| ☒ | 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 Bloomberg Crude Oil | SCO | NYSE Arca | ||
ProShares UltraShort Bloomberg Natural Gas | KOLD | NYSE Arca | ||
ProShares UltraShort Euro | EUO | NYSE Arca | ||
ProShares UltraShort Gold | GLL | NYSE Arca | ||
ProShares UltraShort Silver | ZSL | NYSE Arca | ||
ProShares UltraShort Yen | YCS | NYSE Arca | ||
ProShares VIX Mid-Term Futures ETF | VIXM | Cboe BZX Exchange | ||
ProShares VIX Short-Term Futures ETF | VIXY | Cboe BZX Exchange |
| Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||||||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||||||
| Emerging Growth Company | ☐ | |||||||||
Page | ||||
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| 189 | ||||
Financial Statements. |
Page | ||||
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 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $136,764,766 and $147,851,244, respectively) | $ | 136,590,474 | $ | 147,815,719 | ||||
Cash | 20,797,038 | 44,359,519 | ||||||
Segregated cash balances with brokers for futures contracts | 89,792,144 | 138,651,465 | ||||||
Receivable on open futures contracts | 77,902,927 | 99,544,338 | ||||||
Interest receivable | 234,601 | 2,868 | ||||||
Total assets | 325,317,184 | 430,373,909 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 6,125,130 | ||||||
Payable on open futures contracts | 2,882,905 | — | ||||||
Brokerage commissions and futures account fees payable | 8,444 | 104,312 | ||||||
Payable to Sponsor | 588,662 | 331,873 | ||||||
Non-recurring fees and expenses payable | 6,122 | — | ||||||
Total liabilities | 3,486,133 | 6,561,315 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 321,831,051 | 423,812,594 | ||||||
Total liabilities and shareholders’ equity | $ | 325,317,184 | $ | 430,373,909 | ||||
Shares outstanding | 6,634,307 | 6,884,307 | ||||||
Net asset value per share | $ | 48.51 | $ | 61.56 | ||||
Market value per share (Note 2) | $ | 48.59 | $ | 61.55 | ||||
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 | |||||||
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 | ||||
| Cash | 57,127,931 | 132,392,153 | ||||||
| Segregated cash balances with brokers for futures contracts | 130,619,573 | 134,187,067 | ||||||
| Receivable on open futures contracts | 71,173,354 | 74,226,825 | ||||||
| Interest receivable | 1,773 | 4,384 | ||||||
| Total assets | 388,915,098 | 410,810,068 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 0 | 996,159 | ||||||
| Brokerage commissions and futures account fees payable | 85,856 | 114,522 | ||||||
| Payable to Sponsor | 304,044 | 326,566 | ||||||
Non-recurring fees and expenses payable | 1,353 | 1,353 | ||||||
| Total liabilities | 391,253 | 1,438,600 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 388,523,845 | 409,371,468 | ||||||
| Total liabilities and shareholders’ equity | $ | 388,915,098 | $ | 410,810,068 | ||||
| Shares outstanding | 7,134,307 | 9,884,307 | ||||||
| Net asset value per share | $ | 54.46 | $ | 41.42 | ||||
| Market value per share (Note 2) | $ | 54.39 | $ | 41.44 | ||||
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 | ||||||||
(42% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 | $ | 77,000,000 | $ | 76,818,657 | ||||
2.682% due 11/17/22 | 50,000,000 | 49,820,000 | ||||||
3.026% due 12/01/22 | 10,000,000 | 9,951,817 | ||||||
Total short-term U.S. government and agency obligations (cost $136,764,766) | $ | 136,590,474 | ||||||
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 October 2022 | 3,083 | $ | 97,163,828 | $ | (12,969,545 | ) | ||||||
VIX Futures - Cboe, expires November 2022 | 2,052 | 63,759,128 | (3,296,473 | ) | ||||||||
| $ | (16,266,018 | ) | ||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 8,152 | $ | 53,301 | $ | 75,729 | $ | 909,185 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 1,055,823 | 1,116,999 | 3,415,545 | 3,592,232 | ||||||||||||
| Brokerage commissions | 208,885 | 167,648 | 638,744 | 585,356 | ||||||||||||
| Futures account fees | 209,717 | 291,350 | 795,836 | 752,869 | ||||||||||||
Non-recurring fees and expenses | — | 22,038 | — | 22,038 | ||||||||||||
| Total expenses | 1,474,425 | 1,598,035 | 4,850,125 | 4,952,495 | ||||||||||||
| Net investment income (loss) | (1,466,273 | ) | (1,544,734 | ) | (4,774,396 | ) | (4,043,310 | ) | ||||||||
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 | ) | |||||||||||
| Short-term U.S. government and agency obligations | (1,303 | ) | (10 | ) | (1,303 | ) | (768 | ) | ||||||||
| Net realized gain (loss) | 34,572,603 | 60,593,305 | 168,119,037 | (129,092,294 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (43,362,244 | ) | (1,463,210 | ) | (14,530,761 | ) | (2,706,204 | ) | ||||||||
| Short-term U.S. government and agency obligations | 12,400 | (189 | ) | (2,095 | ) | (2,866 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | (14,532,856 | ) | (2,709,070 | ) | ||||||||
| Net realized and unrealized gain (loss) | (8,777,241 | ) | 59,129,906 | 153,586,181 | (131,801,364 | ) | ||||||||||
Net income (loss) | $ | (10,243,514 | ) | $ | 57,585,172 | $ | 148,811,785 | $ | (135,844,674 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,006,499 | $ | 8,152 | $ | 1,325,976 | $ | 75,729 | ||||||||
Expenses | ||||||||||||||||
Management fee | 914,054 | 1,055,823 | 2,934,952 | 3,415,545 | ||||||||||||
Brokerage commissions | 152,661 | 208,885 | 517,911 | 638,744 | ||||||||||||
Futures account fees | 23,966 | 209,717 | 348,217 | 795,836 | ||||||||||||
Non-recurring fees and expenses | 6,122 | — | 6,122 | — | ||||||||||||
Total expenses | 1,096,803 | 1,474,425 | 3,807,202 | 4,850,125 | ||||||||||||
Net investment income (loss) | (90,304 | ) | (1,466,273 | ) | (2,481,226 | ) | (4,774,396 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 27,694,574 | 34,573,906 | (26,435,234 | ) | 168,120,340 | |||||||||||
Short-term U.S. government and agency obligations | — | (1,303 | ) | (86,512 | ) | (1,303 | ) | |||||||||
Net realized gain (loss) | 27,694,574 | 34,572,603 | (26,521,746 | ) | 168,119,037 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (17,783,632 | ) | (43,362,244 | ) | (47,541,296 | ) | (14,530,761 | ) | ||||||||
Short-term U.S. government and agency obligations | 313,442 | 12,400 | (138,767 | ) | (2,095 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (17,470,190 | ) | (43,349,844 | ) | (47,680,063 | ) | (14,532,856 | ) | ||||||||
Net realized and unrealized gain (loss) | 10,224,384 | (8,777,241 | ) | (74,201,809 | ) | 153,586,181 | ||||||||||
Net income (loss) | $ | 10,134,080 | $ | (10,243,514 | ) | $ | (76,683,035 | ) | $ | 148,811,785 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 588,615,946 | $ | 509,811,853 | $ | 409,371,468 | $ | 284,437,179 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (1,466,273 | ) | (1,544,734 | ) | (4,774,396 | ) | (4,043,310 | ) | ||||||||
| Net realized gain (loss) | 34,572,603 | 60,593,305 | 168,119,037 | (129,092,294 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | (14,532,856 | ) | (2,709,070 | ) | ||||||||
| Net income (loss) | (10,243,514 | ) | 57,585,172 | 148,811,785 | (135,844,674 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 388,523,845 | $ | 335,465,066 | $ | 388,523,845 | $ | 335,465,066 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 403,644,956 | $ | 588,615,946 | $ | 423,812,594 | $ | 409,371,468 | ||||||||
Addition of 450,000, 550,000, 5,050,000 and 3,400,000 shares, respectively | 23,538,063 | 30,777,084 | 255,975,394 | 150,390,026 | ||||||||||||
Redemption of 2,200,000, 4,000,000, 5,300,000 and 6,150,000 shares, respectively | (115,486,048 | ) | (220,625,671 | ) | (281,273,902 | ) | (320,049,434 | ) | ||||||||
Net addition (redemption) of (1,750,000), (3,450,000), (250,000) and (2,750,000) shares, respectively | (91,947,985 | ) | (189,848,587 | ) | (25,298,508 | ) | (169,659,408 | ) | ||||||||
Net investment income (loss) | (90,304 | ) | (1,466,273 | ) | (2,481,226 | ) | (4,774,396 | ) | ||||||||
Net realized gain (loss) | 27,694,574 | 34,572,603 | (26,521,746 | ) | 168,119,037 | |||||||||||
Change in net unrealized appreciation (depreciation) | (17,470,190 | ) | (43,349,844 | ) | (47,680,063 | ) | (14,532,856 | ) | ||||||||
Net income (loss) | 10,134,080 | (10,243,514 | ) | (76,683,035 | ) | 148,811,785 | ||||||||||
Shareholders’ equity, end of period | $ | 321,831,051 | $ | 388,523,845 | $ | 321,831,051 | $ | 388,523,845 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 148,811,785 | $ | (135,844,674 | ) | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 351,997,423 | 446,998,196 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (42,672 | ) | (466,825 | ) | ||||
| 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 | ) | |||||
| Decrease (Increase) in interest receivable | 2,611 | 120,515 | ||||||
| Increase (Decrease) in payable to Sponsor | (22,522 | ) | 86,957 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (28,666 | ) | 92,881 | |||||
| Increase (Decrease) in payable on futures contracts | (996,159 | ) | 1,344,400 | |||||
| Net cash provided by (used in) operating activities | 90,827,692 | (235,827,179 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 150,390,026 | 914,411,669 | ||||||
| Payment on shares redeemed | (320,049,434 | ) | (697,482,198 | ) | ||||
| Net cash provided by (used in) financing activities | (169,659,408 | ) | 216,929,471 | |||||
Net increase (decrease) in cash | (78,831,716 | ) | (18,897,708 | ) | ||||
| Cash, beginning of period | 266,579,220 | 167,544,087 | ||||||
| Cash, end of period | $ | 187,747,504 | $ | 148,646,379 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (76,683,035 | ) | $ | 148,811,785 | |||
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 | (1,119,341,677 | ) | (411,950,977 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,130,832,801 | 351,997,423 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (491,158 | ) | (42,672 | ) | ||||
Net realized (gain) loss on investments | 86,512 | 1,303 | ||||||
Change in unrealized (appreciation) depreciation on investments | 138,767 | 2,095 | ||||||
Decrease (Increase) in receivable on open futures contracts | 21,641,411 | 3,053,471 | ||||||
Decrease (Increase) in interest receivable | (231,733 | ) | 2,611 | |||||
Increase (Decrease) in payable to Sponsor | 256,789 | (22,522 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (95,868 | ) | (28,666 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,882,905 | (996,159 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 6,122 | — | ||||||
Net cash provided by (used in) operating activities | (40,998,164 | ) | 90,827,692 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 255,975,394 | 150,390,026 | ||||||
Payment on shares redeemed | (287,399,032 | ) | (320,049,434 | ) | ||||
Net cash provided by (used in) financing activities | (31,423,638 | ) | (169,659,408 | ) | ||||
Net increase (decrease) in cash | (72,421,802 | ) | (78,831,716 | ) | ||||
Cash, beginning of period | 183,010,984 | 266,579,220 | ||||||
Cash, end of period | $ | 110,589,182 | $ | 187,747,504 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 59,467,995 | 491,732,847 | ||||||
| Segregated cash balances with brokers for futures contracts | 140,365,174 | 175,526,749 | ||||||
| Unrealized appreciation on swap agreements | 70,885,762 | 18,242,195 | ||||||
| Receivable on open futures contracts | 2,775,359 | 1,611,608 | ||||||
| Interest receivable | 14,763 | 21,388 | ||||||
| Total assets | 1,108,451,379 | 907,133,181 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 16,894,746 | 3,627,934 | ||||||
| Brokerage commissions and futures account fees payable | 21,834 | — | ||||||
| Payable to Sponsor | 856,541 | 728,955 | ||||||
Non-recurring fees and expenses payable | 64,542 | 37,042 | ||||||
| Total liabilities | 17,837,663 | 4,393,931 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 1,090,613,716 | 902,739,250 | ||||||
| Total liabilities and shareholders’ equity | $ | 1,108,451,379 | $ | 907,133,181 | ||||
| Shares outstanding | 12,910,774 | 24,810,774 | ||||||
| Net asset value per share | $ | 84.47 | $ | 36.38 | ||||
| Market value per share (Note 2) | $ | 84.22 | $ | 36.27 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $535,375,763 and $848,800,309, respectively) | $ | 535,064,695 | $ | 848,757,567 | ||||
Cash | 130,593,006 | 86,582,912 | ||||||
Segregated cash balances with brokers for futures contracts | 55,730,479 | 130,704,477 | ||||||
Segregated cash balances with brokers for swap agreements | 146,636,745 | — | ||||||
Unrealized appreciation on swap agreements | — | 63,928,293 | ||||||
Receivable on open futures contracts | 891,736 | — | ||||||
Interest receivable | 320,767 | 3,523 | ||||||
Total assets | 869,237,428 | 1,129,976,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 16,409,207 | — | ||||||
Payable on open futures contracts | 2,911,771 | 25,317,560 | ||||||
Brokerage commissions and futures account fees payable | 6,468 | 24,677 | ||||||
Payable to Sponsor | 1,344,783 | 850,965 | ||||||
Unrealized depreciation on swap agreements | 123,956,198 | — | ||||||
Non-recurring fees and expenses payable | 13,739 | — | ||||||
Total liabilities | 144,642,166 | 26,193,202 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 724,595,262 | 1,103,783,570 | ||||||
Total liabilities and shareholders’ equity | $ | 869,237,428 | $ | 1,129,976,772 | ||||
Shares outstanding (Note 1) | 27,643,096 | 51,243,096 | ||||||
Net asset value per share (Note 1) | $ | 26.21 | $ | 21.54 | ||||
Market value per share (Note 1) (Note 2) | $ | 26.26 | $ | 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 | ||||||||
(74% of shareholders’ equity) | ||||||||
Federal Home Loan Discount Notes ^^ : | ||||||||
3.900% due 10/03/22 | $ | 200,000,000 | $ | 199,971,110 | ||||
U.S. Treasury Bills ^^ : | ||||||||
2.253% due 10/06/22 † | 50,000,000 | 49,989,230 | ||||||
0.637% due 11/03/22 † | 181,000,000 | 180,573,727 | ||||||
2.682% due 11/17/22 † | 30,000,000 | 29,892,000 | ||||||
3.026% due 12/01/22 † | 75,000,000 | 74,638,628 | ||||||
Total short-term U.S. government and agency obligations (cost $535,375,763) | $ | 535,064,695 | ||||||
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 December 2022 | 1,450 | $ | 114,144,000 | $ | 14,409,192 | |||||||
WTI Crude Oil - NYMEX, expires June 2023 | 1,535 | 112,055,000 | (9,187,751 | ) | ||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 1,610 | 112,152,600 | (9,069,369 | ) | ||||||||
| $ | (3,847,928 | ) | ||||||||||
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 | |||||||||
| 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 | ||||||||||||
| 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 | ||||||||||||
| 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 | ||||||||||||
| 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 | ||||||||||||
| | Total Unrealized Appreciation | | $ | 70,885,762 | ||||||||||||
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 | % | 10/06/22 | $ | 175,709,387 | $ | (19,603,867 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/22 | 218,463,160 | (24,373,900 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/22 | 304,335,914 | (33,954,709 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 10/06/22 | 165,828,296 | (18,489,319 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 10/06/22 | 246,871,587 | (27,534,403 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (123,956,198 | ) | ||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 86,370 | $ | 50,356 | $ | 365,778 | $ | 1,817,563 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 2,775,351 | 3,210,517 | 8,104,728 | 6,887,044 | ||||||||||||
| Brokerage commissions | 198,498 | 600,233 | 701,710 | 1,744,115 | ||||||||||||
| Futures account fees | 215,514 | 635,311 | 632,199 | 1,172,060 | ||||||||||||
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 | ||||||||||||
| Net investment income (loss) | (3,130,493 | ) | (4,420,342 | ) | (9,100,359 | ) | (8,010,293 | ) | ||||||||
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 | ||||||||||||
| Swap agreements | 13,693,131 | (8,356,234 | ) | 221,428,455 | (1,065,452,045 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (4,742 | ) | — | (4,742 | ) | 159,318 | ||||||||||
| Net realized gain (loss) | 106,325,821 | 285,954,263 | 761,182,708 | (891,020,242 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (48,048,297 | ) | (222,585,432 | ) | 123,440,274 | 127,961,958 | ||||||||||
| Swap agreements | 31,138,258 | (10,038,323 | ) | 52,643,567 | (21,814,590 | ) | ||||||||||
| Short-term U.S. government and agency obligations | 31,451 | (6,531 | ) | (7,634 | ) | (20,469 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | 176,076,207 | 106,126,899 | ||||||||||
| Net realized and unrealized gain (loss) | 89,447,233 | 53,323,977 | 937,258,915 | (784,893,343 | ) | |||||||||||
Net income (loss) | $ | 86,316,740 | $ | 48,903,635 | $ | 928,158,556 | $ | (792,903,636 | ) | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,391,191 | $ | 86,370 | $ | 3,964,082 | $ | 365,778 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,118,088 | 2,775,351 | 8,301,804 | 8,104,728 | ||||||||||||
Brokerage commissions | 85,906 | 198,498 | 421,657 | 701,710 | ||||||||||||
Futures account fees | 19,466 | 215,514 | 381,754 | 632,199 | ||||||||||||
Non-recurring fees and expenses | 13,739 | 27,500 | 13,739 | 27,500 | ||||||||||||
Total expenses | 2,237,199 | 3,216,863 | 9,118,954 | 9,466,137 | ||||||||||||
Net investment income (loss) | 153,992 | (3,130,493 | ) | (5,154,872 | ) | (9,100,359 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (58,028,223 | ) | 92,637,432 | 452,879,319 | 539,758,995 | |||||||||||
Swap agreements | (286,550,709 | ) | 13,693,131 | 365,260,911 | 221,428,455 | |||||||||||
Short-term U.S. government and agency obligations | — | (4,742 | ) | (7,789 | ) | (4,742 | ) | |||||||||
Net realized gain (loss) | (344,578,932 | ) | 106,325,821 | 818,132,441 | 761,182,708 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (62,302,727 | ) | (48,048,297 | ) | (151,303,453 | ) | 123,440,274 | |||||||||
Swap agreements | 28,330,957 | 31,138,258 | (187,884,491 | ) | 52,643,567 | |||||||||||
Short-term U.S. government and agency obligations | 723,596 | 31,451 | (268,326 | ) | (7,634 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (33,248,174 | ) | (16,878,588 | ) | (339,456,270 | ) | 176,076,207 | |||||||||
Net realized and unrealized gain (loss) | (377,827,106 | ) | 89,447,233 | 478,676,171 | 937,258,915 | |||||||||||
Net income (loss) | $ | (377,673,114 | ) | $ | 86,316,740 | $ | 473,521,299 | $ | 928,158,556 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,303,530,902 | $ | 1,508,661,459 | $ | 902,739,250 | $ | 309,844,582 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (3,130,493 | ) | (4,420,342 | ) | (9,100,359 | ) | (8,010,293 | ) | ||||||||
| Net realized gain (loss) | 106,325,821 | 285,954,263 | 761,182,708 | (891,020,242 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | 176,076,207 | 106,126,899 | ||||||||||
| Net income (loss) | 86,316,740 | 48,903,635 | 928,158,556 | (792,903,636 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | $ | 1,090,613,716 | $ | 1,195,885,056 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,060,867,238 | $ | 1,303,530,902 | $ | 1,103,783,570 | $ | 902,739,250 | ||||||||
Addition of 10,400,000, 3,800,000, 20,700,000 and 17,400,000 shares, respectively (Note 1) | 335,779,871 | 62,865,806 | 738,516,557 | 240,118,659 | ||||||||||||
Redemption of 8,250,000, 18,800,000, 44,300,000 and 65,000,000 shares, respectively (Note 1) | (294,378,733 | ) | (362,099,732 | ) | (1,591,226,164 | ) | (980,402,749 | ) | ||||||||
Net addition (redemption) of 2,150,000, (15,000,000), (23,600,000) and (47,600,000) shares, respectively (Note 1) | 41,401,138 | (299,233,926 | ) | (852,709,607 | ) | (740,284,090 | ) | |||||||||
Net investment income (loss) | 153,992 | (3,130,493 | ) | (5,154,872 | ) | (9,100,359 | ) | |||||||||
Net realized gain (loss) | (344,578,932 | ) | 106,325,821 | 818,132,441 | 761,182,708 | |||||||||||
Change in net unrealized appreciation (depreciation) | (33,248,174 | ) | (16,878,588 | ) | (339,456,270 | ) | 176,076,207 | |||||||||
Net income (loss) | (377,673,114 | ) | 86,316,740 | 473,521,299 | 928,158,556 | |||||||||||
Shareholders’ equity, end of period | $ | 724,595,262 | $ | 1,090,613,716 | $ | 724,595,262 | $ | 1,090,613,716 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 928,158,556 | $ | (792,903,636 | ) | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,397,994,503 | 611,325,151 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (230,377 | ) | (1,266,463 | ) | ||||
| 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 | ) | ||||
| Decrease (Increase) in interest receivable | 6,625 | 93,028 | ||||||
| Increase (Decrease) in payable to Sponsor | 127,586 | 699,847 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 21,834 | — | ||||||
| Increase (Decrease) in payable on futures contracts | — | (266,056 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 27,500 | — | ||||||
| Net cash provided by (used in) operating activities | 259,590,851 | (814,010,910 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 240,118,659 | 3,605,599,295 | ||||||
| Payment on shares redeemed | (967,135,937 | ) | (1,933,840,206 | ) | ||||
| Net cash provided by (used in) financing activities | (727,017,278 | ) | 1,671,759,089 | |||||
Net increase (decrease) in cash | (467,426,427 | ) | 857,748,179 | |||||
| Cash, beginning of period | 667,259,596 | 88,315,563 | ||||||
| Cash, end of period | $ | 199,833,169 | $ | 946,063,742 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 473,521,299 | $ | 928,158,556 | ||||
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 | (13,891,053,120 | ) | (2,012,720,434 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 14,207,412,141 | 1,397,994,503 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,942,264 | ) | (230,377 | ) | ||||
Net realized (gain) loss on investments | 7,789 | 4,742 | ||||||
Change in unrealized (appreciation) depreciation on investments | 188,152,817 | (52,635,933 | ) | |||||
Decrease (Increase) in receivable on open futures contracts | (891,736 | ) | (1,163,751 | ) | ||||
Decrease (Increase) in interest receivable | (317,244 | ) | 6,625 | |||||
Increase (Decrease) in payable to Sponsor | 493,818 | 127,586 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (18,209 | ) | 21,834 | |||||
Increase (Decrease) in payable on open futures contracts | (22,405,789 | ) | — | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 13,739 | 27,500 | ||||||
Net cash provided by (used in) operating activities | 951,973,241 | 259,590,851 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 738,516,557 | 240,118,659 | ||||||
Payment on shares redeemed | (1,574,816,957 | ) | (967,135,937 | ) | ||||
Net cash provided by (used in) financing activities | (836,300,400 | ) | (727,017,278 | ) | ||||
Net increase (decrease) in cash | 115,672,841 | (467,426,427 | ) | |||||
Cash, beginning of period | 217,287,389 | 667,259,596 | ||||||
Cash, end of period | $ | 332,960,230 | $ | 199,833,169 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 57,275,787 | 92,972,312 | ||||||
| Segregated cash balances with brokers for futures contracts | 29,792,570 | 44,320,410 | ||||||
| Receivable from capital shares sold | 12,521,135 | — | ||||||
| Receivable on open futures contracts | 12,504,114 | 13,775,851 | ||||||
| Interest receivable | 1,065 | 4,326 | ||||||
| Total assets | 145,091,798 | 181,072,788 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | — | 11,132,546 | ||||||
| Brokerage commissions and futures account fees payable | 145 | — | ||||||
| Payable to Sponsor | 52,856 | 139,455 | ||||||
Non-recurring fees and expenses payable | 416 | 416 | ||||||
| Total liabilities | 53,417 | 11,272,417 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 145,038,381 | 169,800,371 | ||||||
| Total liabilities and shareholders’ equity | $ | 145,091,798 | $ | 181,072,788 | ||||
| Shares outstanding | 1,737,527 | 8,087,527 | ||||||
| Net asset value per share | $ | 83.47 | $ | 21.00 | ||||
| Market value per share (Note 2) | $ | 82.30 | $ | 21.07 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $106,619,159 and $90,936,719, respectively) | $ | 106,563,264 | $ | 90,922,438 | ||||
Cash | 22,701,853 | 6,846,634 | ||||||
Segregated cash balances with brokers for futures contracts | 99,662,520 | 47,289,091 | ||||||
Receivable from capital shares sold | — | 20,448,741 | ||||||
Receivable on open futures contracts | 70,013,901 | 33,998,620 | ||||||
Interest receivable | 158,525 | 1,130 | ||||||
Total assets | 299,100,063 | 199,506,654 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 2,661,693 | — | ||||||
Payable on open futures contracts | 6,590,160 | 5,403,658 | ||||||
Brokerage commissions and futures account fees payable | 15,382 | 63,628 | ||||||
Payable to Sponsor | 441,940 | 147,190 | ||||||
Non-recurring fees and expenses payable | 4,791 | — | ||||||
Total liabilities | 9,713,966 | 5,614,476 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 289,386,097 | 193,892,178 | ||||||
Total liabilities and shareholders’ equity | $ | 299,100,063 | $ | 199,506,654 | ||||
Shares outstanding | 5,437,527 | 7,587,527 | ||||||
Net asset value per share | $ | 53.22 | $ | 25.55 | ||||
Market value per share (Note 2) | $ | 53.66 | $ | 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 | ||||||||
(37% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 | $ | 32,000,000 | $ | 31,924,637 | ||||
3.026% due 12/01/22 | 75,000,000 | 74,638,627 | ||||||
Total short-term U.S. government and agency obligations (cost $106,619,159) | $ | 106,563,264 | ||||||
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 November 2022 | 8,556 | $ | 578,898,960 | $ | (97,363,745 | ) | ||||||
| ^^ | ||
Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 7,355 | $ | 15,347 | $ | 32,714 | $ | 191,160 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 161,130 | 199,772 | 568,903 | 378,784 | ||||||||||||
| Brokerage commissions | 40,472 | 106,449 | 195,831 | 214,255 | ||||||||||||
| Futures account fees | 18,263 | 31,540 | 112,998 | 44,182 | ||||||||||||
Non-recurring fees and expenses | — | 1,129 | — | 1,129 | ||||||||||||
| Total expenses | 219,865 | 338,890 | 877,732 | 638,350 | ||||||||||||
| Net investment income (loss) | (212,510 | ) | (323,543 | ) | (845,018 | ) | (447,190 | ) | ||||||||
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 | ||||||||||||
| Short-term U.S. government and agency obligations | 12 | — | 563 | 977 | ||||||||||||
| Net realized gain (loss) | 33,925,723 | 41,156,156 | 80,409,947 | 2,226,367 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 25,134,988 | (4,754,372 | ) | 35,685,009 | (4,336,578 | ) | ||||||||||
| Short-term U.S. government and agency obligations | 720 | (455 | ) | (252 | ) | (2,014 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | 35,684,757 | (4,338,592 | ) | ||||||||||
| Net realized and unrealized gain (loss) | 59,061,431 | 36,401,329 | 116,094,704 | (2,112,225 | ) | |||||||||||
Net income (loss) | $ | 58,848,921 | $ | 36,077,786 | $ | 115,249,686 | $ | (2,559,415 | ) | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 909,204 | $ | 7,355 | $ | 1,095,255 | $ | 32,714 | ||||||||
Expenses | ||||||||||||||||
Management fee | 658,525 | 161,130 | 1,589,759 | 568,903 | ||||||||||||
Brokerage commissions | 97,589 | 40,472 | 300,747 | 195,831 | ||||||||||||
Futures account fees | 43,620 | 18,263 | 177,950 | 112,998 | ||||||||||||
Non-recurring fees and expenses | 4,791 | — | 4,791 | — | ||||||||||||
Total expenses | 804,525 | 219,865 | 2,073,247 | 877,732 | ||||||||||||
Net investment income (loss) | 104,679 | (212,510 | ) | (977,992 | ) | (845,018 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (5,889,116 | ) | 33,925,711 | 235,322,266 | 80,409,384 | |||||||||||
Short-term U.S. government and agency obligations | (4,181 | ) | 12 | (7,633 | ) | 563 | ||||||||||
Net realized gain (loss) | (5,893,297 | ) | 33,925,723 | 235,314,633 | 80,409,947 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 97,063,212 | 25,134,988 | (89,157,584 | ) | 35,685,009 | |||||||||||
Short-term U.S. government and agency obligations | 158,315 | 720 | (41,614 | ) | (252 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 97,221,527 | 25,135,708 | (89,199,198 | ) | 35,684,757 | |||||||||||
Net realized and unrealized gain (loss) | 91,328,230 | 59,061,431 | 146,115,435 | 116,094,704 | ||||||||||||
Net income (loss) | $ | 91,432,909 | $ | 58,848,921 | $ | 145,137,443 | $ | 115,249,686 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 70,213,227 | $ | 50,599,783 | $ | 169,800,371 | $ | 45,160,205 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (212,510 | ) | (323,543 | ) | (845,018 | ) | (447,190 | ) | ||||||||
| Net realized gain (loss) | 33,925,723 | 41,156,156 | 80,409,947 | 2,226,367 | ||||||||||||
| Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | 35,684,757 | (4,338,592 | ) | ||||||||||
| Net income (loss) | 58,848,921 | 36,077,786 | 115,249,686 | (2,559,415 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 145,038,381 | $ | 99,203,762 | $ | 145,038,381 | $ | 99,203,762 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 187,297,842 | $ | 70,213,227 | $ | 193,892,178 | $ | 169,800,371 | ||||||||
Addition of 6,000,000, 1,150,000, 15,100,000 and 5,200,000 shares, respectively | 425,638,048 | 79,122,213 | 1,063,004,747 | 169,309,627 | ||||||||||||
Redemption of 5,300,000, 1,400,000, 17,250,000 and 11,550,000 shares, respectively | (414,982,702 | ) | (63,145,980 | ) | (1,112,648,271 | ) | (309,321,303 | ) | ||||||||
Net addition (redemption) of 700,000, (250,000), (2,150,000) and (6,350,000) shares, respectively | 10,655,346 | 15,976,233 | (49,643,524 | ) | (140,011,676 | ) | ||||||||||
Net investment income (loss) | 104,679 | (212,510 | ) | (977,992 | ) | (845,018 | ) | |||||||||
Net realized gain (loss) | (5,893,297 | ) | 33,925,723 | 235,314,633 | 80,409,947 | |||||||||||
Change in net unrealized appreciation (depreciation) | 97,221,527 | 25,135,708 | (89,199,198 | ) | 35,684,757 | |||||||||||
Net income (loss) | 91,432,909 | 58,848,921 | 145,137,443 | 115,249,686 | ||||||||||||
Shareholders’ equity, end of period | $ | 289,386,097 | $ | 145,038,381 | $ | 289,386,097 | $ | 145,038,381 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 145,137,443 | $ | 115,249,686 | ||||
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 | (750,045,262 | ) | (143,979,838 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 734,916,266 | 140,999,619 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (561,077 | ) | (16,708 | ) | ||||
Net realized (gain) loss on investments | 7,633 | (563 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 41,614 | 252 | ||||||
Decrease (Increase) in receivable on open futures contracts | (36,015,281 | ) | 1,271,737 | |||||
Decrease (Increase) in interest receivable | (157,395 | ) | 3,261 | |||||
Increase (Decrease) in payable to Sponsor | 294,750 | (86,599 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (48,246 | ) | 145 | |||||
Increase (Decrease) in payable on open futures contracts | 1,186,502 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | 4,791 | — | ||||||
Net cash provided by (used in) operating activities | 94,761,738 | 113,440,992 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,083,453,488 | 156,788,492 | ||||||
Payment on shares redeemed | (1,109,986,578 | ) | (320,453,849 | ) | ||||
Net cash provided by (used in) financing activities | (26,533,090 | ) | (163,665,357 | ) | ||||
Net increase (decrease) in cash | 68,228,648 | (50,224,365 | ) | |||||
Cash, beginning of period | 54,135,725 | 137,292,722 | ||||||
Cash, end of period | $ | 122,364,373 | $ | 87,068,357 | ||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 115,249,686 | $ | (2,559,415 | ) | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 140,999,619 | 83,563,843 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (16,708 | ) | (144,767 | ) | ||||
| 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 | ||||||
| Decrease (Increase) in interest receivable | 3,261 | 9,758 | ||||||
| Increase (Decrease) in payable to Sponsor | (86,599 | ) | 29,126 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 145 | — | ||||||
| Increase (Decrease) in payable on futures contracts | — | 2,392,727 | ||||||
| Net cash provided by (used in) operating activities | 113,440,992 | (32,551,775 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 156,788,492 | 193,426,833 | ||||||
| Payment on shares redeemed | (320,453,849 | ) | (136,823,861 | ) | ||||
| Net cash provided by (used in) financing activities | (163,665,357 | ) | 56,602,972 | |||||
Net increase (decrease) in cash | (50,224,365 | ) | 24,051,197 | |||||
| Cash, beginning of period | 137,292,722 | 17,619,062 | ||||||
| Cash, end of period | $ | 87,068,357 | $ | 41,670,259 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $697,652 and $998,130, respectively) | $ | 696,356 | $ | 997,678 | ||||
Cash | 11,775,775 | 6,891,458 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,359,000 | 691,000 | �� | |||||
Unrealized appreciation on foreign currency forward contracts | — | 84,150 | ||||||
Receivable from capital shares sold | 478,304 | — | ||||||
Interest receivable | 13,338 | 153 | ||||||
Total assets | 14,322,773 | 8,664,439 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 21,934 | 3,846 | ||||||
Unrealized depreciation on foreign currency forward contracts | 431,231 | 1,498 | ||||||
Non-recurring fees and expenses payable | 237 | — | ||||||
Total liabilities | 453,402 | 5,344 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 13,869,371 | 8,659,095 | ||||||
Total liabilities and shareholders’ equity | $ | 14,322,773 | $ | 8,664,439 | ||||
Shares outstanding | 1,450,000 | 650,000 | ||||||
Net asset value per share | $ | 9.57 | $ | 13.32 | ||||
Market value per share (Note 2) | $ | 9.57 | $ | 13.33 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively) | $ | 999,916 | $ | — | ||||
| Cash | 2,644,602 | 4,045,092 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 607,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,136 | 89,103 | ||||||
| Interest receivable | 100 | 162 | ||||||
| Total assets | 3,646,754 | 4,741,357 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 2,813 | 3,625 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 164,822 | 367 | ||||||
Non-recurring fees and expenses payable | 15 | 15 | ||||||
| Total liabilities | 167,650 | 4,007 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 3,479,104 | 4,737,350 | ||||||
| Total liabilities and shareholders’ equity | $ | 3,646,754 | $ | 4,741,357 | ||||
| Shares outstanding | 250,000 | 300,000 | ||||||
| Net asset value per share | $ | 13.92 | $ | 15.79 | ||||
| Market value per share (Note 2) | $ | 13.92 | $ | 15.81 | ||||
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 | ||||||||
(5% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.554% due 11/03/22 † | $ | 698,000 | $ | 696,356 | ||||
Total short-term U.S. government and agency obligations (cost $697,652) | $ | 696,356 | ||||||
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 | ) | |||||||||
| Euro with UBS AG | 10/08/21 | 2,801,502 | 3,245,215 | (74,277 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (164,822 | ) | ||||||||||||
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 | ||||||||||
| Total Unrealized Appreciation | $ | 2,136 | ||||||||||||||
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 | 10/07/22 | 12,276,921 | $ | 12,037,961 | $ | (194,303 | ) | |||||||||
Euro with UBS AG | 10/07/22 | 17,572,502 | 17,230,469 | (236,275 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (430,578 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 10/07/22 | (1,566,000 | ) | $ | (1,535,519 | ) | $ | (653 | ) | |||||||
| Total Unrealized Depreciation | | $ | (653 | ) | ||||||||||||
| † | All or partial amount pledged as collateral for foreign currency |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 393 | $ | 357 | $ | 1,415 | $ | 16,350 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 8,664 | 12,404 | 28,158 | 33,852 | ||||||||||||
Non-recurring fees and expenses | — | 108 | — | 108 | ||||||||||||
| Total expenses | 8,664 | 12,512 | 28,158 | 33,960 | ||||||||||||
| Net investment income (loss) | (8,271 | ) | (12,155 | ) | (26,743 | ) | (17,610 | ) | ||||||||
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 | ||||||||||
| Net realized gain (loss) | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | 72,810 | (84,317 | ) | (251,422 | ) | (208,243 | ) | |||||||||
| Short-term U.S. government and agency obligations | 43 | — | 4 | (208 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (251,418 | ) | (208,451 | ) | |||||||||
| Net realized and unrealized gain (loss) | (181,366 | ) | 357,397 | (437,567 | ) | 161,360 | ||||||||||
Net income (loss) | $ | (189,637 | ) | $ | 345,242 | $ | (464,310 | ) | $ | 143,750 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 36,856 | $ | 393 | $ | 47,965 | $ | 1,415 | ||||||||
Expenses | ||||||||||||||||
Management fee | 31,331 | 8,664 | 66,646 | 28,158 | ||||||||||||
Non-recurring fees and expenses | 237 | — | 237 | — | ||||||||||||
Total expenses | 31,568 | 8,664 | 66,883 | 28,158 | ||||||||||||
Net investment income (loss) | 5,288 | (8,271 | ) | (18,918 | ) | (26,743 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,618,381 | ) | (254,219 | ) | (2,505,776 | ) | (186,149 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | (5,949 | ) | — | |||||||||||
Net realized gain (loss) | (1,618,381 | ) | (254,219 | ) | (2,511,725 | ) | (186,149 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (98,836 | ) | 72,810 | (513,883 | ) | (251,422 | ) | |||||||||
Short-term U.S. government and agency obligations | 3,824 | 43 | (844 | ) | 4 | |||||||||||
Change in net unrealized appreciation (depreciation) | (95,012 | ) | 72,853 | (514,727 | ) | (251,418 | ) | |||||||||
Net realized and unrealized gain (loss) | (1,713,393 | ) | (181,366 | ) | (3,026,452 | ) | (437,567 | ) | ||||||||
Net income (loss) | $ | (1,708,105 | ) | $ | (189,637 | ) | $ | (3,045,370 | ) | $ | (464,310 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 3,668,741 | $ | 4,067,686 | $ | 4,737,350 | $ | 6,204,424 | ||||||||
| 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 | ) | |||||||||
| Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively | — | (15,253 | ) | (793,936 | ) | (1,950,499 | ) | |||||||||
| Net investment income (loss) | (8,271 | ) | (12,155 | ) | (26,743 | ) | (17,610 | ) | ||||||||
| Net realized gain (loss) | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (251,418 | ) | (208,451 | ) | |||||||||
| Net income (loss) | (189,637 | ) | 345,242 | (464,310 | ) | 143,750 | ||||||||||
Shareholders’ equity, end of period | $ | 3,479,104 | $ | 4,397,675 | $ | 3,479,104 | $ | 4,397,675 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 9,415,626 | $ | 3,668,741 | $ | 8,659,095 | $ | 4,737,350 | ||||||||
Addition of 700,000, –, 1,250,000 and 100,000 shares, respectively | 7,168,239 | — | 13,537,061 | 1,488,793 | ||||||||||||
Redemption of 100,000, –, 450,000 and 150,000 shares, respectively | (1,006,389 | ) | — | (5,281,415 | ) | (2,282,729 | ) | |||||||||
Net addition (redemption) of 600,000, –, 800,000 and (50,000) shares, respectively | 6,161,850 | — | 8,255,646 | (793,936 | ) | |||||||||||
Net investment income (loss) | 5,288 | (8,271 | ) | (18,918 | ) | (26,743 | ) | |||||||||
Net realized gain (loss) | (1,618,381 | ) | (254,219 | ) | (2,511,725 | ) | (186,149 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (95,012 | ) | 72,853 | (514,727 | ) | (251,418 | ) | |||||||||
Net income (loss) | (1,708,105 | ) | (189,637 | ) | (3,045,370 | ) | (464,310 | ) | ||||||||
Shareholders’ equity, end of period | $ | 13,869,371 | $ | 3,479,104 | $ | 13,869,371 | $ | 3,479,104 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (464,310 | ) | $ | 143,750 | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 3,000,000 | 5,375,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (531 | ) | (9,001 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 251,418 | 208,451 | ||||||
| Decrease (Increase) in interest receivable | 62 | 1,304 | ||||||
| Increase (Decrease) in payable to Sponsor | (812 | ) | (830 | ) | ||||
| Net cash provided by (used in) operating activities | (1,213,554 | ) | 4,322,879 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 1,488,793 | 2,838,707 | ||||||
| Payment on shares redeemed | (2,282,729 | ) | (4,789,206 | ) | ||||
| Net cash provided by (used in) financing activities | (793,936 | ) | (1,950,499 | ) | ||||
Net increase (decrease) in cash | (2,007,490 | ) | 2,372,380 | |||||
| Cash, beginning of period | 4,652,092 | 2,127,437 | ||||||
| Cash, end of period | $ | 2,644,602 | $ | 4,499,817 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (3,045,370 | ) | $ | (464,310 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (5,984,290 | ) | (3,999,381 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 6,290,250 | 3,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (11,431 | ) | (531 | ) | ||||
Net realized (gain) loss on investments | 5,949 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 514,727 | 251,418 | ||||||
Decrease (Increase) in interest receivable | (13,185 | ) | 62 | |||||
Increase (Decrease) in payable to Sponsor | 18,088 | (812 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 237 | — | ||||||
Net cash provided by (used in) operating activities | (2,225,025 | ) | (1,213,554 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 13,058,757 | 1,488,793 | ||||||
Payment on shares redeemed | (5,281,415 | ) | (2,282,729 | ) | ||||
Net cash provided by (used in) financing activities | 7,777,342 | (793,936 | ) | |||||
Net increase (decrease) in cash | 5,552,317 | (2,007,490 | ) | |||||
Cash, beginning of period | 7,582,458 | 4,652,092 | ||||||
Cash, end of period | $ | 13,134,775 | $ | 2,644,602 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 45,172,246 | 164,381,859 | ||||||
| Segregated cash balances with brokers for futures contracts | 7,404,375 | 11,581,250 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 7,489,000 | ||||||
| Unrealized appreciation on swap agreements | — | 5,140,980 | ||||||
| Receivable on open futures contracts | 2,711,621 | 148,784 | ||||||
| Interest receivable | 2,629 | 6,531 | ||||||
| Total assets | 241,276,485 | 263,747,871 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 2,781,899 | — | ||||||
| Brokerage commissions and futures account fees payable | 5,068 | — | ||||||
| Payable to Sponsor | 163,803 | 206,394 | ||||||
| Unrealized depreciation on swap agreements | 7,406,864 | — | ||||||
Non-recurring fees and expenses payable | 1,004 | 1,004 | ||||||
| Total liabilities | 10,358,638 | 207,398 | ||||||
| �� | ||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 230,917,847 | 263,540,473 | ||||||
| Total liabilities and shareholders’ equity | $ | 241,276,485 | $ | 263,747,871 | ||||
| Shares outstanding | 4,150,000 | 3,900,000 | ||||||
| Net asset value per share | $ | 55.64 | $ | 67.57 | ||||
| Market value per share (Note 2) | $ | 55.59 | $ | 68.20 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $143,646,462 and $207,964,168, respectively) | $ | 143,619,527 | $ | 207,956,320 | ||||
Cash | 8,231,351 | 9,328,332 | ||||||
Segregated cash balances with brokers for futures contracts | 2,374,050 | 6,093,750 | ||||||
Segregated cash balances with brokers for swap agreements | 12,629,200 | — | ||||||
Unrealized appreciation on swap agreements | — | 8,639,188 | ||||||
Receivable on open futures contracts | 120,937 | 944,644 | ||||||
Interest receivable | 40,392 | 690 | ||||||
Total assets | 167,015,457 | 232,962,924 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and futures account fees payable | — | 4,034 | ||||||
Payable to Sponsor | 303,801 | 178,356 | ||||||
Unrealized depreciation on swap agreements | 6,686,424 | — | ||||||
Non-recurring fees and expenses payable | 2,940 | — | ||||||
Total liabilities | 6,993,165 | 182,390 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 160,022,292 | 232,780,534 | ||||||
Total liabilities and shareholders’ equity | $ | 167,015,457 | $ | 232,962,924 | ||||
Shares outstanding | 3,400,000 | 3,900,000 | ||||||
Net asset value per share | $ | 47.07 | $ | 59.69 | ||||
Market value per share (Note 2) | $ | 46.93 | $ | 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 | ||||||||
(90% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.253% due 10/06/22 † | $ | 50,000,000 | $ | 49,989,230 | ||||
0.223% due 11/03/22 † | 14,000,000 | 13,967,029 | ||||||
2.682% due 11/17/22 † | 40,000,000 | 39,856,000 | ||||||
3.026% due 12/01/22 † | 40,000,000 | 39,807,268 | ||||||
Total short-term U.S. government and agency obligations (cost $143,646,462) | $ | 143,619,527 | ||||||
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 December 2022 | 409 | $ | 68,384,800 | $ | (1,627,042 | ) | ||||||
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 | ) | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | 92,669,240 | (2,203,785 | ) | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | 111,553,685 | (2,652,880 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (7,406,864 | ) | |||||||||||
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 | % | 10/06/22 | $ | 100,068,860 | $ | (2,464,705 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/22 | 47,529,603 | (1,657,776 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/22 | 104,098,025 | (2,563,943 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (6,686,424 | ) | ||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 14,338 | $ | 59,354 | $ | 70,259 | $ | 543,895 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 582,103 | 640,992 | 1,718,350 | 1,269,866 | ||||||||||||
| Brokerage commissions | 9,421 | 12,115 | 32,974 | 28,599 | ||||||||||||
| Futures account fees | 19,008 | 20,487 | 64,764 | 30,683 | ||||||||||||
Non-recurring fees and expenses | — | 3,751 | — | 3,751 | ||||||||||||
| Total expenses | 610,532 | 677,345 | 1,816,088 | 1,332,899 | ||||||||||||
| Net investment income (loss) | (596,194 | ) | (617,991 | ) | (1,745,829 | ) | (789,004 | ) | ||||||||
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 | ||||||||||
| Swap agreements | (18,733,085 | ) | 22,990,026 | (14,963,523 | ) | 45,798,972 | ||||||||||
| Short-term U.S. government and agency obligations | — | — | 245 | — | ||||||||||||
| Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (27,599,609 | ) | 51,605,680 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 319,305 | 1,046,895 | (6,583,282 | ) | 3,086,565 | |||||||||||
| Swap agreements | 15,245,013 | (19,104,511 | ) | (12,547,844 | ) | (14,343,779 | ) | |||||||||
| Short-term U.S. government and agency obligations | 9,966 | 3,025 | (5,396 | ) | (1,725 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | (19,136,522 | ) | (11,258,939 | ) | |||||||||
| Net realized and unrealized gain (loss) | (6,283,805 | ) | 7,687,705 | (46,736,131 | ) | 40,346,741 | ||||||||||
Net income (loss) | $ | (6,879,999 | ) | $ | 7,069,714 | $ | (48,481,960 | ) | $ | 39,557,737 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 678,282 | $ | 14,338 | $ | 1,092,549 | $ | 70,259 | ||||||||
Expenses | ||||||||||||||||
Management fee | 475,457 | 582,103 | 1,863,020 | 1,718,350 | ||||||||||||
Brokerage commissions | 8,176 | 9,421 | 43,899 | 32,974 | ||||||||||||
Futures account fees | — | 19,008 | 28,169 | 64,764 | ||||||||||||
Non-recurring fees and expenses | 2,940 | — | 2,940 | — | ||||||||||||
Total expenses | 486,573 | 610,532 | 1,938,028 | 1,816,088 | ||||||||||||
Net investment income (loss) | 191,709 | (596,194 | ) | (845,479 | ) | (1,745,829 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (13,871,427 | ) | (3,125,004 | ) | (22,577,746 | ) | (12,636,331 | ) | ||||||||
Swap agreements | (25,954,159 | ) | (18,733,085 | ) | (17,330,327 | ) | (14,963,523 | ) | ||||||||
Short-term U.S. government and agency obligations | (708 | ) | — | (708 | ) | 245 | ||||||||||
Net realized gain (loss) | (39,826,294 | ) | (21,858,089 | ) | (39,908,781 | ) | (27,599,609 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 2,305,467 | 319,305 | (2,281,936 | ) | (6,583,282 | ) | ||||||||||
Swap agreements | (234,566 | ) | 15,245,013 | (15,325,612 | ) | (12,547,844 | ) | |||||||||
Short-term U.S. government and agency obligations | 151,932 | 9,966 | (19,087 | ) | (5,396 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 2,222,833 | 15,574,284 | (17,626,635 | ) | (19,136,522 | ) | ||||||||||
Net realized and unrealized gain (loss) | (37,603,461 | ) | (6,283,805 | ) | (57,535,416 | ) | (46,736,131 | ) | ||||||||
Net income (loss) | $ | (37,411,752 | ) | $ | (6,879,999 | ) | $ | (58,380,895 | ) | $ | (48,481,960 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 243,456,703 | $ | 165,689,050 | $ | 263,540,473 | $ | 110,726,032 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (596,194 | ) | (617,991 | ) | (1,745,829 | ) | (789,004 | ) | ||||||||
| Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (27,599,609 | ) | 51,605,680 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | (19,136,522 | ) | (11,258,939 | ) | |||||||||
| Net income (loss) | (6,879,999 | ) | 7,069,714 | (48,481,960 | ) | 39,557,737 | ||||||||||
Shareholders’ equity, end of period | $ | 230,917,847 | $ | 275,450,606 | $ | 230,917,847 | $ | 275,450,606 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 239,938,853 | $ | 243,456,703 | $ | 232,780,534 | $ | 263,540,473 | ||||||||
Addition of 50,000, 250,000, 1,650,000 and 1,250,000 shares, respectively | 2,645,499 | 14,836,141 | 104,903,214 | 75,112,671 | ||||||||||||
Redemption of 900,000, 350,000, 2,150,000 and 1,000,000 shares, respectively | (45,150,308 | ) | (20,494,998 | ) | (119,280,561 | ) | (59,253,337 | ) | ||||||||
Net addition (redemption) of (850,000), (100,000), (500,000) and 250,000 shares, respectively | (42,504,809 | ) | (5,658,857 | ) | (14,377,347 | ) | 15,859,334 | |||||||||
Net investment income (loss) | 191,709 | (596,194 | ) | (845,479 | ) | (1,745,829 | ) | |||||||||
Net realized gain (loss) | (39,826,294 | ) | (21,858,089 | ) | (39,908,781 | ) | (27,599,609 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 2,222,833 | 15,574,284 | (17,626,635 | ) | (19,136,522 | ) | ||||||||||
Net income (loss) | (37,411,752 | ) | (6,879,999 | ) | (58,380,895 | ) | (48,481,960 | ) | ||||||||
Shareholders’ equity, end of period | $ | 160,022,292 | $ | 230,917,847 | $ | 160,022,292 | $ | 230,917,847 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (48,481,960 | ) | $ | 39,557,737 | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 391,999,771 | 313,257,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (45,150 | ) | (364,129 | ) | ||||
| 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 | |||||
| Decrease (Increase) in interest receivable | 3,902 | 44,228 | ||||||
| Increase (Decrease) in payable to Sponsor | (42,591 | ) | 141,074 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 5,068 | — | ||||||
| Increase (Decrease) in payable on futures contracts | — | 746,800 | ||||||
| Net cash provided by (used in) operating activities | (149,516,721 | ) | (123,779,430 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 75,112,671 | 204,437,233 | ||||||
| Payment on shares redeemed | (56,471,438 | ) | (79,270,396 | ) | ||||
| �� | ||||||||
| Net cash provided by (used in) financing activities | 18,641,233 | 125,166,837 | ||||||
Net increase (decrease) in cash | (130,875,488 | ) | 1,387,407 | |||||
| Cash, beginning of period | 183,452,109 | 38,526,723 | ||||||
| Cash, end of period | $ | 52,576,621 | $ | 39,914,130 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (58,380,895 | ) | $ | (48,481,960 | ) | ||
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 | (913,776,847 | ) | (502,945,919 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 978,997,411 | 391,999,771 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (903,566 | ) | (45,150 | ) | ||||
Net realized (gain) loss on investments | 708 | (245 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 15,344,699 | 12,553,240 | ||||||
Decrease (Increase) in receivable on open futures contracts | 823,707 | (2,562,837 | ) | |||||
Decrease (Increase) in interest receivable | (39,702 | ) | 3,902 | |||||
Increase (Decrease) in payable to Sponsor | 125,445 | (42,591 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (4,034 | ) | 5,068 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 2,940 | — | ||||||
Net cash provided by (used in) operating activities | 22,189,866 | (149,516,721 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 104,903,214 | 75,112,671 | ||||||
Payment on shares redeemed | (119,280,561 | ) | (56,471,438 | ) | ||||
Net cash provided by (used in) financing activities | (14,377,347 | ) | 18,641,233 | |||||
Net increase (decrease) in cash | 7,812,519 | (130,875,488 | ) | |||||
Cash, beginning of period | 15,422,082 | 183,452,109 | ||||||
Cash, end of period | $ | 23,234,601 | $ | 52,576,621 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 62,548,518 | 301,951,458 | ||||||
| Segregated cash balances with brokers for futures contracts | 15,865,625 | 66,062,502 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 78,388,000 | ||||||
| Unrealized appreciation on swap agreements | — | 56,752,666 | ||||||
| Receivable on open futures contracts | 421,500 | — | ||||||
| Interest receivable | 3,756 | 10,698 | ||||||
| Total assets | 573,806,218 | 748,159,313 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 274,804 | 2,312,939 | ||||||
| Brokerage commissions and futures account fees payable | 9,969 | — | ||||||
| Payable to Sponsor | 449,040 | 539,986 | ||||||
| Unrealized depreciation on swap agreements | 92,760,569 | — | ||||||
Non-recurring fees and expenses payable | 2,360 | 2,360 | ||||||
| Total liabilities | 93,496,742 | 2,855,285 | ||||||
| Commitments and Contingencies (Note 2) | 0 | |||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 480,309,476 | 745,304,028 | ||||||
| Total liabilities and shareholders’ equity | $ | 573,806,218 | $ | 748,159,313 | ||||
| Shares outstanding | 15,146,526 | 14,696,526 | ||||||
| Net asset value per share | $ | 31.71 | $ | 50.71 | ||||
| Market value per share (Note 2) | $ | 31.99 | $ | 51.28 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $162,706,493 and $451,896,236, respectively) | $ | 162,611,595 | $ | 451,872,982 | ||||
Cash | 42,840,235 | 10,985,565 | ||||||
Segregated cash balances with brokers for futures contracts | 16,278,750 | 14,502,938 | ||||||
Segregated cash balances with brokers for swap agreements | 70,036,000 | — | ||||||
Unrealized appreciation on swap agreements | 26,804,548 | 40,591,699 | ||||||
Receivable from capital shares sold | 4,168,994 | — | ||||||
Receivable on open futures contracts | 1,699,398 | 1,384,919 | ||||||
Interest receivable | 73,633 | 1,582 | ||||||
Total assets | 324,513,153 | 519,339,685 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 3,483,770 | ||||||
Brokerage commissions and futures account fees payable | — | 9,833 | ||||||
Payable to Sponsor | 536,368 | 392,488 | ||||||
Non-recurring fees and expenses payable | 5,922 | — | ||||||
Total liabilities | 542,290 | 3,886,091 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 323,970,863 | 515,453,594 | ||||||
Total liabilities and shareholders’ equity | $ | 324,513,153 | $ | 519,339,685 | ||||
Shares outstanding | 15,546,526 | 14,796,526 | ||||||
Net asset value per share | $ | 20.84 | $ | 34.84 | ||||
Market value per share (Note 2) | $ | 20.76 | $ | 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 | ||||||||
(50% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.253% due 10/06/22 † | $ | 50,000,000 | $ | 49,989,230 | ||||
0.223% due 11/03/22 † | 43,000,000 | 42,898,731 | ||||||
2.682% due 11/17/22 † | 50,000,000 | 49,820,000 | ||||||
3.026% due 12/01/22 | 20,000,000 | 19,903,634 | ||||||
Total short-term U.S. government and agency obligations (cost $162,706,493) | $ | 162,611,595 | ||||||
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 December 2022 | 2,163 | $ | 205,906,785 | $ | (329,232 | ) | ||||||
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 | ) | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | 219,657,055 | (23,220,141 | ) | |||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | 204,665,509 | (21,635,372 | ) | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | 182,787,599 | (19,316,271 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (92,760,569 | ) | |||||||||||
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 | % | 10/06/22 | $ | 142,330,643 | $ | 8,433,031 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/22 | 18,803,260 | 1,725,874 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/22 | 156,302,767 | 9,256,039 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/22 | 124,719,934 | 7,389,604 | ||||||||||||
| Total Unrealized Appreciation | | $ | 26,804,548 | |||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown represent discount rate at the time of purchase. |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 824,171 | $ | 44,511 | $ | 1,386,134 | $ | 208,169 | ||||||||
Expenses | ||||||||||||||||
Management fee | 798,802 | 1,394,627 | 3,098,741 | 4,640,919 | ||||||||||||
Brokerage commissions | 34,796 | 27,419 | 94,079 | 114,716 | ||||||||||||
Futures account fees | — | 47,170 | 26,693 | 258,250 | ||||||||||||
Non-recurring fees and expenses | 5,922 | — | 5,922 | — | ||||||||||||
Total expenses | 839,520 | 1,469,216 | 3,225,435 | 5,013,885 | ||||||||||||
Net investment income (loss) | (15,349 | ) | (1,424,705 | ) | (1,839,301 | ) | (4,805,716 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (13,577,109 | ) | (49,762,947 | ) | (30,191,493 | ) | (32,273,408 | ) | ||||||||
Swap agreements | (133,807,652 | ) | (151,552,363 | ) | (156,750,416 | ) | (47,760,872 | ) | ||||||||
Short-term U.S. government and agency obligations | (6,553 | ) | (4,720 | ) | (7,717 | ) | (4,529 | ) | ||||||||
Net realized gain (loss) | (147,391,314 | ) | (201,320,030 | ) | (186,949,626 | ) | (80,038,809 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 3,988,709 | 9,589,898 | (2,835,777 | ) | (42,630,013 | ) | ||||||||||
Swap agreements | 87,216,478 | (15,630,674 | ) | (13,787,151 | ) | (149,513,235 | ) | |||||||||
Short-term U.S. government and agency obligations | 272,285 | 22,486 | (71,644 | ) | (13,068 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 91,477,472 | (6,018,290 | ) | (16,694,572 | ) | (192,156,316 | ) | |||||||||
Net realized and unrealized gain (loss) | (55,913,842 | ) | (207,338,320 | ) | (203,644,198 | ) | (272,195,125 | ) | ||||||||
Net income (loss) | $ | (55,929,191 | ) | $ | (208,763,025 | ) | $ | (205,483,499 | ) | $ | (277,000,841 | ) | ||||
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 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 355,577,515 | $ | 661,778,727 | $ | 515,453,594 | $ | 745,304,028 | ||||||||
Addition of 2,450,000, 1,050,000, 4,250,000 and 4,450,000 shares, respectively | 52,469,935 | 38,538,861 | 118,129,234 | 205,312,655 | ||||||||||||
Redemption of 1,250,000, 300,000, 3,500,000 and 4,000,000 shares, respectively | (28,147,396 | ) | (11,245,087 | ) | (104,128,466 | ) | (193,306,366 | ) | ||||||||
Net addition (redemption) of 1,200,000, 750,000, 750,000 and 450,000 shares, respectively | 24,322,539 | 27,293,774 | 14,000,768 | 12,006,289 | ||||||||||||
Net investment income (loss) | (15,349 | ) | (1,424,705 | ) | (1,839,301 | ) | (4,805,716 | ) | ||||||||
Net realized gain (loss) | (147,391,314 | ) | (201,320,030 | ) | (186,949,626 | ) | (80,038,809 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 91,477,472 | (6,018,290 | ) | (16,694,572 | ) | (192,156,316 | ) | |||||||||
Net income (loss) | (55,929,191 | ) | (208,763,025 | ) | (205,483,499 | ) | (277,000,841 | ) | ||||||||
Shareholders’ equity, end of period | $ | 323,970,863 | $ | 480,309,476 | $ | 323,970,863 | $ | 480,309,476 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (277,000,841 | ) | $ | 81,298,287 | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,119,994,333 | 465,705,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (160,958 | ) | (692,431 | ) | ||||
| 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 | ) | — | |||||
| Decrease (Increase) in interest receivable | 6,942 | 84,307 | ||||||
| Increase (Decrease) in payable to Sponsor | (90,946 | ) | 391,121 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 9,969 | — | ||||||
| Increase (Decrease) in payable on futures contracts | (2,038,135 | ) | 9,328,727 | |||||
| Net cash provided by (used in) operating activities | (379,994,106 | ) | (156,026,601 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 205,312,655 | 439,990,085 | ||||||
| Payment on shares redeemed | (193,306,366 | ) | (135,435,342 | ) | ||||
| Net cash provided by (used in) financing activities | 12,006,289 | 304,554,743 | ||||||
Net increase (decrease) in cash | (367,987,817 | ) | 148,528,142 | |||||
| Cash, beginning of period | 446,401,960 | 79,058,662 | ||||||
| Cash, end of period | $ | 78,414,143 | $ | 227,586,804 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (205,483,499 | ) | $ | (277,000,841 | ) | ||
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 | (2,619,720,954 | ) | (1,369,823,802 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,909,963,011 | 1,119,994,333 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,060,031 | ) | (160,958 | ) | ||||
Net realized (gain) loss on investments | 7,717 | 4,529 | ||||||
Change in unrealized (appreciation) depreciation on investments | 13,858,795 | 149,526,303 | ||||||
Decrease (Increase) in receivable on open futures contracts | (314,479 | ) | (421,500 | ) | ||||
Decrease (Increase) in interest receivable | (72,051 | ) | 6,942 | |||||
Increase (Decrease) in payable to Sponsor | 143,880 | (90,946 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (9,833 | ) | 9,969 | |||||
Increase (Decrease) in payable on open futures contracts | — | (2,038,135 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 5,922 | — | ||||||
Net cash provided by (used in) operating activities | 97,318,478 | (379,994,106 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 113,960,240 | 205,312,655 | ||||||
Payment on shares redeemed | (107,612,236 | ) | (193,306,366 | ) | ||||
Net cash provided by (used in) financing activities | 6,348,004 | 12,006,289 | ||||||
Net increase (decrease) in cash | 103,666,482 | (367,987,817 | ) | |||||
Cash, beginning of period | 25,488,503 | 446,401,960 | ||||||
Cash, end of period | $ | 129,154,985 | $ | 78,414,143 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 175,755,806 | 181,991,996 | ||||||
| Segregated cash balances with brokers for futures contracts | 531,626,515 | 879,704,000 | ||||||
| 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 | ||||||
| Receivable on open futures contracts | 64,382,858 | 16,422,512 | ||||||
| Interest receivable | 5,331 | 7,054 | ||||||
| Total assets | 1,054,688,982 | 1,380,183,919 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 26,870,187 | — | ||||||
| Payable on open futures contracts | 5,927,604 | 22,424,475 | ||||||
| Brokerage commissions and futures account fees payable | 244,898 | 485,039 | ||||||
| Payable to Sponsor | 795,603 | 1,040,582 | ||||||
| Unrealized depreciation on swap agreements | — | 24,807 | ||||||
Non-recurring fees and expenses payable | 4,817 | 4,817 | ||||||
| Total liabilities | 33,843,109 | 23,979,720 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 1,020,845,873 | 1,356,204,199 | ||||||
| Total liabilities and shareholders’ equity | $ | 1,054,688,982 | $ | 1,380,183,919 | ||||
| Shares outstanding (Note 1) | 41,778,420 | 12,713,091 | ||||||
| Net asset value per share (Note 1) | $ | 24.43 | $ | 106.68 | ||||
| Market value per share (Note 1)(Note 2) | $ | 24.55 | $ | 106.50 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $273,396,698 and $221,725,609, respectively) | $ | 273,202,387 | $ | 221,660,593 | ||||
Cash | 134,170,524 | 108,688,034 | ||||||
Segregated cash balances with brokers for futures contracts | 363,142,800 | 463,432,845 | ||||||
Receivable on open futures contracts | 262,520,415 | 33,597,688 | ||||||
Interest receivable | 1,050,905 | 5,060 | ||||||
Total assets | 1,034,087,031 | 827,384,220 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 36,597,293 | — | ||||||
Payable on open futures contracts | — | 9,447,456 | ||||||
Brokerage commissions and futures account fees payable | 66,068 | 167,855 | ||||||
Payable to Sponsor | 1,913,775 | 611,836 | ||||||
Unrealized depreciation on swap agreements | — | 477,437 | ||||||
Non-recurring fees and expenses payable | 20,117 | — | ||||||
Total liabilities | 38,597,253 | 10,704,584 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 995,489,778 | 816,679,636 | ||||||
Total liabilities and shareholders’ equity | $ | 1,034,087,031 | $ | 827,384,220 | ||||
Shares outstanding | 77,328,420 | 65,828,420 | ||||||
Net asset value per share | $ | 12.87 | $ | 12.41 | ||||
Market value per share (Note 2) | $ | 12.85 | $ | 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 | ||||||||
(27% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.253% due 10/06/22 | $ | 50,000,000 | $ | 49,989,230 | ||||
0.223% due 11/03/22 | 94,000,000 | 93,778,621 | ||||||
2.682% due 11/17/22 | 50,000,000 | 49,820,000 | ||||||
3.026% due 12/01/22 | 80,000,000 | 79,614,536 | ||||||
Total short-term U.S. government and agency obligations (cost $273,396,698) | $ | 273,202,387 | ||||||
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 October 2022 | 28,597 | $ | 901,263,052 | $ | 167,070,593 | |||||||
VIX Futures - Cboe, expires November 2022 | 19,065 | 592,381,961 | 29,704,256 | |||||||||
| $ | 196,774,849 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,945,136 | $ | 11,979 | $ | 4,471,067 | $ | 328,504 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,831,005 | 2,221,755 | 7,085,920 | 8,897,953 | ||||||||||||
Brokerage commissions | 1,276,819 | 1,095,975 | 3,183,788 | 4,225,879 | ||||||||||||
Futures account fees | 219,828 | 688,048 | 1,446,639 | 3,243,304 | ||||||||||||
Non-recurring fees and expenses | 20,117 | — | 20,117 | — | ||||||||||||
Total expenses | 4,347,769 | 4,005,778 | 11,736,464 | 16,367,136 | ||||||||||||
Net investment income (loss) | (402,633 | ) | (3,993,799 | ) | (7,265,397 | ) | (16,038,632 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (289,871,717 | ) | (185,968,398 | ) | 59,605,816 | (1,650,738,359 | ) | |||||||||
Swap agreements | — | (12,412,592 | ) | 22,556,586 | (106,689,716 | ) | ||||||||||
Short-term U.S. government and agency obligations | (2,037 | ) | — | (355,124 | ) | 20,657 | ||||||||||
Net realized gain (loss) | (289,873,754 | ) | (198,380,990 | ) | 81,807,278 | (1,757,407,418 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 161,330,331 | 178,803,476 | 323,131,606 | 138,543,548 | ||||||||||||
Swap agreements | — | 7,933,765 | 477,437 | 7,958,572 | ||||||||||||
Short-term U.S. government and agency obligations | 414,952 | 4,980 | (129,295 | ) | (3,982 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 161,745,283 | 186,742,221 | 323,479,748 | 146,498,138 | ||||||||||||
Net realized and unrealized gain (loss) | (128,128,471 | ) | (11,638,769 | ) | 405,287,026 | (1,610,909,280 | ) | |||||||||
Net income (loss) | $ | (128,531,104 | ) | $ | (15,632,568 | ) | $ | 398,021,629 | $ | (1,626,947,912 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 975,683,533 | $ | 840,870,703 | $ | 816,679,636 | $ | 1,356,204,199 | ||||||||
Addition of 93,400,000, 37,800,000, 234,900,000 and 70,385,000 shares, respectively | 1,064,364,417 | 923,628,398 | 3,035,837,360 | 3,297,406,475 | ||||||||||||
Redemption of 83,300,000, 26,150,000, 223,400,000 and 41,319,671 shares, respectively | (916,027,068 | ) | (728,020,660 | ) | (3,255,048,847 | ) | (2,005,816,889 | ) | ||||||||
Net addition (redemption) of 10,100,000, 11,650,000, 11,500,000 and 29,065,329 shares, respectively | 148,337,349 | 195,607,738 | (219,211,487 | ) | 1,291,589,586 | |||||||||||
Net investment income (loss) | (402,633 | ) | (3,993,799 | ) | (7,265,397 | ) | (16,038,632 | ) | ||||||||
Net realized gain (loss) | (289,873,754 | ) | (198,380,990 | ) | 81,807,278 | (1,757,407,418 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 161,745,283 | 186,742,221 | 323,479,748 | 146,498,138 | ||||||||||||
Net income (loss) | (128,531,104 | ) | (15,632,568 | ) | 398,021,629 | (1,626,947,912 | ) | |||||||||
Shareholders’ equity, end of period | $ | 995,489,778 | $ | 1,020,845,873 | $ | 995,489,778 | $ | 1,020,845,873 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 398,021,629 | $ | (1,626,947,912 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (4,540,406,696 | ) | (1,136,829,195 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 4,489,474,762 | 1,106,989,987 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,094,279 | ) | (132,855 | ) | ||||
Net realized (gain) loss on investments | 355,124 | (20,657 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (348,142 | ) | (7,954,590 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (228,922,727 | ) | (47,960,346 | ) | ||||
Decrease (Increase) in interest receivable | (1,045,845 | ) | 1,723 | |||||
Increase (Decrease) in payable to Sponsor | 1,301,939 | (244,979 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (101,787 | ) | (240,141 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (9,447,456 | ) | (16,496,871 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | 20,117 | — | ||||||
Net cash provided by (used in) operating activities | 107,806,639 | (1,729,835,836 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,035,837,360 | 3,346,492,863 | ||||||
Payment on shares redeemed | (3,218,451,554 | ) | (1,978,946,702 | ) | ||||
Net cash provided by (used in) financing activities | (182,614,194 | ) | 1,367,546,161 | |||||
Net increase (decrease) in cash | (74,807,555 | ) | (362,289,675 | ) | ||||
Cash, beginning of period | 572,120,879 | 1,069,671,996 | ||||||
Cash, end of period | $ | 497,313,324 | $ | 707,382,321 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $999,501 and $–, respectively) | $ | 997,645 | $ | — | ||||
Cash | 8,613,130 | 2,232,820 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 650,000 | 225,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 6,055 | 821 | ||||||
Interest receivable | 9,981 | 95 | ||||||
Total assets | 10,276,811 | 2,458,736 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 16,256 | 1,954 | ||||||
Unrealized depreciation on foreign currency forward contracts | 101,172 | 93,933 | ||||||
Non-recurring fees and expenses payable | 194 | — | ||||||
Total liabilities | 117,622 | 95,887 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 10,159,189 | 2,362,849 | ||||||
Total liabilities and shareholders’ equity | $ | 10,276,811 | $ | 2,458,736 | ||||
Shares outstanding | 349,970 | 49,970 | ||||||
Net asset value per share | $ | 29.03 | $ | 47.29 | ||||
Market value per share (Note 2) | $ | 29.06 | $ | 47.29 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(10% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.554% due 11/03/22 † | $ | 1,000,000 | $ | 997,645 | ||||
Total short-term U.S. government and agency obligations (cost $999,501) | $ | 997,645 | ||||||
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 | ||||||||||||
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 | 10/07/22 | 1,186,245,517 | $ | 8,201,765 | $ | (41,852 | ) | |||||||||
Yen with UBS AG | 10/07/22 | 1,919,545,856 | 13,271,845 | (59,320 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (101,172 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/07/22 | (33,368,000 | ) | $ | (230,708 | ) | $ | 1,998 | ||||||||
Yen with UBS AG | 10/07/22 | (133,030,000 | ) | (919,774 | ) | 4,057 | ||||||||||
| Total Unrealized Appreciation | | $ | 6,055 | |||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 25,362 | $ | 260 | $ | 29,299 | $ | 923 | ||||||||
Expenses | ||||||||||||||||
Management fee | 21,245 | 6,233 | 34,710 | 19,144 | ||||||||||||
Non-recurring fees and expenses | 194 | — | 194 | — | ||||||||||||
Total expenses | 21,439 | 6,233 | 34,904 | 19,144 | ||||||||||||
Net investment income (loss) | 3,923 | (5,973 | ) | (5,605 | ) | (18,221 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,652,590 | ) | (25,554 | ) | (2,532,839 | ) | (305,028 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | 1,548 | — | ||||||||||||
Net realized gain (loss) | (1,652,590 | ) | (25,554 | ) | (2,531,291 | ) | (305,028 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (17,967 | ) | 10,988 | (2,005 | ) | (126,353 | ) | |||||||||
Short-term U.S. government and agency obligations | 3,286 | 71 | (1,856 | ) | (17 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (14,681 | ) | 11,059 | (3,861 | ) | (126,370 | ) | |||||||||
Net realized and unrealized gain (loss) | (1,667,271 | ) | (14,495 | ) | (2,535,152 | ) | (431,398 | ) | ||||||||
Net income (loss) | $ | (1,663,348 | ) | $ | (20,468 | ) | $ | (2,540,757 | ) | $ | (449,619 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 5,024,773 | $ | 2,560,348 | $ | 2,362,849 | $ | 2,989,499 | ||||||||
Addition of 250,000, –, 350,000 and – shares, respectively | 8,285,325 | — | 11,824,658 | — | ||||||||||||
Redemption of 50,000, –, 50,000 and – shares, respectively | (1,487,561 | ) | — | (1,487,561 | ) | — | ||||||||||
Net addition (redemption) of 200,000, –, 300,000 and – shares, respectively | 6,797,764 | — | 10,337,097 | — | ||||||||||||
Net investment income (loss) | 3,923 | (5,973 | ) | (5,605 | ) | (18,221 | ) | |||||||||
Net realized gain (loss) | (1,652,590 | ) | (25,554 | ) | (2,531,291 | ) | (305,028 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (14,681 | ) | 11,059 | (3,861 | ) | (126,370 | ) | |||||||||
Net income (loss) | (1,663,348 | ) | (20,468 | ) | (2,540,757 | ) | (449,619 | ) | ||||||||
Shareholders’ equity, end of period | $ | 10,159,189 | $ | 2,539,880 | $ | 10,159,189 | $ | 2,539,880 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (2,540,757 | ) | $ | (449,619 | ) | ||
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 | (3,732 | ) | (230 | ) | ||||
Net realized (gain) loss on investments | (1,548 | ) | — | |||||
Change in unrealized (appreciation) depreciation on investments | 3,861 | 126,370 | ||||||
Decrease (Increase) in interest receivable | (9,886 | ) | 45 | |||||
Increase (Decrease) in payable to Sponsor | 14,302 | (355 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 194 | — | ||||||
Net cash provided by (used in) operating activities | (3,531,787 | ) | (1,323,529 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 11,824,658 | — | ||||||
Payment on shares redeemed | (1,487,561 | ) | — | |||||
Net cash provided by (used in) financing activities | 10,337,097 | — | ||||||
Net increase (decrease) in cash | 6,805,310 | (1,323,529 | ) | |||||
Cash, beginning of period | 2,457,820 | 2,924,696 | ||||||
Cash, end of period | $ | 9,263,130 | $ | 1,601,167 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $120,732,500 and $55,932,300, respectively) | $ | 120,666,762 | $ | 55,916,023 | ||||
Cash | 124,862,617 | 29,602,412 | ||||||
Segregated cash balances with brokers for futures contracts | 125,179,826 | 24,841,141 | ||||||
Receivable on open futures contracts | 7,457,604 | 4,064,439 | ||||||
Interest receivable | 330,847 | 1,359 | ||||||
Total assets | 378,497,656 | 114,425,374 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 8,744,403 | — | ||||||
Payable on open futures contracts | 229,660 | 175,557 | ||||||
Brokerage commissions and futures account fees payable | 11,258 | 7,944 | ||||||
Payable to Sponsor | 713,698 | 74,271 | ||||||
Non-recurring fees and expenses payable | 7,548 | — | ||||||
Total liabilities | 9,706,567 | 257,772 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 368,791,089 | 114,167,602 | ||||||
Total liabilities and shareholders’ equity | $ | 378,497,656 | $ | 114,425,374 | ||||
Shares outstanding (Note 1) | 12,155,220 | 1,776,760 | ||||||
Net asset value per share (Note 1) | $ | 30.34 | $ | 64.26 | ||||
Market value per share (Note 1) (Note 2) | $ | 30.28 | $ | 63.75 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.253% due 10/06/22 | $ | 35,000,000 | $ | 34,992,461 | ||||
0.223% due 11/03/22 | 36,000,000 | 35,915,216 | ||||||
3.026% due 12/01/22 | 50,000,000 | 49,759,085 | ||||||
Total short-term U.S. government and agency obligations (cost $120,732,500) | $ | 120,666,762 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2022 | 3,174 | $ | 249,857,280 | $ | 38,891,587 | |||||||
WTI Crude Oil - NYMEX, expires June 2023 | 3,344 | 244,112,000 | 41,214,314 | |||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 3,500 | 243,810,000 | 25,208,203 | |||||||||
| $ | 105,314,104 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,748,548 | $ | 6,891 | $ | 2,091,754 | $ | 36,069 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,160,746 | 201,146 | 2,599,503 | 603,444 | ||||||||||||
Brokerage commissions | 148,121 | 29,277 | 332,256 | 100,902 | ||||||||||||
Futures account fees | 39,563 | 18,193 | 195,542 | 83,373 | ||||||||||||
Non-recurring fees and expenses | 7,548 | — | 7,548 | — | ||||||||||||
Total expenses | 1,355,978 | 248,616 | 3,134,849 | 787,719 | ||||||||||||
Net investment income (loss) | 392,570 | (241,725 | ) | (1,043,095 | ) | (751,650 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 66,444,885 | (11,449,562 | ) | (142,631,216 | ) | (86,637,748 | ) | |||||||||
Net realized gain (loss) | 66,444,885 | (11,449,562 | ) | (142,631,216 | ) | (86,637,748 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 76,797,273 | (1,521,543 | ) | 113,723,566 | (5,829,347 | ) | ||||||||||
Short-term U.S. government and agency obligations | 190,676 | 650 | (49,461 | ) | (134 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 76,987,949 | (1,520,893 | ) | 113,674,105 | (5,829,481 | ) | ||||||||||
Net realized and unrealized gain (loss) | 143,432,834 | (12,970,455 | ) | (28,957,111 | ) | (92,467,229 | ) | |||||||||
Net income (loss) | $ | 143,825,404 | $ | (13,212,180 | ) | $ | (30,000,206 | ) | $ | (93,218,879 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 501,157,304 | $ | 79,400,059 | $ | 114,167,602 | $ | 96,839,233 | ||||||||
Addition of 11,050,000, 670,000, 38,940,000 and 1,447,500 shares, respectively (Note 1) | 263,018,131 | 56,590,239 | 1,051,908,930 | 164,074,678 | ||||||||||||
Redemption of 20,650,000, 310,000, 28,561,540 and 627,734 shares, respectively (Note 1) | (539,209,750 | ) | (29,202,905 | ) | (767,285,237 | ) | (74,119,819 | ) | ||||||||
Net addition (redemption) of (9,600,000), 360,000, 10,378,460 and 819,766 shares, respectively (Note 1) | (276,191,619 | ) | 27,387,334 | 284,623,693 | 89,954,859 | |||||||||||
Net investment income (loss) | 392,570 | (241,725 | ) | (1,043,095 | ) | (751,650 | ) | |||||||||
Net realized gain (loss) | 66,444,885 | (11,449,562 | ) | (142,631,216 | ) | (86,637,748 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 76,987,949 | (1,520,893 | ) | 113,674,105 | (5,829,481 | ) | ||||||||||
Net income (loss) | 143,825,404 | (13,212,180 | ) | (30,000,206 | ) | (93,218,879 | ) | |||||||||
Shareholders’ equity, end of period | $ | 368,791,089 | $ | 93,575,213 | $ | 368,791,089 | $ | 93,575,213 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (30,000,206 | ) | $ | (93,218,879 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (5,037,566,739 | ) | (117,984,270 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 4,974,000,000 | 85,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,233,461 | ) | (12,980 | ) | ||||
Change in unrealized (appreciation) depreciation on investments | 49,461 | 134 | ||||||
Decrease (Increase) in receivable on open futures contracts | (3,393,165 | ) | 60,902 | |||||
Decrease (Increase) in interest receivable | (329,488 | ) | 1,916 | |||||
Increase (Decrease) in payable to Sponsor | 639,427 | (13,396 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 3,314 | 12,910 | ||||||
Increase (Decrease) in payable on open futures contracts | 54,103 | (113,895 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 7,548 | — | ||||||
Net cash provided by (used in) operating activities | (97,769,206 | ) | (126,267,558 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,051,908,930 | 164,074,678 | ||||||
Payment on shares redeemed | (758,540,834 | ) | (74,119,819 | ) | ||||
Net cash provided by (used in) financing activities | 293,368,096 | 89,954,859 | ||||||
Net increase (decrease) in cash | 195,598,890 | (36,312,699 | ) | |||||
Cash, beginning of period | 54,443,553 | 97,113,373 | ||||||
Cash, end of period | $ | 250,042,443 | $ | 60,800,674 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $84,743,350 and $123,855,553, respectively) | $ | 84,676,656 | $ | 123,821,548 | ||||
Cash | 33,650,436 | 53,547,476 | ||||||
Segregated cash balances with brokers for futures contracts | 88,384,720 | 59,453,451 | ||||||
Receivable on open futures contracts | 47,756,152 | 30,090,351 | ||||||
Interest receivable | 280,451 | 1,749 | ||||||
Total assets | 254,748,415 | 266,914,575 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 11,781,470 | 15,986,002 | ||||||
Payable on open futures contracts | — | 8,542,438 | ||||||
Brokerage commissions and futures account fees payable | 23,356 | 46,867 | ||||||
Payable to Sponsor | 548,217 | 194,138 | ||||||
Non-recurring fees and expenses payable | 5,374 | — | ||||||
Total liabilities | 12,358,417 | 24,769,445 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 242,389,998 | 242,145,130 | ||||||
Total liabilities and shareholders’ equity | $ | 254,748,415 | $ | 266,914,575 | ||||
Shares outstanding (Note 1) | 13,966,856 | 978,742 | ||||||
Net asset value per share (Note 1) | $ | 17.35 | $ | 247.40 | ||||
Market value per share (Note 1) (Note 2) | $ | 17.21 | $ | 242.20 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 | $ | 35,000,000 | $ | 34,917,571 | ||||
3.026% due 12/01/22 | 50,000,000 | 49,759,085 | ||||||
Total short-term U.S. government and agency obligations (cost $84,743,350) | $ | 84,676,656 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires November 2022 | 7,167 | $ | 484,919,220 | $ | 130,293,612 | |||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 953,050 | $ | 9,879 | $ | 1,131,063 | $ | 25,512 | ||||||||
Expenses | ||||||||||||||||
Management fee | 730,949 | 258,824 | 1,784,017 | 609,472 | ||||||||||||
Brokerage commissions | 173,386 | 67,808 | 539,244 | 249,831 | ||||||||||||
Futures account fees | 48,485 | 42,064 | 255,370 | 99,190 | ||||||||||||
Non-recurring fees and expenses | 5,374 | — | 5,374 | — | ||||||||||||
Total expenses | 958,194 | 368,696 | 2,584,005 | 958,493 | ||||||||||||
Net investment income (loss) | (5,144 | ) | (358,817 | ) | (1,452,942 | ) | (932,981 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 8,173,631 | (95,609,878 | ) | (389,138,752 | ) | (112,274,576 | ) | |||||||||
Short-term U.S. government and agency obligations | (57,864 | ) | — | (116,673 | ) | — | ||||||||||
Net realized gain (loss) | 8,115,767 | (95,609,878 | ) | (389,255,425 | ) | (112,274,576 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (23,776,729 | ) | (17,870,697 | ) | 116,857,361 | (35,668,153 | ) | |||||||||
Short-term U.S. government and agency obligations | 309,345 | (839 | ) | (32,689 | ) | (2,080 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (23,467,384 | ) | (17,871,536 | ) | 116,824,672 | (35,670,233 | ) | |||||||||
Net realized and unrealized gain (loss) | (15,351,617 | ) | (113,481,414 | ) | (272,430,753 | ) | (147,944,809 | ) | ||||||||
Net income (loss) | $ | (15,356,761 | ) | $ | (113,840,231 | ) | $ | (273,883,695 | ) | $ | (148,877,790 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 211,823,446 | $ | 97,525,300 | $ | 242,145,130 | $ | 24,977,745 | ||||||||
Addition of 58,900,000, 1,025,000, 82,240,000 and 1,402,500 shares, respectively (Note 1) | 790,506,039 | 210,189,776 | 1,734,541,781 | 446,153,207 | ||||||||||||
Redemption of 49,900,000, 265,000, 69,251,886 and 442,500 shares, respectively (Note 1) | (744,582,726 | ) | (55,406,168 | ) | (1,460,413,218 | ) | (183,784,485 | ) | ||||||||
Net addition (redemption) of 9,000,000, 760,000, 12,988,114 and 960,000 shares, respectively (Note 1) | 45,923,313 | 154,783,608 | 274,128,563 | 262,368,722 | ||||||||||||
Net investment income (loss) | (5,144 | ) | (358,817 | ) | (1,452,942 | ) | (932,981 | ) | ||||||||
Net realized gain (loss) | 8,115,767 | (95,609,878 | ) | (389,255,425 | ) | (112,274,576 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (23,467,384 | ) | (17,871,536 | ) | 116,824,672 | (35,670,233 | ) | |||||||||
Net income (loss) | (15,356,761 | ) | (113,840,231 | ) | (273,883,695 | ) | (148,877,790 | ) | ||||||||
Shareholders’ equity, end of period | $ | 242,389,998 | $ | 138,468,677 | $ | 242,389,998 | $ | 138,468,677 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (273,883,695 | ) | $ | (148,877,790 | ) | ||
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 | (641,286,804 | ) | (144,983,115 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 680,730,195 | 98,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (447,861 | ) | (12,252 | ) | ||||
Net realized (gain) loss on investments | 116,673 | – | ||||||
Change in unrealized (appreciation) depreciation on investments | 32,689 | 2,080 | ||||||
Decrease (Increase) in receivable on open futures contracts | (17,665,801 | ) | – | |||||
Decrease (Increase) in interest receivable | (278,702 | ) | (2,114 | ) | ||||
Increase (Decrease) in payable to Sponsor | 354,079 | 85,465 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (23,511 | ) | 27,103 | |||||
Increase (Decrease) in payable on open futures contracts | (8,542,438 | ) | 14,455,099 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 5,374 | – | ||||||
Net cash provided by (used in) operating activities | (260,889,802 | ) | (181,305,524 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,734,541,781 | 446,153,207 | ||||||
Payment on shares redeemed | (1,464,617,750 | ) | (170,017,033 | ) | ||||
Net cash provided by (used in) financing activities | 269,924,031 | 276,136,174 | ||||||
Net increase (decrease) in cash | 9,034,229 | 94,830,650 | ||||||
Cash, beginning of period | 113,000,927 | 19,147,382 | ||||||
Cash, end of period | $ | 122,035,156 | $ | 113,978,032 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $45,894,901 and $46,968,288, respectively) | $ | 45,854,318 | $ | 46,961,125 | ||||
Cash | 42,105,160 | 7,554,065 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 3,350,000 | — | ||||||
Unrealized appreciation on foreign currency forward contracts | 3,108,883 | 135,118 | ||||||
Receivable from capital shares sold | 549 | — | ||||||
Interest receivable | 62,104 | 603 | ||||||
Total assets | 94,481,014 | 54,650,911 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,484,180 | — | ||||||
Payable to Sponsor | 142,878 | 44,707 | ||||||
Unrealized depreciation on foreign currency forward contracts | 267,843 | 343,159 | ||||||
Non-recurring fees and expenses payable | 1,835 | — | ||||||
Total liabilities | 3,896,736 | 387,866 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 90,584,278 | 54,263,045 | ||||||
Total liabilities and shareholders’ equity | $ | 94,481,014 | $ | 54,650,911 | ||||
Shares outstanding | 2,600,000 | 2,100,000 | ||||||
Net asset value per share | $ | 34.84 | $ | 25.84 | ||||
Market value per share (Note 2) | $ | 34.88 | $ | 25.86 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(51% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 † | $ | 16,000,000 | $ | 15,962,318 | ||||
2.682% due 11/17/22 | 30,000,000 | 29,892,000 | ||||||
Total short-term U.S. government and agency obligations (cost $45,894,901) | $ | 45,854,318 | ||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with UBS AG | 10/07/22 | 38,000,000 | $ | 37,260,363 | $ | (267,843 | ) | |||||||||
| Total Unrealized Depreciation | | $ | (267,843 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 10/07/22 | (78,612,263 | ) | $ | (77,082,144 | ) | $ | 1,292,731 | ||||||||
Euro with UBS AG | 10/07/22 | (144,189,199 | ) | (141,382,682 | ) | 1,816,152 | ||||||||||
| Total Unrealized Appreciation | | $ | 3,108,883 | |||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 230,824 | $ | 5,008 | $ | 285,240 | $ | 17,814 | ||||||||
Expenses | ||||||||||||||||
Management fee | 203,036 | 116,733 | 467,426 | 355,451 | ||||||||||||
Non-recurring fees and expenses | 1,835 | — | 1,835 | — | ||||||||||||
Total expenses | 204,871 | 116,733 | 469,261 | 355,451 | ||||||||||||
Net investment income (loss) | 25,953 | (111,725 | ) | (184,021 | ) | (337,637 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 11,086,708 | 2,974,466 | 16,693,971 | 2,249,236 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | 210,974 | — | ||||||||||||
Net realized gain (loss) | 11,086,708 | 2,974,466 | 16,904,945 | 2,249,236 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (354,043 | ) | (618,447 | ) | 3,049,081 | 3,263,507 | ||||||||||
Short-term U.S. government and agency obligations | 61,225 | 489 | (33,420 | ) | (398 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (292,818 | ) | (617,958 | ) | 3,015,661 | 3,263,109 | ||||||||||
Net realized and unrealized gain (loss) | 10,793,890 | 2,356,508 | 19,920,606 | 5,512,345 | ||||||||||||
Net income (loss) | $ | 10,819,843 | $ | 2,244,783 | $ | 19,736,585 | $ | 5,174,708 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 62,270,097 | $ | 48,820,440 | $ | 54,263,045 | $ | 52,953,339 | ||||||||
Addition of 1,100,000, 100,000, 1,650,000 and 300,000 shares, respectively | 36,183,635 | 2,387,142 | 52,211,698 | 7,000,386 | ||||||||||||
Redemption of 550,000, 200,000, 1,150,000 and 700,000 shares, respectively | (18,689,297 | ) | (4,811,548 | ) | (35,627,050 | ) | (16,487,616 | ) | ||||||||
Net addition (redemption) of 550,000, (100,000), 500,000 and (400,000) shares, respectively | 17,494,338 | (2,424,406 | ) | 16,584,648 | (9,487,230 | ) | ||||||||||
Net investment income (loss) | 25,953 | (111,725 | ) | (184,021 | ) | (337,637 | ) | |||||||||
Net realized gain (loss) | 11,086,708 | 2,974,466 | 16,904,945 | 2,249,236 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (292,818 | ) | (617,958 | ) | 3,015,661 | 3,263,109 | ||||||||||
Net income (loss) | 10,819,843 | 2,244,783 | 19,736,585 | 5,174,708 | ||||||||||||
Shareholders’ equity, end of period | $ | 90,584,278 | $ | 48,640,817 | $ | 90,584,278 | $ | 48,640,817 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 19,736,585 | $ | 5,174,708 | ||||
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 | (74,843,167 | ) | (89,988,404 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 76,210,974 | 65,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,446 | ) | (9,950 | ) | ||||
Net realized (gain) loss on investments | (210,974 | ) | — | |||||
Change in unrealized (appreciation) depreciation on investments | (3,015,661 | ) | (3,263,109 | ) | ||||
Decrease (Increase) in interest receivable | (61,501 | ) | 1,752 | |||||
Increase (Decrease) in payable to Sponsor | 98,171 | (7,152 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 1,835 | — | ||||||
Net cash provided by (used in) operating activities | 17,832,816 | (23,092,155 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 52,211,149 | 7,000,386 | ||||||
Payment on shares redeemed | (32,142,870 | ) | (16,487,616 | ) | ||||
Net cash provided by (used in) financing activities | 20,068,279 | (9,487,230 | ) | |||||
Net increase (decrease) in cash | 37,901,095 | (32,579,385 | ) | |||||
Cash, beginning of period | 7,554,065 | 44,132,228 | ||||||
Cash, end of period | $ | 45,455,160 | $ | 11,552,843 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $7,998,387 and $25,984,097, respectively) | $ | 7,981,159 | $ | 25,980,516 | ||||
Cash | 18,844,336 | 1,287,229 | ||||||
Segregated cash balances with brokers for futures contracts | 905,588 | 703,125 | ||||||
Segregated cash balances with brokers for swap agreements | 1,167,000 | — | ||||||
Unrealized appreciation on swap agreements | 802,204 | — | ||||||
Interest receivable | 26,029 | 434 | ||||||
Total assets | 29,726,316 | 27,971,304 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 42,662 | 92,537 | ||||||
Brokerage commissions and futures account fees payable | — | 294 | ||||||
Payable to Sponsor | 48,290 | 25,512 | ||||||
Unrealized depreciation on swap agreements | — | 993,117 | ||||||
Non-recurring fees and expenses payable | 639 | — | ||||||
Total liabilities | 91,591 | 1,111,460 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 29,634,725 | 26,859,844 | ||||||
Total liabilities and shareholders’ equity | $ | 29,726,316 | $ | 27,971,304 | ||||
Shares outstanding | 796,977 | 846,977 | ||||||
Net asset value per share | $ | 37.18 | $ | 31.71 | ||||
Market value per share (Note 2) | $ | 37.30 | $ | 31.66 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(27% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 † | $ | 8,000,000 | $ | 7,981,159 | ||||
Total short-term U.S. government and agency obligations (cost $7,998,387) | $ | 7,981,159 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2022 | 157 | $ | 26,250,400 | $ | 1,536,681 | |||||||
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 | % | 10/06/22 | $ | (13,547,911 | ) | $ | 329,122 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 10/06/22 | (8,863,141 | ) | 215,613 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/22 | (10,598,433 | ) | 257,469 | |||||||||||
| Total Unrealized Appreciation | | $ | 802,204 | |||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 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 September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 72,261 | $ | 3,075 | $ | 101,921 | $ | 9,213 | ||||||||
Expenses | ||||||||||||||||
Management fee | 76,652 | 66,304 | 218,466 | 199,999 | ||||||||||||
Brokerage commissions | 3,565 | 3,301 | 9,361 | 9,174 | ||||||||||||
Futures account fees | — | 1,856 | 2,446 | 8,344 | ||||||||||||
Non-recurring fees and expenses | 639 | — | 639 | — | ||||||||||||
Total expenses | 80,856 | 71,461 | 230,912 | 217,517 | ||||||||||||
Net investment income (loss) | (8,595 | ) | (68,386 | ) | (128,991 | ) | (208,304 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 2,017,269 | (883,113 | ) | 1,336,740 | (1,598,368 | ) | ||||||||||
Swap agreements | 2,970,959 | 2,096,834 | 1,900,685 | (169,268 | ) | |||||||||||
Short-term U.S. government and agency obligations | — | — | 4 | 169 | ||||||||||||
Net realized gain (loss) | 4,988,228 | 1,213,721 | 3,237,429 | (1,767,467 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 725,119 | (153,889 | ) | 1,378,602 | 628,980 | |||||||||||
Swap agreements | 81,220 | (1,744,696 | ) | 1,795,321 | 1,098,851 | |||||||||||
Short-term U.S. government and agency obligations | 35,207 | 166 | (13,647 | ) | (50 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 841,546 | (1,898,419 | ) | 3,160,276 | 1,727,781 | |||||||||||
Net realized and unrealized gain (loss) | 5,829,774 | (684,698 | ) | 6,397,705 | (39,686 | ) | ||||||||||
Net income (loss) | $ | 5,821,179 | $ | (753,084 | ) | $ | 6,268,714 | $ | (247,990 | ) | ||||||
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 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 34,611,284 | $ | 32,835,014 | $ | 26,859,844 | $ | 20,337,376 | ||||||||
Addition of 350,000, 650,000, 1,500,000 and 1,700,000 shares, respectively | 12,520,359 | 21,916,482 | 46,264,925 | 59,279,388 | ||||||||||||
Redemption of 650,000, 800,000, 1,550,000 and 1,550,000 shares, respectively | (23,318,097 | ) | (26,267,390 | ) | (49,758,758 | ) | (51,637,752 | ) | ||||||||
Net addition (redemption) of (300,000), (150,000), (50,000) and 150,000 shares, respectively | (10,797,738 | ) | (4,350,908 | ) | (3,493,833 | ) | 7,641,636 | |||||||||
Net investment income (loss) | (8,595 | ) | (68,386 | ) | (128,991 | ) | (208,304 | ) | ||||||||
Net realized gain (loss) | 4,988,228 | 1,213,721 | 3,237,429 | (1,767,467 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 841,546 | (1,898,419 | ) | 3,160,276 | 1,727,781 | |||||||||||
Net income (loss) | 5,821,179 | (753,084 | ) | 6,268,714 | (247,990 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 29,634,725 | $ | 27,731,022 | $ | 29,634,725 | $ | 27,731,022 | ||||||||
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 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 6,268,714 | $ | (247,990 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (17,987,492 | ) | (40,994,386 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 35,999,990 | 22,999,935 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (26,784 | ) | (4,402 | ) | ||||
Net realized (gain) loss on investments | (4 | ) | (169 | ) | ||||
Change in unrealized (appreciation) depreciation on investments | (1,781,674 | ) | (1,098,801 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | — | 1,317 | ||||||
Decrease (Increase) in interest receivable | (25,595 | ) | 443 | |||||
Increase (Decrease) in payable to Sponsor | 22,778 | 3,016 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (294 | ) | 211 | |||||
Increase (Decrease) in payable on open futures contracts | (49,875 | ) | 294,581 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 639 | — | ||||||
Net cash provided by (used in) operating activities | 22,420,403 | (19,046,245 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 46,264,925 | 59,279,388 | ||||||
Payment on shares redeemed | (49,758,758 | ) | (51,637,752 | ) | ||||
Net cash provided by (used in) financing activities | (3,493,833 | ) | 7,641,636 | |||||
Net increase (decrease) in cash | 18,926,570 | (11,404,609 | ) | |||||
Cash, beginning of period | 1,990,354 | 20,633,371 | ||||||
Cash, end of period | $ | 20,916,924 | $ | 9,228,762 | ||||
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 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,597 and $22,995,121, respectively) | $ | 1,995,290 | $ | 22,994,261 | ||||
Cash | 24,898,921 | 1,829,901 | ||||||
Segregated cash balances with brokers for futures contracts | 3,809,063 | 1,081,575 | ||||||
Segregated cash balances with brokers for swap agreements | 4,826,000 | 2,572,000 | ||||||
Receivable on open futures contracts | — | 15,446 | ||||||
Interest receivable | 25,398 | 378 | ||||||
Total assets | 35,554,672 | 28,493,561 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 598,764 | 5,840 | ||||||
Brokerage commissions and futures account fees payable | — | 747 | ||||||
Payable to Sponsor | 40,841 | 28,560 | ||||||
Unrealized depreciation on swap agreements | 1,151,403 | 1,921,414 | ||||||
Non-recurring fees and expenses payable | 612 | — | ||||||
Total liabilities | 1,791,620 | 1,956,561 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 33,763,052 | 26,537,000 | ||||||
Total liabilities and shareholders’ equity | $ | 35,554,672 | $ | 28,493,561 | ||||
Shares outstanding | 991,329 | 991,329 | ||||||
Net asset value per share | $ | 34.06 | $ | 26.77 | ||||
Market value per share (Note 2) | $ | 34.15 | $ | 26.84 | ||||
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 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(6% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 † | $ | 2,000,000 | $ | 1,995,290 | ||||
Total short-term U.S. government and agency obligations (cost $1,999,597) | $ | 1,995,290 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires December 2022 | 506 | $ | 48,168,670 | $ | 1,453,369 | |||||||
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 | ||||||||||||
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 | % | 10/06/22 | $ | (2,288,972 | ) | $ | (136,329 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/06/22 | (8,338,415 | ) | (496,626 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/22 | (6,593,089 | ) | (392,881 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/22 | (2,108,259 | ) | (125,567 | ) | ||||||||||
| Total Unrealized Depreciation | | $ | (1,151,403 | ) | ||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown represent discount rate at the time of purchase. |
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 | ) | ||||||
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 | ||||||
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 | ) | ||||||
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 | ||||||||||||
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 | ||||||||||||
| * | Reflects the floating financing rate, as of September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 3,075 | $ | 1,831 | $ | 9,213 | $ | 65,111 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 66,304 | 45,591 | 199,999 | 129,451 | ||||||||||||
| Brokerage commissions | 3,301 | 1,980 | 9,174 | 5,743 | ||||||||||||
| Futures account fees | 1,856 | 1,232 | 8,344 | 2,597 | ||||||||||||
Non-recurring fees and expenses | — | 499 | — | 499 | ||||||||||||
| Total expenses | 71,461 | 49,302 | 217,517 | 138,290 | ||||||||||||
| Net investment income (loss) | (68,386 | ) | (47,471 | ) | (208,304 | ) | (73,179 | ) | ||||||||
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 | ) | ||||||||
| Swap agreements | 2,096,834 | (2,715,850 | ) | (169,268 | ) | (7,040,145 | ) | |||||||||
| Short-term U.S. government and agency obligations | — | — | 169 | — | ||||||||||||
| Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | (1,767,467 | ) | (12,041,690 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (153,889 | ) | 782,022 | 628,980 | 893,052 | |||||||||||
| Swap agreements | (1,744,696 | ) | 1,906,708 | 1,098,851 | 1,834,548 | |||||||||||
| Short-term U.S. government and agency obligations | 166 | 331 | (50 | ) | (496 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | 1,727,781 | 2,727,104 | |||||||||||
| Net realized and unrealized gain (loss) | (684,698 | ) | (1,332,476 | ) | (39,686 | ) | (9,314,586 | ) | ||||||||
Net income (loss) | $ | (753,084 | ) | $ | (1,379,947 | ) | $ | (247,990 | ) | $ | (9,387,765 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 63,222 | $ | 3,100 | $ | 90,885 | $ | 8,895 | ||||||||
Expenses | ||||||||||||||||
Management fee | 67,215 | 90,963 | 190,549 | 248,539 | ||||||||||||
Brokerage commissions | 8,699 | 8,141 | 20,677 | 19,409 | ||||||||||||
Futures account fees | — | 6,528 | 4,443 | 20,726 | ||||||||||||
Non-recurring fees and expenses | 612 | — | 612 | — | ||||||||||||
Total expenses | 76,526 | 105,632 | 216,281 | 288,674 | ||||||||||||
Net investment income (loss) | (13,304 | ) | (102,532 | ) | (125,396 | ) | (279,779 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 1,719,839 | 523,159 | 6,370,119 | (929,991 | ) | |||||||||||
Swap agreements | 4,495,568 | 6,138,986 | 1,882,774 | (1,216,671 | ) | |||||||||||
Short-term U.S. government and agency obligations | — | — | (190 | ) | 85 | |||||||||||
Net realized gain (loss) | 6,215,407 | 6,662,145 | 8,252,703 | (2,146,577 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (1,063,521 | ) | 2,684,085 | 800,876 | 3,176,052 | |||||||||||
Swap agreements | (3,024,441 | ) | 1,237,760 | 770,011 | 7,288,071 | |||||||||||
Short-term U.S. government and agency obligations | 12,438 | 751 | (3,447 | ) | (336 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (4,075,524 | ) | 3,922,596 | 1,567,440 | 10,463,787 | |||||||||||
Net realized and unrealized gain (loss) | 2,139,883 | 10,584,741 | 9,820,143 | 8,317,210 | ||||||||||||
Net income (loss) | $ | 2,126,579 | $ | 10,482,209 | $ | 9,694,747 | $ | 8,037,431 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 32,835,014 | $ | 15,851,043 | $ | 20,337,376 | $ | 21,047,560 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (68,386 | ) | (47,471 | ) | (208,304 | ) | (73,179 | ) | ||||||||
| Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | (1,767,467 | ) | (12,041,690 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | 1,727,781 | 2,727,104 | |||||||||||
| Net income (loss) | (753,084 | ) | (1,379,947 | ) | (247,990 | ) | (9,387,765 | ) | ||||||||
Shareholders’ equity, end of period | $ | 27,731,022 | $ | 27,139,981 | $ | 27,731,022 | $ | 27,139,981 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 33,052,840 | $ | 34,859,763 | $ | 26,537,000 | $ | 28,885,775 | ||||||||
Addition of 1,000,000, 1,000,000, 2,800,000 and 3,750,000 shares, respectively | 34,082,044 | 26,169,229 | 77,349,605 | 91,351,542 | ||||||||||||
Redemption of 1,050,000, 1,200,000, 2,800,000 and 3,500,415 shares, respectively | (35,498,411 | ) | (31,137,324 | ) | (79,818,300 | ) | (87,900,871 | ) | ||||||||
Net addition (redemption) of (50,000), (200,000), – and 249,585 shares, respectively | (1,416,367 | ) | (4,968,095 | ) | (2,468,695 | ) | 3,450,671 | |||||||||
Net investment income (loss) | (13,304 | ) | (102,532 | ) | (125,396 | ) | (279,779 | ) | ||||||||
Net realized gain (loss) | 6,215,407 | 6,662,145 | 8,252,703 | (2,146,577 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (4,075,524 | ) | 3,922,596 | 1,567,440 | 10,463,787 | |||||||||||
Net income (loss) | 2,126,579 | 10,482,209 | 9,694,747 | 8,037,431 | ||||||||||||
Shareholders’ equity, end of period | $ | 33,763,052 | $ | 40,373,877 | $ | 33,763,052 | $ | 40,373,877 | ||||||||
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 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 9,694,747 | $ | 8,037,431 | ||||
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 | (20,979,052 | ) | (49,994,362 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 41,999,081 | 27,999,988 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (24,695 | ) | (4,676 | ) | ||||
Net realized (gain) loss on investments | 190 | (85 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (766,564 | ) | (7,287,735 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 15,446 | 39,445 | ||||||
Decrease (Increase) in interest receivable | (25,020 | ) | 335 | |||||
Increase (Decrease) in payable to Sponsor | 12,281 | 3,356 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (747 | ) | 1,471 | |||||
Increase (Decrease) in payable on open futures contracts | 592,924 | 90,385 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | 612 | — | ||||||
Net cash provided by (used in) operating activities | 30,519,203 | (21,114,447 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 77,349,605 | 89,788,249 | ||||||
Payment on shares redeemed | (79,818,300 | ) | (84,774,285 | ) | ||||
Net cash provided by (used in) financing activities | (2,468,695 | ) | 5,013,964 | |||||
Net increase (decrease) in cash | 28,050,508 | (16,100,483 | ) | |||||
Cash, beginning of period | 5,483,476 | 32,155,049 | ||||||
Cash, end of period | $ | 33,533,984 | $ | 16,054,566 | ||||
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 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $4,998,992 and $20,990,068, respectively) | $ | 4,988,225 | $ | 20,987,825 | ||||
Cash | 44,231,706 | 3,003,251 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,320,000 | — | ||||||
Unrealized appreciation on foreign currency forward contracts | 580,211 | 1,237,168 | ||||||
Interest receivable | 42,493 | 339 | ||||||
Total assets | 52,162,635 | 25,228,583 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 68,901 | 20,211 | ||||||
Unrealized depreciation on foreign currency forward contracts | 155,443 | 367,588 | ||||||
Non-recurring fees and expenses payable | 953 | — | ||||||
Total liabilities | 225,297 | 387,799 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 51,937,338 | 24,840,784 | ||||||
Total liabilities and shareholders’ equity | $ | 52,162,635 | $ | 25,228,583 | ||||
Shares outstanding (Note 1) | 798,580 | 598,580 | ||||||
Net asset value per share (Note 1) | $ | 65.04 | $ | 41.50 | ||||
Market value per share (Note 1) (Note 2) | $ | 65.02 | $ | 41.50 | ||||
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 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(10% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 † | $ | 5,000,000 | $ | 4,988,225 | ||||
Total short-term U.S. government and agency obligations (cost $4,998,992) | $ | 4,988,225 | ||||||
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 | ||||||||||||
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 | 10/07/22 | 513,732,000 | $ | 3,551,971 | $ | (61,321 | ) | |||||||||
Yen with UBS AG | 10/07/22 | 1,169,990,000 | 8,089,375 | (94,122 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (155,443 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/07/22 | (4,358,922,165 | ) | $ | (30,137,828 | ) | $ | 154,005 | ||||||||
Yen with UBS AG | 10/07/22 | (12,349,528,574 | ) | (85,385,320 | ) | 426,206 | ||||||||||
| Total Unrealized Appreciation | | $ | 580,211 | |||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of September 30, |
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 | ) | ||||||
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 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively) | $ | 16,998,447 | $ | — | ||||
| Cash | 5,846,465 | 21,470,564 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 2,804,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 549,354 | 7,008 | ||||||
| Interest receivable | 361 | 914 | ||||||
| Total assets | 23,394,627 | 24,282,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 17,831 | 19,348 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 47,780 | 571,974 | ||||||
Non-recurring fees and expenses payable | 94 | 94 | ||||||
| Total liabilities | 65,705 | 591,416 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 23,328,922 | 23,691,070 | ||||||
| Total liabilities and shareholders’ equity | $ | 23,394,627 | $ | 24,282,486 | ||||
| Shares outstanding | 299,290 | 349,290 | ||||||
| Net asset value per share | $ | 77.95 | $ | 67.83 | ||||
| Market value per share (Note 2) | $ | 77.96 | $ | 67.81 | ||||
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 | ||||||
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 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (47,780 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | (1,558,854,165 | ) | $ | (14,005,562 | ) | $ | 143,685 | ||||||||
| Yen with UBS AG | 10/08/21 | (4,049,118,875 | ) | (36,379,405 | ) | 405,669 | ||||||||||
| | Total Unrealized Appreciation | | $ | 549,354 | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 2,392 | $ | 5,085 | $ | 9,558 | $ | 136,411 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 57,037 | 60,238 | 196,036 | 209,105 | ||||||||||||
Non-recurring fees and expenses | — | 717 | — | 717 | ||||||||||||
| Total expenses | 57,037 | 60,955 | 196,036 | 209,822 | ||||||||||||
| Net investment income (loss) | (54,645 | ) | (55,870 | ) | (186,478 | ) | (73,411 | ) | ||||||||
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 | ) | ||||||||||
| Net realized gain (loss) | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | (190,261 | ) | 200,915 | 1,066,540 | (427,974 | ) | ||||||||||
| Short-term U.S. government and agency obligations | 329 | 606 | (207 | ) | (1,113 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 1,066,333 | (429,087 | ) | ||||||||||
| Net realized and unrealized gain (loss) | 7,512 | (1,250,130 | ) | 4,121,436 | (2,276,510 | ) | ||||||||||
Net income (loss) | $ | (47,133 | ) | $ | (1,306,000 | ) | $ | 3,934,958 | $ | (2,349,921 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 27,231,748 | $ | 29,787,034 | $ | 23,691,070 | $ | 38,132,320 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (54,645 | ) | (55,870 | ) | (186,478 | ) | (73,411 | ) | ||||||||
| Net realized gain (loss) | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 1,066,333 | (429,087 | ) | ||||||||||
| Net income (loss) | (47,133 | ) | (1,306,000 | ) | 3,934,958 | (2,349,921 | ) | |||||||||
Shareholders’ equity, end of period | $ | 23,328,922 | $ | 24,780,763 | $ | 23,328,922 | $ | 24,780,763 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 3,934,958 | $ | (2,349,921 | ) | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 26,500,000 | 59,374,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,425 | ) | (78,419 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | (1,066,333 | ) | 429,087 | |||||
| Decrease (Increase) in interest receivable | 553 | 18,897 | ||||||
| Increase (Decrease) in payable to Sponsor | (1,517 | ) | (13,487 | ) | ||||
| Net cash provided by (used in) operating activities | (14,130,993 | ) | 10,627,095 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 7,132,412 | 7,806,745 | ||||||
| Payment on shares redeemed | (11,429,518 | ) | (18,808,381 | ) | ||||
| Net cash provided by (used in) financing activities | (4,297,106 | ) | (11,001,636 | ) | ||||
Net increase (decrease) in cash | (18,428,099 | ) | (374,541 | ) | ||||
| Cash, beginning of period | 24,274,564 | 12,507,112 | ||||||
| Cash, end of period | $ | 5,846,465 | $ | 12,132,571 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 43,870,674 | 14,723,084 | ||||||
| Segregated cash balances with brokers for futures contracts | 21,337,800 | 13,079,750 | ||||||
| Receivable on open futures contracts | 551,816 | 247,077 | ||||||
| Interest receivable | 1,638 | 643 | ||||||
| Total assets | 127,756,964 | 73,050,286 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | — | 915,787 | ||||||
| Brokerage commissions and futures account fees payable | 9,018 | 10,395 | ||||||
| Payable to Sponsor | 74,809 | 49,009 | ||||||
| Total liabilities | 83,827 | 975,191 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 127,673,137 | 72,075,095 | ||||||
| Total liabilities and shareholders’ equity | $ | 127,756,964 | $ | 73,050,286 | ||||
| Shares outstanding | 3,962,403 | 1,962,403 | ||||||
| Net asset value per share | $ | 32.22 | $ | 36.73 | ||||
| Market value per share (Note 2) | $ | 32.31 | $ | 36.70 | ||||
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 | ||||||
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 | |||||||||||
| ^^ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 8,914 | $ | 13,590 | $ | 27,487 | $ | 199,491 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 221,356 | 172,587 | 586,702 | 391,147 | ||||||||||||
| Brokerage commissions | 20,803 | 19,350 | 48,211 | 51,973 | ||||||||||||
| Futures account fees | 28,911 | 26,113 | 86,674 | 46,624 | ||||||||||||
| Total expenses | 271,070 | 218,050 | 721,587 | 489,744 | ||||||||||||
| Net investment income (loss) | (262,156 | ) | (204,460 | ) | (694,100 | ) | (290,253 | ) | ||||||||
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 | ||||||||||
| Net realized gain (loss) | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 10,651,835 | 1,751,675 | 5,950,464 | 5,422,315 | ||||||||||||
| Short-term U.S. government and agency obligations | 1,117 | 405 | (1,004 | ) | (898 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | 5,949,460 | 5,421,417 | ||||||||||||
| �� | ||||||||||||||||
| Net realized and unrealized gain (loss) | 6,628,819 | 2,507,925 | (8,940,899 | ) | 27,130,202 | |||||||||||
Net income (loss) | $ | 6,366,663 | $ | 2,303,465 | $ | (9,634,999 | ) | $ | 26,839,949 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 92,662,734 | $ | 59,085,470 | $ | 72,075,095 | $ | 45,986,584 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (262,156 | ) | (204,460 | ) | (694,100 | ) | (290,253 | ) | ||||||||
| Net realized gain (loss) | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | 5,949,460 | 5,421,417 | ||||||||||||
| Net income (loss) | 6,366,663 | 2,303,465 | (9,634,999 | ) | 26,839,949 | |||||||||||
Shareholders’ equity, end of period | $ | 127,673,137 | $ | 101,957,520 | $ | 127,673,137 | $ | 101,957,520 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (9,634,999 | ) | $ | 26,839,949 | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 96,000,000 | 70,600,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (11,385 | ) | (104,027 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 1,004 | 898 | ||||||
| Decrease (Increase) in receivable on futures contracts | (304,739 | ) | (1,087,170 | ) | ||||
| Decrease (Increase) in interest receivable | (995 | ) | 32,512 | |||||
| Increase (Decrease) in payable to Sponsor | 25,800 | 40,237 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (1,377 | ) | 12,012 | |||||
| Increase (Decrease) in payable on futures contracts | — | (1,129,877 | ) | |||||
| Net cash provided by (used in) operating activities | (26,911,614 | ) | (21,299,344 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 87,035,790 | 85,866,144 | ||||||
| Payment on shares redeemed | (22,718,536 | ) | (56,735,157 | ) | ||||
| Net cash provided by (used in) financing activities | 64,317,254 | 29,130,987 | ||||||
Net increase (decrease) in cash | 37,405,640 | 7,831,643 | ||||||
| Cash, beginning of period | 27,802,834 | 33,130,653 | ||||||
| Cash, end of period | $ | 65,208,474 | $ | 40,962,296 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 107,057,042 | 71,736,247 | ||||||
| Segregated cash balances with brokers for futures contracts | 133,904,930 | 134,825,900 | ||||||
| Receivable on open futures contracts | 1,461,435 | 2,295,585 | ||||||
| Interest receivable | 3,891 | 2,815 | ||||||
| Total assets | 370,417,502 | 293,860,130 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 1,413,813 | 231,900 | ||||||
| Brokerage commissions and futures account fees payable | 52,197 | 81,049 | ||||||
| Payable to Sponsor | 174,159 | 156,632 | ||||||
| Total liabilities | 1,640,169 | 469,581 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 368,777,333 | 293,390,549 | ||||||
| Total liabilities and shareholders’ equity | $ | 370,417,502 | $ | 293,860,130 | ||||
| Shares outstanding (Note 1) | 16,257,826 | 5,331,579 | ||||||
| Net asset value per share (Note 1) | $ | 22.68 | $ | 55.03 | ||||
| Market value per share (Note 1)(Note 2) | $ | 22.80 | $ | 54.96 | ||||
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 | |||||||||||
Rates shown represent discount rate at the time of purchase. |
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 | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 115,191 | $ | 2,392 | $ | 151,503 | $ | 9,558 | ||||||||
Expenses | ||||||||||||||||
Management fee | 106,598 | 57,037 | 259,599 | 196,036 | ||||||||||||
Non-recurring fees and expenses | 953 | — | 953 | — | ||||||||||||
Total expenses | 107,551 | 57,037 | 260,552 | 196,036 | ||||||||||||
Net investment income (loss) | 7,640 | (54,645 | ) | (109,049 | ) | (186,478 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 5,879,873 | 197,444 | 14,877,216 | 3,055,103 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | 102,971 | — | ||||||||||||
Net realized gain (loss) | 5,879,873 | 197,444 | 14,980,187 | 3,055,103 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (546,737 | ) | (190,261 | ) | (444,812 | ) | 1,066,540 | |||||||||
Short-term U.S. government and agency obligations | 22,866 | 329 | (8,524 | ) | (207 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (523,871 | ) | (189,932 | ) | (453,336 | ) | 1,066,333 | |||||||||
Net realized and unrealized gain (loss) | 5,356,002 | 7,512 | 14,526,851 | 4,121,436 | ||||||||||||
Net income (loss) | $ | 5,363,642 | $ | (47,133 | ) | $ | 14,417,802 | $ | 3,934,958 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 272,352,675 | $ | 221,343,175 | $ | 293,390,549 | $ | 279,792,503 | ||||||||
| 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 investment income (loss) | (897,586 | ) | (758,225 | ) | (3,019,972 | ) | (1,057,822 | ) | ||||||||
| Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | |||||||||
| Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | 27,729,790 | 16,589,740 | ||||||||||||
| Net income (loss) | (10,597,722 | ) | (75,321,894 | ) | (279,639,849 | ) | 265,303,854 | |||||||||
Shareholders’ equity, end of period | $ | 368,777,333 | $ | 279,272,297 | $ | 368,777,333 | $ | 279,272,297 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 45,568,882 | $ | 27,231,748 | $ | 24,840,784 | $ | 23,691,070 | ||||||||
Addition of 250,000, –, 1,100,000 and 200,000 shares, respectively (Note 1) | 15,352,183 | — | 59,472,902 | 7,132,412 | ||||||||||||
Redemption of 250,000, 100,000, 900,000 and 300,000 shares, respectively (Note 1) | (14,347,369 | ) | (3,855,693 | ) | (46,794,150 | ) | (11,429,518 | ) | ||||||||
Net addition (redemption) of –, (100,000), 200,000 and (100,000) shares, respectively (Note 1) | 1,004,814 | (3,855,693 | ) | 12,678,752 | (4,297,106 | ) | ||||||||||
Net investment income (loss) | 7,640 | (54,645 | ) | (109,049 | ) | (186,478 | ) | |||||||||
Net realized gain (loss) | 5,879,873 | 197,444 | 14,980,187 | 3,055,103 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (523,871 | ) | (189,932 | ) | (453,336 | ) | 1,066,333 | |||||||||
Net income (loss) | 5,363,642 | (47,133 | ) | 14,417,802 | 3,934,958 | |||||||||||
Shareholders’ equity, end of period | $ | 51,937,338 | $ | 23,328,922 | $ | 51,937,338 | $ | 23,328,922 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (279,639,849 | ) | $ | 265,303,854 | |||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 383,000,000 | 348,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (50,698 | ) | (589,708 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 1,396 | 5,725 | ||||||
| Decrease (Increase) in receivable on futures contracts | 834,150 | (6,431,358 | ) | |||||
| Decrease (Increase) in interest receivable | (1,076 | ) | 120,780 | |||||
| Increase (Decrease) in payable to Sponsor | 17,527 | 52,310 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (28,852 | ) | 59,366 | |||||
| Increase (Decrease) in payable on futures contracts | 1,181,913 | (12,920,593 | ) | |||||
| Net cash provided by (used in) operating activities | (320,626,808 | ) | 203,081,281 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 593,853,539 | 342,792,630 | ||||||
| Payment on shares redeemed | (238,826,906 | ) | (608,616,690 | ) | ||||
| Net cash provided by (used in) financing activities | 355,026,633 | (265,824,060 | ) | |||||
Net increase (decrease) in cash | 34,399,825 | (62,742,779 | ) | |||||
| Cash, beginning of period | 206,562,147 | 194,935,341 | ||||||
| Cash, end of period | $ | 240,961,972 | $ | 132,192,562 | ||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 14,417,802 | $ | 3,934,958 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (17,984,732 | ) | (43,494,229 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 34,102,971 | 26,500,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (24,192 | ) | (4,425 | ) | ||||
Net realized (gain) loss on investments | (102,971 | ) | — | |||||
Change in unrealized (appreciation) depreciation on investments | 453,336 | (1,066,333 | ) | |||||
Decrease (Increase) in interest receivable | (42,154 | ) | 553 | |||||
Increase (Decrease) in payable to Sponsor | 48,690 | (1,517 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 953 | — | ||||||
Net cash provided by (used in) operating activities | 30,869,703 | (14,130,993 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 59,472,902 | 7,132,412 | ||||||
Payment on shares redeemed | (46,794,150 | ) | (11,429,518 | ) | ||||
Net cash provided by (used in) financing activities | 12,678,752 | (4,297,106 | ) | |||||
Net increase (decrease) in cash | 43,548,455 | (18,428,099 | ) | |||||
Cash, beginning of period | 3,003,251 | 24,274,564 | ||||||
Cash, end of period | $ | 46,551,706 | $ | 5,846,465 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $31,993,547 and $85,937,303, respectively) | $ | 31,924,637 | $ | 85,922,969 | ||||
Cash | 63,807,096 | 8,130,069 | ||||||
Segregated cash balances with brokers for futures contracts | 15,672,400 | 18,941,750 | ||||||
Receivable on open futures contracts | 828,618 | 63,397 | ||||||
Interest receivable | 85,354 | 1,097 | ||||||
Total assets | 112,318,105 | 113,059,282 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,761,987 | — | ||||||
Payable on open futures contracts | — | 94,495 | ||||||
Brokerage commissions and futures account fees payable | — | 7,124 | ||||||
Payable to Sponsor | 133,494 | 81,983 | ||||||
Non-recurring fees and expenses payable | 2,050 | — | ||||||
Total liabilities | 1,897,531 | 183,602 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 110,420,574 | 112,875,680 | ||||||
Total liabilities and shareholders’ equity | $ | 112,318,105 | $ | 113,059,282 | ||||
Shares outstanding | 3,112,403 | 3,687,403 | ||||||
Net asset value per share | $ | 35.48 | $ | 30.61 | ||||
Market value per share (Note 2) | $ | 35.50 | $ | 30.57 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(29% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.223% due 11/03/22 | $ | 32,000,000 | $ | 31,924,637 | ||||
Total short-term U.S. government and agency obligations (cost $31,993,547) | $ | 31,924,637 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2023 | 728 | $ | 22,351,129 | $ | 1,353,160 | |||||||
VIX Futures - Cboe, expires February 2023 | 1,214 | 36,796,340 | 2,580,598 | |||||||||
VIX Futures - Cboe, expires March 2023 | 1,214 | 36,638,520 | 2,105,825 | |||||||||
VIX Futures - Cboe, expires April 2023 | 486 | 14,700,868 | 277,649 | |||||||||
| $ | 6,317,232 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 220,211 | $ | 8,914 | $ | 296,960 | $ | 27,487 | ||||||||
Expenses | ||||||||||||||||
Management fee | 201,508 | 221,356 | 627,755 | 586,702 | ||||||||||||
Brokerage commissions | 17,922 | 20,803 | 58,291 | 48,211 | ||||||||||||
Futures account fees | — | 28,911 | 46,394 | 86,674 | ||||||||||||
Non-recurring fees and expenses | 2,050 | — | 2,050 | — | ||||||||||||
Total expenses | 221,480 | 271,070 | 734,490 | 721,587 | ||||||||||||
Net investment income (loss) | (1,269 | ) | (262,156 | ) | (437,530 | ) | (694,100 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (1,349,272 | ) | (4,024,133 | ) | 11,304,613 | (14,890,359 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | (336 | ) | — | |||||||||||
Net realized gain (loss) | (1,349,272 | ) | (4,024,133 | ) | 11,304,277 | �� | (14,890,359 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 3,236,565 | 10,651,835 | 6,941,620 | 5,950,464 | ||||||||||||
Short-term U.S. government and agency obligations | 131,644 | 1,117 | (54,576 | ) | (1,004 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,368,209 | 10,652,952 | 6,887,044 | 5,949,460 | ||||||||||||
Net realized and unrealized gain (loss) | 2,018,937 | 6,628,819 | 18,191,321 | (8,940,899 | ) | |||||||||||
Net income (loss) | $ | 2,017,668 | $ | 6,366,663 | $ | 17,753,791 | $ | (9,634,999 | ) | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 95,721,271 | $ | 92,662,734 | $ | 112,875,680 | $ | 72,075,095 | ||||||||
Addition of 850,000, 1,200,000, 1,850,000 and 2,625,000 shares, respectively | 28,312,142 | 37,425,551 | 60,491,195 | 87,035,790 | ||||||||||||
Redemption of 450,000, 275,000, 2,425,000 and 625,000 shares, respectively | (15,630,507 | ) | (8,781,811 | ) | (80,700,092 | ) | (21,802,749 | ) | ||||||||
Net addition (redemption) of 400,000, 925,000, (575,000) and 2,000,000 shares, respectively | 12,681,635 | 28,643,740 | (20,208,897 | ) | 65,233,041 | |||||||||||
Net investment income (loss) | (1,269 | ) | (262,156 | ) | (437,530 | ) | (694,100 | ) | ||||||||
Net realized gain (loss) | (1,349,272 | ) | (4,024,133 | ) | 11,304,277 | (14,890,359 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 3,368,209 | 10,652,952 | 6,887,044 | 5,949,460 | ||||||||||||
Net income (loss) | 2,017,668 | 6,366,663 | 17,753,791 | (9,634,999 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 110,420,574 | $ | 127,673,137 | $ | 110,420,574 | $ | 127,673,137 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 17,753,791 | $ | (9,634,999 | ) | |||
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 | (66,991,148 | ) | (112,984,923 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 120,998,548 | 96,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (63,980 | ) | (11,385 | ) | ||||
Net realized (gain) loss on investments | 336 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 54,576 | 1,004 | ||||||
Decrease (Increase) in receivable on open futures contracts | (765,221 | ) | (304,739 | ) | ||||
Decrease (Increase) in interest receivable | (84,257 | ) | (995 | ) | ||||
Increase (Decrease) in payable to Sponsor | 51,511 | 25,800 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (7,124 | ) | (1,377 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (94,495 | ) | — | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 2,050 | — | ||||||
Net cash provided by (used in) operating activities | 70,854,587 | (26,911,614 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 60,491,195 | 87,035,790 | ||||||
Payment on shares redeemed | (78,938,105 | ) | (22,718,536 | ) | ||||
Net cash provided by (used in) financing activities | (18,446,910 | ) | 64,317,254 | |||||
Net increase (decrease) in cash | 52,407,677 | 37,405,640 | ||||||
Cash, beginning of period | 27,071,819 | 27,802,834 | ||||||
Cash, end of period | $ | 79,479,496 | $ | 65,208,474 | ||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $157,803,304 and $150,887,871, respectively) | $ | 157,672,634 | $ | 150,861,898 | ||||
Cash | 118,894,245 | 11,013,736 | ||||||
Segregated cash balances with brokers for futures contracts | 104,019,800 | 104,947,080 | ||||||
Receivable from capital shares sold | — | 3,026,614 | ||||||
Receivable on open futures contracts | 69,873,535 | 2,115,232 | ||||||
Interest receivable | 364,107 | 1,774 | ||||||
Total assets | 450,824,321 | 271,966,334 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 12,701,023 | — | ||||||
Payable on open futures contracts | — | 2,037,391 | ||||||
Brokerage commissions and futures account fees payable | 18,250 | 38,926 | ||||||
Payable to Sponsor | 559,720 | 186,853 | ||||||
Non-recurring fees and expenses payable | 8,700 | — | ||||||
Total liabilities | 13,287,693 | 2,263,170 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 437,536,628 | 269,703,164 | ||||||
Total liabilities and shareholders’ equity | $ | 450,824,321 | $ | 271,966,334 | ||||
Shares outstanding | 25,582,826 | 17,832,826 | ||||||
Net asset value per share | $ | 17.10 | $ | 15.12 | ||||
Market value per share (Note 2) | $ | 17.10 | $ | 15.17 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(36% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
2.253% due 10/06/22 | $ | 50,000,000 | $ | 49,989,230 | ||||
0.223% due 11/03/22 | 58,000,000 | 57,863,404 | ||||||
2.682% due 11/17/22 | 50,000,000 | 49,820,000 | ||||||
Total short-term U.S. government and agency obligations (cost $157,803,304) | $ | 157,672,634 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2022 | 8,381 | $ | 264,135,596 | $ | 46,212,286 | |||||||
VIX Futures - Cboe, expires November 2022 | 5,587 | 173,597,588 | 8,613,135 | |||||||||
| $ | 54,825,421 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,400,201 | $ | 11,739 | $ | 1,678,813 | $ | 91,187 | ||||||||
Expenses | ||||||||||||||||
Management fee | 874,070 | 660,051 | 2,353,478 | 2,154,874 | ||||||||||||
Brokerage commissions | 203,095 | 97,516 | 490,751 | 365,013 | ||||||||||||
Futures account fees | 54,944 | 151,758 | 371,384 | 591,272 | ||||||||||||
Non-recurring fees and expenses | 8,700 | — | 8,700 | — | ||||||||||||
Total expenses | 1,140,809 | 909,325 | 3,224,313 | 3,111,159 | ||||||||||||
Net investment income (loss) | 259,392 | (897,586 | ) | (1,545,500 | ) | (3,019,972 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (45,457,319 | ) | (51,868,433 | ) | 31,935,990 | (304,349,667 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | (300 | ) | — | |||||||||||
Net realized gain (loss) | (45,457,319 | ) | (51,868,433 | ) | 31,935,690 | (304,349,667 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 51,449,994 | 42,164,263 | 84,956,040 | 27,731,186 | ||||||||||||
Short-term U.S. government and agency obligations | 248,953 | 4,034 | (104,697 | ) | (1,396 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 51,698,947 | 42,168,297 | 84,851,343 | 27,729,790 | ||||||||||||
Net realized and unrealized gain (loss) | 6,241,628 | (9,700,136 | ) | 116,787,033 | (276,619,877 | ) | ||||||||||
Net income (loss) | $ | 6,501,020 | $ | (10,597,722 | ) | $ | 115,241,533 | $ | (279,639,849 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 341,714,316 | $ | 272,352,675 | $ | 269,703,164 | $ | 293,390,549 | ||||||||
Addition of 17,775,000, 6,300,000, 35,900,000 and 16,556,250 shares, respectively | 261,088,034 | 142,476,815 | 563,456,503 | 593,853,539 | ||||||||||||
Redemption of 10,950,000, 1,350,000, 28,150,000 and 5,630,003 shares, respectively | (171,766,742 | ) | (35,454,435 | ) | (510,864,572 | ) | (238,826,906 | ) | ||||||||
Net addition (redemption) of 6,825,000, 4,950,000, 7,750,000 and 10,926,247 shares, respectively | 89,321,292 | 107,022,380 | 52,591,931 | 355,026,633 | ||||||||||||
Net investment income (loss) | 259,392 | (897,586 | ) | (1,545,500 | ) | (3,019,972 | ) | |||||||||
Net realized gain (loss) | (45,457,319 | ) | (51,868,433 | ) | 31,935,690 | (304,349,667 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 51,698,947 | 42,168,297 | 84,851,343 | 27,729,790 | ||||||||||||
Net income (loss) | 6,501,020 | (10,597,722 | ) | 115,241,533 | (279,639,849 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 437,536,628 | $ | 368,777,333 | $ | 437,536,628 | $ | 368,777,333 | ||||||||
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 115,241,533 | $ | (279,639,849 | ) | |||
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 | (2,462,189,566 | ) | (425,941,319 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,455,998,870 | 383,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (725,037 | ) | (50,698 | ) | ||||
Net realized (gain) loss on investments | 300 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 104,697 | 1,396 | ||||||
Decrease (Increase) in receivable on open futures contracts | (67,758,303 | ) | 834,150 | |||||
Decrease (Increase) in interest receivable | (362,333 | ) | (1,076 | ) | ||||
Increase (Decrease) in payable to Sponsor | 372,867 | 17,527 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (20,676 | ) | (28,852 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (2,037,391 | ) | 1,181,913 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 8,700 | — | ||||||
Net cash provided by (used in) operating activities | 38,633,661 | (320,626,808 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 566,483,117 | 593,853,539 | ||||||
Payment on shares redeemed | (498,163,549 | ) | (238,826,906 | ) | ||||
Net cash provided by (used in) financing activities | 68,319,568 | 355,026,633 | ||||||
Net increase (decrease) in cash | 106,953,229 | 34,399,825 | ||||||
Cash, beginning of period | 115,960,816 | 206,562,147 | ||||||
Cash, end of period | $ | 222,914,045 | $ | 240,961,972 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
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 | ||||
| Cash | 778,499,094 | 1,651,161,384 | ||||||
| Segregated cash balances with brokers for futures contracts | 1,069,584,913 | 1,491,618,088 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 5,716,000 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 107,967,985 | ||||||
| Unrealized appreciation on swap agreements | 83,740,160 | 80,135,841 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,836,253 | 169,051 | ||||||
| Receivable from capital shares sold | 14,084,428 | 49,086,388 | ||||||
| Receivable on open futures contracts | 155,985,619 | 108,851,000 | ||||||
| Interest receivable | 40,866 | 66,871 | ||||||
| Total assets | 4,432,609,801 | 4,529,758,992 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 66,045,047 | 18,280,444 | ||||||
| Payable on open futures contracts | 24,303,801 | 27,874,393 | ||||||
| Brokerage commissions and futures account fees payable | 470,680 | 691,005 | ||||||
| Payable to Sponsor | 3,159,235 | 3,407,672 | ||||||
| Unrealized depreciation on swap agreements | 100,167,433 | 3,491,096 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 429,828 | 1,714,898 | ||||||
Non-recurring fees and expenses payable | 75,570 | 48,070 | ||||||
| Total liabilities | 194,651,594 | 55,507,578 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 4,237,958,207 | 4,474,251,414 | ||||||
| Total liabilities and shareholders’ equity | $ | 4,432,609,801 | $ | 4,529,758,992 | ||||
| Shares outstanding (Note 1) | 133,773,980 | 228,676,695 | ||||||
September 30, 2022 (unaudited) | December 31, 2021 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,816,371,072 and $2,505,722,885, respectively) | $ | 1,815,105,624 | $ | 2,505,429,337 | ||||
Cash | 851,017,429 | 394,413,910 | ||||||
Segregated cash balances with brokers for futures contracts | 964,952,140 | 1,010,799,328 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 7,679,000 | 916,000 | ||||||
Segregated cash balances with brokers for swap agreements | 235,294,945 | 2,572,000 | ||||||
Unrealized appreciation on swap agreements | 27,606,752 | 113,159,180 | ||||||
Unrealized appreciation on foreign currency forward contracts | 3,695,149 | 1,457,257 | ||||||
Receivable from capital shares sold | 4,647,847 | 23,475,355 | ||||||
Receivable on open futures contracts | 539,065,223 | 205,819,074 | ||||||
Interest receivable | 3,118,925 | 22,943 | ||||||
Total assets | 4,452,183,034 | 4,258,064,384 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 94,141,256 | 25,594,902 | ||||||
Payable on open futures contracts | 13,255,922 | 51,142,167 | ||||||
Brokerage commissions and futures account fees payable | 149,226 | 476,241 | ||||||
Payable to Sponsor | 7,423,558 | 3,178,585 | ||||||
Unrealized depreciation on swap agreements | 131,794,025 | 3,391,968 | ||||||
Unrealized depreciation on foreign currency forward contracts | 955,689 | 806,178 | ||||||
Non-recurring fees and expenses payable | 81,773 | — | ||||||
Total liabilities | 247,801,449 | 84,590,041 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 4,204,381,585 | 4,173,474,343 | ||||||
Total liabilities and shareholders’ equity | $ | 4,452,183,034 | $ | 4,258,064,384 | ||||
Shares outstanding (Note 9) | 197,794,037 | 151,164,114 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020* | 2021 | 2020* | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 225,068 | $ | 462,274 | $ | 1,311,362 | $ | 8,985,252 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 9,892,153 | 11,098,146 | 32,386,686 | 24,755,322 | ||||||||||||
| Brokerage commissions | 1,808,557 | 2,304,413 | 6,704,455 | 6,308,753 | ||||||||||||
| Futures account fees | 1,447,030 | 2,459,918 | 5,996,930 | 4,208,471 | ||||||||||||
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 | ||||||||||||
| Net investment income (loss) | (12,950,172 | ) | (15,476,005 | ) | (43,804,209 | ) | (26,363,096 | ) | ||||||||
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 | |||||||||
| Swap agreements | (160,769,089 | ) | 173,110,242 | 50,628,405 | (794,321,232 | ) | ||||||||||
| Options | — | — | — | (9,707,000 | ) | |||||||||||
| Foreign currency forward contracts | 2,892,137 | (8,394,521 | ) | 4,813,162 | (10,216,017 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (10,753 | ) | (5 | ) | 11,145 | 296,893 | ||||||||||
| Net realized gain (loss) | (398,672,592 | ) | (6,786,703 | ) | (1,372,481,459 | ) | (703,731,606 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 158,443,180 | (249,176,198 | ) | 230,326,477 | 178,965,282 | |||||||||||
| Swap agreements | 38,179,426 | (160,810,119 | ) | (93,072,018 | ) | (184,272,631 | ) | |||||||||
| Foreign currency forward contracts | (724,910 | ) | 1,639,005 | 3,952,272 | 2,861,284 | |||||||||||
| Short-term U.S. government and agency obligations | 88,814 | 9,658 | (38,045 | ) | (61,092 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 195,986,510 | (408,337,654 | ) | 141,168,686 | (2,507,157 | ) | ||||||||||
| Net realized and unrealized gain (loss) | (202,686,082 | ) | (415,124,357 | ) | (1,231,312,773 | ) | (706,238,763 | ) | ||||||||
Net income (loss) | $ | (215,636,254 | ) | $ | (430,600,362 | ) | $ | (1,275,116,982 | ) | $ | (732,601,859 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 14,620,209 | $ | 225,068 | $ | 19,240,564 | $ | 1,311,362 | ||||||||
Expenses | ||||||||||||||||
Management fee | 11,269,281 | 9,892,153 | 33,494,289 | 32,386,686 | ||||||||||||
Brokerage commissions | 2,210,735 | 1,808,557 | 6,013,653 | 6,704,455 | ||||||||||||
Futures account fees | 449,872 | 1,447,030 | 3,285,001 | 5,996,930 | ||||||||||||
Non-recurring fees and expenses | 81,773 | 27,500 | 81,773 | 27,500 | ||||||||||||
Total expenses | 14,011,661 | 13,175,240 | 42,874,716 | 45,115,571 | ||||||||||||
Net investment income (loss) | 608,548 | (12,950,172 | ) | (23,634,152 | ) | (43,804,209 | ) | |||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (321,993,985 | ) | (240,784,887 | ) | 188,147,013 | (1,427,934,171 | ) | |||||||||
Swap agreements | (438,845,993 | ) | (160,769,089 | ) | 217,520,213 | 50,628,405 | ||||||||||
Foreign currency forward contracts | 13,695,610 | 2,892,137 | 26,532,572 | 4,813,162 | ||||||||||||
Short-term U.S. government and agency obligations | (71,343 | ) | (10,753 | ) | (264,143 | ) | 11,145 | |||||||||
Net realized gain (loss) | (747,215,711 | ) | (398,672,592 | ) | 431,935,655 | (1,372,481,459 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 291,970,061 | 158,443,180 | 354,740,180 | 230,326,477 | ||||||||||||
Swap agreements | 112,369,648 | 38,179,426 | (213,954,485 | ) | (93,072,018 | ) | ||||||||||
Foreign currency forward contracts | (1,017,583 | ) | (724,910 | ) | 2,088,381 | 3,952,272 | ||||||||||
Short-term U.S. government and agency obligations | 3,053,986 | 88,814 | (971,900 | ) | (38,045 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 406,376,112 | 195,986,510 | 141,902,176 | 141,168,686 | ||||||||||||
Net realized and unrealized gain (loss) | (340,839,599 | ) | (202,686,082 | ) | 573,837,831 | (1,231,312,773 | ) | |||||||||
Net income (loss) | $ | (340,231,051 | ) | $ | (215,636,254 | ) | $ | 550,203,679 | $ | (1,275,116,982 | ) | |||||
| * | The operations include the activity of ProShares |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020* | 2021 | 2020* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 4,404,846,864 | $ | 4,052,758,690 | $ | 4,474,251,414 | $ | 2,356,325,101 | ||||||||
| 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 | ) | ||||||||
| 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 investment income (loss) | (12,950,172 | ) | (15,476,005 | ) | (43,804,209 | ) | (26,363,096 | ) | ||||||||
| Net realized gain (loss) | (398,672,592 | ) | (6,786,703 | ) | (1,372,481,459 | ) | (703,731,606 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 195,986,510 | (408,337,654 | ) | 141,168,686 | (2,507,157 | ) | ||||||||||
| Net income (loss) | (215,636,254 | ) | (430,600,362 | ) | (1,275,116,982 | ) | (732,601,859 | ) | ||||||||
Shareholders’ equity, end of period | $ | 4,237,958,207 | $ | 4,529,281,755 | $ | 4,237,958,207 | $ | 4,529,281,755 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 4,563,369,776 | $ | 4,404,846,864 | $ | 4,173,474,343 | $ | 4,474,251,414 | ||||||||
Addition of 204,975,000, 55,595,000, 449,280,000 and 130,216,250 shares, respectively (Note 1) | 3,360,951,964 | 1,649,296,999 | 8,989,738,725 | 5,597,393,110 | ||||||||||||
Redemption of 185,800,000, 55,500,000, 431,338,426 and 142,595,323 shares, respectively (Note 1) | (3,379,709,104 | ) | (1,600,549,402 | ) | (9,509,035,162 | ) | (4,558,569,335 | ) | ||||||||
Net addition (redemption) of 19,175,000, 95,000, 17,941,574 and (12,379,073) shares, respectively (Note 1) | (18,757,140 | ) | 48,747,597 | (519,296,437 | ) | 1,038,823,775 | ||||||||||
Net investment income (loss) | 608,548 | (12,950,172 | ) | (23,634,152 | ) | (43,804,209 | ) | |||||||||
Net realized gain (loss) | (747,215,711 | ) | (398,672,592 | ) | 431,935,655 | (1,372,481,459 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 406,376,112 | 195,986,510 | 141,902,176 | 141,168,686 | ||||||||||||
Net income (loss) | (340,231,051 | ) | (215,636,254 | ) | 550,203,679 | (1,275,116,982 | ) | |||||||||
Shareholders’ equity, end of period | $ | 4,204,381,585 | $ | 4,237,958,207 | $ | 4,204,381,585 | $ | 4,237,958,207 | ||||||||
| * | The operations include the activity of ProShares |
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 550,203,679 | $ | (1,275,116,982 | ) | |||
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 | (32,181,153,315 | ) | (6,612,113,856 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 32,879,938,110 | 5,319,975,559 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (9,697,124 | ) | (740,687 | ) | ||||
Net realized (gain) loss on investments | 264,143 | (11,145 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 212,838,004 | 89,157,791 | ||||||
Decrease (Increase) in receivable on futures contracts | (333,246,149 | ) | (47,134,619 | ) | ||||
Decrease (Increase) in interest receivable | (3,095,982 | ) | 26,005 | |||||
Increase (Decrease) in payable to Sponsor | 4,244,972 | (248,437 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (327,015 | ) | (220,325 | ) | ||||
Increase (Decrease) in payable on futures contracts | (37,886,245 | ) | (3,570,592 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | 81,773 | 27,500 | ||||||
Net cash provided by (used in) operating activities | 1,082,164,851 | (2,529,969,788 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 9,008,566,233 | 5,632,395,070 | ||||||
Payment on shares redeemed | (9,440,488,808 | ) | (4,510,804,732 | ) | ||||
Net cash provided by (used in) financing activities | (431,922,575 | ) | 1,121,590,338 | |||||
Net increase (decrease) in cash | 650,242,276 | (1,408,379,450 | ) | |||||
Cash, beginning of period | 1,408,701,238 | 3,256,463,457 | ||||||
Cash, end of period | $ | 2,058,943,514 | $ | 1,848,084,007 | ||||
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Nine Months Ended September 30, | ||||||||
2021 | 2020* | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (1,275,116,982 | ) | $ | (732,601,859 | ) | ||
| 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 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 5,319,975,559 | 3,736,919,081 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (740,687 | ) | (5,453,567 | ) | ||||
| 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 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | (47,134,619 | ) | (161,192,003 | ) | ||||
| Decrease (Increase) in interest receivable | 26,005 | 916,323 | ||||||
| Increase (Decrease) in payable to Sponsor | (248,437 | ) | 1,913,708 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (220,325 | ) | 583,315 | |||||
| Increase (Decrease) in payable on futures contracts | (3,570,592 | ) | (32,538,644 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | 27,500 | — | ||||||
| Net cash provided by (used in) operating activities | (2,529,969,788 | ) | (1,593,443,310 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 5,632,395,070 | 9,655,286,527 | ||||||
| Payment on shares redeemed | (4,510,804,732 | ) | (6,721,603,064 | ) | ||||
| Net cash provided by (used in) financing activities | 1,121,590,338 | 2,933,683,463 | ||||||
Net increase (decrease) in cash | (1,408,379,450 | ) | 1,340,240,153 | |||||
| Cash, beginning of period | 3,256,463,457 | 1,190,195,205 | ||||||
| Cash, end of period | $ | 1,848,084,007 | $ | 2,530,435,358 | ||||
Fund | Execution Date (Prior to Opening of Trading) | Type of Split | Date Trading Resumed at Post- Split Price | |||
| 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 | |||
Fund | Create/Redeem | ||||||||
Cut-off* | NAV Calculation Time | NAV Calculation Date | |||||||
| Ultra Silver and UltraShort Silver | 1:00 p.m. | 1:25 p.m. | September 30, | ||||||
| Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | September 30, | ||||||
| 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. | September 30, | ||||||
| Ultra Euro, | |||||||||
| Ultra Yen, | |||||||||
| UltraShort Euro and | |||||||||
| UltraShort Yen | 3:00 p.m. | 4:00 p.m. | September 30, | ||||||
| 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. | September 30, | ||||||
| * | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, |
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 | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 136,590,474 | $ | (16,266,018 | ) | $ | — | $ | — | $ | 120,324,456 | |||||||||
ProShares Ultra Bloomberg Crude Oil | 535,064,695 | (3,847,928 | ) | — | (123,956,198 | ) | 407,260,569 | |||||||||||||
ProShares Ultra Bloomberg Natural Gas | 106,563,264 | (97,363,745 | ) | — | — | 9,199,519 | ||||||||||||||
ProShares Ultra Euro | 696,356 | — | (431,231 | ) | — | 265,125 | ||||||||||||||
ProShares Ultra Gold | 143,619,527 | (1,627,042 | ) | — | (6,686,424 | ) | 135,306,061 | |||||||||||||
ProShares Ultra Silver | 162,611,595 | (329,232 | ) | — | 26,804,548 | 189,086,911 | ||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 273,202,387 | 196,774,849 | — | — | 469,977,236 | |||||||||||||||
ProShares Ultra Yen | 997,645 | — | (95,117 | ) | — | 902,528 | ||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 120,666,762 | 105,314,104 | — | — | 225,980,866 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 84,676,656 | 130,293,612 | — | — | 214,970,268 | |||||||||||||||
ProShares UltraShort Euro | 45,854,318 | — | 2,841,040 | — | 48,695,358 | |||||||||||||||
ProShares UltraShort Gold | 7,981,159 | 1,536,681 | — | 802,204 | 10,320,044 | |||||||||||||||
ProShares UltraShort Silver | 1,995,290 | 1,453,369 | — | (1,151,403 | ) | 2,297,256 | ||||||||||||||
ProShares UltraShort Yen | 4,988,225 | — | 424,768 | — | 5,412,993 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | 31,924,637 | 6,317,232 | — | — | 38,241,869 | |||||||||||||||
ProShares VIX Short-Term Futures ETF | 157,672,634 | 54,825,421 | — | — | 212,498,055 | |||||||||||||||
Combined Trust: | $ | 1,815,105,624 | $ | 377,081,303 | $ | 2,739,460 | $ | (104,187,273 | ) | $ | 2,090,739,114 | |||||||||
| * | 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 | ||||||||||
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 | $ | — | $ | (44,626 | ) | $ | — | $ | — | $ | (44,626 | ) | ||||||||
| ProShares Short VIX Short-Term Futures ETF | 69,999,639 | 8,348,783 | — | — | 78,348,422 | |||||||||||||||
| ProShares Ultra Bloomberg Crude Oil | 219,998,394 | 144,564,039 | — | 18,242,195 | 382,804,628 | |||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 29,999,889 | 6,500,721 | — | — | 36,500,610 | |||||||||||||||
| ProShares Ultra Euro | — | — | 88,736 | — | 88,736 | |||||||||||||||
| ProShares Ultra Gold | 74,999,467 | 2,646,874 | — | 5,140,980 | 82,787,321 | |||||||||||||||
| ProShares Ultra Silver | 244,993,989 | 37,190,212 | — | 56,752,666 | 338,936,867 | |||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 244,995,969 | (48,524,666 | ) | — | (24,807 | ) | 196,446,496 | |||||||||||||
| ProShares Ultra Yen | — | — | 67,087 | — | 67,087 | |||||||||||||||
| ProShares UltraShort Australian Dollar | — | (138,950 | ) | — | — | (138,950 | ) | |||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | (14,636,813 | ) | — | — | (14,636,813 | ) | |||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 9,999,861 | 379,310 | — | — | 10,379,171 | |||||||||||||||
| ProShares UltraShort Euro | 9,999,861 | — | (1,136,704 | ) | — | 8,863,157 | ||||||||||||||
| ProShares UltraShort Gold | — | (196,930 | ) | — | (268,728 | ) | (465,658 | ) | ||||||||||||
| ProShares UltraShort Silver | — | (220,076 | ) | — | (3,197,561 | ) | (3,417,637 | ) | ||||||||||||
| ProShares UltraShort Yen | — | — | (564,966 | ) | — | (564,966 | ) | |||||||||||||
ProShares VIX Mid-Term Futures ETF | 44,999,732 | (1,133,616 | ) | — | — | 43,866,116 | ||||||||||||||
| ProShares VIX Short-Term Futures ETF | 84,999,583 | (6,364,090 | ) | — | — | 78,635,493 | ||||||||||||||
Total Trust | $ | 1,034,986,384 | $ | 128,370,172 | $ | (1,545,847 | ) | $ | 76,644,745 | $ | 1,238,455,454 | |||||||||
| * | 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 | 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 | 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 | Receivable on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||||||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | 8,348,783 | * | $ | — | ProShares Short VIX Short-Term Futures ETF | $ | — | $ | 16,266,018 | * | |||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | — | 48,549,473 | * | ProShares Ultra VIX Short-Term Futures ETF | 196,774,849 | * | — | |||||||||||||||||||||
| ProShares VIX Mid-Term Futures ETF | 147,915 | * | 1,281,531 | * | ProShares VIX Mid-Term Futures ETF | 6,317,232 | * | — | ||||||||||||||||||||
| ProShares VIX Short-Term Futures ETF | — | 6,364,090 | * | ProShares VIX Short-Term Futures ETF | 54,825,421 | * | — | |||||||||||||||||||||
| 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 | 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 Crude Oil | 14,409,192 | * | 142,213,318 | * | ||||||||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 6,500,721 | * | — | ProShares Ultra Bloomberg Natural Gas | — | 97,363,745 | * | |||||||||||||||||||||
| ProShares Ultra Gold | 7,787,854 | * | — | ProShares Ultra Gold | — | 8,313,466 | * | |||||||||||||||||||||
| ProShares Ultra Silver | 93,942,878 | * | — | ProShares Ultra Silver | 26,804,548 | * | 329,232 | * | ||||||||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | 14,636,813 | * | ProShares UltraShort Bloomberg Crude Oil | 105,314,104 | * | — | |||||||||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 379,310 | * | — | ProShares UltraShort Bloomberg Natural Gas | 130,293,612 | * | — | |||||||||||||||||||||
| ProShares UltraShort Gold | — | 465,658 | * | ProShares UltraShort Gold | 2,338,885 | * | — | |||||||||||||||||||||
| ProShares UltraShort Silver | — | 3,417,637 | * | ProShares UltraShort Silver | 1,453,369 | * | 1,151,403 | * | ||||||||||||||||||||
| 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 | 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 | — | 431,231 | ||||||||||||||||||||||
| ProShares Ultra Euro | 89,103 | 367 | ProShares Ultra Yen | 6,055 | 101,172 | |||||||||||||||||||||||
| ProShares Ultra Yen | 67,235 | 148 | ProShares UltraShort Euro | 3,108,883 | 267,843 | |||||||||||||||||||||||
| ProShares UltraShort Australian Dollar | — | 138,950 | * | ProShares UltraShort Yen | 580,211 | 155,443 | ||||||||||||||||||||||
| ProShares UltraShort Euro | 5,705 | 1,142,409 | ||||||||||||||||||||||||||
| ProShares UltraShort Yen | 7,008 | 571,974 | Combined Trust: | $ | 542,226,361 | * | $ | 266,592,871 | * | |||||||||||||||||||
Total Trust | $ | 280,082,746 | * | $ | 76,613,676 | * | ||||||||||||||||||||||
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 | $ | 34,573,906 | $ | (43,362,244 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (198,380,990 | ) | 186,737,241 | |||||||||
ProShares VIX Mid-Term Futures ETF | (4,024,133 | ) | 10,651,835 | |||||||||
| ProShares VIX Short-Term Futures ETF | (51,868,433 | ) | 42,164,263 | |||||||||
| 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 | 106,330,563 | (16,910,039 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 33,925,711 | 25,134,988 | ||||||||||
| ProShares Ultra Gold | (21,858,089 | ) | 15,564,318 | |||||||||
| ProShares Ultra Silver | (201,315,310 | ) | (6,040,776 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (11,449,562 | ) | (1,521,543 | ) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | (95,609,878 | ) | (17,870,697 | ) | ||||||||
| ProShares UltraShort Gold | 1,213,721 | (1,898,585 | ) | |||||||||
| ProShares UltraShort Silver | 6,662,145 | 3,921,845 | ||||||||||
| 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 | 57,489 | (4,770 | ) | |||||||||
| ProShares Ultra Euro | (254,219 | ) | 72,810 | |||||||||
| ProShares Ultra Yen | (25,554 | ) | 10,988 | |||||||||
| ProShares UltraShort Australian Dollar | 188,884 | 56,770 | ||||||||||
| ProShares UltraShort Euro | 2,974,466 | (618,447 | ) | |||||||||
| ProShares UltraShort Yen | 197,444 | (190,261 | ) | |||||||||
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. |
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | |||||||||
VIX Futures Contracts | Receivable on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | 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 | ||||||||
| 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 | $ | 60,593,315 | $ | (1,463,210 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (559,537,850 | ) | 15,302,015 | |||||||||
ProShares VIX Mid-Term Futures ETF | 755,845 | 1,751,675 | ||||||||||
| ProShares VIX Short-Term Futures ETF | (75,120,135 | ) | 555,267 | |||||||||
| 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 | 285,954,263 | (232,623,755 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 41,156,156 | (4,754,372 | ) | |||||||||
| ProShares Ultra Gold | 25,742,296 | (18,057,616 | ) | |||||||||
| ProShares Ultra Silver | 290,238,797 | (199,321,544 | ) | |||||||||
| ProShares UltraShort Bloomberg Crude Oil | (16,296,829 | ) | 5,848,114 | |||||||||
| ProShares UltraShort Bloomberg Natural Gas | (31,450,011 | ) | 8,968,702 | |||||||||
| ProShares UltraShort Gold | (4,021,537 | ) | 2,688,730 | |||||||||
| ProShares UltraShort Silver | (15,896,820 | ) | 11,129,646 | |||||||||
| 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 | (77,567 | ) | (14,989 | ) | ||||||||
| ProShares Ultra Euro | 441,714 | (84,317 | ) | |||||||||
| ProShares Ultra Yen | 126,569 | (1,524 | ) | |||||||||
| ProShares UltraShort Australian Dollar | (432,100 | ) | 5,020 | |||||||||
| ProShares UltraShort Euro | (7,511,153 | ) | 1,523,931 | |||||||||
| ProShares UltraShort Yen | (1,451,651 | ) | 200,915 | |||||||||
Total Trust | $ | (6,786,698 | ) | $ | (408,347,312 | ) | ||||||
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | 27,694,574 | $ | (17,783,632 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (289,871,717 | ) | 161,330,331 | |||||||||
| ProShares VIX Mid-Term Futures ETF | (1,349,272 | ) | 3,236,565 | |||||||||
| ProShares VIX Short-Term Futures ETF | (45,457,319 | ) | 51,449,994 | |||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
| ProShares Ultra Bloomberg Crude Oil | (344,578,932 | ) | (33,971,770 | ) | ||||||||
| ProShares Ultra Bloomberg Natural Gas | (5,889,116 | ) | 97,063,212 | |||||||||
| ProShares Ultra Gold | (39,825,586 | ) | 2,070,901 | |||||||||
| ProShares Ultra Silver | (147,384,761 | ) | 91,205,187 | |||||||||
| ProShares UltraShort Bloomberg Crude Oil | 66,444,885 | 76,797,273 | ||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 8,173,631 | (23,776,729 | ) | |||||||||
| ProShares UltraShort Gold | 4,988,228 | 806,339 | ||||||||||
| ProShares UltraShort Silver | 6,215,407 | (4,087,962 | ) | |||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
| ProShares Ultra Euro | (1,618,381 | ) | (98,836 | ) | ||||||||
| ProShares Ultra Yen | (1,652,590 | ) | (17,967 | ) | ||||||||
| ProShares UltraShort Euro | 11,086,708 | (354,043 | ) | |||||||||
| ProShares UltraShort Yen | 5,879,873 | (546,737 | ) | |||||||||
Combined Trust | $ | (747,144,368 | ) | $ | 403,322,126 | |||||||
| * | 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 | $ | (129,091,526 | ) | $ | (2,706,204 | ) | ||||||
| ProShares Ultra VIX Short-Term Futures ETF | 58,666,590 | 66,331,637 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 21,708,785 | 5,422,315 | ||||||||||
| ProShares VIX Short-Term Futures ETF | 249,771,936 | 16,595,465 | ||||||||||
| 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 | (891,179,560 | ) | 106,147,368 | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 2,225,390 | (4,336,578 | ) | |||||||||
| ProShares Ultra Gold | 51,605,680 | (11,257,214 | ) | |||||||||
| ProShares Ultra Silver | 297,927,456 | (215,072,789 | ) | |||||||||
| ProShares UltraShort Bloomberg Crude Oil | 28,429,846 | 7,230,908 | ||||||||||
| ProShares UltraShort Bloomberg Natural Gas | (20,587,193 | ) | 9,530,001 | |||||||||
| ProShares UltraShort Gold | (12,041,690 | ) | 2,727,600 | |||||||||
| ProShares UltraShort Silver | (18,932,319 | ) | 12,566,735 | |||||||||
| 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 | (116,225 | ) | 31,531 | |||||||||
| ProShares Ultra Euro | 369,811 | (208,243 | ) | |||||||||
| ProShares Ultra Yen | 11,333 | 48,104 | ||||||||||
| ProShares UltraShort Australian Dollar | (799,054 | ) | 390,370 | |||||||||
| ProShares UltraShort Euro | (8,749,738 | ) | 3,449,397 | |||||||||
| ProShares UltraShort Yen | (1,847,423 | ) | (427,974 | ) | ||||||||
Total Trust | $ | (372,627,901 | ) | $ | (3,537,571 | ) | ||||||
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
| ProShares Short VIX Short-Term Futures ETF | $ | (26,435,234 | ) | $ | (47,541,296 | ) | ||||||
| ProShares Ultra VIX Short-Term Futures ETF | 82,162,402 | 323,609,043 | ||||||||||
| ProShares VIX Mid-Term Futures ETF | 11,304,613 | 6,941,620 | ||||||||||
| ProShares VIX Short-Term Futures ETF | 31,935,990 | 84,956,040 | ||||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
| ProShares Ultra Bloomberg Crude Oil | 818,140,230 | (339,187,944 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 235,322,266 | (89,157,584 | ) | |||||||||
| ProShares Ultra Gold | (39,908,073 | ) | (17,607,548 | ) | ||||||||
| ProShares Ultra Silver | (186,941,909 | ) | (16,622,928 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (142,631,216 | ) | 113,723,566 | |||||||||
| ProShares UltraShort Bloomberg Natural Gas | (389,138,752 | ) | 116,857,361 | |||||||||
| ProShares UltraShort Gold | 3,237,425 | 3,173,923 | ||||||||||
| ProShares UltraShort Silver | 8,252,893 | 1,570,887 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
| ProShares Ultra Euro | (2,505,776 | ) | (513,883 | ) | ||||||||
| ProShares Ultra Yen | (2,532,839 | ) | (2,005 | ) | ||||||||
| ProShares UltraShort Euro | 16,693,971 | 3,049,081 | ||||||||||
| ProShares UltraShort Yen | 14,877,216 | (444,812 | ) | |||||||||
Combined Trust: | $ | 431,833,207 | $ | 142,803,521 | ||||||||
The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 30, 2021 | ||||||||||||
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 | $ | 34,573,906 | $ | (43,362,244 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (198,380,990 | ) | 186,737,241 | |||||||||
| ProShares VIX Mid-Term Futures ETF | (4,024,133 | ) | 10,651,835 | |||||||||
| ProShares VIX Short-Term Futures ETF | (51,868,433 | ) | 42,164,263 | |||||||||
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 | 106,330,563 | (16,910,039 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 33,925,711 | 25,134,988 | ||||||||||
| ProShares Ultra Gold | (21,858,089 | ) | 15,564,318 | |||||||||
| ProShares Ultra Silver | (201,315,310 | ) | (6,040,776 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (11,449,562 | ) | (1,521,543 | ) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | (95,609,878 | ) | (17,870,697 | ) | ||||||||
| ProShares UltraShort Gold | 1,213,721 | (1,898,585 | ) | |||||||||
| ProShares UltraShort Silver | 6,662,145 | 3,921,845 | ||||||||||
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 | 57,489 | (4,770 | ) | |||||||||
| ProShares Ultra Euro | (254,219 | ) | 72,810 | |||||||||
| ProShares Ultra Yen | (25,554 | ) | 10,988 | |||||||||
| ProShares UltraShort Australian Dollar | 188,884 | 56,770 | ||||||||||
| ProShares UltraShort Euro | 2,974,466 | (618,447 | ) | |||||||||
ProShares UltraShort Yen | 197,444 | (190,261 | ) | |||||||||
Combined Trust | $ | (398,661,839 | ) | $ | 195,897,696 | |||||||
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 | ||||||||||
Combined Trust: | $ | (1,372,492,604 | ) | $ | 141,206,731 | |||||||
Fair Values of Derivative Instruments as of September 30, 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 | $ | 70,885,762 | $ | 0 | $ | 70,885,762 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
| ProShares Ultra Euro | ||||||||||||||||||||||||
| Foreign currency forward contracts | 2,136 | 0 | 2,136 | 164,822 | 0 | 164,822 | ||||||||||||||||||
| ProShares Ultra Gold | ||||||||||||||||||||||||
| Swap agreements | 0 | 0 | 0 | 7,406,864 | 0 | 7,406,864 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| ProShares Ultra Yen | ||||||||||||||||||||||||
| Foreign currency forward contracts | 757 | 0 | 757 | 60,023 | 0 | 60,023 | ||||||||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||||||||||
| Foreign currency forward contracts | 2,284,006 | 0 | 2,284,006 | 157,203 | 0 | 157,203 | ||||||||||||||||||
| ProShares UltraShort Gold | ||||||||||||||||||||||||
| Swap agreements | 830,123 | 0 | 830,123 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares UltraShort Silver | ||||||||||||||||||||||||
| Swap agreements | 4,090,510 | 0 | 4,090,510 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||||||||||||
| Foreign currency forward contracts | 549,354 | 0 | 549,354 | 47,780 | 0 | 47,780 | ||||||||||||||||||
Fair Values of Derivative Instruments as of September 30, 2022 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | — | $ | — | $ | — | $ | 123,956,198 | $ | — | $ | 123,956,198 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | — | — | — | 431,231 | — | 431,231 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 6,686,424 | — | 6,686,424 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 26,804,548 | — | 26,804,548 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 6,055 | — | 6,055 | 101,172 | — | 101,172 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 3,108,883 | — | 3,108,883 | 267,843 | — | 267,843 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 802,204 | — | 802,204 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,151,403 | — | 1,151,403 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 580,211 | — | 580,211 | 155,443 | — | 155,443 | ||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of September 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. | $ | (19,603,867 | ) | $ | — | $ | 19,603,867 | $ | — | |||||||
Goldman Sachs International | (24,373,900 | ) | — | 24,373,900 | — | |||||||||||
Morgan Stanley & Co. International PLC | (33,954,709 | ) | — | 33,954,709 | — | |||||||||||
Societe Generale | (18,489,319 | ) | 17,977,319 | 512,000 | — | |||||||||||
UBS AG | (27,534,403 | ) | 19,575,403 | 7,959,000 | — | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | (194,303 | ) | — | 194,303 | — | |||||||||||
UBS AG | (236,928 | ) | — | 236,928 | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (2,464,705 | ) | — | 2,464,705 | — | |||||||||||
Goldman Sachs International | (1,657,776 | ) | 1,588,776 | 69,000 | — | |||||||||||
UBS AG | (2,563,943 | ) | — | 2,563,943 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 8,433,031 | — | — | 8,433,031 | ||||||||||||
Goldman Sachs International | 1,725,874 | (1,222,261 | ) | — | 503,613 | |||||||||||
Morgan Stanley & Co. International PLC | 9,256,039 | — | (6,573,000 | ) | 2,683,039 | |||||||||||
UBS AG | 7,389,604 | (2,828,730 | ) | — | 4,560,874 | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (39,854 | ) | — | 39,854 | — | |||||||||||
UBS AG | (55,263 | ) | — | 55,263 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | 1,292,731 | (1,292,731 | ) | — | — | |||||||||||
UBS AG | 1,548,309 | (1,548,309 | ) | — | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 329,122 | — | — | 329,122 | ||||||||||||
Goldman Sachs International | 215,613 | (215,613 | ) | — | — | |||||||||||
UBS AG | 257,469 | (257,469 | ) | — | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (136,329 | ) | — | 136,329 | — | |||||||||||
Goldman Sachs International | (496,626 | ) | — | 496,626 | — | |||||||||||
Morgan Stanley & Co. International PLC | (392,881 | ) | — | 392,881 | — | |||||||||||
UBS AG | (125,567 | ) | — | 125,567 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 92,684 | — | — | 92,684 | ||||||||||||
UBS AG | 332,084 | — | — | 332,084 | ||||||||||||
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 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 | |||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | 9,839,441 | $ | — | $ | (9,839,441 | ) | $ | — | |||||||
Goldman Sachs International | 13,920,431 | (13,889,225 | ) | (31,206 | ) | — | ||||||||||
Morgan Stanley & Co. International PLC | 17,042,319 | — | (17,042,319 | ) | — | |||||||||||
Societe Generale | 9,295,046 | (9,292,398 | ) | (2,648 | ) | — | ||||||||||
UBS AG | 13,831,056 | — | (13,831,056 | ) | — | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 10,301 | — | — | 10,301 | ||||||||||||
UBS AG | 72,351 | — | — | 72,351 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,974,490 | — | (2,100,000 | ) | 874,490 | |||||||||||
Goldman Sachs International | 2,570,443 | (1,877,749 | ) | (250 | ) | 692,444 | ||||||||||
UBS AG | 3,094,255 | — | (2,180,000 | ) | 914,255 | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 10,785,304 | — | (7,890,000 | ) | 2,895,304 | |||||||||||
Goldman Sachs International | 10,781,897 | (8,181,572 | ) | (5,925 | ) | 2,594,400 | ||||||||||
Morgan Stanley & Co. International PLC | 10,046,034 | — | (7,306,000 | ) | 2,740,034 | |||||||||||
UBS AG | 8,978,464 | — | (6,570,000 | ) | 2,408,464 | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
Goldman Sachs & Co. | (477,437 | ) | — | — | (477,437 | ) | ||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (54,919 | ) | — | 54,919 | — | |||||||||||
UBS AG | (38,193 | ) | — | — | (38,193 | ) | ||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (83,325 | ) | 83,325 | — | — | |||||||||||
UBS AG | (124,716 | ) | 124,716 | — | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (407,735 | ) | 407,735 | — | — | |||||||||||
Goldman Sachs International | (266,413 | ) | 266,413 | — | — | |||||||||||
UBS AG | (318,969 | ) | 318,969 | — | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (367,632 | ) | 367,632 | — | — | |||||||||||
Goldman Sachs International | (486,710 | ) | 368,710 | 118,000 | — | |||||||||||
Morgan Stanley & Co. International PLC | (385,104 | ) | — | 385,104 | — | |||||||||||
UBS AG | (681,968 | ) | 681,968 | — | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 312,169 | (302,523 | ) | — | 9,646 | |||||||||||
UBS AG | 557,411 | — | (520,000 | ) | 37,411 | |||||||||||
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 | ||||||||||||||||
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 | ||||||||||||||||
| Goldman Sachs International | $ | 1,377,243 | $ | (1,281,309 | ) | $ | 0 | $ | 95,934 | |||||||
Morgan Stanley & Co. Internatio n al PLC | 10,959,227 | 0 | (10,629,000 | ) | 330,227 | |||||||||||
| Societe Generale | 1,679,334 | (1,679,334 | ) | 0 | 0 | |||||||||||
| UBS AG | 4,226,391 | (4,151,442 | ) | (6,270 | ) | 68,679 | ||||||||||
| ProShares Ultra Euro | ||||||||||||||||
| Goldman Sachs International | 22,950 | 0 | 0 | 22,950 | ||||||||||||
| UBS AG | 65,786 | 0 | 0 | 65,786 | ||||||||||||
| ProShares Ultra Gold | ||||||||||||||||
| Citibank, N.A. | 1,770,050 | 0 | (1,670,000 | ) | 100,050 | |||||||||||
| Goldman Sachs International | 1,529,612 | (1,497,203 | ) | 0 | 32,409 | |||||||||||
| UBS AG | 1,841,318 | 0 | 0 | 1,841,318 | ||||||||||||
| ProShares Ultra Silver | ||||||||||||||||
| Citibank, N.A. | 18,010,776 | 0 | (18,010,776 | ) | 0 | |||||||||||
| Goldman Sachs International | 12,930,574 | (12,930,574 | ) | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | 12,353,706 | 0 | (12,353,706 | ) | 0 | |||||||||||
| UBS AG | 13,457,610 | (4,126,610 | ) | (9,331,000 | ) | 0 | ||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
| Goldman Sachs & Co. | (24,807 | ) | 0 | 24,807 | 0 | |||||||||||
| ProShares Ultra Yen | ||||||||||||||||
| Goldman Sachs International | 34,265 | 0 | 0 | 34,265 | ||||||||||||
| UBS AG | 32,822 | 0 | 0 | 32,822 | ||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||
| Goldman Sachs International | (388,233 | ) | 0 | 388,233 | 0 | |||||||||||
| UBS AG | (748,471 | ) | 748,471 | 0 | 0 | |||||||||||
| ProShares UltraShort Gold | ||||||||||||||||
| Citibank, N.A. | (80,068 | ) | 0 | 80,068 | 0 | |||||||||||
| Goldman Sachs International | (82,645 | ) | 0 | 82,645 | 0 | |||||||||||
| UBS AG | (106,015 | ) | 0 | 106,015 | 0 | |||||||||||
| ProShares UltraShort Silver | ||||||||||||||||
| Citibank, N.A. | (1,208,988 | ) | 0 | 1,208,988 | 0 | |||||||||||
| Goldman Sachs International | (927,829 | ) | 0 | 927,829 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | (579,421 | ) | 0 | 579,421 | 0 | |||||||||||
| UBS AG | (481,323 | ) | 0 | 481,323 | 0 | |||||||||||
| ProShares UltraShort Yen | ||||||||||||||||
| Goldman Sachs International | (207,021 | ) | 0 | 207,021 | 0 | |||||||||||
| UBS AG | (357,945 | ) | 0 | 357,945 | 0 | |||||||||||
Fund | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 | ||||||
| ProShares Short Euro | $ | 0 | $ | 0 | ||||
| ProShares Short VIX Short-Term Futures ETF | 75,629 | 139,978 | ||||||
| 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 | ||||||
| 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 | ||||||
| ProShares VIX Short-Term Futures ETF | 81,985 | 314,310 | ||||||
Total Trust | $ | 1,080,232 | $ | 2,764,368 | ||||
Three Months Ended | Nine Months Ended | |||||||
Fund | September 30, 2022 | September 30, 2022 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 41,819 | $ | 160,578 | ||||
ProShares Ultra Bloomberg Crude Oil | — | — | ||||||
ProShares Ultra Bloomberg Natural Gas | — | — | ||||||
ProShares Ultra Euro | — | — | ||||||
ProShares Ultra Gold | — | — | ||||||
ProShares Ultra Silver | — | — | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 1,075,047 | 3,257,919 | ||||||
ProShares Ultra Yen | — | — | ||||||
ProShares UltraShort Bloomberg Crude Oil | — | — | ||||||
ProShares UltraShort Bloomberg Natural Gas | — | — | ||||||
ProShares UltraShort Euro | — | — | ||||||
ProShares UltraShort Gold | — | — | ||||||
ProShares UltraShort Silver | — | — | ||||||
ProShares UltraShort Yen | — | — | ||||||
ProShares VIX Mid-Term Futures ETF | 13,179 | 42,404 | ||||||
ProShares VIX Short-Term Futures ETF | 182,543 | 432,819 | ||||||
Combined Trust: | $ | 1,312,588 | $ | 3,893,720 | ||||
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 | )% | ||||||||||||
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 39.53 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Net investment income (loss) | (0.01 | ) | 0.01 | 0.03 | 0.00 | (1) | 0.05 | 0.00 | (2) | |||||||||||||||
Net realized and unrealized gain (loss)# | 0.38 | (15.41 | ) | 13.66 | (1.51 | ) | (9.44 | ) | (3.94 | ) | ||||||||||||||
Change in net asset value from operations | 0.37 | (15.40 | ) | 13.69 | (1.51 | ) | (9.39 | ) | (3.94 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 53.22 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 42.10 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 53.66 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | 0.8 | % | (37.0 | )% | 34.6 | % | (13.7 | )% | (16.6 | )% | (15.9 | )% | ||||||||||||
Total Return, at market value^ | 0.8 | % | (37.3 | )% | 27.5 | % | (13.9 | )% | (16.9 | )% | (15.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1.01 | % | 1.16 | % | 0.96 | % | 0.97 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.09 | )% | 0.07 | % | 0.15 | % | 0.16 | % | 0.38 | % | (0.02 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be |
| (1) | Amount represents less than $0.005. |
| (2) | Amount represents greater than $(0.005). |
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 | ||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 45.97 | $ | 27.91 | $ | 51.24 | $ | 46.09 | $ | 18.11 | $ | 21.55 | ||||||||||||
| Net investment income (loss) | (0.10 | ) | (0.11 | ) | (0.12 | ) | (0.12 | ) | (0.05 | ) | (0.05 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (14.16 | ) | (3.37 | ) | (0.29 | ) | 3.17 | (2.93 | ) | (14.48 | ) | |||||||||||||
| Change in net asset value from operations | (14.26 | ) | (3.48 | ) | (0.41 | ) | 3.05 | (2.98 | ) | (14.53 | ) | |||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | (31.0 | )% | (12.5 | )% | (0.8 | )% | 6.6 | % | (16.5 | )% | (67.4 | )% | ||||||||||||
Total Return, at market value^ | (30.6 | )% | (12.3 | )% | (0.9 | )% | 7.0 | % | (16.2 | )% | (65.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.00 | % | 1.71 | % | 0.95 | % | 1.05 | % | 1.17 | % | 1.35 | % | ||||||||||||
| Net investment income gain (loss) | (0.97 | )% | (1.71 | )% | (0.91 | )% | (1.01 | )% | (1.14 | )% | (1.32 | )% | ||||||||||||
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 14.51 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Net investment income (loss) | 0.00 | (1) | 0.01 | 0.02 | 0.00 | (1) | 0.01 | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain (loss)# | (1.64 | ) | (4.49 | ) | 7.28 | (25.30 | ) | 4.45 | 5.64 | |||||||||||||||
Change in net asset value from operations | (1.64 | ) | (4.48 | ) | 7.30 | (25.30 | ) | 4.46 | 5.63 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 12.87 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 14.53 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 12.85 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | (11.3 | )% | (13.3 | )% | 31.7 | % | (59.3 | )% | 14.7 | % | 17.9 | % | ||||||||||||
Total Return, at market value^ | (11.6 | )% | (13.2 | )% | 32.1 | % | (57.0 | )% | 14.7 | % | 18.1 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.46 | % | 0.96 | % | 1.11 | % | 1.25 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.14 | )% | 0.18 | % | 0.32 | % | (0.01 | )% | 0.12 | % | (0.11 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
| (1) | Amount represents greater than $(0.005). |
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 June 30, 2021 | $ | 23.81 | $ | 34.67 | $ | 23.37 | $ | 77.96 | $ | 30.51 | $ | 24.09 | ||||||||||||
| Net investment income (loss) | (0.06 | ) | (0.08 | ) | (0.07 | ) | (0.17 | ) | (0.08 | ) | (0.07 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 1.19 | 0.21 | 7.97 | 0.16 | 1.79 | (1.34 | ) | |||||||||||||||||
| Change in net asset value from operations | 1.13 | 0.13 | 7.90 | (0.01 | ) | 1.71 | (1.41 | ) | ||||||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | 4.8 | % | 0.4 | % | 33.8 | % | (0.0 | )% @ | 5.6 | % | (5.8 | )% | ||||||||||||
Total Return, at market value^ | 4.7 | % | 0.4 | % | 33.0 | % | (0.0 | )% @ | 5.8 | % | (5.3 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.04 | % | 1.17 | % | ||||||||||||
| Net investment income gain (loss) | (0.91 | )% | (0.98 | )% | (1.07 | )% | (0.91 | )% | (1.01 | )% | (1.16 | )% | ||||||||||||
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 18.22 | ||||||||
Net investment income (loss) | (0.02 | ) | 0.01 | 0.00 | (1) | 0.01 | ||||||||||
Net realized and unrealized gain (loss)# | 2.34 | 7.97 | 0.19 | (1.13 | ) | |||||||||||
Change in net asset value from operations | 2.32 | 7.98 | 0.19 | (1.12 | ) | |||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 17.10 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 18.25 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 17.10 | ||||||||
Total Return, at net asset value^ | 7.3 | % | 14.0 | % | 0.6 | % | (6.1 | )% | ||||||||
Total Return, at market value^ | 6.1 | % | 13.8 | % | 0.3 | % | (6.3 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.96 | % | 0.93 | % | 1.11 | % | ||||||||
Net investment income gain (loss) | (0.19 | )% | 0.07 | % | (0.01 | )% | 0.25 | % | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be |
Amount represents greater than |
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 | )% | ||||||||||||
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2021 | $ | 55.61 | $ | 19.56 | $ | 35.33 | $ | 14.67 | $ | 57.28 | $ | 45.97 | ||||||||||||
Net investment income (loss) | (0.19 | ) | (0.05 | ) | (0.14 | ) | (0.03 | ) | (0.14 | ) | (0.10 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (0.96 | ) | 1.61 | 48.28 | (0.72 | ) | (1.50 | ) | (14.16 | ) | ||||||||||||||
Change in net asset value from operations | (1.15 | ) | 1.56 | 48.14 | (0.75 | ) | (1.64 | ) | (14.26 | ) | ||||||||||||||
Net asset value, at September 30, 2021 | $ | 54.46 | $ | 21.12 | $ | 83.47 | $ | 13.92 | $ | 55.64 | $ | 31.71 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 55.55 | $ | 19.56 | $ | 37.17 | $ | 14.66 | $ | 57.22 | $ | 46.12 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 54.39 | $ | 21.06 | $ | 82.30 | $ | 13.92 | $ | 55.59 | $ | 31.99 | ||||||||||||
Total Return, at net asset value^ | (2.1 | )% | 8.0 | % | 136.3 | % | (5.1 | )% | (2.9 | )% | (31.0 | )% | ||||||||||||
Total Return, at market value^ | (2.1 | )% | 7.7 | % | 121.4 | % | (5.1 | )% | (2.9 | )% | (30.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.33 | % | 1.10 | % | 1.30 | % | 0.95 | % | 1.00 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (1.32 | )% | (1.07 | )% | (1.25 | )% | (0.91 | )% | 0.97 | % | (0.97 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 29.56 | $ | 329.28 | $ | 55.32 | $ | 56.14 | $ | 73.18 | $ | 67.21 | ||||||||||||
| Net investment income (loss) | (0.12 | ) | (0.97 | ) | (0.13 | ) | (0.13 | ) | (0.22 | ) | (0.16 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 12.81 | (126.77 | ) | 2.50 | (4.27 | ) | (6.50 | ) | (28.73 | ) | ||||||||||||||
| Change in net asset value from operations | 12.69 | (127.74 | ) | 2.37 | (4.40 | ) | (6.72 | ) | (28.89 | ) | ||||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | 42.9 | % | (38.8 | )% | 4.3 | % | (7.8 | )% | (9.2 | )% | (43.0 | )% | ||||||||||||
Total Return, at market value^ | 42.4 | % | (39.2 | )% | 4.3 | % | (7.8 | )% | (8.1 | )% | (43.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.04 | % | 1.67 | % | 0.96 | % | 1.03 | % | 1.39 | % | 1.77 | % | ||||||||||||
| Net investment income gain (loss) | (0.97 | )% | (1.64 | )% | (0.94 | )% | (1.01 | )% | (1.37 | )% | (1.71 | )% | ||||||||||||
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at June 30, 2021 | $ | 27.91 | $ | 51.24 | $ | 90.56 | $ | 431.07 | $ | 23.81 | $ | 34.67 | ||||||||||||
Net investment income (loss) | (0.11 | ) | (0.12 | ) | (0.26 | ) | (0.91 | ) | (0.06 | ) | (0.08 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (3.37 | ) | (0.29 | ) | (14.64 | ) | (289.76 | ) | 1.19 | 0.21 | ||||||||||||||
Change in net asset value from operations | (3.48 | ) | (0.41 | ) | (14.90 | ) | (290.67 | ) | 1.13 | 0.13 | ||||||||||||||
Net asset value, at September 30, 2021 | $ | 24.43 | $ | 50.83 | $ | 75.66 | $ | 140.40 | $ | 24.94 | $ | 34.80 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 27.98 | $ | 51.26 | $ | 90.55 | $ | 408.80 | $ | 23.82 | $ | 34.69 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 24.55 | $ | 50.82 | $ | 75.90 | $ | 142.40 | $ | 24.93 | $ | 34.82 | ||||||||||||
Total Return, at net asset value^ | (12.5 | )% | (0.8 | )% | (16.5 | )% | (67.4 | )% | 4.8 | % | 0.4 | % | ||||||||||||
Total Return, at market value^ | (12.3 | )% | (0.9 | )% | (16.2 | )% | (65.2 | )% | 4.7 | % | 0.4 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.71 | % | 0.95 | % | 1.17 | % | 1.35 | % | 0.95 | % | 1.02 | % | ||||||||||||
Net investment income gain (loss) | (1.71 | )% | (0.91 | )% | (1.14 | )% | (1.32 | )% | (0.91 | )% | (0.98 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 26.73 | $ | 35.46 | $ | 78.50 | $ | 74.60 | $ | 40.40 | $ | 111.70 | ||||||||||||
| Net investment income (loss) | (0.05 | ) | (0.08 | ) | (0.09 | ) | (0.16 | ) | (0.10 | ) | (0.26 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (2.19 | ) | (3.34 | ) | (39.64 | ) | (3.49 | ) | 0.69 | �� | (29.31 | ) | ||||||||||||
| Change in net asset value from operations | (2.24 | ) | (3.42 | ) | (39.73 | ) | (3.65 | ) | 0.59 | (29.57 | ) | |||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | (8.4 | )% | (9.7 | )% | (50.6 | )% | (4.9 | )% | 1.5 | % | (26.5 | )% | ||||||||||||
Total Return, at market value^ | (8.4 | )% | (9.5 | )% | (50.4 | )% | (4.9 | )% | 1.1 | % | (26.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.03 | % | 1.11 | % | 0.96 | % | 1.07 | % | 1.20 | % | ||||||||||||
| Net investment income gain (loss) | (0.85 | )% | (0.99 | )% | (1.07 | )% | (0.88 | )% | (1.01 | )% | (1.15 | )% | ||||||||||||
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at June 30, 2021 | $ | 23.37 | $ | 38.98 | $ | 30.51 | $ | 24.09 | ||||||||
Net investment income (loss) | (0.07 | ) | (0.09 | ) | (0.08 | ) | (0.07 | ) | ||||||||
Net realized and unrealized gain (loss)# | 7.97 | 0.08 | 1.79 | (1.34 | ) | |||||||||||
Change in net asset value from operations | 7.90 | (0.01 | ) | 1.71 | (1.41 | ) | ||||||||||
Net asset value, at September 30, 2021 | $ | 31.27 | $ | 38.97 | $ | 32.22 | $ | 22.68 | ||||||||
Market value per share, at June 30, 2021 † | $ | 23.28 | $ | 38.99 | $ | 30.54 | $ | 24.08 | ||||||||
Market value per share, at September 30, 2021 † | $ | 30.97 | $ | 38.98 | $ | 32.31 | $ | 22.80 | ||||||||
Total Return, at net asset value^ | 33.8 | % | (0.0 | )% @ | 5.6 | % | (5.8 | )% | ||||||||
Total Return, at market value^ | 33.0 | % | (0.0 | )% @ | 5.8 | % | (5.3 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.10 | % | 0.95 | % | 1.04 | % | 1.17 | % | ||||||||
Net investment income gain (loss) | (1.07 | )% | (0.91 | )% | (1.01 | )% | (1.16 | )% | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be |
| @ | Amount represents greater than (0.05)%. |
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 | )% | ||||||||||||
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 25.55 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.31 | ) | (0.16 | ) | (0.27 | ) | (0.02 | ) | (0.19 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (12.74 | ) | 4.83 | 27.94 | (3.73 | ) | (12.43 | ) | (13.87 | ) | ||||||||||||||
Change in net asset value from operations | (13.05 | ) | 4.67 | 27.67 | (3.75 | ) | (12.62 | ) | (14.00 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 53.22 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 26.09 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 53.66 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | (21.2 | )% | 21.7 | % | 108.3 | % | (28.2 | )% | (21.1 | )% | (40.2 | )% | ||||||||||||
Total Return, at market value^ | (21.1 | )% | 21.0 | % | 105.7 | % | (28.2 | )% | (21.5 | )% | (40.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.23 | % | 1.04 | % | 1.24 | % | 0.95 | % | 0.99 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | (0.80 | )% | (0.59 | )% | (0.58 | )% | (0.27 | )% | (0.43 | )% | (0.56 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | 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 investment income (loss) | (0.33 | ) | (0.59 | ) | (0.36 | ) | (0.34 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (18.67 | ) | (81.66 | ) | (8.64 | ) | 5.03 | (31.11 | ) | (40.34 | ) | |||||||||||||
| Change in net asset value from operations | (19.00 | ) | (82.25 | ) | (9.00 | ) | 4.69 | (31.32 | ) | (40.57 | ) | |||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | (37.5 | )% | (77.1 | )% | (15.0 | )% | 10.6 | % | (67.4 | )% | (85.3 | )% | ||||||||||||
Total Return, at market value^ | (37.6 | )% | (77.0 | )% | (15.1 | )% | 12.0 | % | (67.4 | )% | (85.0 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.03 | % | 1.75 | % | 0.95 | % | 1.04 | % | 1.24 | % | 1.49 | % | ||||||||||||
| Net investment income gain (loss) | (0.98 | )% | (1.71 | )% | (0.90 | )% | (0.99 | )% | (1.18 | )% | (1.45 | )% | ||||||||||||
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 12.41 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (0.09 | ) | (0.04 | ) | (0.07 | ) | (0.14 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 0.55 | (18.22 | ) | (33.85 | ) | (229.91 | ) | 9.08 | 5.60 | |||||||||||||||
Change in net asset value from operations | 0.46 | (18.26 | ) | (33.92 | ) | (230.05 | ) | 9.00 | 5.47 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 12.87 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 12.43 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 12.85 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | 3.7 | % | (38.6 | )% | (52.8 | )% | (93.0 | )% | 34.8 | % | 17.3 | % | ||||||||||||
Total Return, at market value^ | 3.4 | % | (38.6 | )% | (52.5 | )% | (92.9 | )% | 34.9 | % | 17.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.57 | % | 0.96 | % | 1.15 | % | 1.38 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.97 | )% | (0.15 | )% | (0.38 | )% | (0.77 | )% | (0.37 | )% | (0.56 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort 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 investment income (loss) | (0.16 | ) | (0.25 | ) | (0.20 | ) | (0.50 | ) | (0.25 | ) | (0.28 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 2.57 | 3.62 | 3.74 | 10.62 | (4.26 | ) | (32.07 | ) | ||||||||||||||||
| Change in net asset value from operations | 2.41 | 3.37 | 3.54 | 10.12 | (4.51 | ) | (32.35 | ) | ||||||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | 10.7 | % | 10.7 | % | 12.8 | % | 14.9 | % | (12.3 | )% | (58.8 | )% | ||||||||||||
Total Return, at market value^ | 10.7 | % | 11.8 | % | 13.0 | % | 15.0 | % | (12.0 | )% | (58.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.03 | % | 1.10 | % | 0.95 | % | 1.05 | % | 1.23 | % | ||||||||||||
| Net investment income gain (loss) | (0.90 | )% | (0.99 | )% | (1.07 | )% | (0.90 | )% | (1.01 | )% | (1.19 | )% | ||||||||||||
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 15.12 | ||||||||
Net investment income (loss) | (0.13 | ) | (0.16 | ) | (0.15 | ) | (0.07 | ) | ||||||||
Net realized and unrealized gain (loss)# | 7.42 | 23.70 | 5.02 | 2.05 | ||||||||||||
Change in net asset value from operations | 7.29 | 23.54 | 4.87 | 1.98 | ||||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 17.10 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 15.17 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 17.10 | ||||||||
Total Return, at net asset value^ | 27.2 | % | 56.7 | % | 15.9 | % | 13.1 | % | ||||||||
Total Return, at market value^ | 27.2 | % | 56.7 | % | 16.1 | % | 12.7 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.95 | % | 0.99 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.63 | )% | (0.40 | )% | (0.59 | )% | (0.56 | )% | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be |
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 | )% | ||||||||||||
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 41.42 | $ | 9.10 | $ | 21.00 | $ | 15.79 | $ | 67.57 | $ | 50.71 | ||||||||||||
Net investment income (loss) | (0.49 | ) | (0.12 | ) | (0.29 | ) | (0.10 | ) | (0.43 | ) | (0.33 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 13.53 | 12.14 | 62.76 | (1.77 | ) | (11.50 | ) | (18.67 | ) | |||||||||||||||
Change in net asset value from operations | 13.04 | 12.02 | 62.47 | (1.87 | ) | (11.93 | ) | (19.00 | ) | |||||||||||||||
Net asset value, at September 30, 2021 | $ | 54.46 | $ | 21.12 | $ | 83.47 | $ | 13.92 | $ | 55.64 | $ | 31.71 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 41.44 | $ | 9.07 | $ | 21.07 | $ | 15.81 | $ | 68.20 | $ | 51.28 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 54.39 | $ | 21.06 | $ | 82.30 | $ | 13.92 | $ | 55.59 | $ | 31.99 | ||||||||||||
Total Return, at net asset value^ | 31.5 | % | 132.2 | % | 297.6 | % | (11.9 | )% | (17.7 | )% | (37.5 | )% | ||||||||||||
Total Return, at market value^ | 31.3 | % | 132.2 | % | 290.7 | % | (11.9 | )% | (18.5 | )% | (37.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.35 | % | 1.11 | % | 1.47 | % | 0.95 | % | 1.00 | % | 1.03 | % | ||||||||||||
Net investment income gain (loss) | (1.33 | )% | (1.07 | )% | (1.41 | )% | (0.90 | )% | (0.97 | )% | (0.98 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 31.70 | $ | 126.74 | $ | 55.83 | $ | 56.09 | $ | 48.77 | $ | 38.53 | ||||||||||||
| Net investment income (loss) | (0.17 | ) | (2.43 | ) | (0.22 | ) | (0.26 | ) | (0.86 | ) | (0.52 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 10.72 | 77.23 | 2.08 | (4.09 | ) | 18.55 | 0.31 | |||||||||||||||||
| Change in net asset value from operations | 10.55 | 74.80 | 1.86 | (4.35 | ) | 17.69 | (0.21 | ) | ||||||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | 33.3 | % | 59.0 | % | 3.3 | % | (7.8 | )% | 36.3 | % | (0.5 | )% | ||||||||||||
Total Return, at market value^ | 32.0 | % | 54.5 | % | 3.3 | % | (7.5 | )% | 38.0 | % | (2.1 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.03 | % | 1.61 | % | 0.95 | % | 1.04 | % | 1.70 | % | 1.88 | % | ||||||||||||
| Net investment income gain (loss) | (0.62 | )% | (1.34 | )% | (0.54 | )% | (0.58 | )% | (1.39 | )% | (1.64 | )% | ||||||||||||
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2020 | $ | 106.68 | $ | 59.83 | $ | 232.23 | $ | 951.82 | $ | 22.53 | $ | 31.43 | ||||||||||||
Net investment income (loss) | (0.59 | ) | (0.36 | ) | (1.03 | ) | (4.56 | ) | (0.16 | ) | (0.25 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (81.66 | ) | (8.64 | ) | (155.54 | ) | (806.86 | ) | 2.57 | 3.62 | ||||||||||||||
Change in net asset value from operations | (82.25 | ) | (9.00 | ) | (156.57 | ) | (811.42 | ) | 2.41 | 3.37 | ||||||||||||||
Net asset value, at September 30, 2021 | $ | 24.43 | $ | 50.83 | $ | 75.66 | $ | 140.40 | $ | 24.94 | $ | 34.80 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 106.50 | $ | 59.82 | $ | 232.80 | $ | 947.60 | $ | 22.52 | $ | 31.14 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 24.55 | $ | 50.82 | $ | 75.90 | $ | 142.40 | $ | 24.93 | $ | 34.82 | ||||||||||||
Total Return, at net asset value^ | (77.1 | )% | (15.0 | )% | (67.4 | )% | (85.3 | )% | 10.7 | % | 10.7 | % | ||||||||||||
Total Return, at market value^ | (77.0 | )% | (15.1 | )% | (67.4 | )% | (85.0 | )% | 10.7 | % | 11.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.75 | % | 0.95 | % | 1.24 | % | 1.49 | % | 0.95 | % | 1.03 | % | ||||||||||||
Net investment income gain (loss) | (1.71 | )% | (0.90 | )% | (1.18 | )% | (1.45 | )% | (0.90 | )% | (0.99 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 26.80 | $ | 53.02 | $ | 107.04 | $ | 76.37 | $ | 21.27 | $ | 49.19 | ||||||||||||
| Net investment income (loss) | (0.05 | ) | (0.15 | ) | (0.29 | ) | (0.19 | ) | (0.16 | ) | (0.34 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (2.26 | ) | (20.83 | ) | (67.98 | ) | (5.23 | ) | 19.88 | 33.28 | ||||||||||||||
| Change in net asset value from operations | (2.31 | ) | (20.98 | ) | (68.27 | ) | (5.42 | ) | 19.72 | 32.94 | ||||||||||||||
| 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 | ||||||||||||
Total Return, at net asset value^ | (8.6 | )% | (39.6 | )% | (63.8 | )% | (7.1 | )% | 92.8 | % | 67.0 | % | ||||||||||||
Total Return, at market value^ | (8.6 | )% | (39.5 | )% | (63.4 | )% | (7.1 | )% | 91.1 | % | 64.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.06 | % | 1.17 | % | ||||||||||||
| Net investment income gain (loss) | (0.23 | )% | (0.54 | )% | (0.79 | )% | (0.33 | )% | (0.63 | )% | (0.57 | )% | ||||||||||||
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at December 31, 2020 | $ | 27.73 | $ | 33.91 | $ | 36.73 | $ | 55.03 | ||||||||
Net investment income (loss) | (0.20 | ) | (0.25 | ) | (0.25 | ) | (0.28 | ) | ||||||||
Net realized and unrealized gain (loss)# | 3.74 | 5.31 | (4.26 | ) | (32.07 | ) | ||||||||||
Change in net asset value from operations | 3.54 | 5.06 | (4.51 | ) | (32.35 | ) | ||||||||||
Net asset value, at September 30, 2021 | $ | 31.27 | $ | 38.97 | $ | 32.22 | $ | 22.68 | ||||||||
Market value per share, at December 31, 2020 † | $ | 27.40 | $ | 33.91 | $ | 36.70 | $ | 54.96 | ||||||||
Market value per share, at September 30, 2021 † | $ | 30.97 | $ | 38.98 | $ | 32.31 | $ | 22.80 | ||||||||
Total Return, at net asset value^ | 12.8 | % | 14.9 | % | (12.3 | )% | (58.8 | )% | ||||||||
Total Return, at market value^ | 13.0 | % | 15.0 | % | (12.0 | )% | (58.5 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.10 | % | 0.95 | % | 1.05 | % | 1.23 | % | ||||||||
Net investment income gain (loss) | (1.07 | )% | (0.90 | )% | (1.01 | )% | (1.19 | )% | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2021,2022, the following eighteensixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
Groups of Funds are collectively referred to in this Quarterly Report on Form
125
As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from
Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX
ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
126
Forward and Reverse Split
On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment.
ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding.
ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 20212022 and 2020,2021, each of the Funds earned interest income as follows:
Fund | Interest Income Three Months Ended September 30, 2022 | Interest Income Three Months Ended September 30, 2021 | Interest Income Nine Months Ended September 30, 2022 | Interest Income Nine Months Ended September 30, 2021 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | 1,006,499 | 8,152 | 1,325,976 | 75,729 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 2,391,191 | 86,370 | 3,964,082 | 365,778 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 909,204 | 7,355 | 1,095,255 | 32,714 | ||||||||||||
ProShares Ultra Euro | 36,856 | 393 | 47,965 | 1,415 | ||||||||||||
ProShares Ultra Gold | 678,282 | 14,338 | 1,092,549 | 70,259 | ||||||||||||
ProShares Ultra Silver | 824,171 | 44,511 | 1,386,134 | 208,169 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 3,945,136 | 11,979 | 4,471,067 | 328,504 | ||||||||||||
ProShares Ultra Yen | 25,362 | 260 | 29,299 | 923 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 1,748,548 | 6,891 | 2,091,754 | 36,069 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 953,050 | 9,879 | 1,131,063 | 25,512 | ||||||||||||
ProShares UltraShort Euro | 230,824 | 5,008 | 285,240 | 17,814 | ||||||||||||
ProShares UltraShort Gold | 72,261 | 3,075 | 101,921 | 9,213 | ||||||||||||
ProShares UltraShort Silver | 63,222 | 3,100 | 90,885 | 8,895 | ||||||||||||
ProShares UltraShort Yen | 115,191 | 2,392 | 151,503 | 9,558 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 220,211 | 8,914 | 296,960 | 27,487 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 1,400,201 | 11,739 | 1,678,813 | 91,187 | ||||||||||||
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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 | ||||||||||||
Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
128
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
limiting the outstanding amounts due from counterparties to the Funds;
not posting margin directly with a counterparty;
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to
market daily, subject to certain minimum thresholds;
limiting the amount of margin or premium posted at a FCM; and
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
As of November 5, 2021,8, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
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For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2021.
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is
Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
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Results of Operations for the Three Months Ended September 30, 20212022 Compared to the Three Months Ended September 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,159,102 | $ | 2,286,467 | ||||
NAV end of period | $ | 2,206,818 | $ | 2,188,644 | ||||
Percentage change in NAV | 2.2 | % | (4.3 | )% | ||||
Shares outstanding beginning of period | 50,000 | 50,000 | ||||||
Shares outstanding end of period | 50,000 | 50,000 | ||||||
Percentage change in shares outstanding | — | % | — | % | ||||
Shares created | — | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 43.18 | $ | 45.73 | ||||
Per share NAV end of period | $ | 44.14 | $ | 43.77 | ||||
Percentage change in per share NAV | 2.3 | % | (4.3 | )% | ||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | ||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | ||||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 403,644,956 | $ | 588,615,946 | ||||
NAV end of period | $ | 321,831,051 | $ | 388,523,845 | ||||
Percentage change in NAV | (20.3 | )% | (34.0 | )% | ||||
Shares outstanding beginning of period | 8,384,307 | 10,584,307 | ||||||
Shares outstanding end of period | 6,634,307 | 7,134,307 | ||||||
Percentage change in shares outstanding | (20.9 | )% | (32.6 | )% | ||||
Shares created | 450,000 | 550,000 | ||||||
Shares redeemed | 2,200,000 | 4,000,000 | ||||||
Per share NAV beginning of period | $ | 48.14 | �� | $ | 55.61 | |||
Per share NAV end of period | $ | 48.51 | $ | 54.46 | ||||
Percentage change in per share NAV | 0.8 | % | (2.1 | )% | ||||
Percentage change in benchmark | (5.7 | )% | (5.6 | )% | ||||
Benchmark annualized volatility | 51.0 | % | 69.6 | % | ||||
During the three months ended September 30, 2021,2022, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-halfthe inverse
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (5,003 | ) | $ | (5,267 | ) | ||
Management fee | 5,193 | 5,247 | ||||||
Brokerage commission | 79 | 82 | ||||||
Non-recurring fees and expenses | — | 65 | ||||||
Net realized gain (loss) | 57,489 | (77,567 | ) | |||||
Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | ||||
Net Income (loss) | $ | 47,716 | $ | (97,823 | ) | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 588,615,946 | $ | 509,811,853 | ||||
NAV end of period | $ | 388,523,845 | $ | 335,465,066 | ||||
Percentage change in NAV | (34.0 | )% | (34.2 | )% | ||||
Shares outstanding beginning of period | 10,584,307 | 16,234,307 | ||||||
Shares outstanding end of period | 7,134,307 | 9,484,307 | ||||||
Percentage change in shares outstanding | (32.6 | )% | (41.6 | )% | ||||
Shares created | 550,000 | — | ||||||
Shares redeemed | 4,000,000 | 6,750,000 | ||||||
Per share NAV beginning of period | $ | 55.61 | $ | 31.40 | ||||
Per share NAV end of period | $ | 54.46 | $ | 35.37 | ||||
Percentage change in per share NAV | (2.1 | )% | 12.6 | % | ||||
Percentage change in benchmark | (5,6 | )% | (26.3 | )% | ||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | ||||
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to
The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lessergreater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (90,304 | ) | $ | (1,466,273 | ) | ||
Management fee | 914,054 | 1,055,823 | ||||||
Brokerage commission | 152,661 | 208,885 | ||||||
Futures account fees | 23,966 | 209,717 | ||||||
Non-recurring fees and expenses | 6,122 | — | ||||||
Net realized gain (loss) | 27,694,574 | 34,572,603 | ||||||
Change in net unrealized appreciation (depreciation) | (17,470,190 | ) | (43,349,844 | ) | ||||
Net Income (loss) | $ | 10,134,080 | $ | (10,243,514 | ) | |||
The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lessergreater decrease in the value of futures prices during the three months ended September 30, 2021.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 1,060,867,238 | $ | 1,303,530,902 | ||||
NAV end of period | $ | 724,595,262 | $ | 1,090,613,716 | ||||
Percentage change in NAV | (31.7 | )% | (16.3 | )% | ||||
Shares outstanding beginning of period | 25,493,096 | 66,643,096 | ||||||
Shares outstanding end of period | 27,643,096 | 51,643,096 | ||||||
Percentage change in shares outstanding | 8.4 | % | (22.5 | )% | ||||
Shares created | 10,400,000 | 3,800,000 | ||||||
Shares redeemed | 8,250,000 | 18,800,000 | ||||||
Per share NAV beginning of period | $ | 41.61 | $ | 19.56 | ||||
Per share NAV end of period | $ | 26.21 | $ | 21.12 | ||||
Percentage change in per share NAV | (37.0 | )% | 8.0 | % | ||||
Percentage change in benchmark | (18.6 | )% | 5.4 | % | ||||
Benchmark annualized volatility | 42.8 | % | 30.9 | % | ||||
During the Trust announced thatthree months ended September 30, 2022, the ProShares Ultra Bloomberg Crude Oildecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
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For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.
The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 153,992 | $ | (3,130,493 | ) | |||
Management fee | 2,118,088 | 2,775,351 | ||||||
Brokerage commission | 85,906 | 198,498 | ||||||
Futures account fees | 19,466 | 215,514 | ||||||
Non-recurring fees and expenses | 13,739 | 27,500 | ||||||
Net realized gain (loss) | (344,578,932 | ) | 106,325,821 | |||||
Change in net unrealized appreciation (depreciation) | (33,248,174 | ) | (16,878,588 | ) | ||||
Net Income (loss) | $ | (377,673,114 | ) | $ | 86,316,740 | |||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. |
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 187,297,842 | $ | 70,213,227 | ||||
NAV end of period | $ | 289,386,097 | $ | 145,038,381 | ||||
Percentage change in NAV | 54.5 | % | 106.6 | % | ||||
Shares outstanding beginning of period | 4,737,527 | 1,987,527 | ||||||
Shares outstanding end of period | 5,437,527 | 1,737,527 | ||||||
Percentage change in shares outstanding | 14.8 | % | (12.6 | )% | ||||
Shares created | 6,000,000 | 1,150,000 | ||||||
Shares redeemed | 5,300,000 | 1,400,000 | ||||||
Per share NAV beginning of period | $ | 39.53 | $ | 35.33 | ||||
Per share NAV end of period | $ | 53.22 | $ | 83.47 | ||||
Percentage change in per share NAV | 34.6 | % | 136.3 | % | ||||
Percentage change in benchmark | 25.3 | % | 58.6 | % | ||||
Benchmark annualized volatility | 76.6 | % | 48.6 | % | ||||
During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
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 | % | ||||
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 136.3%34.6% for the three months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 21.4%136.3% for the three months ended September 30, 2020,2021, was primarily due to greaterlesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greaterlesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 104,679 | $ | (212,510 | ) | |||
Management fee | 658,525 | 161,130 | ||||||
Brokerage commission | 97,589 | 40,472 | ||||||
Futures account fees | 43,620 | 18,263 | ||||||
Non-recurring fees and expenses | 4,791 | — | ||||||
Net realized gain (loss) | (5,893,297 | ) | 33,925,723 | |||||
Change in net unrealized appreciation (depreciation) | 97,221,527 | 25,135,708 | ||||||
Net Income (loss) | $ | 91,432,909 | $ | 58,848,921 | ||||
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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 | ||||
The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greaterlesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 3,668,741 | $ | 4,067,686 | ||||
NAV end of period | $ | 3,479,104 | $ | 4,397,675 | ||||
Percentage change in NAV | (5.2 | )% | 8.1 | % | ||||
Shares outstanding beginning of period | 250,000 | 300,000 | ||||||
Shares outstanding end of period | 250,000 | 300,000 | ||||||
Percentage change in shares outstanding | — | % | — | % | ||||
Shares created | — | 100,000 | ||||||
Shares redeemed | — | 100,000 | ||||||
Per share NAV beginning of period | $ | 14.67 | $ | 13.56 | ||||
Per share NAV end of period | $ | 13.92 | $ | 14.66 | ||||
Percentage change in per share NAV | (5.1 | )% | 8.1 | % | ||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | ||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | ||||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 9,415,626 | $ | 3,668,741 | ||||
NAV end of period | $ | 13,869,371 | $ | 3,479,104 | ||||
Percentage change in NAV | 47.3 | % | (5.2 | )% | ||||
Shares outstanding beginning of period | 850,000 | 250,000 | ||||||
Shares outstanding end of period | 1,450,000 | 250,000 | ||||||
Percentage change in shares outstanding | 70.6 | % | — | % | ||||
Shares created | 700,000 | — | ||||||
Shares redeemed | 100,000 | — | ||||||
Per share NAV beginning of period | $ | 11.08 | $ | 14.67 | ||||
Per share NAV end of period | $ | 9.57 | $ | 13.92 | ||||
Percentage change in per share NAV | (13.7 | )% | (5.1 | )% | ||||
Percentage change in benchmark | (6.0 | )% | (2.3 | )% | ||||
Benchmark annualized volatility | 10.53 | % | 4.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison,
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.
The benchmark’s decline of 6.0% for the increasethree months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.
135
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 5,288 | $ | (8,271 | ) | |||
Management fee | 31,331 | 8,664 | ||||||
Non-recurring fees and expenses | 237 | — | ||||||
Net realized gain (loss) | (1,618,381 | ) | (254,219 | ) | ||||
Change in net unrealized appreciation (depreciation) | (95,012 | ) | 72,853 | |||||
Net Income (loss) | $ | (1,708,105 | ) | $ | (189,637 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 239,938,853 | $ | 243,456,703 | ||||
NAV end of period | $ | 160,022,292 | $ | 230,917,847 | ||||
Percentage change in NAV | (33.3 | )% | (5.2 | )% | ||||
Shares outstanding beginning of period | 4,250,000 | 4,250,000 | ||||||
Shares outstanding end of period | 3,400,000 | 4,150,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | (2.4 | )% | ||||
Shares created | 50,000 | 250,000 | ||||||
Shares redeemed | 900,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 56.46 | $ | 57.28 | ||||
Per share NAV end of period | $ | 47.07 | $ | 55.64 | ||||
Percentage change in per share NAV | (16.6 | )% | (2.9 | )% | ||||
Percentage change in benchmark | (7.9 | )% | (1.0 | )% | ||||
Benchmark annualized volatility | 13.4 | % | 13.8 | % | ||||
During the three months ended September 30, 2022, The decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net changeBloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares fromat June 30, 20202022 to 3,400,000 outstanding Shares at September 30, 2020.
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (8,271 | ) | $ | (12,155 | ) | ||
Management fee | 8,664 | 12,404 | ||||||
Non-recurring fees and expenses | — | 108 | ||||||
Net realized gain (loss) | (254,219 | ) | 441,714 | |||||
Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | |||||
Net Income (loss) | $ | (189,637 | ) | $ | 345,242 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 243,456,703 | $ | 165,689,050 | ||||
NAV end of period | $ | 230,917,847 | $ | 275,450,606 | ||||
Percentage change in NAV | (5.2 | )% | 66.2 | % | ||||
Shares outstanding beginning of period | 4,250,000 | 2,550,000 | ||||||
Shares outstanding end of period | 4,150,000 | 4,000,000 | ||||||
Percentage change in shares outstanding | (2.4 | )% | 56.9 | % | ||||
Shares created | 250,000 | 1,700,000 | ||||||
Shares redeemed | 350,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 57.28 | $ | 64.98 | ||||
Per share NAV end of period | $ | 55.64 | $ | 68.86 | ||||
Percentage change in per share NAV | (2.9 | )% | 6.0 | % | ||||
Percentage change in benchmark | (1.0 | )% | 3.6 | % | ||||
Benchmark annualized volatility | 13.8 | % | 25.4 | % | ||||
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.
136
The benchmark’s decline of 7.9% for the increasethree months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 191,709 | $ | (596,194 | ) | |||
Management fee | 475,457 | 582,103 | ||||||
Brokerage commission | 8,176 | 9,421 | ||||||
Non-recurring fees and expenses | 2,940 | — | ||||||
Net realized gain (loss) | (39,826,294 | ) | (21,858,089 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,222,833 | 15,574,284 | ||||||
Net Income (loss) | $ | (37,411,752 | ) | $ | (6,879,999 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the three months ended September 30, 2022.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 355,577,515 | $ | 661,778,727 | ||||
NAV end of period | $ | 323,970,863 | $ | 480,309,476 | ||||
Percentage change in NAV | (8.9 | )% | (27.4 | )% | ||||
Shares outstanding beginning of period | 14,346,526 | 14,396,526 | ||||||
Shares outstanding end of period | 15,546,526 | 15,146,526 | ||||||
Percentage change in shares outstanding | 8.4 | % | 5.2 | % | ||||
Shares created | 2,450,000 | 1,050,000 | ||||||
Shares redeemed | 1,250,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 24.78 | $ | 45.97 | ||||
Per share NAV end of period | $ | 20.84 | $ | 31.71 | ||||
Percentage change in per share NAV | (15.9 | )% | (31.0 | )% | ||||
Percentage change in benchmark | (6.5 | )% | (16.0 | )% | ||||
Benchmark annualized volatility | 31.8 | % | 26.7 | % | ||||
137
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from an increase from 2,550,000 outstanding Shares at June 30, 2020 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg GoldSilver Subindex
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (596,194 | ) | $ | (617,991 | ) | ||
Management fee | 582,103 | 640,992 | ||||||
Brokerage commission | 9,421 | 12,115 | ||||||
Non-recurring fees and expenses | — | 3,751 | ||||||
Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | |||||
Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | |||||
Net Income (loss) | $ | (6,879,999 | ) | $ | 7,069,714 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 661,778,727 | $ | 249,671,968 | ||||
NAV end of period | $ | 480,309,476 | $ | 620,883,156 | ||||
Percentage change in NAV | (27.4 | )% | 148.7 | % | ||||
Shares outstanding beginning of period | 14,396,526 | 8,446,526 | ||||||
Shares outstanding end of period | 15,146,526 | 14,696,526 | ||||||
Percentage change in shares outstanding | 5.2 | % | 74.0 | % | ||||
Shares created | 1,050,000 | 8,050,000 | ||||||
Shares redeemed | 300,000 | 1,800,000 | ||||||
Per share NAV beginning of period | $ | 45.97 | $ | 29.56 | ||||
Per share NAV end of period | $ | 31.71 | $ | 42.25 | ||||
Percentage change in per share NAV | (31.0 | )% | 42.9 | % | ||||
Percentage change in benchmark | (16.0 | )% | 25.1 | % | ||||
Benchmark annualized volatility | 26.7 | % | 33.8 | % | ||||
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 42.9% for the three months ended September 30, 2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (1,424,705 | ) | $ | (1,497,215 | ) | ||
Management fee | 1,394,627 | 1,462,400 | ||||||
Brokerage commission | 27,419 | 54,812 | ||||||
Non-recurring fees and expenses | — | 3,943 | ||||||
Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | |||||
Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | ||||
Net Income (loss) | $ | (208,763,025 | ) | $ | 89,427,810 | |||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (15,349 | ) | $ | (1,424,705 | ) | ||
Management fee | 798,802 | 1,394,627 | ||||||
Brokerage commission | 34,796 | 27,419 | ||||||
Futures account fees | — | 47,170 | ||||||
Non-recurring fees and expenses | 5,922 | — | ||||||
Net realized gain (loss) | (147,391,314 | ) | (201,320,030 | ) | ||||
Change in net unrealized appreciation (depreciation) | 91,477,472 | (6,018,290 | ) | |||||
Net Income (loss) | $ | (55,929,191 | ) | $ | (208,763,025 | ) | ||
The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2021.2022.
138
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 840,870,703 | $ | 992,156,607 | ||||
NAV end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | ||||
Percentage change in NAV | 21.4 | % | 31.8 | % | ||||
Shares outstanding beginning of period | 30,128,420 | 3,013,091 | ||||||
Shares outstanding end of period | 41,778,420 | 6,488,091 | ||||||
Percentage change in shares outstanding | 38.7 | % | 115.3 | % | ||||
Shares created | 37,800,000 | 4,280,000 | ||||||
Shares redeemed | 26,150,000 | 805,000 | ||||||
Per share NAV beginning of period | $ | 27.91 | $ | 329.28 | ||||
Per share NAV end of period | $ | 24.43 | $ | 201.54 | ||||
Percentage change in per share NAV | (12.5 | )% | (38.8 | )% | ||||
Percentage change in benchmark | (5.6 | )% | (26.3 | )% | ||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | ||||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 975,683,533 | $ | 840,870,703 | ||||
NAV end of period | $ | 995,489,778 | $ | 1,020,845,873 | ||||
Percentage change in NAV | 2.0 | % | 21.4 | % | ||||
Shares outstanding beginning of period | 67,228,420 | 30,128,420 | ||||||
Shares outstanding end of period | 77,328,420 | 41,778,420 | ||||||
Percentage change in shares outstanding | 15.0 | % | 38.7 | % | ||||
Shares created | 93,400,000 | 37,800,000 | ||||||
Shares redeemed | 83,300,000 | 26,150,000 | ||||||
Per share NAV beginning of period | $ | 14.51 | $ | 27.91 | ||||
Per share NAV end of period | $ | 12.87 | $ | 24.43 | ||||
Percentage change in per share NAV | (11.3 | )% | (12.5 | )% | ||||
Percentage change in benchmark | (5.7 | )% | (5.6 | )% | ||||
Benchmark annualized volatility | 51.0 | % | 69.6 | % | ||||
During the Chicago Futures Exchange (a subsidiarythree months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 67,228,420 outstanding Shares at June 30, 2022 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Chicago Board Options Exchange) changedFund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology fordaily performance of the S&P 500
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.
The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (402,633 | ) | $ | (3,993,799 | ) | ||
Management fee | 2,831,005 | 2,221,755 | ||||||
Brokerage commission | 1,276,819 | 1,095,975 | ||||||
Futures account fees | 219,828 | 668,048 | ||||||
Non-recurring fees and expenses | 20,117 | — | ||||||
Net realized gain (loss) | (289,873,754 | ) | (198,380,990 | ) | ||||
Change in net unrealized appreciation (depreciation) | 161,745,283 | 186,742,221 | ||||||
Net Income (loss) | $ | (128,531,104 | ) | $ | (15,632,568 | ) | ||
139
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices, during the three months ended September 30, 2022.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 5,024,773 | $ | 2,560,348 | ||||
NAV end of period | $ | 10,159,189 | $ | 2,539,880 | ||||
Percentage change in NAV | 102.2 | % | (0.8 | )% | ||||
Shares outstanding beginning of period | 149,970 | 49,970 | ||||||
Shares outstanding end of period | 349,970 | 49,970 | ||||||
Percentage change in shares outstanding | 133.4 | % | — | % | ||||
Shares created | 250,000 | — | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 33.51 | $ | 51.24 | ||||
Per share NAV end of period | $ | 29.03 | $ | 50.83 | ||||
Percentage change in per share NAV | (13.3 | )% | (0.8 | )% | ||||
Percentage change in benchmark | (6.5 | )% | (0.2 | )% | ||||
Benchmark annualized volatility | 11.15 | % | 5.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,013,091149,970 outstanding Shares at June 30, 20202022 to 6,488,091349,970 outstanding Shares at September 30, 2020.2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
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 | % | ||||
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.2022.
140
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (5,973 | ) | $ | (6,720 | ) | ||
Management fee | 6,233 | 6,813 | ||||||
Non-recurring fees and expenses | — | 78 | ||||||
Net realized gain (loss) | (25,554 | ) | 126,569 | |||||
Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | |||||
Net Income (loss) | $ | (20,468 | ) | $ | 118,325 | |||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 3,923 | $ | (5,973 | ) | |||
Management fee | 21,245 | 6,233 | ||||||
Non-recurring fees and expenses | 194 | — | ||||||
Net realized gain (loss) | (1,652,590 | ) | (25,554 | ) | ||||
Change in net unrealized appreciation (depreciation) | (14,681 | ) | 11,059 | |||||
Net Income (loss) | $ | (1,663,348 | ) | $ | (20,468 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2021.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 501,157,304 | $ | 79,400,059 | ||||
NAV end of period | $ | 368,791,089 | $ | 93,575,213 | ||||
Percentage change in NAV | (26.4 | )% | 17.9 | % | ||||
Shares outstanding beginning of period | 21,755,220 | 876,760 | ||||||
Shares outstanding end of period | 12,155,220 | 1,236,760 | ||||||
Percentage change in shares outstanding | (44.1 | )% | 41.1 | % | ||||
Shares created | 11,050,000 | 670,000 | ||||||
Shares redeemed | 20,650,000 | 310,000 | ||||||
Per share NAV beginning of period | $ | 23.04 | $ | 90.56 | ||||
Per share NAV end of period | $ | 30.34 | $ | 75.66 | ||||
Percentage change in per share NAV | 31.7 | % | (16.5 | )% | ||||
Percentage change in benchmark | (18.6 | )% | 5.4 | % | ||||
Benchmark annualized volatility | 42.8 | % | 30.9 | % | ||||
During the three months ended September 30, 2021,2022, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 50,00021,755,220 outstanding Shares at June 30, 20212022 to 100,00012,155,220 outstanding Shares at September 30, 2021.2022. The increasedecrease in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
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 | |||||||
NAV beginning of period | $ | 79,400,059 | $ | 117,821,898 | ||||
NAV end of period | $ | 93,575,213 | $ | 80,418,166 | ||||
Percentage change in NAV | 17.9 | % | (31.7 | )% | ||||
Shares outstanding beginning of period | 4,383,799 | 1,609,971 | ||||||
Shares outstanding end of period | 6,183,799 | 1,209,971 | ||||||
Percentage change in shares outstanding | 41.1 | % | (24.8 | )% | ||||
Shares created | 3,350,000 | 1,075,000 | ||||||
Shares redeemed | 1,550,000 | 1,475,000 | ||||||
Per share NAV beginning of period | $ | 18.11 | $ | 73.18 | ||||
Per share NAV end of period | $ | 15.13 | $ | 66.46 | ||||
Percentage change in per share NAV | (16.5 | )% | (9.2 | )% | ||||
Percentage change in benchmark | 5.4 | % | 2.6 | % | ||||
Benchmark annualized volatility | 30.9 | % | 26.3 | % | ||||
141
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended September 30, 2020, was primarily due to greater depreciationan appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (241,725 | ) | $ | (342,320 | ) | ||
Management fee | 201,146 | 238,038 | ||||||
Brokerage commission | 29,277 | 64,657 | ||||||
Non-recurring fees and expenses | — | 4,892 | ||||||
Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | |||||
Net Income (loss) | $ | (13,212,180 | ) | $ | (10,791,035 | ) | ||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 392,570 | $ | (241,725 | ) | |||
Management fee | 1,160,746 | 201,146 | ||||||
Brokerage commission | 148,121 | 29,277 | ||||||
Futures account fees | 39,563 | 18,193 | ||||||
Non-recurring fees and expenses | 7,548 | — | ||||||
Net realized gain (loss) | 66,444,885 | (11,449,562 | ) | |||||
Change in net unrealized appreciation (depreciation) | 76,987,949 | (1,520,893 | ) | |||||
Net Income (loss) | $ | 143,825,404 | $ | (13,212,180 | ) | |||
The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater increasedecrease in the value of WTI Crude Oil during the three months ended September 30, 2021.
| * | 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. |
142
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
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 | % | ||||
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 67.4%59.3% for the three months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 43.0%67.4% for the three months ended September 30, 2020,2021, was primarily due to greatera lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greaterlesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (5,144 | ) | $ | (358,817 | ) | ||
Management fee | 730,949 | 258,824 | ||||||
Brokerage commission | 173,386 | 67,808 | ||||||
Futures account fees | 48,485 | 42,064 | ||||||
Non-recurring fees and expenses | 5,374 | — | ||||||
Net realized gain (loss) | 8,115,767 | (95,609,878 | ) | |||||
Change in net unrealized appreciation (depreciation) | (23,467,384 | ) | (17,871,536 | ) | ||||
Net Income (loss) | $ | (15,356,761 | ) | $ | (113,840,231 | ) | ||
143
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 | ) | ||
The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greaterlesser increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.
| * | 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. |
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 48,820,440 | $ | 78,848,965 | ||||
NAV end of period | $ | 48,640,817 | $ | 68,577,533 | ||||
Percentage change in NAV | (0.4 | )% | (13.0 | )% | ||||
Shares outstanding beginning of period | 2,050,000 | 2,950,000 | ||||||
Shares outstanding end of period | 1,950,000 | 2,800,000 | ||||||
Percentage change in shares outstanding | (4.9 | )% | (5.1 | )% | ||||
Shares created | 100,000 | 1,000,000 | ||||||
Shares redeemed | 200,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 23.81 | $ | 26.73 | ||||
Per share NAV end of period | $ | 24.94 | $ | 24.49 | ||||
Percentage change in per share NAV | 4.8 | % | (8.4 | )% | ||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | ||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | ||||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 62,270,097 | $ | 48,820,440 | ||||
NAV end of period | $ | 90,584,278 | $ | 48,640,817 | ||||
Percentage change in NAV | 45.5 | % | (0.4 | )% | ||||
Shares outstanding beginning of period | 2,050,000 | 2,050,000 | ||||||
Shares outstanding end of period | 2,600,000 | 1,950,000 | ||||||
Percentage change in shares outstanding | 26.8 | % | (4.9 | )% | ||||
Shares created | 1,100,000 | 100,000 | ||||||
Shares redeemed | 550,000 | 200,000 | ||||||
Per share NAV beginning of period | $ | 30.38 | $ | 23.81 | ||||
Per share NAV end of period | $ | 34.84 | $ | 24.94 | ||||
Percentage change in per share NAV | 14.7 | % | 4.8 | % | ||||
Percentage change in benchmark | (6.5 | )% | (2.3 | )% | ||||
Benchmark annualized volatility | 11.15 | % | 4.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.2022.
144
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 25,953 | $ | (111,725 | ) | |||
Management fee | 203,036 | 116,733 | ||||||
Non-recurring fees and expenses | 1,835 | — | ||||||
Net realized gain (loss) | 11,086,708 | 2,974,466 | ||||||
Change in net unrealized appreciation (depreciation) | (292,818 | ) | (617,958 | ) | ||||
Net Income (loss) | $ | 10,819,843 | $ | 2,244,783 | ||||
The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 34,611,284 | $ | 32,835,014 | ||||
NAV end of period | $ | 29,634,725 | $ | 27,731,022 | ||||
Percentage change in NAV | (14.4 | )% | (15.5 | )% | ||||
Shares outstanding beginning of period | 1,096,977 | 946,977 | ||||||
Shares outstanding end of period | 796,977 | 796,977 | ||||||
Percentage change in shares outstanding | (27.3 | )% | (15.8 | )% | ||||
Shares created | 350,000 | 650,000 | ||||||
Shares redeemed | 650,000 | 800,000 | ||||||
Per share NAV beginning of period | $ | 31.55 | $ | 34.67 | ||||
Per share NAV end of period | $ | 37.18 | $ | 34.80 | ||||
Percentage change in per share NAV | 17.9 | % | 0.4 | % | ||||
Percentage change in benchmark | (7.9 | )% | (1.0 | )% | ||||
Benchmark annualized volatility | 13.4 | % | 13.8 | % | ||||
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
145
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (8,595 | ) | $ | (68,386 | ) | ||
Management fee | 76,652 | 66,304 | ||||||
Brokerage commission | 3,565 | 3,301 | ||||||
Futures account fees | — | 1,856 | ||||||
Non-recurring fees and expenses | 639 | — | ||||||
Net realized gain (loss) | 4,988,228 | 1,213,721 | ||||||
Change in net unrealized appreciation (depreciation) | 841,546 | (1,898,419 | ) | |||||
Net Income (loss) | $ | 5,821,179 | $ | (753,084 | ) | |||
The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the futures prices during the three months ended September 30, 2021.2022.
146
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
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, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 33,052,840 | $ | 34,859,763 | ||||
NAV end of period | $ | 33,763,052 | $ | 40,373,877 | ||||
Percentage change in NAV | 2.1 | % | 15.8 | % | ||||
Shares outstanding beginning of period | 1,041,329 | 1,491,329 | ||||||
Shares outstanding end of period | 991,329 | 1,291,329 | ||||||
Percentage change in shares outstanding | (4.8 | )% | (13.4 | )% | ||||
Shares created | 1,000,000 | 1,000,000 | ||||||
Shares redeemed | 1,050,000 | 1,200,000 | ||||||
Per share NAV beginning of period | $ | 31.74 | $ | 23.37 | ||||
Per share NAV end of period | $ | 34.06 | $ | 31.27 | ||||
Percentage change in per share NAV | 7.3 | % | 33.8 | % | ||||
Percentage change in benchmark | (6.5 | )% | (16.0 | )% | ||||
Benchmark annualized volatility | 31.8 | % | 26.7 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 50.6% for the three months ended September 30, 2020, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (13,304 | ) | $ | (102,532 | ) | ||
Management fee | 67,215 | 90,963 | ||||||
Brokerage commission | 8,699 | 8,141 | ||||||
Futures account fees | — | 6,528 | ||||||
Non-recurring fees and expenses | 612 | — | ||||||
Net realized gain (loss) | 6,215,407 | 6,662,145 | ||||||
Change in net unrealized appreciation (depreciation) | (4,075,524 | ) | 3,922,596 | |||||
Net Income (loss) | $ | 2,126,579 | $ | 10,482,209 | ||||
147
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 | ) | |||
The Fund’s net income increaseddecreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 45,568,882 | $ | 27,231,748 | ||||
NAV end of period | $ | 51,937,338 | $ | 23,328,922 | ||||
Percentage change in NAV | 14.0 | % | (14.3 | )% | ||||
Shares outstanding beginning of period | 798,580 | 698,580 | ||||||
Shares outstanding end of period | 798,580 | 598,580 | ||||||
Percentage change in shares outstanding | — | % | (14.3 | )% | ||||
Shares created | 250,000 | — | ||||||
Shares redeemed | 250,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 57.06 | $ | 38.98 | ||||
Per share NAV end of period | $ | 65.04 | $ | 38.97 | ||||
Percentage change in per share NAV | 14.0 | % | (0.0 | )%@ | ||||
Percentage change in benchmark | (6.5 | )% | (0.2 | )% | ||||
Benchmark annualized volatility | 11.2 | % | 5.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at June 30, 2021 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.
148
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 7,640 | $ | (54,645 | ) | |||
Management fee | 106,598 | 57,037 | ||||||
Non-recurring fees and expenses | 953 | — | ||||||
Net realized gain (loss) | 5,879,873 | 197,444 | ||||||
Change in net unrealized appreciation (depreciation) | (523,871 | ) | (189,932 | ) | ||||
Net Income (loss) | $ | 5,363,642 | $ | (47,133 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022.
| * | 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 |
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:
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 September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 95,721,271 | $ | 92,662,734 | ||||
NAV end of period | $ | 110,420,574 | $ | 127,673,137 | ||||
Percentage change in NAV | 15.4 | % | 37.7 | % | ||||
Shares outstanding beginning of period | 2,712,403 | 3,037,403 | ||||||
Shares outstanding end of period | 3,112,403 | 3,962,403 | ||||||
Percentage change in shares outstanding | 14.7 | % | 30.5 | % | ||||
Shares created | 850,000 | 1,200,000 | ||||||
Shares redeemed | 450,000 | 275,000 | ||||||
Per share NAV beginning of period | $ | 35.29 | $ | 30.51 | ||||
Per share NAV end of period | $ | 35.48 | $ | 32.22 | ||||
Percentage change in per share NAV | 0.6 | % | 5.6 | % | ||||
Percentage change in benchmark | 1.1 | % | 6.0 | % | ||||
Benchmark annualized volatility | 22.1 | % | 22.9 | % | ||||
During the three months ended September 30, 2021,2022, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 349,2902,712,403 outstanding Shares at June 30, 20212022 to 299,2903,112,403 outstanding Shares at September 30, 2021.2022. The decreaseincrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (54,645 | ) | $ | (55,870 | ) | ||
Management fee | 57,037 | 60,238 | ||||||
Non-recurring fees and expenses | — | 717 | ||||||
Net realized gain (loss) | 197,444 | (1,451,651 | ) | |||||
Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | |||||
Net Income (loss) | $ | (47,133 | ) | $ | (1,306,000 | ) | ||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 92,662,734 | $ | 59,085,470 | ||||
NAV end of period | $ | 127,673,137 | $ | 101,957,520 | ||||
Percentage change in NAV | 37.7 | % | 72.6 | % | ||||
Shares outstanding beginning of period | 3,037,403 | 1,462,403 | ||||||
Shares outstanding end of period | 3,962,403 | 2,487,403 | ||||||
Percentage change in shares outstanding | 30.5 | % | 70.1 | % | ||||
Shares created | 1,200,000 | 1,150,000 | ||||||
Shares redeemed | 275,000 | 125,000 | ||||||
Per share NAV beginning of period | $ | 30.51 | $ | 40.40 | ||||
Per share NAV end of period | $ | 32.22 | $ | 40.99 | ||||
Percentage change in per share NAV | 5.6 | % | 1.5 | % | ||||
Percentage change in benchmark | 6.0 | % | 1.8 | % | ||||
Benchmark annualized volatility | 22.9 | % | 26.2 | % | ||||
149
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.
The benchmark’s rise of 1.1% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 6.0% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (1,269 | ) | $ | (262,156 | ) | ||
Management fee | 201,508 | 221,356 | ||||||
Brokerage commission | 17,922 | 20,803 | ||||||
Futures account fees | — | 28,911 | ||||||
Non-recurring fees and expenses | 2,050 | — | ||||||
Net realized gain (loss) | (1,349,272 | ) | (4,024,133 | ) | ||||
Change in net unrealized appreciation (depreciation) | 3,368,209 | 10,652,952 | ||||||
Net Income (loss) | $ | 2,017,668 | $ | 6,366,663 | ||||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of the futures prices during the three months ended September 30, 2022.
150
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 341,714,316 | $ | 272,352,675 | ||||
NAV end of period | $ | 437,536,628 | $ | 368,777,333 | ||||
Percentage change in NAV | 28.0 | % | 35.3 | % | ||||
Shares outstanding beginning of period | 18,757,826 | 11,307,826 | ||||||
Shares outstanding end of period | 25,582,826 | 16,257,826 | ||||||
Percentage change in shares outstanding | 36.4 | % | 43.8 | % | ||||
Shares created | 17,775,000 | 6,300,000 | ||||||
Shares redeemed | 10,950,000 | 1,350,000 | ||||||
Per share NAV beginning of period | $ | 18.22 | $ | 24.09 | ||||
Per share NAV end of period | $ | 17.10 | $ | 22.68 | ||||
Percentage change in per share NAV | (6.1 | )% | (5.8 | )% | ||||
Percentage change in benchmark | (5.7 | )% | (5.6 | )% | ||||
Benchmark annualized volatility | 51.0 | % | 69.6 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,462,40318,757,826 outstanding Shares at June 30, 20202022 to 2,487,40325,582,826 outstanding Shares at September 30, 2020.2022. The increase in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
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 | % | ||||
For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.8%6.1% for the three months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 26.5%5.8% for the three months ended September 30, 2020,2021, was primarily due to lessera greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lessergreater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:
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 | ) | ||
| Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | 259,392 | $ | (897,586 | ) | |||
Management fee | 874,070 | 660,051 | ||||||
Brokerage commission | 203,095 | 97,516 | ||||||
Futures account fees | 54,944 | 151,758 | ||||||
Non-recurring fees and expenses | 8,700 | — | ||||||
Net realized gain (loss) | (45,457,319 | ) | (51,868,433 | ) | ||||
Change in net unrealized appreciation (depreciation) | 51,698,947 | 42,168,297 | ||||||
Net Income (loss) | $ | 6,501,020 | $ | (10,597,722 | ) | |||
The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lessergreater decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.2022.
151
Results of Operations for the Nine Months Ended September 30, 20212022 Compared to the Nine Months Ended September 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 20212022 and 2020:
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, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 423,812,594 | $ | 409,371,468 | ||||
NAV end of period | $ | 321,831,051 | $ | 388,523,845 | ||||
Percentage change in NAV | (24.1 | )% | (5.1 | )% | ||||
Shares outstanding beginning of period | 6,884,307 | 9,884,307 | ||||||
Shares outstanding end of period | 6,634,307 | 7,134,307 | ||||||
Percentage change in shares outstanding | (3.6 | )% | (27.8 | )% | ||||
Shares created | 5,050,000 | 3,400,000 | ||||||
Shares redeemed | 5,300,000 | 6,150,000 | ||||||
Per share NAV beginning of period | $ | 61.56 | $ | 41.42 | ||||
Per share NAV end of period | $ | 48.51 | $ | 54.46 | ||||
Percentage change in per share NAV | (21.2 | )% | 31.5 | % | ||||
Percentage change in benchmark | 14.7 | % | (58.4 | )% | ||||
Benchmark annualized volatility | 86.1 | % | 73.8 | % | ||||
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (18,442 | ) | $ | (8,827 | ) | ||
Management fee | 19,278 | 16,266 | ||||||
Brokerage commission | 339 | 272 | ||||||
Non-recurring fees and expenses | — | 65 | ||||||
Net realized gain (loss) | 88,710 | (116,225 | ) | |||||
Change in net unrealized appreciation (depreciation) | 91,407 | 31,501 | ||||||
Net Income (loss) | $ | 161,675 | $ | (93,551 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 409,371,468 | $ | 284,437,179 | ||||
NAV end of period | $ | 388,523,845 | $ | 335,465,066 | ||||
Percentage change in NAV | (5.1 | )% | 17.9 | % | ||||
Shares outstanding beginning of period | 9,884,307 | 4,334,307 | ||||||
Shares outstanding end of period | 7,134,307 | 9,484,307 | ||||||
Percentage change in shares outstanding | (27.8 | )% | 118.8 | % | ||||
Shares created | 3,400,000 | 25,850,000 | ||||||
Shares redeemed | 6,150,000 | 20,700,000 | ||||||
Per share NAV beginning of period | $ | 41.42 | $ | 65.62 | ||||
Per share NAV end of period | $ | 54.46 | $ | 35.37 | ||||
Percentage change in per share NAV | 31.5 | % | (46.1 | )% | ||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | ||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.1% for the nine months ended September 30, 2020, was primarily due to appreciationa depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.2022.
152
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (4,774,396 | ) | $ | (4,043,310 | ) | ||
Management fee | 3,415,545 | 3,592,232 | ||||||
Brokerage commission | 638,744 | 585,356 | ||||||
Non-recurring fees and expenses | — | 22,038 | ||||||
Net realized gain (loss) | 168,119,037 | (129,092,294 | ) | |||||
Change in net unrealized appreciation (depreciation) | (14,532,856 | ) | (2,709,070 | ) | ||||
Net Income (loss) | $ | 148,811,785 | $ | (135,844,674 | ) | |||
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (2,481,226 | ) | $ | (4,774,396 | ) | ||
Management fee | 2,934,952 | 3,415,545 | ||||||
Brokerage commission | 517,911 | 638,744 | ||||||
Futures account fees | 348,217 | 795,836 | ||||||
Non-recurring fees and expenses | 6,122 | — | ||||||
Net realized gain (loss) | (26,521,746 | ) | 168,119,037 | |||||
Change in net unrealized appreciation (depreciation) | (47,680,063 | ) | (14,532,856 | ) | ||||
Net Income (loss) | $ | (76,683,035 | ) | $ | 148,811,785 | |||
The Fund’s net income increaseddecreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a decreasean increase in the value of futures prices during the nine months ended September 30, 2021.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 1,103,783,570 | $ | 902,739,250 | ||||
NAV end of period | $ | 724,595,262 | $ | 1,090,613,716 | ||||
Percentage change in NAV | (34.4 | )% | 20.8 | % | ||||
Shares outstanding beginning of period | 51,243,096 | 99,243,096 | ||||||
Shares outstanding end of period | 27,643,096 | 51,643,096 | ||||||
Percentage change in shares outstanding | (46.1 | )% | (48.0 | )% | ||||
Shares created | 20,700,000 | 17,400,000 | ||||||
Shares redeemed | 44,300,000 | 65,000,000 | ||||||
Per share NAV beginning of period | $ | 21.54 | $ | 9.10 | ||||
Per share NAV end of period | $ | 26.21 | $ | 21.12 | ||||
Percentage change in per share NAV | 21.7 | % | 132.2 | % | ||||
Percentage change in benchmark | 18.7 | % | 58.2 | % | ||||
Benchmark annualized volatility | 45.6 | % | 29.1 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 902,739,250 | $ | 309,844,582 | ||||
NAV end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | ||||
Percentage change in NAV | 20.8 | % | 286.0 | % | ||||
Shares outstanding beginning of period | 24,810,774 | 608,453 | ||||||
Shares outstanding end of period | 12,910,774 | 41,610,774 | ||||||
Percentage change in shares outstanding | (48.0 | )% | 6,738.8 | % | ||||
Shares created | 4,350,000 | 109,662,000 | ||||||
Shares redeemed | 16,250,000 | 68,659,679 | ||||||
Per share NAV beginning of period | $ | 36.38 | $ | 509.23 | ||||
Per share NAV end of period | $ | 84.47 | $ | 28.74 | ||||
Percentage change in per share NAV | 132.2 | % | (94.4 | )% | ||||
Percentage change in benchmark | 58.2 | % | (33.6 | )% | ||||
Benchmark annualized volatility | 29.1 | % | 90.6 | % | ||||
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.
153
The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (5,154,872 | ) | $ | (9,100,359 | ) | ||
Management fee | 8,301,804 | 8,104,728 | ||||||
Brokerage commission | 421,657 | 701,710 | ||||||
Futures account fees | 381,754 | 632,199 | ||||||
Non-recurring fees and expenses | 13,739 | 27,500 | ||||||
Net realized gain (loss) | 818,132,441 | 761,182,708 | ||||||
Change in net unrealized appreciation (depreciation) | (339,456,270 | ) | 176,076,207 | |||||
Net Income (loss) | $ | 473,521,299 | $ | 928,158,556 | ||||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. |
154
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 193,892,178 | $ | 169,800,371 | ||||
NAV end of period | $ | 289,386,097 | $ | 145,038,381 | ||||
Percentage change in NAV | 49.3 | % | (14.6 | )% | ||||
Shares outstanding beginning of period | 7,587,527 | 8,087,527 | ||||||
Shares outstanding end of period | 5,437,527 | 1,737,527 | ||||||
Percentage change in shares outstanding | (28.3 | )% | (78.5 | )% | ||||
Shares created | 15,100,000 | 5,200,000 | ||||||
Shares redeemed | 17,250,000 | 11,550,000 | ||||||
Per share NAV beginning of period | $ | 25.55 | $ | 21.00 | ||||
Per share NAV end of period | $ | 53.22 | $ | 83.47 | ||||
Percentage change in per share NAV | 108.3 | % | 297.6 | % | ||||
Percentage change in benchmark | 86.6 | % | 113.0 | % | ||||
Benchmark annualized volatility | 71.7 | % | 40.5 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 41,610,774 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (9,100,359 | ) | $ | (8,010,293 | ) | ||
Management fee | 8,104,728 | 6,887,044 | ||||||
Brokerage commission | 701,710 | 1,744,115 | ||||||
Non-recurring fees and expenses | 27,500 | 24,637 | ||||||
Net realized gain (loss) | 761,182,708 | (891,020,242 | ) | |||||
Change in net unrealized appreciation (depreciation) | 176,076,207 | 106,126,899 | ||||||
Net Income (loss) | $ | 928,158,556 | $ | (792,903,636 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 169,800,371 | $ | 45,160,205 | ||||
NAV end of period | $ | 145,038,381 | $ | 99,203,762 | ||||
Percentage change in NAV | (14.6 | )% | 119.7 | % | ||||
Shares outstanding beginning of period | 8,087,527 | 537,815 | ||||||
Shares outstanding end of period | 1,737,527 | 2,887,527 | ||||||
Percentage change in shares outstanding | (78.5 | )% | 436.9 | % | ||||
Shares created | 5,200,000 | 5,835,000 | ||||||
Shares redeemed | 11,550,000 | 3,485,288 | ||||||
Per share NAV beginning of period | $ | 21.00 | $ | 83.97 | ||||
Per share NAV end of period | $ | 83.47 | $ | 34.36 | ||||
Percentage change in per share NAV | 297.6 | % | (59.1 | )% | ||||
Percentage change in benchmark | 113.0 | % | (28.5 | )% | ||||
Benchmark annualized volatility | 40.5 | % | 53.5 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2020, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (977,992 | ) | $ | (845,018 | ) | ||
Management fee | 1,589,759 | 568,903 | ||||||
Brokerage commission | 300,747 | 195,831 | ||||||
Futures account fees | 177,950 | 112,998 | ||||||
Non-recurring fees and expenses | 4,791 | — | ||||||
Net realized gain (loss) | 235,314,633 | 80,409,947 | ||||||
Change in net unrealized appreciation (depreciation) | (89,199,198 | ) | 35,684,757 | |||||
Net Income (loss) | $ | 145,137,443 | $ | 115,249,686 | ||||
155
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (845,018 | ) | $ | (447,190 | ) | ||
Management fee | 568,903 | 378,784 | ||||||
Brokerage commission | 195,831 | 214,255 | ||||||
Non-recurring fees and expenses | — | 1,129 | ||||||
Net realized gain (loss) | 80,409,947 | 2,226,367 | ||||||
Change in net unrealized appreciation (depreciation) | 35,684,757 | (4,338,592 | ) | |||||
Net Income (loss) | $ | 115,249,686 | $ | (2,559,415 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to ana lesser increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2021.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 8,659,095 | $ | 4,737,350 | ||||
NAV end of period | $ | 13,869,371 | $ | 3,479,104 | ||||
Percentage change in NAV | 60.2 | % | (26.6 | )% | ||||
Shares outstanding beginning of period | 650,000 | 300,000 | ||||||
Shares outstanding end of period | 1,450,000 | 250,000 | ||||||
Percentage change in shares outstanding | 123.1 | % | (16.7 | )% | ||||
Shares created | 1,250,000 | 100,000 | ||||||
Shares redeemed | 450,000 | 150,000 | ||||||
Per share NAV beginning of period | $ | 13.32 | $ | 15.79 | ||||
Per share NAV end of period | $ | 9.57 | $ | 13.92 | ||||
Percentage change in per share NAV | (28.2 | )% | (11.9 | )% | ||||
Percentage change in benchmark | (13.2 | )% | (5.2 | )% | ||||
Benchmark annualized volatility | 9.4 | % | 5.6 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 4,737,350 | $ | 6,204,424 | ||||
NAV end of period | $ | 3,479,104 | $ | 4,397,675 | ||||
Percentage change in NAV | (26.6 | )% | (29.1 | )% | ||||
Shares outstanding beginning of period | 300,000 | 450,000 | ||||||
Shares outstanding end of period | 250,000 | 300,000 | ||||||
Percentage change in shares outstanding | (16.7 | )% | (33.3 | )% | ||||
Shares created | 100,000 | 200,000 | ||||||
Shares redeemed | 150,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 15.79 | $ | 13.79 | ||||
Per share NAV end of period | $ | 13.92 | $ | 14.66 | ||||
Percentage change in per share NAV | (11.9 | )% | 6.3 | % | ||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | ||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.3% for the nine months ended September 30, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
156
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
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, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (18,918 | ) | $ | (26,743 | ) | ||
Management fee | 66,646 | 28,158 | ||||||
Non-recurring fees and expenses | 237 | — | ||||||
Net realized gain (loss) | (2,511,725 | ) | (186,149 | ) | ||||
Change in net unrealized appreciation (depreciation) | (514,727 | ) | (251,418 | ) | ||||
Net Income (loss) | $ | (3,045,370 | ) | $ | (464,310 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 232,780,534 | $ | 263,540,473 | ||||
NAV end of period | $ | 160,022,292 | $ | 230,917,847 | ||||
Percentage change in NAV | (31.3 | )% | (12.4 | )% | ||||
Shares outstanding beginning of period | 3,900,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,400,000 | 4,150,000 | ||||||
Percentage change in shares outstanding | (12.8 | )% | 6.4 | % | ||||
Shares created | 1,650,000 | 1,250,000 | ||||||
Shares redeemed | 2,150,000 | 1,000,000 | ||||||
Per share NAV beginning of period | $ | 59.69 | $ | 67.57 | ||||
Per share NAV end of period | $ | 47.07 | $ | 55.64 | ||||
Percentage change in per share NAV | (21.1 | )% | (17.7 | )% | ||||
Percentage change in benchmark | (9.3 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 17.4 | % | 15.7 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 and 2020:
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 | % | ||||
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.
157
The benchmark’s decline of 9.3% for the increasenine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (845,479 | ) | $ | (1,745,829 | ) | ||
Management fee | 1,863,020 | 1,718,350 | ||||||
Brokerage commission | 43,899 | 32,974 | ||||||
Futures account fees | 28,169 | 64,764 | ||||||
Non-recurring fees and expenses | 2,940 | — | ||||||
Net realized gain (loss) | (39,908,781 | ) | (27,599,609 | ) | ||||
Change in net unrealized appreciation (depreciation) | (17,626,635 | ) | (19,136,522 | ) | ||||
Net Income (loss) | $ | (58,380,895 | ) | $ | (48,481,960 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 515,453,594 | $ | 745,304,028 | ||||
NAV end of period | $ | 323,970,863 | $ | 480,309,476 | ||||
Percentage change in NAV | (37.1 | )% | (35.6 | )% | ||||
Shares outstanding beginning of period | 14,796,526 | 14,696,526 | ||||||
Shares outstanding end of period | 15,546,526 | 15,146,526 | ||||||
Percentage change in shares outstanding | 5.1 | % | 3.1 | % | ||||
Shares created | 4,250,000 | 4,450,000 | ||||||
Shares redeemed | 3,500,000 | 4,000,000 | ||||||
Per share NAV beginning of period | $ | 34.84 | $ | 50.71 | ||||
Per share NAV end of period | $ | 20.84 | $ | 31.71 | ||||
Percentage change in per share NAV | (40.2 | )% | (37.5 | )% | ||||
Percentage change in benchmark | (19.0 | )% | (17.0 | )% | ||||
Benchmark annualized volatility | 31.7 | % | 33.0 | % | ||||
158
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg GoldSilver Subindex
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (1,745,829 | ) | $ | (789,004 | ) | ||
Management fee | 1,718,350 | 1,269,866 | ||||||
Brokerage commission | 32,974 | 28,599 | ||||||
Non-recurring fees and expenses | — | 3,751 | ||||||
Net realized gain (loss) | (27,599,609 | ) | 51,605,680 | |||||
Change in net unrealized appreciation (depreciation) | (19,136,522 | ) | (11,258,939 | ) | ||||
Net Income (loss) | $ | (48,481,960 | ) | $ | 39,557,737 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 745,304,028 | $ | 239,254,842 | ||||
NAV end of period | $ | 480,309,476 | $ | 620,883,156 | ||||
Percentage change in NAV | (35.6 | )% | 159.5 | % | ||||
Shares outstanding beginning of period | 14,696,526 | 7,546,526 | ||||||
Shares outstanding end of period | 15,146,526 | 14,696,526 | ||||||
Percentage change in shares outstanding | 3.1 | % | 94.7 | % | ||||
Shares created | 4,450,000 | 10,300,000 | ||||||
Shares redeemed | 4,000,000 | 3,150,000 | ||||||
Per share NAV beginning of period | $ | 50.71 | $ | 31.70 | ||||
Per share NAV end of period | $ | 31.71 | $ | 42.25 | ||||
Percentage change in per share NAV | (37.5 | )% | 33.3 | % | ||||
Percentage change in benchmark | (17.0 | )% | 27.4 | % | ||||
Benchmark annualized volatility | 33.0 | % | 48.6 | % | ||||
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.
The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (1,839,301 | ) | $ | (4,805,716 | ) | ||
Management fee | 3,098,741 | 4,640,919 | ||||||
Brokerage commission | 94,079 | 114,716 | ||||||
Futures account fees | 26,693 | 258,250 | ||||||
Non-recurring fees and expenses | 5,922 | — | ||||||
Net realized gain (loss) | (186,949,626 | ) | (80,038,809 | ) | ||||
Change in net unrealized appreciation (depreciation) | (16,694,572 | ) | (192,156,316 | ) | ||||
Net Income (loss) | $ | (205,483,499 | ) | $ | (277,000,841 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.
159
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 816,679,636 | $ | 1,356,204,199 | ||||
NAV end of period | $ | 995,489,778 | $ | 1,020,845,873 | ||||
Percentage change in NAV | 21.9 | % | (24.7 | )% | ||||
Shares outstanding beginning of period | 65,828,420 | 12,713,091 | ||||||
Shares outstanding end of period | 77,328,420 | 41,778,420 | ||||||
Percentage change in shares outstanding | 17.5 | % | 228.6 | % | ||||
Shares created | 234,900,000 | 70,385,000 | ||||||
Shares redeemed | 223,400,000 | 41,319,671 | ||||||
Per share NAV beginning of period | $ | 12.41 | $ | 106.68 | ||||
Per share NAV end of period | $ | 12.87 | $ | 24.43 | ||||
Percentage change in per share NAV | 3.7 | % | (77.1 | )% | ||||
Percentage change in benchmark | 14.7 | % | (58.4 | )% | ||||
Benchmark annualized volatility | 86.1 | % | 73.8 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,52665,828,420 outstanding Shares at December 31, 20192021 to 14,696,52677,328,420 outstanding Shares at September 30, 2020.2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to twoone and one-half times (2x)(1.5x) the daily performance of the Bloomberg Silver Subindex
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (4,805,716 | ) | $ | (1,555,626 | ) | ||
Management fee | 4,640,919 | 2,369,293 | ||||||
Brokerage commission | 114,716 | 99,986 | ||||||
Non-recurring fees and expenses | — | 3,943 | ||||||
Net realized gain (loss) | (80,038,809 | ) | 297,927,456 | |||||
Change in net unrealized appreciation (depreciation) | (192,156,316 | ) | (215,073,543 | ) | ||||
Net Income (loss) | $ | (277,000,841 | ) | $ | 81,298,287 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 1,356,204,199 | $ | 527,636,003 | ||||
NAV end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | ||||
Percentage change in NAV | (24.7 | )% | 147.8 | % | ||||
Shares outstanding beginning of period | 12,713,091 | 4,163,091 | ||||||
Shares outstanding end of period | 41,778,420 | 6,488,091 | ||||||
Percentage change in shares outstanding | 228.6 | % | 55.8 | % | ||||
Shares created | 70,385,000 | 7,755,000 | ||||||
Shares redeemed | 41,319,671 | 5,430,000 | ||||||
Per share NAV beginning of period | $ | 106.68 | $ | 126.74 | ||||
Per share NAV end of period | $ | 24.43 | $ | 201.54 | ||||
Percentage change in per share NAV | (77.1 | )% | 59.0 | % | ||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | ||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 59.0% for the nine months ended September 30, 2020, was primarily due to depreciationan appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (7,265,397 | ) | $ | (16,038,632 | ) | ||
Management fee | 7,085,920 | 8,897,953 | ||||||
Brokerage commission | 3,183,788 | 4,225,879 | ||||||
Futures account fees | 1,446,639 | 3,243,304 | ||||||
Non-recurring fees and expenses | 20,117 | — | ||||||
Net realized gain (loss) | 81,807,278 | (1,757,407,418 | ) | |||||
Change in net unrealized appreciation (depreciation) | 323,479,748 | 146,498,138 | ||||||
Net Income (loss) | $ | 398,021,629 | $ | (1,626,947,912 | ) | |||
160
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (16,038,632 | ) | $ | (7,952,015 | ) | ||
Management fee | 8,897,953 | 5,646,893 | ||||||
Brokerage commission | 4,225,879 | 2,282,095 | ||||||
Non-recurring fees and expenses | — | 10,480 | ||||||
Net realized gain (loss) | (1,757,407,418 | ) | 58,666,590 | |||||
Change in net unrealized appreciation (depreciation) | 146,498,138 | 66,319,163 | ||||||
Net Income (loss) | $ | (1,626,947,912 | ) | $ | 117,033,738 | |||
The Fund’s net income decreasedincreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a decreasean increase in the value of futures prices during the nine months ended September 30, 2021.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 2,362,849 | $ | 2,989,499 | ||||
NAV end of period | $ | 10,159,189 | $ | 2,539,880 | ||||
Percentage change in NAV | 330.0 | % | (15.0 | )% | ||||
Shares outstanding beginning of period | 49,970 | 49,970 | ||||||
Shares outstanding end of period | 349,970 | 49,970 | ||||||
Percentage change in shares outstanding | 600.4 | % | — | % | ||||
Shares created | 350,000 | — | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 47.29 | $ | 59.83 | ||||
Per share NAV end of period | $ | 29.03 | $ | 50.83 | ||||
Percentage change in per share NAV | (38.6 | )% | (15.0 | )% | ||||
Percentage change in benchmark | (20.3 | )% | (7.2 | )% | ||||
Benchmark annualized volatility | 10.1 | % | 5.2 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,989,499 | $ | 5,580,964 | ||||
NAV end of period | $ | 2,539,880 | $ | 2,882,680 | ||||
Percentage change in NAV | (15.0 | )% | (48.3 | )% | ||||
Shares outstanding beginning of period | 49,970 | 99,970 | ||||||
Shares outstanding end of period | 49,970 | 49,970 | ||||||
Percentage change in shares outstanding | — | % | (50.0 | )% | ||||
Shares created | — | — | ||||||
Shares redeemed | — | 50,000 | ||||||
Per share NAV beginning of period | $ | 59.83 | $ | 55.83 | ||||
Per share NAV end of period | $ | 50.83 | $ | 57.69 | ||||
Percentage change in per share NAV | (15.0 | )% | 3.3 | % | ||||
Percentage change in benchmark | (7.2 | )% | 3.0 | % | ||||
Benchmark annualized volatility | 5.2 | % | 10.2 | % | ||||
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.
The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.
161
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (5,605 | ) | $ | (18,221 | ) | ||
Management fee | 34,710 | 19,144 | ||||||
Non-recurring fees and expenses | 194 | — | ||||||
Net realized gain (loss) | (2,531,291 | ) | (305,028 | ) | ||||
Change in net unrealized appreciation (depreciation) | (3,861 | ) | (126,370 | ) | ||||
Net Income (loss) | $ | (2,540,757 | ) | $ | (449,619 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022.
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 114,167,602 | $ | 96,839,233 | ||||
NAV end of period | $ | 368,791,089 | $ | 93,575,213 | ||||
Percentage change in NAV | 223.0 | % | (3.4 | )% | ||||
Shares outstanding beginning of period | 1,776,760 | 416,994 | ||||||
Shares outstanding end of period | 12,155,220 | 1,236,760 | ||||||
Percentage change in shares outstanding | 584.1 | % | 196.6 | % | ||||
Shares created | 38,940,000 | 1,447,500 | ||||||
Shares redeemed | 28,561,540 | 627,734 | ||||||
Per share NAV beginning of period | $ | 64.26 | $ | 232.23 | ||||
Per share NAV end of period | $ | 30.34 | $ | 75.66 | ||||
Percentage change in per share NAV | (52.8 | )% | (67.4 | )% | ||||
Percentage change in benchmark | 18.7 | % | 58.2 | % | ||||
Benchmark annualized volatility | 45.6 | % | 29.1 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 99,9701,776,760 outstanding Shares at December 31, 20192021 to 49,97012,155,220 outstanding Shares at September 30, 2020.2022. The decreaseincrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (18,221 | ) | $ | (11,633 | ) | ||
Management fee | 19,144 | 20,655 | ||||||
Non-recurring fees and expenses | — | 78 | ||||||
Net realized gain (loss) | (305,028 | ) | 11,333 | |||||
Change in net unrealized appreciation (depreciation) | (126,370 | ) | 48,030 | |||||
Net Income (loss) | $ | (449,619 | ) | $ | 47,730 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,222,639 | $ | 5,608,612 | ||||
NAV end of period | $ | 4,914,269 | $ | 5,173,668 | ||||
Percentage change in NAV | 121.1 | % | (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 | $ | 44.45 | $ | 56.09 | ||||
Per share NAV end of period | $ | 49.14 | $ | 51.74 | ||||
Percentage change in per share NAV | 10.6 | % | (7.8 | )% | ||||
Percentage change in benchmark | (6.2 | )% | 2.1 | % | ||||
Benchmark annualized volatility | 9.5 | % | 13.0 | % | ||||
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 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 36.3% for the nine months ended September 30, 2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.2022.
162
The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to ana lesser increase in the value of WTI Crude Oil during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (751,650 | ) | $ | (1,155,759 | ) | ||
Management fee | 603,444 | 789,307 | ||||||
Brokerage commission | 100,902 | 488,442 | ||||||
Non-recurring fees and expenses | — | 4,892 | ||||||
Net realized gain (loss) | (86,637,748 | ) | 28,429,826 | |||||
Change in net unrealized appreciation (depreciation) | (5,829,481 | ) | 7,227,746 | |||||
Net Income (loss) | $ | (93,218,879 | ) | $ | 34,501,813 | |||
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (1,043,095 | ) | $ | (751,650 | ) | ||
Management fee | 2,599,503 | 603,444 | ||||||
Brokerage commission | 332,256 | 100,902 | ||||||
Futures account fees | 195,542 | 83,373 | ||||||
Non-recurring fees and expenses | 7,548 | — | ||||||
Net realized gain (loss) | (142,631,216 | ) | (86,637,748 | ) | ||||
Change in net unrealized appreciation (depreciation) | 113,674,105 | (5,829,481 | ) | |||||
Net Income (loss) | $ | (30,000,206 | ) | $ | (93,218,879 | ) | ||
The Fund’s net income decreasedincreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to ana lesser increase in the value of WTI Crude Oil , in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2021.
| * | 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. |
163
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 242,145,130 | $ | 24,977,745 | ||||
NAV end of period | $ | 242,389,998 | $ | 138,468,677 | ||||
Percentage change in NAV | 0.1 | % | 454.4 | % | ||||
Shares outstanding beginning of period | 978,742 | 26,242 | ||||||
Shares outstanding end of period | 13,966,856 | 986,242 | ||||||
Percentage change in shares outstanding | 1,327.0 | % | 3,658.3 | % | ||||
Shares created | 82,240,000 | 1,402,500 | ||||||
Shares redeemed | 69,251,886 | 442,500 | ||||||
Per share NAV beginning of period | $ | 247.40 | $ | 951.82 | ||||
Per share NAV end of period | $ | 17.35 | $ | 140.40 | ||||
Percentage change in per share NAV | (93.0 | )% | (85.3 | )% | ||||
Percentage change in benchmark | 86.6 | % | 113.0 | % | ||||
Benchmark annualized volatility | 71.7 | % | 40.5 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 24,977,745 | $ | 12,515,603 | ||||
NAV end of period | $ | 138,468,677 | $ | 46,937,986 | ||||
Percentage change in NAV | 454.4 | % | 275.0 | % | ||||
Shares outstanding beginning of period | 524,832 | 324,832 | ||||||
Shares outstanding end of period | 19,724,832 | 1,224,832 | ||||||
Percentage change in shares outstanding | 3,658.3 | % | 277.1 | % | ||||
Shares created | 28,050,000 | 4,400,000 | ||||||
Shares redeemed | 8,850,000 | 3,500,000 | ||||||
Per share NAV beginning of period | $ | 47.59 | $ | 38.53 | ||||
Per share NAV end of period | $ | 7.02 | $ | 38.32 | ||||
Percentage change in per share NAV | (85.3 | )% | (0.5 | )% | ||||
Percentage change in benchmark | 113.0 | % | (28.5 | )% | ||||
Benchmark annualized volatility | 40.5 | % | 53.5 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 85.3%93.0% for the nine months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 0.5%85.3% for the nine months ended September 30, 2020,2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, can be attributed to ana lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (1,452,942 | ) | $ | (932,981 | ) | ||
Management fee | 1,784,017 | 609,472 | ||||||
Brokerage commission | 539,244 | 249,831 | ||||||
Futures account fees | 255,370 | 99,190 | ||||||
Non-recurring fees and expenses | 5,374 | — | ||||||
Net realized gain (loss) | (389,255,425 | ) | (112,274,576 | ) | ||||
Change in net unrealized appreciation (depreciation) | 116,824,672 | (35,670,233 | ) | |||||
Net Income (loss) | $ | (273,883,695 | ) | $ | (148,877,790 | ) | ||
164
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 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to ana lesser increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2021.
| * | 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. |
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 54,263,045 | $ | 52,953,339 | ||||
NAV end of period | $ | 90,584,278 | $ | 48,640,817 | ||||
Percentage change in NAV | 66.9 | % | (8.1 | )% | ||||
Shares outstanding beginning of period | 2,100,000 | 2,350,000 | ||||||
Shares outstanding end of period | 2,600,000 | 1,950,000 | ||||||
Percentage change in shares outstanding | 23.8 | % | (17.0 | )% | ||||
Shares created | 1,650,000 | 300,000 | ||||||
Shares redeemed | 1,150,000 | 700,000 | ||||||
Per share NAV beginning of period | $ | 25.84 | $ | 22.53 | ||||
Per share NAV end of period | $ | 34.84 | $ | 24.94 | ||||
Percentage change in per share NAV | 34.8 | % | 10.7 | % | ||||
Percentage change in benchmark | (13.2 | )% | (5.2 | )% | ||||
Benchmark annualized volatility | 9.4 | % | 5.6 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 and 2020:
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 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.6% for the nine months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.2022.
165
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (337,637 | ) | $ | (154,217 | ) | ||
Management fee | 355,451 | 638,218 | ||||||
Non-recurring fees and expenses | — | 2,622 | ||||||
Net realized gain (loss) | 2,249,236 | (8,749,752 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,263,109 | 3,446,359 | ||||||
Net Income (loss) | $ | 5,174,708 | $ | (5,457,610 | ) | |||
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (184,021 | ) | $ | (337,637 | ) | ||
Management fee | 467,426 | 355,451 | ||||||
Non-recurring fees and expenses | 1,835 | — | ||||||
Net realized gain (loss) | 16,904,945 | 2,249,236 | ||||||
Change in net unrealized appreciation (depreciation) | 3,015,661 | 3,263,109 | ||||||
Net Income (loss) | $ | 19,736,585 | $ | 5,174,708 | ||||
The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 26,859,844 | $ | 20,337,376 | ||||
NAV end of period | $ | 29,634,725 | $ | 27,731,022 | ||||
Percentage change in NAV | 10.3 | % | 36.4 | % | ||||
Shares outstanding beginning of period | 846,977 | 646,977 | ||||||
Shares outstanding end of period | 796,977 | 796,977 | ||||||
Percentage change in shares outstanding | (5.9 | )% | 23.2 | % | ||||
Shares created | 1,500,000 | 1,700,000 | ||||||
Shares redeemed | 1,550,000 | 1,550,000 | ||||||
Per share NAV beginning of period | $ | 31.71 | $ | 31.43 | ||||
Per share NAV end of period | $ | 37.18 | $ | 34.80 | ||||
Percentage change in per share NAV | 17.3 | % | 10.7 | % | ||||
Percentage change in benchmark | (9.3 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 17.4 | % | 15.7 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 20,337,376 | $ | 21,047,560 | ||||
NAV end of period | $ | 27,731,022 | $ | 27,139,981 | ||||
Percentage change in NAV | 36.4 | % | 28.9 | % | ||||
Shares outstanding beginning of period | 646,977 | 396,977 | ||||||
Shares outstanding end of period | 796,977 | 846,977 | ||||||
Percentage change in shares outstanding | 23.2 | % | 113.4 | % | ||||
Shares created | 1,700,000 | 1,100,000 | ||||||
Shares redeemed | 1,550,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 31.43 | $ | 53.02 | ||||
Per share NAV end of period | $ | 34.80 | $ | 32.04 | ||||
Percentage change in per share NAV | 10.7 | % | (39.6 | )% | ||||
Percentage change in benchmark | (7.9 | )% | 3.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 22.6 | % | ||||
166
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 39.6% for the nine months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (208,304 | ) | $ | (73,179 | ) | ||
Management fee | 199,999 | 129,451 | ||||||
Brokerage commission | 9,174 | 5,743 | ||||||
Non-recurring fees and expenses | — | 499 | ||||||
Net realized gain (loss) | (1,767,467 | ) | (12,041,690 | ) | ||||
Change in net unrealized appreciation (depreciation) | 1,727,781 | 2,727,104 | ||||||
Net Income (loss) | $ | (247,990 | ) | $ | (9,387,765 | ) | ||
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (128,991 | ) | $ | (208,304 | ) | ||
Management fee | 218,466 | 199,999 | ||||||
Brokerage commission | 9,361 | 9,174 | ||||||
Futures account fees | 2,446 | 8,344 | ||||||
Non-recurring fees and expenses | 639 | — | ||||||
Net realized gain (loss) | 3,237,429 | (1,767,467 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,160,276 | 1,727,781 | ||||||
Net Income (loss) | $ | 6,268,714 | $ | (247,990 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2021.2022.
167
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 26,537,000 | $ | 28,885,775 | ||||
NAV end of period | $ | 33,763,052 | $ | 40,373,877 | ||||
Percentage change in NAV | 27.2 | % | 39.8 | % | ||||
Shares outstanding beginning of period | 991,329 | 1,041,744 | ||||||
Shares outstanding end of period | 991,329 | 1,291,329 | ||||||
Percentage change in shares outstanding | — | % | 24.0 | % | ||||
Shares created | 2,800,000 | 3,750,000 | ||||||
Shares redeemed | 2,800,000 | 3,500,415 | ||||||
Per share NAV beginning of period | $ | 26.77 | $ | 27.73 | ||||
Per share NAV end of period | $ | 34.06 | $ | 31.27 | ||||
Percentage change in per share NAV | 27.2 | % | 12.8 | % | ||||
Percentage change in benchmark | (19.0 | )% | (17.0 | )% | ||||
Benchmark annualized volatility | 31.7 | % | 33.0 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2021 and 2020:
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 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 63.8% for the nine months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (125,396 | ) | $ | (279,779 | ) | ||
Management fee | 190,549 | 248,539 | ||||||
Brokerage commission | 20,677 | 19,409 | ||||||
Futures account fees | 4,443 | 20,726 | ||||||
Non-recurring fees and expenses | 612 | — | ||||||
Net realized gain (loss) | 8,252,703 | (2,146,577 | ) | |||||
Change in net unrealized appreciation (depreciation) | 1,567,440 | 10,463,787 | ||||||
Net Income (loss) | $ | 9,694,747 | $ | 8,037,431 | ||||
168
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 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2021.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 24,840,784 | $ | 23,691,070 | ||||
NAV end of period | $ | 51,937,338 | $ | 23,328,922 | ||||
Percentage change in NAV | 109.1 | % | (1.5 | )% | ||||
Shares outstanding beginning of period | 598,580 | 698,580 | ||||||
Shares outstanding end of period | 798,580 | 598,580 | ||||||
Percentage change in shares outstanding | 33.4 | % | (14.3 | )% | ||||
Shares created | 1,100,000 | 200,000 | ||||||
Shares redeemed | 900,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 41.50 | $ | 33.91 | ||||
Per share NAV end of period | $ | 65.04 | $ | 38.97 | ||||
Percentage change in per share NAV | 56.7 | % | 14.9 | % | ||||
Percentage change in benchmark | (20.3 | )% | (7.2 | )% | ||||
Benchmark annualized volatility | 10.1 | % | 5.2 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 23,691,070 | $ | 38,132,320 | ||||
NAV end of period | $ | 23,328,922 | $ | 24,780,763 | ||||
Percentage change in NAV | (1.5 | )% | (35.0 | )% | ||||
Shares outstanding beginning of period | 349,290 | 499,290 | ||||||
Shares outstanding end of period | 299,290 | 349,290 | ||||||
Percentage change in shares outstanding | (14.3 | )% | (30.0 | )% | ||||
Shares created | 100,000 | 100,000 | ||||||
Shares redeemed | 150,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 67.83 | $ | 76.37 | ||||
Per share NAV end of period | $ | 77.95 | $ | 70.95 | ||||
Percentage change in per share NAV | 14.9 | % | (7.1 | )% | ||||
Percentage change in benchmark | (7.2 | )% | 3.0 | % | ||||
Benchmark annualized volatility | 5.2 | % | 10.2 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.1% for the nine months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.2022.
169
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
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, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (109,049 | ) | $ | (186,478 | ) | ||
Management fee | 259,599 | 196,036 | ||||||
Non-recurring fees and expenses | 953 | — | ||||||
Net realized gain (loss) | 14,980,187 | 3,055,103 | ||||||
Change in net unrealized appreciation (depreciation) | (453,336 | ) | 1,066,333 | |||||
Net Income (loss) | $ | 14,417,802 | $ | 3,934,958 | ||||
The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.
| * | 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 Yen. |
ProShares VIX
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 112,875,680 | $ | 72,075,095 | ||||
NAV end of period | $ | 110,420,574 | $ | 127,673,137 | ||||
Percentage change in NAV | (2.2 | )% | 77.1 | % | ||||
Shares outstanding beginning of period | 3,687,403 | 1,962,403 | ||||||
Shares outstanding end of period | 3,112,403 | 3,962,403 | ||||||
Percentage change in shares outstanding | (15.6 | )% | 101.9 | % | ||||
Shares created | 1,850,000 | 2,625,000 | ||||||
Shares redeemed | 2,425,000 | 625,000 | ||||||
Per share NAV beginning of period | $ | 30.61 | $ | 36.73 | ||||
Per share NAV end of period | $ | 35.48 | $ | 32.22 | ||||
Percentage change in per share NAV | 15.9 | % | (12.3 | )% | ||||
Percentage change in benchmark | 17.8 | % | (11.4 | )% | ||||
Benchmark annualized volatility | 32.5 | % | 28.3 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 and 2020:
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 | % | ||||
170
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.
The benchmark’s rise of 17.8% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 11.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (437,530 | ) | $ | (694,100 | ) | ||
Management fee | 627,755 | 586,702 | ||||||
Brokerage commission | 58,291 | 48,211 | ||||||
Futures account fees | 46,394 | 86,674 | ||||||
Non-recurring fees and expenses | 2,050 | — | ||||||
Net realized gain (loss) | 11,304,277 | (14,890,359 | ) | |||||
Change in net unrealized appreciation (depreciation) | 6,887,044 | 5,949,460 | ||||||
Net Income (loss) | $ | 17,753,791 | $ | (9,634,999 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022.
171
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
NAV beginning of period | $ | 269,703,164 | $ | 293,390,549 | ||||
NAV end of period | $ | 437,536,628 | $ | 368,777,333 | ||||
Percentage change in NAV | 62.2 | % | 25.7 | % | ||||
Shares outstanding beginning of period | 17,832,826 | 5,331,579 | ||||||
Shares outstanding end of period | 25,582,826 | 16,257,826 | ||||||
Percentage change in shares outstanding | 43.5 | % | 204.9 | % | ||||
Shares created | 35,900,000 | 16,556,250 | ||||||
Shares redeemed | 28,150,000 | 5,630,003 | ||||||
Per share NAV beginning of period | $ | 15.12 | $ | 55.03 | ||||
Per share NAV end of period | $ | 17.10 | $ | 22.68 | ||||
Percentage change in per share NAV | 13.1 | % | (58.8 | )% | ||||
Percentage change in benchmark | 14.7 | % | (58.4 | )% | ||||
Benchmark annualized volatility | 86.1 | % | 73.8 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
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 | % | ||||
For the nine months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 67.0% for the nine months ended September 30, 2020, was primarily due to a depreciationan appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, can be attributed to a decreasean increase in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (3,019,972 | ) | $ | (1,057,822 | ) | ||
Management fee | 2,154,874 | 1,584,861 | ||||||
Brokerage commission | 365,013 | 311,826 | ||||||
Net realized gain (loss) | (304,349,667 | ) | 249,771,936 | |||||
Change in net unrealized appreciation (depreciation) | 27,729,790 | 16,589,740 | ||||||
Net Income (loss) | $ | (279,639,849 | ) | $ | 265,303,854 | |||
| Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 | |||||||
Net investment income (loss) | $ | (1,545,500 | ) | $ | (3,019,972 | ) | ||
Management fee | 2,353,478 | 2,154,874 | ||||||
Brokerage commission | 490,751 | 365,013 | ||||||
Futures account fees | 371,384 | 591,272 | ||||||
Non-recurring fees and expenses | 8,700 | — | ||||||
Net realized gain (loss) | 31,935,690 | (304,349,667 | ) | |||||
Change in net unrealized appreciation (depreciation) | 84,851,343 | 27,729,790 | ||||||
Net Income (loss) | $ | 115,241,533 | $ | (279,639,849 | ) | |||
The Fund’s net income decreasedincreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a decreasean increase in the value of the futures prices during the nine months ended September 30, 2021.2022.
172
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure
Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 20212022 and 2020,2021, each of the Fund’s positions were as follows:
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 | ) | |||||||||||
ProShares Short VIX Short-Term Futures ETF
As of September 30, 20212022 and 2020,2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | October 2022 | 3,083 | $ | 31.52 | 1,000 | $ | (97,163,828 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2022 | 2,052 | 31.07 | 1,000 | (63,759,128 | ) | |||||||||||||
Futures Positions as of September 30, 2021
Contract | 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 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2021 | 4,001 | 23.69 | 1,000 | (94,767,286 | ) | |||||||||||||
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 | ) | |||||||||||||
The September 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
173
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 1,450 | $ | 78.72 | 1,000 | $ | 114,144,000 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 1,535 | 73.00 | 1,000 | 112,055,000 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 1,610 | 69.66 | 1,000 | 112,152,600 | ||||||||||||||
Swap Agreements as of September 30, 2022
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 77.9524 | $ | 175,709,387 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 77.9524 | 218,463,160 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 77.9524 | 304,335,914 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 77.9524 | 165,828,296 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 77.9524 | 246,871,587 | ||||||||
Futures Positions as of September 30, 2021
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 | ||||||||||||||
Swap Agreements as of September 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 | $ | 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 | ||||||||
174
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 | ||||||||||
Contract | 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 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2021 | 18,635 | 42.28 | 1,000 | 787,887,800 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 18,385 | 43.12 | 1,000 | 792,761,200 | ||||||||||||||
Reference Index | 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 | ||||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20212022 and 20202021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares Ultra Bloomberg Natural Gas:
As of September 30, 20212022 and 2020,2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2022 | 8,556 | $ | 6.77 | 10,000 | $ | 578,898,960 | ||||||||||||
Futures Positions as of September 30, 2021
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 | ||||||||||||
Contract | 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 | ||||||||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares Ultra Euro:
As of September 30, 20212022 and 2020,2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 20212022
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/07/22 | 12,276,921 | 0.9964 | $ | 12,232,264 | |||||||||||||
Euro | UBS AG | Long | 10/07/22 | 17,572,502 | 0.9940 | 17,466,744 | ||||||||||||||
Euro | UBS AG | Short | 10/07/22 | (1,566,000 | ) | 0.9801 | $ | (1,534,866 | ) | |||||||||||
175
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 | ) | ||||||||||||
Reference Currency | 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 | |||||||||||||
Euro | UBS AG | Long | 10/09/20 | 6,830,302 | 1.1845 | 8,090,716 | ||||||||||||||
Euro | UBS AG | Short | 10/09/20 | (2,760,000 | ) | 1.1801 | (3,257,049 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
| ||||||||||||||||||||
Reference Currency | Counterparty | Long or | 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 | 3,319,492 | ||||||||||||||
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 | ) | ||||||||||||
The September 30, 20212022 and 20202021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares Ultra Gold:
As of September 30, 20212022 and 20202021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2022 | 409 | $ | 1,672.00 | 100 | $ | 68,384,800 | ||||||||||||
Swap Agreements as of September 30, 2022
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 180.7152 | $ | 100,068,860 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 180.7152 | 47,529,603 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 180.7152 | 104,098,025 | ||||||||
Futures Positions as of September 30, 2021
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 September 30, 2021
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 | ||||||||
Contract | 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 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 211.1862 | $ | 116,941,808 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 211.1862 | 101,056,679 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 211.1862 | 121,650,344 | ||||||||
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 | ||||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20212022 and 20202021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract
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or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares Ultra Silver:
As of September 30, 20212022 and 20202021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2022 | 2,163 | $ | 19.04 | 5,000 | $ | 205,906,785 | ||||||||||||
Swap Agreements as of September 30, 2022
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 169.7456 | $ | 142,330,643 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 169.7456 | 18,803,260 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 169.7456 | 156,302,767 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 169.7456 | 124,719,934 | ||||||||
Futures Positions as of September 30, 2021
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 September 30, 2021
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 | ||||||||
Contract | 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 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 215.9803 | $ | 257,181,535 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 215.9803 | 223,086,085 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 215.9803 | 205,360,117 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 215.9803 | 169,907,857 | ||||||||
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 | ||||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20212022 and 20202021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
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ProShares Ultra VIX Short-Term Futures ETF
As of September 30, 20212022 and 2020,2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 28,597 | $ | 31.52 | 1,000 | $ | 901,263,052 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 19,065 | 31.07 | 1,000 | 592,381,961 | ||||||||||||||
Futures Positions as of September 30, 2021
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 | ||||||||||||||
Swap Agreements as of September 30, 2021
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 | ||||||
Contract | 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 | ||||||||||||
VIX Futures (Cboe) | Long | November 2020 | 26,919 | 32.88 | 1,000 | 884,962,125 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | Goldman Sachs & Co. | Long | $ | 25.0468 | $ | 38,626,764 | ||||||
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 | ||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20212022 and 20202021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and
ProShares Ultra Yen:
As of September 30, 20212022 and 2020,2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
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Foreign Currency Forward Contracts as of September 30, 2022
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/07/22 | 1,186,245,517 | 0.006949 | $ | 8,243,617 | |||||||||||||
Yen | UBS AG | Long | 10/07/22 | 1,919,545,856 | 0.006945 | 13,331,165 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/22 | (33,368,000 | ) | 0.006974 | $ | (232,706 | ) | |||||||||||
Yen | UBS AG | Short | 10/07/22 | (133,030,000 | ) | 0.006945 | (923,831 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
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 | ) | ||||||||||||
Reference Currency | 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 | |||||||||||||
Yen | UBS AG | Long | 10/09/20 | 278,602,756 | 0.009425 | 2,625,726 | ||||||||||||||
Yen | UBS AG | Short | 10/09/20 | (2,680,000 | ) | 0.009488 | (25,429 | ) | ||||||||||||
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 | $ | 2,980,606 | |||||||||||||
Yen | UBS AG | Long | 10/08/21 | 253,562,756 | 0.009086 | 2,303,858 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/08/21 | (6,319,000 | ) | 0.008956 | $ | (56,591 | ) | |||||||||||
Yen | UBS AG | Short | 10/08/21 | (10,090,000 | ) | 0.009078 | (91,593 | ) | ||||||||||||
The September 30, 20212022 and 20202021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
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 | ) | |||||||||||
Contract | 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 | ) | |||||||||||
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 20212022 and 2020,2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,174 | $ | 78.72 | 1,000 | $ | (249,857,280 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,344 | 73.00 | 1,000 | (244,112,000 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 3,500 | 69.66 | 1,000 | (243,810,000 | ) | |||||||||||||
Futures Positions as of September 30, 2021
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 | ) | |||||||||||||
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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 | ) | |||||||||||||
The September 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 20212022 and 20202021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares UltraShort Bloomberg Natural Gas:
As of September 30, 20212022 and 2020,2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2022 | 7,167 | $ | 6.77 | 10,000 | $ | (484,919,220 | ) | |||||||||||
Futures Positions as of September 30, 2021
Contract | 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 | ) | |||||||||||
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 | ) | |||||||||||
The September 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares UltraShort Euro:
As of September 30, 20212022 and 2020,2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
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Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 10/07/22 | 38,000,000 | 0.9876 | $ | 37,528,206 | |||||||||||||
Euro | Goldman Sachs International | Short | 10/07/22 | (78,612,263 | ) | 0.9970 | $ | (78,374,875 | ) | |||||||||||
Euro | UBS AG | Short | 10/07/22 | (144,189,199 | ) | 0.9931 | (143,198,834 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
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 | ) | ||||||||||||
Reference Currency | 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 | |||||||||||||
Euro | UBS AG | Long | 10/09/20 | 6,700,000 | 1.1787 | 7,897,485 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/09/20 | (41,689,263 | ) | 1.1835 | (49,339,243 | ) | ||||||||||||
Euro | UBS AG | Short | 10/09/20 | (85,627,199 | ) | 1.1818 | (101,193,803 | ) | ||||||||||||
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 | ) | ||||||||||||
The September 30, 20212022 and 20202021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares UltraShort Gold:
As of September 30, 20212022 and 20202021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2022 | 157 | $ | 1,672.00 | 100 | $ | (26,250,400 | ) | |||||||||||
Swap Agreements as of September 30, 2022
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 180.7152 | $ | (13,547,911 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 180.7152 | (8,863,141 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 180.7152 | (10,598,433 | ) | |||||||
Futures Positions as of September 30, 2021
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 | ) | |||||||||||
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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 | ) | |||||||||||
Swap Agreements as of September 30, 2021
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 | ) | |||||||
Contract | 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 | ) | |||||||||||
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 | ) | |||||||
The September 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20212022 and 20202021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares UltraShort Silver:
As of September 30, 20212022 and 20202021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2022 | 506 | $ | 19.04 | 5,000 | $ | (48,168,670 | ) | |||||||||||
Swap Agreements as of September 30, 2022
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 169.7456 | $ | (2,288,972 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 169.7456 | (8,338,415 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 169.7456 | (6,593,089 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 169.7456 | (2,108,259 | ) | |||||||
Futures Positions as of September 30, 2021
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 | ) | |||||||||||
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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 | ) | |||||||||||
Swap Agreements as of September 30, 2021
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 | ) | |||||||
Contract | 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 | ) | |||||||||||
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 | ) | |||||||
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 | ) | |||||||
The September 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20212022 and 20202021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares UltraShort Yen:
As of September 30, 20212022 and 2020,2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2022
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/07/22 | 513,732,000 | 0.007033 | $ | 3,613,292 | |||||||||||||
Yen | UBS AG | Long | 10/07/22 | 1,169,990,000 | 0.006995 | 8,183,497 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/22 | (4,358,922,165 | ) | 0.006949 | $ | (30,291,833 | ) | |||||||||||
Yen | UBS AG | Short | 10/07/22 | (12,349,528,574 | ) | 0.006949 | (85,811,526 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
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 | ) | ||||||||||||
Reference Currency | 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 | |||||||||||||
Yen | UBS AG | Long | 10/09/20 | 223,810,000 | 0.009506 | 2,127,624 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/09/20 | (2,032,728,165 | ) | 0.009418 | (19,145,073 | ) | ||||||||||||
Yen | UBS AG | Short | 10/09/20 | (3,439,162,875 | ) | 0.009426 | (32,416,476 | ) | ||||||||||||
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 | ) | ||||||||||||
The September 30, 20212022 and 20202021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
183
ProShares VIX
As of September 30, 20212022 and 2020,2021, the ProShares VIX
Futures Positions as of September 30, 2022
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2023 | 728 | $ | 30.70 | 1,000 | $ | 22,351,129 | ||||||||||||
VIX Futures (Cboe) | Long | February 2023 | 1,214 | 30.31 | 1,000 | 36,796,340 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2023 | 1,214 | 30.18 | 1,000 | 36,638,520 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 486 | 30.25 | 1,000 | 14,700,868 | ||||||||||||||
Futures Positions as of September 30, 2021
Contract | 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 | ||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 1,677 | 25.23 | 1,000 | 42,304,841 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2022 | 1,677 | 25.66 | 1,000 | 43,023,603 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 804 | 25.83 | 1,000 | 20,765,953 | ||||||||||||||
Contract | 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 | ||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 1,165 | 29.40 | 1,000 | 34,251,000 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2021 | 1,165 | 28.93 | 1,000 | 33,697,625 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2021 | 512 | 28.38 | 1,000 | 14,528,000 | ||||||||||||||
Contract | 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 | ||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 1,677 | 25.23 | 1,000 | 42,304,841 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2022 | 1,677 | 25.66 | 1,000 | 43,023,603 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 804 | 25.83 | 1,000 | 20,765,953 | ||||||||||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
ProShares VIX Short-Term Futures ETF
As of September 30, 20212022 and 2020,2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
184
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 8,381 | $ | 31.52 | 1,000 | $ | 264,135,596 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 5,587 | 31.07 | 1,000 | 173,597,588 | ||||||||||||||
Futures Positions as of September 30, 2021
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 | ||||||||||||||
Contract | 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 | ||||||||||||
VIX Futures (Cboe) | Long | November 2020 | 3,912 | 32.88 | 1,000 | 128,607,000 | ||||||||||||||
The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
185
Qualitative Disclosure
As described in Item 7 in the Annual Report on Form
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
186
Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
Equity Market Volatility Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective
For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules
187
Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 20212022 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form
188
Part II. OTHER INFORMATION
| Item 1. | Legal Proceedings. |
As of September 30, 2022, the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule
| Item 1A. | Risk Factors. |
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to
On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
189
Natural Disasters and Public Health Disruptions, such as the
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus
Natural or environmental disasters or public health crisis, such as the
The
Market downturns, disruptions or illiquidity as a result of, or related to, the
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
190
The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds. |
| a) | None. |
| b) | Not applicable. |
| c) | The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended September 30, 2022: |
Title of Securities Registered* |
| Total Number of Shares Redeemed | Average Price Per Share | |||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 850,000 | $ | 50.40 | ||||||
| 08/01/22 to 08/31/22 | 950,000 | $ | 53.82 | |||||||
| 09/01/22 to 09/30/22 | 400,000 | $ | 53.05 | |||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 3,750,000 | $ | 37.59 | ||||||
| 08/01/22 to 08/31/22 | 2,450,000 | $ | 37.02 | |||||||
| 09/01/22 to 09/30/22 | 2,050,000 | $ | 31.72 | |||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 3,050,000 | $ | 67.58 | ||||||
| 08/01/22 to 08/31/22 | 1,900,000 | $ | 98.18 | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 78.79 | |||||||
ProShares Ultra Euro | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 50,000 | $ | 10.22 | |||||||
| 09/01/22 to 09/30/22 | 50,000 | $ | 9.91 | |||||||
ProShares Ultra Gold | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 300,000 | $ | 51.50 | ||||||
| 08/01/22 to 08/31/22 | 250,000 | $ | 51.79 | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 47.67 | |||||||
191
ProShares Ultra Silver | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 500,000 | $ | 22.97 | |||||||
| 09/01/22 to 09/30/22 | 750,000 | $ | 22.11 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 3,800,000 | $ | 13.70 | ||||||
| 08/01/22 to 08/31/22 | 27,450,000 | $ | 10.33 | |||||||
| 09/01/22 to 09/30/22 | 52,050,000 | $ | 11.22 | |||||||
ProShares Ultra Yen | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | — | $ | — | |||||||
| 09/01/22 to 09/30/22 | 50,000 | $ | 29.75 | |||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 4,200,000 | $ | 25.49 | ||||||
| 08/01/22 to 08/31/22 | 7,550,000 | $ | 24.47 | |||||||
| 09/01/22 to 09/30/22 | 8,900,000 | $ | 27.61 | |||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 3,400,000 | $ | 21.98 | ||||||
| 08/01/22 to 08/31/22 | 17,900,000 | $ | 14.14 | |||||||
| 09/01/22 to 09/30/22 | 28,600,000 | $ | 15.02 | |||||||
ProShares UltraShort Euro | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 150,000 | $ | 32.87 | |||||||
| 09/01/22 to 09/30/22 | 400,000 | $ | 34.53 | |||||||
ProShares UltraShort Gold | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 300,000 | $ | 34.13 | ||||||
| 08/01/22 to 08/31/22 | — | $ | — | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 37.44 | |||||||
ProShares UltraShort Silver | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 400,000 | $ | 36.78 | ||||||
| 08/01/22 to 08/31/22 | 300,000 | $ | 31.03 | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 34.90 | |||||||
ProShares UltraShort Yen | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 250,000 | $ | 57.10 | |||||||
| 09/01/22 to 09/30/22 | — | $ | — | |||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 325,000 | $ | 34.95 | ||||||
| 08/01/22 to 08/31/22 | — | $ | — | |||||||
| 09/01/22 to 09/30/22 | 125,000 | $ | 34.37 | |||||||
ProShares VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | 07/01/22 to 07/31/22 | 1,150,000 | $ | 17.47 | ||||||
| 08/01/22 to 08/31/22 | 2,300,000 | $ | 14.63 | |||||||
| 09/01/22 to 09/30/22 | 7,500,000 | $ | 15.48 |
| * | The registration statement covers an indeterminate amount of securities to be offered or sold. |
192
| Item 3. | Defaults Upon Senior Securities. |
None.
| Item 4. | Mine Safety Disclosures. |
Not applicable.
| Item 5. | Other Information. |
None.
193
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 | — | $ | — | — | $ | — | ||||||||||||
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 | ||||||||||||
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 | ||||||||||||
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 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 12,965,765 | — | $ | — | 100,000 | $ | 1,488,793 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 437,056,102 | 250,000 | $ | 14,836,141 | 1,250,000 | $ | 75,112,671 | ||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 382,208,757 | 1,050,000 | $ | 38,538,861 | 4,450,000 | $ | 205,312,655 | ||||||||||||
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 | ||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 21,407,176 | — | $ | — | — | $ | — | ||||||||||||
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 | ||||||||||||
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 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 115,002,443 | 100,000 | $ | 2,387,142 | 300,000 | $ | 7,000,386 | ||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 75,106,370 | 650,000 | $ | 21,916,482 | 1,700,000 | $ | 59,279,388 | ||||||||||||
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 UltraShort Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 316,715,689 | 1,000,000 | $ | 26,169,229 | 3,750,000 | $ | 91,351,542 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 114,882,391 | — | $ | — | 100,000 | $ | 7,132,412 | ||||||||||||
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 | ||||||||||||
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 | ||||||||||||
Total Trust: | $ | 15,697,588,553 | 74,900,000 | $ | 1,649,296,999 | 149,503,750 | $ | 5,597,393,110 | ||||||||||||
| Item 6. | Exhibits. |
| (1) | Filed herewith. |
| * | 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. |
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Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PROSHARES TRUST II |
/s/ Todd Johnson |
| By: Todd Johnson |
| Principal Executive Officer |
| Date: November |
/s/ Edward Karpowicz |
| By: Edward Karpowicz |
| Principal Financial and Accounting Officer |
| Date: November |
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