )% | ||||
Shares outstanding beginning of period | 2,350,000 | 4,500,000 | ||||||
Shares outstanding end of period | 1,950,000 | 2,800,000 | ||||||
Percentage change in shares outstanding | (17.0 | )% | (37.8 | )% | ||||
Shares created | 300,000 | 1,350,000 | ||||||
Shares redeemed | 700,000 | 3,050,000 | ||||||
Per share NAV beginning of period | $ | 22.53 | $ | 26.80 | ||||
Per share NAV end of period | $ | 24.94 | $ | 24.49 | ||||
Percentage change in per share NAV | 10.7 | % | (8.6 | )% | ||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | ||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (337,637 | ) | $ | (154,217 | ) | $ | (112,092 | ) | $ | (177,247 | ) | ||||
Management fee | 355,451 | 638,218 | 123,334 | 157,576 | ||||||||||||
Non-recurring fees and expenses | — | 2,622 | ||||||||||||||
Brokerage commission | 11,978 | 11,268 | ||||||||||||||
Futures account fees | 4,443 | 14,198 | ||||||||||||||
Net realized gain (loss) | 2,249,236 | (8,749,752 | ) | 2,037,296 | (8,808,722 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,263,109 | 3,446,359 | 5,642,964 | 6,541,191 | ||||||||||||
Net Income (loss) | $ | 5,174,708 | $ | (5,457,610 | ) | $ | 7,568,168 | $ | (2,444,778 | ) | ||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 20,337,376 | $ | 21,047,560 | $ | 24,840,784 | $ | 23,691,070 | ||||||||
NAV end of period | $ | 27,731,022 | $ | 27,139,981 | $ | 45,568,882 | $ | 27,231,748 | ||||||||
Percentage change in NAV | 36.4 | % | 28.9 | % | 83.4 | % | 14.9 | % | ||||||||
Shares outstanding beginning of period | 646,977 | 396,977 | 598,580 | 698,580 | ||||||||||||
Shares outstanding end of period | 796,977 | 846,977 | 798,580 | 698,580 | ||||||||||||
Percentage change in shares outstanding | 23.2 | % | 113.4 | % | 33.4 | % | — | % | ||||||||
Shares created | 1,700,000 | 1,100,000 | 850,000 | 200,000 | ||||||||||||
Shares redeemed | 1,550,000 | 650,000 | 650,000 | 200,000 | ||||||||||||
Per share NAV beginning of period | $ | 31.43 | $ | 53.02 | $ | 41.50 | $ | 33.91 | ||||||||
Per share NAV end of period | $ | 34.80 | $ | 32.04 | $ | 57.06 | $ | 38.98 | ||||||||
Percentage change in per share NAV | 10.7 | % | (39.6 | )% | 37.5 | % | 15.0 | % | ||||||||
Percentage change in benchmark | (7.9 | )% | 3.6 | % | (15.2 | )% | (7.1 | )% | ||||||||
Benchmark annualized volatility | 15.7 | % | 22.6 | % | 9.5 | % | 5.0 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (208,304 | ) | $ | (73,179 | ) | $ | (116,689 | ) | $ | (131,833 | ) | ||||
Management fee | 199,999 | 129,451 | 153,001 | 138,999 | ||||||||||||
Brokerage commission | 9,174 | 5,743 | ||||||||||||||
Non-recurring fees and expenses | — | 499 | ||||||||||||||
Net realized gain (loss) | (1,767,467 | ) | (12,041,690 | ) | 9,100,314 | 2,857,659 | ||||||||||
Change in net unrealized appreciation (depreciation) | 1,727,781 | 2,727,104 | 70,535 | 1,256,265 | ||||||||||||
Net Income (loss) | $ | (247,990 | ) | $ | (9,387,765 | ) | $ | 9,054,160 | $ | 3,982,091 | ||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 28,885,775 | $ | 13,834,163 | ||||
NAV end of period | $ | 40,373,877 | $ | 51,055,675 | ||||
Percentage change in NAV | 39.8 | % | 269.1 | % | ||||
Shares outstanding beginning of period | 1,041,744 | 129,244 | ||||||
Shares outstanding end of period | 1,291,329 | 1,316,744 | ||||||
Percentage change in shares outstanding | 24.0 | % | 918.8 | % | ||||
Shares created | 3,750,000 | 3,025,000 | ||||||
Shares redeemed | 3,500,415 | 1,837,500 | ||||||
Per share NAV beginning of period | $ | 27.73 | $ | 107.04 | ||||
Per share NAV end of period | $ | 31.27 | $ | 38.77 | ||||
Percentage change in per share NAV | 12.8 | % | (63.8 | )% | ||||
Percentage change in benchmark | (17.0 | )% | 27.4 | % | ||||
Benchmark annualized volatility | 33.0 | % | 48.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (279,779 | ) | $ | (122,284 | ) | ||
Management fee | 248,539 | 147,262 | ||||||
Brokerage commission | 19,409 | 16,460 | ||||||
Non-recurring fees and expenses | — | 321 | ||||||
Net realized gain (loss) | (2,146,577 | ) | (18,932,319 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,463,787 | 12,566,119 | ||||||
Net Income (loss) | $ | 8,037,431 | $ | (6,488,484 | ) | |||
| * | 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 |
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
NAV beginning of period | $ | 23,691,070 | $ | 38,132,320 | $ | 112,875,680 | $ | 72,075,095 | ||||||||
NAV end of period | $ | 23,328,922 | $ | 24,780,763 | $ | 95,721,271 | $ | 92,662,734 | ||||||||
Percentage change in NAV | (1.5 | )% | (35.0 | )% | (15.2 | )% | 28.6 | % | ||||||||
Shares outstanding beginning of period | 349,290 | 499,290 | 3,687,403 | 1,962,403 | ||||||||||||
Shares outstanding end of period | 299,290 | 349,290 | 2,712,403 | 3,037,403 | ||||||||||||
Percentage change in shares outstanding | (14.3 | )% | (30.0 | )% | (26.4 | )% | 54.8 | % | ||||||||
Shares created | 100,000 | 100,000 | 1,000,000 | 1,425,000 | ||||||||||||
Shares redeemed | 150,000 | 250,000 | 1,975,000 | 350,000 | ||||||||||||
Per share NAV beginning of period | $ | 67.83 | $ | 76.37 | $ | 30.61 | $ | 36.73 | ||||||||
Per share NAV end of period | $ | 77.95 | $ | 70.95 | $ | 35.29 | $ | 30.51 | ||||||||
Percentage change in per share NAV | 14.9 | % | (7.1 | )% | 15.3 | % | (16.9 | )% | ||||||||
Percentage change in benchmark | (7.2 | )% | 3.0 | % | 16.5 | % | (16.4 | )% | ||||||||
Benchmark annualized volatility | 5.2 | % | 10.2 | % | 34.9 | % | 30.8 | % | ||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (186,478 | ) | $ | (73,411 | ) | ||
Management fee | 196,036 | 209,105 | ||||||
Non-recurring fees and expenses | — | 717 | ||||||
Net realized gain (loss) | 3,055,103 | (1,847,423 | ) | |||||
Change in net unrealized appreciation (depreciation) | 1,066,333 | (429,087 | ) | |||||
Net Income (loss) | $ | 3,934,958 | $ | (2,349,921 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 72,075,095 | $ | 45,986,584 | ||||
NAV end of period | $ | 127,673,137 | $ | 101,957,520 | ||||
Percentage change in NAV | 77.1 | % | 121.7 | % | ||||
Shares outstanding beginning of period | 1,962,403 | 2,162,403 | ||||||
Shares outstanding end of period | 3,962,403 | 2,487,403 | ||||||
Percentage change in shares outstanding | 101.9 | % | 15.0 | % | ||||
Shares created | 2,625,000 | 2,250,000 | ||||||
Shares redeemed | 625,000 | 1,925,000 | ||||||
Per share NAV beginning of period | $ | 36.73 | $ | 21.27 | ||||
Per share NAV end of period | $ | 32.22 | $ | 40.99 | ||||
Percentage change in per share NAV | (12.3 | )% | 92.8 | % | ||||
Percentage change in benchmark | (11.4 | )% | 94.3 | % | ||||
Benchmark annualized volatility | 28.3 | % | 63.0 | % | ||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
Net investment income (loss) | $ | (436,261 | ) | $ | (431,944 | ) | ||
Management fee | 426,247 | 365,346 | ||||||
Brokerage commission | 40,369 | 27,408 | ||||||
Futures account fees | 46,394 | 57,763 | ||||||
Net realized gain (loss) | 12,653,549 | (10,866,226 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,518,835 | (4,703,492 | ) | |||||
Net Income (loss) | $ | 15,736,123 | $ | (16,001,662 | ) | |||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||
NAV beginning of period | $ | 269,703,164 | $ | 293,390,549 | ||||
NAV end of period | $ | 341,714,316 | $ | 272,352,675 | ||||
Percentage change in NAV | 26.7 | % | (7.2 | )% | ||||
Shares outstanding beginning of period | 17,832,826 | 5,331,579 | ||||||
Shares outstanding end of period | 18,757,826 | 11,307,826 | ||||||
Percentage change in shares outstanding | 5.2 | % | 112.1 | % | ||||
Shares created | 18,125,000 | 10,256,250 | ||||||
Shares redeemed | 17,200,000 | 4,280,003 | ||||||
Per share NAV beginning of period | $ | 15.12 | $ | 55.03 | ||||
Per share NAV end of period | $ | 18.22 | $ | 24.09 | ||||
Percentage change in per share NAV | 20.4 | % | (56.2 | )% | ||||
Percentage change in benchmark | 21.6 | % | (56.0 | )% | ||||
Benchmark annualized volatility | 88.1 | % | 76.0 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (694,100 | ) | $ | (290,253 | ) | ||
Management fee | 586,702 | 391,147 | ||||||
Brokerage commission | 48,211 | 51,973 | ||||||
Net realized gain (loss) | (14,890,359 | ) | 21,708,785 | |||||
Change in net unrealized appreciation (depreciation) | 5,949,460 | 5,421,417 | ||||||
Net Income (loss) | $ | (9,634,999 | ) | $ | 26,839,949 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 293,390,549 | $ | 279,792,503 | ||||
NAV end of period | $ | 368,777,333 | $ | 279,272,297 | ||||
Percentage change in NAV | 25.7 | % | (0.2 | )% | ||||
Shares outstanding beginning of period | 5,331,579 | 5,687,829 | ||||||
Shares outstanding end of period | 16,257,826 | 3,400,329 | ||||||
Percentage change in shares outstanding | 204.9 | % | (40.2 | )% | ||||
Shares created | 16,556,250 | 4,331,250 | ||||||
Shares redeemed | 5,630,003 | 6,618,750 | ||||||
Per share NAV beginning of period | $ | 55.03 | $ | 49.19 | ||||
Per share NAV end of period | $ | 22.68 | $ | 82.13 | ||||
Percentage change in per share NAV | (58.8 | )% | 67.0 | % | ||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | ||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||
Net investment income (loss) | $ | (3,019,972 | ) | $ | (1,057,822 | ) | $ | (1,804,892 | ) | $ | (2,122,386 | ) | ||||
Management fee | 2,154,874 | 1,584,861 | 1,479,408 | 1,494,823 | ||||||||||||
Brokerage commission | 365,013 | 311,826 | 287,656 | 267,497 | ||||||||||||
Futures account fees | 316,440 | 439,514 | ||||||||||||||
Net realized gain (loss) | (304,349,667 | ) | 249,771,936 | 77,393,009 | (252,481,234 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 27,729,790 | 16,589,740 | 33,152,396 | (14,438,507 | ) | |||||||||||
Net Income (loss) | $ | (279,639,849 | ) | $ | 265,303,854 | $ | 108,740,513 | $ | (269,042,127 | ) | ||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2021 | 15 | $ | 1.16 | 125,000 | $ | (2,175,000 | ) | |||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2020 | 15 | $ | 1.17 | 125,000 | $ | (2,200,406 | ) | |||||||||||
Futures Positions as of June 30, 2022 | Futures Positions as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Short | October 2021 | 4,341 | $ | 22.87 | 1,000 | $ | (99,269,120 | ) | Short | July 2022 | 3,652 | $ | 28.56 | 1,000 | $ | (104,309,520 | ) | ||||||||||||||||||||||||
VIX Futures (Cboe) | Short | November 2021 | 4,001 | 23.69 | 1,000 | (94,767,286 | ) | Short | August 2022 | 3,346 | 29.18 | 1,000 | (97,627,580 | ) | ||||||||||||||||||||||||||||
Futures Positions as of June 30, 2021 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Short | July 2021 | 8,517 | $ | 17.90 | 1,000 | $ | (152,482,406 | ) | |||||||||||||
VIX Futures (Cboe) | Short | August 2021 | 7,201 | 19.75 | 1,000 | (142,210,389 | ) | |||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | October 2020 | 2,972 | $ | 30.38 | 1,000 | $ | (90,274,500 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2020 | 2,335 | 32.88 | 1,000 | (76,763,125 | ) | |||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 5,657 | $ | 74.70 | 1,000 | $ | 422,577,900 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 5,843 | 71.15 | 1,000 | 415,729,450 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 6,063 | 67.70 | 1,000 | 410,465,100 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 63.6871 | $ | 143,554,545 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 63.6871 | 203,094,978 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 63.6871 | 248,642,399 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 63.6871 | 135,481,695 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 63.6871 | 201,694,052 | ||||||||||
Futures Positions as of June 30, 2022 | Futures Positions as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2020 | 19,296 | $ | 40.47 | 1,000 | $ | 780,909,120 | Long | September 2022 | 2,204 | $ | 103.10 | 1,000 | $ | 227,232,400 | ||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2021 | 18,635 | 42.28 | 1,000 | 787,887,800 | Long | December 2022 | 2,535 | 95.56 | 1,000 | 242,244,600 | ||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 18,385 | 43.12 | 1,000 | 792,761,200 | Long | June 2023 | 2,688 | 87.62 | 1,000 | 235,522,560 | ||||||||||||||||||||||||||||||
Swap Agreements as of June 30, 2022 | Swap Agreements as of June 30, 2022 | |||||||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Subindex | Societe Generale | Long | $ | 35.2114 | $ | 30,255,607 | ||||||||||||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 95.7921 | $ | 215,921,141 | ||||||||||||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 95.7921 | 321,089,755 | ||||||||||||||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 95.7921 | 373,984,332 | ||||||||||||||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 95.7921 | 203,778,726 | ||||||||||||||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 95.7921 | 303,369,078 | ||||||||||||||||||||||||
Futures Positions as of June 30, 2021 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Long | September 2021 | 8,113 | $ | 72.77 | 1,000 | $ | 590,383,010 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 8,603 | 70.13 | 1,000 | 603,328,390 | ||||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 8,948 | 66.54 | 1,000 | 595,399,920 | ||||||||||||||||
Swap Agreements as of June 30, 2021 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 60.4445 | $ | 54,331,869 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 60.4445 | 192,754,488 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 60.4445 | 249,583,741 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 60.4445 | 128,583,706 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 60.4445 | 191,424,891 | ||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Long | September 2022 | 6,954 | $ | 5.39 | 10,000 | $ | 374,959,680 | ||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2021 | 4,944 | $ | 5.87 | 10,000 | $ | 290,064,480 | ||||||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
Natural Gas (NYMEX) | Long | November 2020 | 7,854 | $ | 2.53 | 10,000 | $ | 198,470,580 | Long | September 2021 | 3,875 | $ | 3.62 | 10,000 | $ | 140,430,000 | ||||||||||||||||||||||||||
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 07/08/22 | 4,532,921 | 1.0752 | $ | 4,873,797 | |||||||||||||||
Euro | UBS AG | Long | 07/08/22 | 14,836,502 | 1.0632 | 15,774,356 | ||||||||||||||||
Euro | UBS AG | Short | 07/08/22 | (1,446,000 | ) | 1.0601 | $ | (1,532,970 | ) | |||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/08/21 | 3,388,921 | 1.1851 | $ | 4,016,217 | |||||||||||||
Euro | UBS AG | Long | 10/08/21 | 2,801,502 | 1.1849 | 3,319,491 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/08/21 | (93,000 | ) | 1.1685 | (108,671 | ) | ||||||||||||
Euro | UBS AG | Short | 10/08/21 | (84,000 | ) | 1.1726 | (98,499 | ) | ||||||||||||
Foreign Currency Forward Contracts as of June 30, 2021 | Foreign Currency Forward Contracts as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||||
Euro | Goldman Sachs International | Long | 10/09/20 | 3,440,921 | 1.1835 | $ | 4,072,330 | Goldman Sachs International | Long | 07/09/21 | 3,450,921 | 1.2118 | $ | 4,181,993 | ||||||||||||||||||||||||||||
Euro | UBS AG | Long | 10/09/20 | 6,830,302 | 1.1845 | 8,090,716 | UBS AG | Long | 07/09/21 | 4,235,502 | 1.2213 | 5,172,812 | ||||||||||||||||||||||||||||||
Euro | UBS AG | Short | 10/09/20 | (2,760,000 | ) | 1.1801 | (3,257,049 | ) | UBS AG | Short | 07/09/21 | (1,496,000 | ) | 1.1883 | $ | (1,777,623 | ) | |||||||||||||||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Long | August 2022 | 954 | $ | 1,807.30 | 100 | $ | 172,416,420 | ||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2021 | 856 | $ | 1,757.00 | 100 | $ | 150,399,200 | ||||||||||||
Swap Agreements as of June 30, 2022 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 197.5387 | $ | 109,384,670 | ||||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 197.5387 | 84,543,271 | ||||||||||
Bloomberg Gold Subindex | UBS AG | Long | 197.5387 | 113,788,925 | ||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 193.6583 | $ | 107,235,945 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 193.6583 | 92,669,240 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 193.6583 | 111,553,685 | ||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||||
Gold Futures (COMEX) | Long | December 2020 | 1,114 | $ | 1,895.50 | 100 | $ | 211,158,700 | Long | August 2021 | 972 | $ | 1,771.60 | 100 | $ | 172,199,520 | ||||||||||||||||||||||||||||
Swap Agreements as of June 30, 2021 | Swap Agreements as of June 30, 2021 | |||||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 211.1862 | $ | 116,941,808 | Citibank, N.A. | Long | $ | 195.7033 | $ | 108,368,339 | ||||||||||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 211.1862 | 101,056,679 | Goldman Sachs International | Long | 195.7033 | 93,647,812 | ||||||||||||||||||
Bloomberg Gold Subindex | UBS AG | Long | 211.1862 | 121,650,344 | UBS AG | Long | 195.7033 | 112,731,674 | ||||||||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Long | September 2022 | 773 | $ | 20.35 | 5,000 | $ | 78,660,480 | ||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2021 | 1,213 | $ | 22.05 | 5,000 | $ | 133,715,055 | ||||||||||||
Swap Agreements as of June 30, 2022 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 182.7827 | $ | 153,262,171 | ||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 182.7827 | 177,466,859 | ||||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 182.7827 | 168,307,407 | ||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 182.7827 | 134,298,894 | ||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 200.3035 | $ | 219,572,067 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 200.3035 | 219,657,055 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 200.3035 | 204,665,509 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 200.3035 | 182,787,599 | ||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||||
Silver Futures (COMEX) | Long | December 2020 | 3,288 | $ | 23.49 | 5,000 | $ | 386,241,359 | Long | September 2021 | 2,217 | $ | 26.19 | 5,000 | $ | 290,360,490 | ||||||||||||||||||||||||||||
Swap Agreements as of June 30, 2021 | Swap Agreements as of June 30, 2021 | |||||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 215.9803 | $ | 257,181,535 | Citibank, N.A. | Long | $ | 238.4964 | $ | 310,326,474 | ||||||||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 215.9803 | 223,086,085 | Goldman Sachs International | Long | 238.4964 | 261,540,197 | ||||||||||||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 215.9803 | 205,360,117 | Morgan Stanley & Co. International PLC | Long | 238.4964 | 243,690,136 | ||||||||||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 215.9803 | 169,907,857 | UBS AG | Long | 238.4964 | 217,640,652 | ||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2021 | 32,595 | $ | 22.87 | 1,000 | $ | 745,375,941 | ||||||||||||
VIX Futures (Cboe) | Long | November 2021 | 30,104 | 23.69 | 1,000 | 713,040,334 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs International | Long | $ | 27.8300 | $ | 73,401,625 | ||||||
Futures Positions as of June 30, 2022 | Futures Positions as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | October 2020 | 34,258 | $ | 30.38 | 1,000 | $ | 1,040,586,750 | Long | July 2022 | 26,481 | $ | 28.56 | 1,000 | $ | 756,358,266 | ||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | November 2020 | 26,919 | 32.88 | 1,000 | 884,962,125 | Long | August 2022 | 24,277 | 29.18 | 1,000 | 708,339,740 | ||||||||||||||||||||||||||||||
Futures Positions as of June 30, 2021 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Long | July 2021 | 34,175 | $ | 17.90 | 1,000 | $ | 611,845,278 | ||||||||||||||||
VIX Futures (Cboe) | Long | August 2021 | 28,926 | 19.75 | 1,000 | 571,250,896 | ||||||||||||||||||
Swap Agreements as of June 30, 2021 | Swap Agreements as of June 30, 2021 | |||||||||||||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 25.0468 | $ | 38,626,764 | Goldman Sachs & Co. | Long | $ | 29.4600 | $ | 77,700,750 | ||||||||||||||||
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Yen | Goldman Sachs International | Long | 07/08/22 | 333,241,517 | 0.007476 | $ | 2,491,153 | |||||||||||||||
Yen | UBS AG | Long | 07/08/22 | 1,080,855,856 | 0.007414 | 8,013,151 | ||||||||||||||||
Yen | UBS AG | Short | 07/08/22 | (54,170,000 | ) | 0.007409 | $ | (401,369 | ) | |||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/08/21 | 327,930,517 | 0.009089 | $ | 2,980,604 | |||||||||||||
Yen | UBS AG | Long | 10/08/21 | 253,562,756 | 0.009086 | 2,303,860 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/08/21 | (6,319,000 | ) | 0.008956 | (56,590 | ) | ||||||||||||
Yen | UBS AG | Short | 10/08/21 | (10,090,000 | ) | 0.009078 | (91,593 | ) | ||||||||||||
Foreign Currency Forward Contracts as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||||
Yen | Goldman Sachs International | Long | 10/09/20 | 332,532,517 | 0.009418 | $ | 3,131,929 | Goldman Sachs International | Long | 07/09/21 | 336,192,517 | 0.009125 | $ | 3,067,633 | ||||||||||||||||||||||||||||
Yen | UBS AG | Long | 10/09/20 | 278,602,756 | 0.009425 | 2,625,726 | UBS AG | Long | 07/09/21 | 246,112,756 | 0.009124 | 2,245,458 | ||||||||||||||||||||||||||||||
Yen | UBS AG | Short | 10/09/20 | (2,680,000 | ) | 0.009488 | (25,429 | ) | UBS AG | Short | 07/09/21 | (13,400,000 | ) | 0.009047 | $ | (121,227 | ) | |||||||||||||||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | September 2022 | 3,134 | $ | 103.10 | 1,000 | $ | (323,115,400 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,605 | 95.56 | 1,000 | (344,493,800 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,824 | 87.62 | 1,000 | (335,058,880 | ) | |||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | December 2021 | 136 | $ | 72.29 | 1,000 | $ | (9,838,240 | ) | |||||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | December 2020 | 145 | $ | 71.63 | 1,000 | $ | (10,386,350 | ) | |||||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | September 2021 | 720 | $ | 72.77 | 1,000 | $ | (52,394,400 | ) | |||||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 764 | 70.13 | 1,000 | (53,579,320 | ) | |||||||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 794 | 66.54 | 1,000 | (52,832,760 | ) | |||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 848 | $ | 74.70 | 1,000 | $ | (63,345,600 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 876 | 71.15 | 1,000 | (62,327,400 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 909 | 67.70 | 1,000 | (61,539,300 | ) | |||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2020 | 1,314 | $ | 40.47 | 1,000 | $ | (53,177,580 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2021 | 1,269 | 42.28 | 1,000 | (53,653,320 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 1,252 | 43.12 | 1,000 | (53,986,240 | ) | |||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | September 2022 | 7,871 | $ | 5.39 | 10,000 | $ | (424,404,320 | ) | |||||||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
Natural Gas (NYMEX) | Short | November 2021 | 4,720 | $ | 5.87 | 10,000 | $ | (276,922,400 | ) | Short | September 2021 | 5,382 | $ | 3.62 | 10,000 | $ | (195,043,680 | ) | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2020 | 3,715 | $ | 2.53 | 10,000 | $ | (93,878,050 | ) | |||||||||||
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 07/08/22 | 12,080,000 | 1.0563 | $ | 12,760,213 | |||||||||||||||
Euro | UBS AG | Long | 07/08/22 | 12,060,000 | 1.0551 | 12,724,426 | ||||||||||||||||
Euro | Goldman Sachs International | Short | 07/08/22 | (51,635,263 | ) | 1.0740 | $ | (55,457,155 | ) | |||||||||||||
Euro | UBS AG | Short | 07/08/22 | (91,489,199 | ) | 1.0702 | (97,911,917 | ) | ||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 10/08/21 | 5,650,000 | 1.1862 | $ | 6,702,072 | |||||||||||||
Euro | Goldman Sachs International | Short | 10/08/21 | (39,458,263 | ) | 1.1837 | (46,708,330 | ) | ||||||||||||
Euro | UBS AG | Short | 10/08/21 | (49,895,199 | ) | 1.1841 | (59,081,294 | ) | ||||||||||||
Foreign Currency Forward Contracts as of June 30, 2021 | Foreign Currency Forward Contracts as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||||
Euro | Goldman Sachs International | Long | 10/09/20 | 3,698,000 | 1.1727 | $ | 4,336,534 | Goldman Sachs International | Long | 07/09/21 | 950,000 | 1.2101 | $ | 1,149,583 | ||||||||||||||||||||||||||||
Euro | UBS AG | Long | 10/09/20 | 6,700,000 | 1.1787 | 7,897,485 | UBS AG | Long | 07/09/21 | 2,380,000 | 1.2022 | 2,861,261 | ||||||||||||||||||||||||||||||
Euro | Goldman Sachs International | Short | 10/09/20 | (41,689,263 | ) | 1.1835 | (49,339,243 | ) | Goldman Sachs International | Short | 07/09/21 | (37,911,263 | ) | 1.2211 | $ | (46,293,004 | ) | |||||||||||||||||||||||||
Euro | UBS AG | Short | 10/09/20 | (85,627,199 | ) | 1.1818 | (101,193,803 | ) | UBS AG | Short | 07/09/21 | (47,835,199 | ) | 1.2168 | (58,206,953 | ) | ||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2021 | 114 | $ | 1,757.00 | 100 | $ | (20,029,800 | ) | |||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 193.6583 | $ | (14,518,233 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 193.6583 | (9,497,933 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 193.6583 | (11,357,509 | ) | |||||||
Futures Positions as of June 30, 2022 | Futures Positions as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||||
Gold Futures (COMEX) | Short | December 2020 | 111 | $ | 1,895.50 | 100 | $ | (21,040,050 | ) | Short | August 2022 | 184 | $ | 1,807.30 | 100 | $ | (33,254,320 | ) | ||||||||||||||||||||||||||
Swap Agreements as of June 30, 2022 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 197.5387 | $ | (14,809,140 | ) | |||||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 197.5387 | (9,688,247 | ) | |||||||||
Bloomberg Gold Subindex | UBS AG | Short | 197.5387 | (11,585,084 | ) | |||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 211.1862 | $ | (10,138,690 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 211.1862 | (8,325,763 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 211.1862 | (14,773,987 | ) | |||||||
Futures Positions as of June 30, 2021 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Gold Futures (COMEX) | Short | August 2021 | 169 | $ | 1,771.60 | 100 | $ | (29,940,040 | ) | |||||||||||||||
Swap Agreements as of June 30, 2021 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 195.7033 | $ | (14,671,543 | ) | |||||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 195.7033 | (9,598,230 | ) | |||||||||
Bloomberg Gold Subindex | UBS AG | Short | 195.7033 | (11,477,443 | ) | |||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2021 | 380 | $ | 22.05 | 5,000 | $ | (41,889,300 | ) | |||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 200.3035 | $ | (7,432,206 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 200.3035 | (9,839,512 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 200.3035 | (7,779,988 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 200.3035 | (13,786,912 | ) | |||||||
Futures Positions as of June 30, 2022 | Futures Positions as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
Silver Futures (COMEX) | Short | December 2020 | 296 | $ | 23.49 | 5,000 | $ | (34,771,120 | ) | Short | September 2022 | 445 | $ | 20.35 | 5,000 | $ | (45,283,200 | ) | ||||||||||||||||||||||||
Swap Agreements as of June 30, 2022 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 182.7827 | $ | (2,464,774 | ) | |||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 182.7827 | (8,978,838 | ) | |||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 182.7827 | (7,099,463 | ) | |||||||||
Bloomberg Silver Subindex | UBS AG | Short | 182.7827 | (2,270,181 | ) | |||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 215.9803 | $ | (26,820,589 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 215.9803 | (22,073,190 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 215.9803 | (4,366,690 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 215.9803 | (14,081,291 | ) | |||||||
Futures Positions as of June 30, 2021 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Silver Futures (COMEX) | Short | September 2021 | 179 | $ | 26.19 | 5,000 | $ | (23,443,630 | ) | |||||||||||||
Swap Agreements as of June 30, 2021 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 238.4964 | $ | (8,849,343 | ) | |||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 238.4964 | (11,715,662 | ) | |||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 238.4964 | (9,263,439 | ) | |||||||||
Bloomberg Silver Subindex | UBS AG | Short | 238.4964 | (16,415,733 | ) | |||||||||
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 07/08/22 | 1,505,180,000 | 0.007476 | $ | 11,252,838 | |||||||||||||
Yen | Goldman Sachs International | Short | 07/08/22 | (1,658,463,165 | ) | 0.007476 | $ | (12,389,197 | ) | |||||||||||
Yen | UBS AG | Short | 07/08/22 | (12,207,008,574 | ) | 0.007451 | (90,956,530 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/08/21 | 32,600,000 | 0.009147 | $ | 298,181 | |||||||||||||
Yen | UBS AG | Long | 10/08/21 | 373,110,000 | 0.009098 | 3,394,710 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/08/21 | (1,558,854,165 | ) | 0.009077 | (14,149,247 | ) | ||||||||||||
Yen | UBS AG | Short | 10/08/21 | (4,049,118,875 | ) | 0.009085 | (36,785,074 | ) | ||||||||||||
Foreign Currency Forward Contracts as of June 30, 2021 | Foreign Currency Forward Contracts as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||
Yen | Goldman Sachs International | Long | 10/09/20 | 23,643,000 | 0.009483 | $ | 224,207 | Goldman Sachs International | Long | 07/09/21 | 995,120,000 | 0.009133 | $ | 9,088,259 | ||||||||||||||||||||||||||
Yen | UBS AG | Long | 10/09/20 | 223,810,000 | 0.009506 | 2,127,624 | UBS AG | Long | 07/09/21 | 152,800,000 | 0.009096 | 1,389,896 | ||||||||||||||||||||||||||||
Yen | Goldman Sachs International | Short | 10/09/20 | (2,032,728,165 | ) | 0.009418 | (19,145,073 | ) | Goldman Sachs International | Short | 07/09/21 | (2,069,325,165 | ) | 0.009121 | $ | (18,874,773 | ) | |||||||||||||||||||||||
Yen | UBS AG | Short | 10/09/20 | (3,439,162,875 | ) | 0.009426 | (32,416,476 | ) | UBS AG | Short | 07/09/21 | (5,125,948,875 | ) | 0.009118 | (46,736,956 | ) | ||||||||||||||||||||||||
Futures Positions as of June 30, 2022 | Futures Positions as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | January 2022 | 872 | $ | 24.80 | 1,000 | $ | 21,626,210 | Long | October 2022 | 569 | $ | 29.78 | 1,000 | $ | 16,944,251 | ||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 1,677 | 25.23 | 1,000 | 42,304,841 | Long | November 2022 | 1,089 | 29.52 | 1,000 | 32,144,884 | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | March 2022 | 1,677 | 25.66 | 1,000 | 43,023,603 | Long | December 2022 | 1,090 | 28.81 | 1,000 | 31,400,611 | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 804 | 25.83 | 1,000 | 20,765,953 | Long | January 2023 | 521 | 29.60 | 1,000 | 15,420,610 | ||||||||||||||||||||||||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 652 | $ | 29.88 | 1,000 | $ | 19,478,500 | Long | October 2021 | 747 | $ | 21.85 | 1,000 | $ | 16,325,237 | ||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 1,165 | 29.40 | 1,000 | 34,251,000 | Long | November 2021 | 1,379 | 22.26 | 1,000 | 30,695,161 | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | March 2021 | 1,165 | 28.93 | 1,000 | 33,697,625 | Long | December 2021 | 1,379 | 22.38 | 1,000 | 30,859,951 | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | April 2021 | 512 | 28.38 | 1,000 | 14,528,000 | Long | January 2022 | 632 | 23.38 | 1,000 | 14,775,781 | ||||||||||||||||||||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 6,185 | $ | 28.56 | 1,000 | $ | 176,657,825 | ||||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 5,672 | 29.18 | 1,000 | 165,494,213 | ||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2021 | 8,245 | $ | 22.87 | 1,000 | $ | 188,545,011 | ||||||||||||
VIX Futures (Cboe) | Long | November 2021 | 7,617 | 23.69 | 1,000 | 180,415,500 | ||||||||||||||
Futures Positions as of June 30, 2021 | Futures Positions as of June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | October 2020 | 4,979 | $ | 30.38 | 1,000 | $ | 151,237,125 | Long | July 2021 | 7,861 | $ | 17.90 | 1,000 | $ | 140,737,841 | ||||||||||||||||||||||||||
VIX Futures (Cboe) | Long | November 2020 | 3,912 | 32.88 | 1,000 | 128,607,000 | Long | August 2021 | 6,655 | 19.75 | 1,000 | 131,427,599 | ||||||||||||||||||||||||||||||
Title of Securities Registered | Amount Registered as of September 30, 2021 | Shares Sold For the Three Months Ended September 30, 2021 | Sale Price of Shares Sold For the Three Months Ended September 30, 2021 | Shares Sold For the Nine Months Ended September 30, 2021 | Sale Price of Shares Sold For the Nine Months Ended September 30, 2021 | |||||||||||||||||||||||||||||||
ProShares Short Euro | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 35,191,282 | — | $ | — | — | $ | — | ||||||||||||||||||||||||||||
Title of Securities Registered* | Shares Sold For the Three Months Ended June 30, 2022 | Sale Price of Shares Sold For the Three Months Ended June 30, 2022 | Shares Sold For the Six Months Ended June 30, 2022 | Sale Price of Shares Sold For the Six Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,389,373,514 | 550,000 | $ | 30,777,084 | 3,400,000 | $ | 150,390,026 | 1,600,000 | $ | 75,921,860 | 4,600,000 | $ | 232,437,331 | ||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,385,606,139 | 950,000 | $ | 62,865,806 | 4,350,000 | $ | 240,118,659 | 1,700,000 | $ | 72,419,653 | 10,300,000 | $ | 402,736,686 | ||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 548,831,164 | 1,150,000 | $ | 79,122,213 | 5,200,000 | $ | 169,309,627 | 6,500,000 | $ | 549,486,344 | 9,100,000 | $ | 637,366,699 | ||||||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 12,965,765 | — | $ | — | 100,000 | $ | 1,488,793 | 450,000 | $ | 5,052,555 | 550,000 | $ | 6,368,822 | ||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 437,056,102 | 250,000 | $ | 14,836,141 | 1,250,000 | $ | 75,112,671 | 100,000 | $ | 6,573,039 | 1,600,000 | $ | 102,257,715 | ||||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 382,208,757 | 1,050,000 | $ | 38,538,861 | 4,450,000 | $ | 205,312,655 | 800,000 | $ | 26,625,358 | 1,800,000 | $ | 65,659,299 | ||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 6,664,421,573 | 37,800,000 | $ | 923,628,398 | 70,385,000 | $ | 3,297,406,475 | 58,400,000 | $ | 799,757,076 | 141,500,000 | $ | 1,971,472,943 | ||||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 21,407,176 | — | $ | — | — | $ | — | 100,000 | $ | 3,539,333 | 100,000 | $ | 3,539,333 | ||||||||||||||||||||||
ProShares UltraShort Australian Dollar | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 51,054,751 | 50,000 | $ | 2,373,262 | 50,000 | $ | 2,373,262 | ||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 447,139,262 | 3,350,000 | $ | 56,590,239 | 7,237,500 | $ | 164,074,678 | 12,320,000 | $ | 278,861,920 | 27,890,000 | $ | 788,890,799 | ||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas * | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,546,810,909 | 20,500,000 | $ | 210,189,776 | 28,050,000 | $ | 446,153,207 | 18,700,000 | $ | 489,076,501 | 23,340,000 | $ | 944,035,742 | ||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 115,002,443 | 100,000 | $ | 2,387,142 | 300,000 | $ | 7,000,386 | 500,000 | $ | 14,656,401 | 550,000 | $ | 16,028,063 | ||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 75,106,370 | 650,000 | $ | 21,916,482 | 1,700,000 | $ | 59,279,388 | 700,000 | $ | 20,554,617 | 1,150,000 | $ | 33,744,566 | ||||||||||||||||||||||
Title of Securities Registered | Amount Registered as of September 30, 2021 | Shares Sold For the Three Months Ended September 30, 2021 | Sale Price of Shares Sold For the Three Months Ended September 30, 2021 | Shares Sold For the Nine Months Ended September 30, 2021 | Sale Price of Shares Sold For the Nine Months Ended September 30, 2021 | |||||||||||||||||||||||||||||||
Title of Securities Registered* | Shares Sold For the Three Months Ended June 30, 2022 | Sale Price of Shares Sold For the Three Months Ended June 30, 2022 | Shares Sold For the Six Months Ended June 30, 2022 | Sale Price of Shares Sold For the Six Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 316,715,689 | 1,000,000 | $ | 26,169,229 | 3,750,000 | $ | 91,351,542 | 700,000 | $ | 17,707,417 | 1,800,000 | $ | 43,267,561 | ||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 114,882,391 | — | $ | — | 100,000 | $ | 7,132,412 | 650,000 | $ | 34,515,397 | 850,000 | $ | 44,120,719 | ||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 269,455,873 | 1,200,000 | $ | 37,425,551 | 2,625,000 | $ | 87,035,790 | 300,000 | $ | 10,043,451 | 1,000,000 | $ | 32,179,053 | ||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | ||||||||||||||||||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,884,359,393 | 6,300,000 | $ | 142,476,815 | 16,556,250 | $ | 593,853,539 | 8,175,000 | $ | 141,195,554 | 18,125,000 | $ | 302,368,469 | ||||||||||||||||||||||
Total Trust: | $ | 15,697,588,553 | 74,900,000 | $ | 1,649,296,999 | 149,503,750 | $ | 5,597,393,110 | 111,695,000 | $ | 2,545,986,476 | 244,255,000 | $ | 5,626,473,800 | ||||||||||||||||||||||
| * | The registration statement covers an indeterminate amount of securities to be offered or sold. |
| * | 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: |
/s/ Edward Karpowicz |
| By: Edward Karpowicz |
| Principal Financial and Accounting Officer |
| Date: |