☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2023. |
☐ | 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 | ☐ |
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September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,655,954 and $144,283,581, respectively) | $ | 104,670,946 | $ | 144,307,676 | ||||
Cash | 50,012,847 | 6,852,395 | ||||||
Segregated cash balances with brokers for futures contracts | 96,778,870 | 127,094,546 | ||||||
Receivable on open futures contracts | 12,792,560 | 67,086,947 | ||||||
Interest receivable | 275,091 | 475,930 | ||||||
Total assets | 264,530,314 | 345,817,494 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,861,814 | ||||||
Payable on open futures contracts | 2,625,055 | — | ||||||
Brokerage commissions and futures account fees payable | 8,960 | 21,576 | ||||||
Payable to Sponsor | 197,552 | 342,466 | ||||||
Total liabilities | 2,831,567 | 6,225,856 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 261,698,747 | 339,591,638 | ||||||
Total liabilities and shareholders’ equity | $ | 264,530,314 | $ | 345,817,494 | ||||
Shares outstanding | 3,034,307 | 5,784,307 | ||||||
Net asset value per share | $ | 86 .25 | $ | 58 .71 | ||||
Market value per share (Note 2) | $ | 86 .34 | $ | 58 .68 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(40% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 20,000,000 | $ | 19,976,556 | ||||
5.478% due 10/17/23 | 45,000,000 | 44,900,905 | ||||||
5.499% due 10/24/23 | 15,000,000 | 14,951,600 | ||||||
5.490% due 11/14/23 | 25,000,000 | 24,841,885 | ||||||
Total short-term U.S. government and agency obligations (cost $104,655,954) | $ | 104,670,946 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 4,373 | $ | 77,713,457 | $ | (1,730,931 | ) | ||||||
VIX Futures - Cboe, expires November 2023 | 2,906 | 53,023,748 | (656,454 | ) | ||||||||
$ | (2,387,385 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||
Expenses | ||||||||||||||||
Management fee | 634,871 | 914,054 | 1,817,684 | 2,934,952 | ||||||||||||
Brokerage commissions | 137,943 | 152,661 | 387,868 | 517,911 | ||||||||||||
Futures account fees | — | 23,966 | — | 348,217 | ||||||||||||
Non-recurring fees and expenses | — | 6,122 | — | 6,122 | ||||||||||||
Total expenses | 772,814 | 1,096,803 | 2,205,552 | 3,807,202 | ||||||||||||
Net investment income (loss) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 30,285,319 | 27,694,574 | 125,117,609 | (26,435,234 | ) | |||||||||||
Short-term U.S. government and agency obligations | 4 | — | (25,807 | ) | (86,512 | ) | ||||||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (26,316,590 | ) | (17,783,632 | ) | (13,479,766 | ) | (47,541,296 | ) | ||||||||
Short-term U.S. government and agency obligations | (557 | ) | 313,442 | (9,103 | ) | (138,767 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||
Net realized and unrealized gain (loss) | 3,968,176 | 10,224,384 | 111,602,933 | (74,201,809 | ) | |||||||||||
Net income (loss) | $ | 5,819,542 | $ | 10,134,080 | $ | 116,567,893 | $ | (76,683,035 | ) | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 282,353,267 | $ | 403,644,956 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
Addition of 650,000, 450,000, 3,650,000 and 5,050,000 shares, respectively | 56,262,968 | 23,538,063 | 241,582,456 | 255,975,394 | ||||||||||||
Redemption of 950,000, 2,200,000, 6,400,000 and 5,300,000 shares, respectively | (82,737,030 | ) | (115,486,048 | ) | (436,043,240 | ) | (281,273,902 | ) | ||||||||
Net addition (redemption) of (300,000), (1,750,000), (2,750,000) and (250,000) shares, respectively | (26,474,062 | ) | (91,947,985 | ) | (194,460,784 | ) | (25,298,508 | ) | ||||||||
Net investment income (loss) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | ||||||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||
Net income (loss) | 5,819,542 | 10,134,080 | 116,567,893 | (76,683,035 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 261,698,747 | $ | 321,831,051 | $ | 261,698,747 | $ | 321,831,051 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 116,567,893 | $ | (76,683,035 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (584,136,375 | ) | (1,119,341,677 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 626,824,736 | 1,130,832,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,086,541 | ) | (491,158 | ) | ||||
Net realized (gain) loss on investments | 25,807 | 86,512 | ||||||
Change in unrealized (appreciation) depreciation on investments | 9,103 | 138,767 | ||||||
Decrease (Increase) in receivable on open futures contracts | 54,294,387 | 21,641,411 | ||||||
Decrease (Increase) in interest receivable | 200,839 | (231,733 | ) | |||||
Increase (Decrease) in payable to Sponsor | (144,914 | ) | 256,789 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (12,616 | ) | (95,868 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,625,055 | 2,882,905 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 6,122 | ||||||
Net cash provided by (used in) operating activities | 213,167,374 | (40,998,164 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 241,582,456 | 255,975,394 | ||||||
Payment on shares redeemed | (441,905,054 | ) | (287,399,032 | ) | ||||
Net cash provided by (used in) financing activities | (200,322,598 | ) | (31,423,638 | ) | ||||
Net increase (decrease) in cash | 12,844,776 | (72,421,802 | ) | |||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 146,791,717 | $ | 110,589,182 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $264,043,695 and $313,413,683, respectively) | $ | 264,081,088 | $ | 313,465,007 | ||||
Cash | 26,232,492 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 31,197,841 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 283,449,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | 11,240,991 | 74,159,577 | ||||||
Receivable on open futures contracts | — | 8,466,027 | ||||||
Interest receivable | 337,421 | 618,549 | ||||||
Total assets | 616,539,578 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 8,912,592 | 13,545,014 | ||||||
Payable on open futures contracts | 2,980,155 | — | ||||||
Brokerage commissions and futures account fees payable | 2,674 | 7,154 | ||||||
Payable to Sponsor | 519,825 | 662,979 | ||||||
Total liabilities | 12,415,246 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 604,124,332 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 616,539,578 | $ | 873,309,421 | ||||
Shares outstanding | 17,143,096 | 28,393,096 | ||||||
Net asset value per share | $ | 35 .24 | $ | 30 .26 | ||||
Market value per share (Note 2) | $ | 35 .28 | $ | 30 .31 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(44% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 50,000,000 | $ | 49,941,390 | ||||
5.478% due 10/17/23 | 90,000,000 | 89,801,811 | ||||||
5.499% due 10/24/23 † | 50,000,000 | 49,838,665 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
5.497% due 11/21/23 | 25,000,000 | 24,815,452 | ||||||
Total short-term U.S. government and agency obligations (cost $264,043,695) | $ | 264,081,088 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 879 | $ | 78,055,200 | $ | 14,366,865 | |||||||
WTI Crude Oil - NYMEX, expires June 2024 | 920 | 74,630,400 | 10,551,545 | |||||||||
WTI Crude Oil - NYMEX, expires December 2024 | 956 | 74,434,160 | (188,490 | ) | ||||||||
$ | 24,729,920 | |||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | % | 10/06/23 | $ | 210,901,349 | $ | 1,869,634 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/23 | 262,218,064 | 2,324,555 | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/23 | 151,363,911 | 1,607,761 | ||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 10/06/23 | 199,041,224 | 1,776,923 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 10/06/23 | 157,428,427 | 3,662,118 | ||||||||||||
Total Unrealized Appreciation | $ | 11,240,991 | ||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 5,340,428 | $ | 2,391,191 | $ | 17,226,428 | $ | 3,964,082 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,629,737 | 2,118,088 | 5,249,353 | 8,301,804 | ||||||||||||
Brokerage commissions | 51,162 | 85,906 | 239,809 | 421,657 | ||||||||||||
Futures account fees | — | 19,466 | — | 381,754 | ||||||||||||
Non-recurring fees and expenses | — | 13,739 | — | 13,739 | ||||||||||||
Total expenses | 1,680,899 | 2,237,199 | 5,489,162 | 9,118,954 | ||||||||||||
Net investment income (loss) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 45,265,209 | (58,028,223 | ) | 85,471,042 | 452,879,319 | |||||||||||
Swap agreements | 199,284,914 | (286,550,709 | ) | 168,504,091 | 365,260,911 | |||||||||||
Short-term U.S. government and agency obligations | 120 | — | (59,258 | ) | (7,789 | ) | ||||||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 15,311,614 | (62,302,727 | ) | (1,561,796 | ) | (151,303,453 | ) | |||||||||
Swap agreements | 12,933,232 | 28,330,957 | (62,918,586 | ) | (187,884,491 | ) | ||||||||||
Short-term U.S. government and agency obligations | (67,874 | ) | 723,596 | (13,931 | ) | (268,326 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||
Net realized and unrealized gain (loss) | 272,727,215 | (377,827,106 | ) | 189,421,562 | 478,676,171 | |||||||||||
Net income (loss) | $ | 276,386,744 | $ | (377,673,114 | ) | $ | 201,158,828 | $ | 473,521,299 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 738,194,368 | $ | 1,060,867,238 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
Addition of –, 10,400,000, 34,650,000 and 20,700,000 shares, respectively | — | 335,779,871 | 812,713,784 | 738,516,557 | ||||||||||||
Redemption of 13,950,000, 8,250,000, 45,900,000 and 44,300,000 shares, respectively | (410,456,780 | ) | (294,378,733 | ) | (1,268,842,554 | ) | (1,591,226,164 | ) | ||||||||
Net addition (redemption) of (13,950,000), 2,150,000, (11,250,000) and (23,600,000) shares, respectively | (410,456,780 | ) | 41,401,138 | (456,128,770 | ) | (852,709,607 | ) | |||||||||
Net investment income (loss) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | |||||||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||
Net income (loss) | 276,386,744 | (377,673,114 | ) | 201,158,828 | 473,521,299 | |||||||||||
Shareholders’ equity, end of period | $ | 604,124,332 | $ | 724,595,262 | $ | 604,124,332 | $ | 724,595,262 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 201,158,828 | $ | 473,521,299 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (9,133,783,770 | ) | (13,891,053,120 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 9,194,559,106 | 14,207,412,141 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (11,464,606 | ) | (2,942,264 | ) | ||||
Net realized (gain) loss on investments | 59,258 | 7,789 | ||||||
Change in unrealized (appreciation) depreciation on investments | 62,932,517 | 188,152,817 | ||||||
Decrease (Increase) in receivable on open futures contracts | 8,466,027 | (891,736 | ) | |||||
Decrease (Increase) in interest receivable | 281,128 | (317,244 | ) | |||||
Increase (Decrease) in payable to Sponsor | (143,154 | ) | 493,818 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (4,480 | ) | (18,209 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 2,980,155 | (22,405,789 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 13,739 | ||||||
Net cash provided by (used in) operating activities | 325,041,009 | 951,973,241 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 812,713,784 | 738,516,557 | ||||||
Payment on shares redeemed | (1,273,474,976 | ) | (1,574,816,957 | ) | ||||
Net cash provided by (used in) financing activities | (460,761,192 | ) | (836,300,400 | ) | ||||
Net increase (decrease) in cash | (135,720,183 | ) | 115,672,841 | |||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 340,880,078 | $ | 332,960,230 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $303,815,641 and $263,209,299, respectively) | $ | 303,858,387 | $ | 263,260,158 | ||||
Cash | 24,873,663 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 379,123,011 | 163,045,170 | ||||||
Segregated cash balances with brokers for swap agreements | 74,778,263 | — | ||||||
Receivable on open futures contracts | 126,823,271 | 149,650,221 | ||||||
Interest receivable | 1,484,336 | 653,922 | ||||||
Total assets | 910,940,931 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 32,487,150 | 1,826,653 | ||||||
Payable on open futures contracts | 5,930,098 | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 36,861 | 35,242 | ||||||
Payable to Sponsor | 709,247 | 450,514 | ||||||
Unrealized depreciation on swap agreements | 1,438,294 | — | ||||||
Total liabilities | 40,601,650 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 870,339,281 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 910,940,931 | $ | 590,298,965 | ||||
Shares outstanding (Note 1) | 16,118,544 | 1,614,376 | ||||||
Net asset value per share (Note 1) | $ | 54 .00 | $ | 363 .08 | ||||
Market value per share (Note 1) (Note 2) | $ | 54 .38 | $ | 355 .60 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 50,000,000 | $ | 49,941,390 | ||||
5.478% due 10/17/23 | 100,000,000 | 99,779,790 | ||||||
5.499% due 10/24/23 † | 55,000,000 | 54,822,532 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
5.497% due 11/21/23 † | 50,000,000 | 49,630,905 | ||||||
Total short-term U.S. government and agency obligations (cost $303,815,641) | $ | 303,858,387 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires November 2023 | 50,182 | $ | 1,469,830,780 | $ | (114,592,473 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex | 0.50 | % | 10/06/23 | $ | 132,651,213 | $ | (706,090 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 10/06/23 | 90,634,449 | (482,438 | ) | |||||||||||
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex | 0.32 | 10/06/23 | 47,221,373 | (245,972 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 10/06/23 | 725,704 | (3,794 | ) | |||||||||||
Total Unrealized Depreciation | $ | (1,438,294 | ) | |||||||||||||
† | All or partial amount pledged as collateral for futures contracts. |
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 9,098,504 | $ | 909,204 | $ | 26,923,732 | $ | 1,095,255 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,303,082 | 658,525 | 7,220,063 | 1,589,759 | ||||||||||||
Brokerage commissions | 629,541 | 97,589 | 2,727,691 | 300,747 | ||||||||||||
Futures account fees | 131,828 | 43,620 | 531,306 | 177,950 | ||||||||||||
Non-recurring fees and expenses | — | 4,791 | — | 4,791 | ||||||||||||
Total expenses | 3,064,451 | 804,525 | 10,479,060 | 2,073,247 | ||||||||||||
Net investment income (loss) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 221,454,698 | (5,889,116 | ) | (1,418,539,604 | ) | 235,322,266 | ||||||||||
Swap agreements | 15,625,140 | — | (22,895,121 | ) | — | |||||||||||
Short-term U.S. government and agency obligations | 198 | (4,181 | ) | (7,018 | ) | (7,633 | ) | |||||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (362,927,910 | ) | 97,063,212 | 196,021,496 | (89,157,584 | ) | ||||||||||
Swap agreements | (47,526,551 | ) | — | (1,438,294 | ) | — | ||||||||||
Short-term U.S. government and agency obligations | (17,784 | ) | 158,315 | (8,113 | ) | (41,614 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | ||||||||||
Net realized and unrealized gain (loss) | (173,392,209 | ) | 91,328,230 | (1,246,866,654 | ) | 146,115,435 | ||||||||||
Net income (loss) | $ | (167,358,156 | ) | $ | 91,432,909 | $ | (1,230,421,982 | ) | $ | 145,137,443 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,141,021,278 | $ | 187,297,842 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
Addition of 12,950,000, 300,000, 45,715,000 and 755,000 shares, respectively (Note 1) | 739,093,446 | 425,638,048 | 3,899,918,459 | 1,063,004,747 | ||||||||||||
Redemption of 13,253,332, 265,000, 31,210,832 and 862,500 shares, respectively (Note 1) | (842,417,287 | ) | (414,982,702 | ) | (2,385,308,309 | ) | (1,112,648,271 | ) | ||||||||
Net addition (redemption) of (303,332), 35,000, 14,504,168 and (107,500) shares, respectively (Note 1) | (103,323,841 | ) | 10,655,346 | 1,514,610,150 | (49,643,524 | ) | ||||||||||
Net investment income (loss) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | |||||||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | ||||||||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | ||||||||||
Net income (loss) | (167,358,156 | ) | 91,432,909 | (1,230,421,982 | ) | 145,137,443 | ||||||||||
Shareholders’ equity, end of period | $ | 870,339,281 | $ | 289,386,097 | $ | 870,339,281 | $ | 289,386,097 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,230,421,982 | ) | $ | 145,137,443 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (10,927,044,661 | ) | (750,045,262 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 10,897,274,725 | 734,916,266 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (10,843,424 | ) | (561,077 | ) | ||||
Net realized (gain) loss on investments | 7,018 | 7,633 | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,446,407 | 41,614 | ||||||
Decrease (Increase) in receivable on open futures contracts | 22,826,950 | (36,015,281 | ) | |||||
Decrease (Increase) in interest receivable | (830,414 | ) | (157,395 | ) | ||||
Increase (Decrease) in payable to Sponsor | 258,733 | 294,750 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,619 | (48,246 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 4,094,655 | 1,186,502 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 4,791 | ||||||
Net cash provided by (used in) operating activities | (1,243,230,374 | ) | 94,761,738 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,899,918,459 | 1,083,453,488 | ||||||
Payment on shares redeemed | (2,354,647,812 | ) | (1,109,986,578 | ) | ||||
Net cash provided by (used in) financing activities | 1,545,270,647 | (26,533,090 | ) | |||||
Net increase (decrease) in cash | 302,040,273 | 68,228,648 | ||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 478,774,937 | $ | 122,364,373 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 5,923,008 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 803,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 867 | 514,115 | ||||||
Interest receivable | 25,385 | 40,421 | ||||||
Total assets | 6,752,260 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 5,200 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 223,579 | 98,459 | ||||||
Total liabilities | 228,779 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 6,523,481 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 6,752,260 | $ | 10,813,954 | ||||
Shares outstanding | 600,000 | 950,000 | ||||||
Net asset value per share | $ | 10 .87 | $ | 11 .27 | ||||
Market value per share (Note 2) | $ | 10 .85 | $ | 11 .26 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/23 | 7,691,921 | $ | 8,134,350 | $ | (136,003 | ) | |||||||||
Euro with UBS AG | 10/06/23 | 4,954,502 | 5,239,479 | (87,576 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (223,579 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with UBS AG | 10/06/23 | (323,000 | ) | $ | (341,578 | ) | $ | 867 | ||||||||
Total Unrealized Appreciation | | $ | 867 | |||||||||||||
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 80,746 | $ | 36,856 | $ | 266,165 | $ | 47,965 | ||||||||
Expenses | ||||||||||||||||
Management fee | 16,999 | 31,331 | 61,096 | 66,646 | ||||||||||||
Non-recurring fees and expenses | — | 237 | — | 237 | ||||||||||||
Total expenses | 16,999 | 31,568 | 61,096 | 66,883 | ||||||||||||
Net investment income (loss) | 63,747 | 5,288 | 205,069 | (18,918 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,505,776 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | — | (5,949 | ) | |||||||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (462,400 | ) | (98,836 | ) | (638,368 | ) | (513,883 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 3,824 | — | (844 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||
Net realized and unrealized gain (loss) | (484,785 | ) | (1,713,393 | ) | (302,183 | ) | (3,026,452 | ) | ||||||||
Net income (loss) | $ | (421,038 | ) | $ | (1,708,105 | ) | $ | (97,114 | ) | $ | (3,045,370 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 7,535,435 | $ | 9,415,626 | $ | 10,704,662 | $ | 8,659,095 | ||||||||
Addition of —, 700,000, 200,000 and 1,250,000 shares, respectively | — | 7,168,239 | 2,296,437 | 13,537,061 | ||||||||||||
Redemption of 50,000, 100,000, 550,000 and 450,000 shares, respectively | (590,916 | ) | (1,006,389 | ) | (6,380,504 | ) | (5,281,415 | ) | ||||||||
Net addition (redemption) of (50,000), 600,000, (350,000) and 800,000 shares, respectively | (590,916 | ) | 6,161,850 | (4,084,067 | ) | 8,255,646 | ||||||||||
Net investment income (loss) | 63,747 | 5,288 | 205,069 | (18,918 | ) | |||||||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||
Net income (loss) | (421,038 | ) | (1,708,105 | ) | (97,114 | ) | (3,045,370 | ) | ||||||||
Shareholders’ equity, end of period | $ | 6,523,481 | $ | 13,869,371 | $ | 6,523,481 | $ | 13,869,371 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (97,114 | ) | $ | (3,045,370 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | — | (5,984,290 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 6,290,250 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (11,431 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 638,368 | 514,727 | ||||||
Decrease (Increase) in interest receivable | 15,036 | (13,185 | ) | |||||
Increase (Decrease) in payable to Sponsor | (5,633 | ) | 18,088 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 237 | ||||||
Net cash provided by (used in) operating activities | 550,657 | (2,225,025 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 13,058,757 | ||||||
Payment on shares redeemed | (6,380,504 | ) | (5,281,415 | ) | ||||
Net cash provided by (used in) financing activities | (4,084,067 | ) | 7,777,342 | |||||
Net increase (decrease) in cash | (3,533,410 | ) | 5,552,317 | |||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 6,726,008 | $ | 13,134,775 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $109,649,343 and $129,100,287, respectively) | $ | 109,664,879 | $ | 129,123,489 | ||||
Cash | 11,124,533 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 2,074,800 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 35,494,971 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | — | 6,496,466 | ||||||
Receivable on open futures contracts | — | 8,169 | ||||||
Interest receivable | 73,655 | 126,595 | ||||||
Total assets | 158,432,838 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 264,526 | — | ||||||
Payable to Sponsor | 128,566 | 140,350 | ||||||
Unrealized depreciation on swap agreements | 10,343,189 | — | ||||||
Total liabilities | 10,736,281 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 147,696,557 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 158,432,838 | $ | 173,664,486 | ||||
Shares outstanding | 2,800,000 | 3,150,000 | ||||||
Net asset value per share | $ | 52 .75 | $ | 55 .09 | ||||
Market value per share (Note 2) | $ | 52 .60 | $ | 55 .27 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(74% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 40,000,000 | 39,911,916 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,333 | ||||||
5.490% due 11/14/23 † | 10,000,000 | 9,936,754 | ||||||
5.497% due 11/21/23 | 10,000,000 | 9,926,181 | ||||||
Total short-term U.S. government and agency obligations (cost $109,649,343) | $ | 109,664,879 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 264 | $ | 49,265,040 | $ | (2,617,740 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 10/06/23 | $ | 105,703,033 | $ | (4,441,216 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | 50,205,597 | (2,109,437 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | 90,264,166 | (3,792,536 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (10,343,189 | ) | |||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,837,846 | $ | 678,282 | $ | 5,470,056 | $ | 1,092,549 | ||||||||
Expenses | ||||||||||||||||
Management fee | 417,418 | 475,457 | 1,318,793 | 1,863,020 | ||||||||||||
Brokerage commissions | 5,346 | 8,176 | 20,886 | 43,899 | ||||||||||||
Futures account fees | — | — | — | 28,169 | ||||||||||||
Non-recurring fees and expenses | — | 2,940 | — | 2,940 | ||||||||||||
Total expenses | 422,764 | 486,573 | 1,339,679 | 1,938,028 | ||||||||||||
Net investment income (loss) | 1,415,082 | 191,709 | 4,130,377 | (845,479 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,609,223 | ) | (13,871,427 | ) | 1,311,944 | (22,577,746 | ) | |||||||||
Swap agreements | (10,266,780 | ) | (25,954,159 | ) | 9,808,518 | (17,330,327 | ) | |||||||||
Short-term U.S. government and agency obligations | 138 | (708 | ) | (28,324 | ) | (708 | ) | |||||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | 11,092,138 | (39,908,781 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 2,767,991 | 2,305,467 | (5,859,828 | ) | (2,281,936 | ) | ||||||||||
Swap agreements | (3,290,106 | ) | (234,566 | ) | (16,839,655 | ) | (15,325,612 | ) | ||||||||
Short-term U.S. government and agency obligations | (18,571 | ) | 151,932 | (7,666 | ) | (19,087 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | (22,707,149 | ) | (17,626,635 | ) | |||||||||
Net realized and unrealized gain (loss) | (17,416,551 | ) | (37,603,461 | ) | (11,615,011 | ) | (57,535,416 | ) | ||||||||
Net income (loss) | $ | (16,001,469 | ) | $ | (37,411,752 | ) | $ | (7,484,634 | ) | $ | (58,380,895 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 180,916,531 | $ | 239,938,853 | $ | 173,524,136 | $ | 232,780,534 | ||||||||
Addition of 50,000, 50,000, 500,000 and 1,650,000 shares, respectively | 3,076,173 | 2,645,499 | 31,285,647 | 104,903,214 | ||||||||||||
Redemption of 350,000, 900,000, 850,000 and 2,150,000 shares, respectively | (20,294,678 | ) | (45,150,308 | ) | (49,628,592 | ) | (119,280,561 | ) | ||||||||
Net addition (redemption) of (300,000), (850,000), (350,000) and (500,000) shares, respectively | (17,218,505 | ) | (42,504,809 | ) | (18,342,945 | ) | (14,377,347 | ) | ||||||||
Net investment income (loss) | 1,415,082 | 191,709 | 4,130,377 | (845,479 | ) | |||||||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | 11,092,138 | (39,908,781 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | (22,707,149 | ) | (17,626,635 | ) | |||||||||
Net income (loss) | (16,001,469 | ) | (37,411,752 | ) | (7,484,634 | ) | (58,380,895 | ) | ||||||||
Shareholders’ equity, end of period | $ | 147,696,557 | $ | 160,022,292 | $ | 147,696,557 | $ | 160,022,292 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (7,484,634 | ) | $ | (58,380,895 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (886,531,310 | ) | (913,776,847 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 909,750,482 | 978,997,411 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,796,552 | ) | (903,566 | ) | ||||
Net realized (gain) loss on investments | 28,324 | 708 | ||||||
Change in unrealized (appreciation) depreciation on investments | 16,847,321 | 15,344,699 | ||||||
Decrease (Increase) in receivable on open futures contracts | 8,169 | 823,707 | ||||||
Decrease (Increase) in interest receivable | 52,940 | (39,702 | ) | |||||
Increase (Decrease) in payable to Sponsor | (11,784 | ) | 125,445 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 264,526 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 2,940 | ||||||
Net cash provided by (used in) operating activities | 29,127,482 | 22,189,866 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 31,285,647 | 104,903,214 | ||||||
Payment on shares redeemed | (49,628,592 | ) | (119,280,561 | ) | ||||
Net cash provided by (used in) financing activities | (18,342,945 | ) | (14,377,347 | ) | ||||
Net increase (decrease) in cash | 10,784,537 | 7,812,519 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 48,694,304 | $ | 23,234,601 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $199,247,238 and $228,617,421, respectively) | $ | 199,275,356 | $ | 228,657,634 | ||||
Cash | 16,864,895 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 14,064,000 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 121,550,121 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | — | 39,224,212 | ||||||
Interest receivable | 211,212 | 300,712 | ||||||
Total assets | 351,965,584 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | 2,071,169 | 1,948,902 | ||||||
Payable to Sponsor | 281,601 | 344,467 | ||||||
Unrealized depreciation on swap agreements | 21,616,739 | — | ||||||
Total liabilities | 23,969,509 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 327,996,075 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 351,965,584 | $ | 418,194,629 | ||||
Shares outstanding | 13,246,526 | 13,046,526 | ||||||
Net asset value per share | $ | 24 .76 | $ | 31 .75 | ||||
Market value per share (Note 2) | $ | 24 .61 | $ | 32 .00 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(61% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 90,000,000 | 89,801,811 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 † | 25,000,000 | 24,841,885 | ||||||
5.497% due 11/21/23 | 35,000,000 | 34,741,633 | ||||||
Total short-term U.S. government and agency obligations (cost $199,247,238) | $ | 199,275,356 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires December 2023 | 1,756 | $ | 197,111,000 | $ | (6,167,328 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 10/06/23 | $ | 159,867,323 | $ | (7,524,763 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | 21,119,991 | (994,790 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | 143,290,980 | (6,749,262 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | 134,864,794 | (6,347,924 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (21,616,739 | ) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,343,905 | $ | 824,171 | $ | 10,419,483 | $ | 1,386,134 | ||||||||
Expenses | ||||||||||||||||
Management fee | 892,009 | 798,802 | 2,740,073 | 3,098,741 | ||||||||||||
Brokerage commissions | 27,874 | 34,796 | 101,511 | 94,079 | ||||||||||||
Futures account fees | — | — | — | 26,693 | ||||||||||||
Non-recurring fees and expenses | — | 5,922 | — | 5,922 | ||||||||||||
Total expenses | 919,883 | 839,520 | 2,841,584 | 3,225,435 | ||||||||||||
Net investment income (loss) | 2,424,022 | (15,349 | ) | 7,577,899 | (1,839,301 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (14,704,230 | ) | (13,577,109 | ) | 6,035,306 | (30,191,493 | ) | |||||||||
Swap agreements | (15,547,180 | ) | (133,807,652 | ) | (368,280 | ) | (156,750,416 | ) | ||||||||
Short-term U.S. government and agency obligations | — | (6,553 | ) | (46,857 | ) | (7,717 | ) | |||||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | 5,620,169 | (186,949,626 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 3,810,588 | 3,988,709 | (35,593,902 | ) | (2,835,777 | ) | ||||||||||
Swap agreements | (3,571,377 | ) | 87,216,478 | (60,840,951 | ) | (13,787,151 | ) | |||||||||
Short-term U.S. government and agency obligations | (20,937 | ) | 272,285 | (12,095 | ) | (71,644 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | (96,446,948 | ) | (16,694,572 | ) | ||||||||||
Net realized and unrealized gain (loss) | (30,033,136 | ) | (55,913,842 | ) | (90,826,779 | ) | (203,644,198 | ) | ||||||||
Net income (loss) | $ | (27,609,114 | ) | $ | (55,929,191 | ) | $ | (83,248,880 | ) | $ | (205,483,499 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 356,791,659 | $ | 355,577,515 | $ | 414,285,878 | $ | 515,453,594 | ||||||||
Addition of 1,500,000, 2,450,000, 4,100,000 and 4,250,000 shares, respectively | 42,340,032 | 52,469,935 | 114,264,874 | 118,129,234 | ||||||||||||
Redemption of 1,450,000, 1,250,000, 3,900,000 and 3,500,000 shares, respectively | (43,526,502 | ) | (28,147,396 | ) | (117,305,797 | ) | (104,128,466 | ) | ||||||||
Net addition (redemption) of 50,000, 1,200,000, 200,000 and 750,000 shares, respectively | (1,186,470 | ) | 24,322,539 | (3,040,923 | ) | 14,000,768 | ||||||||||
Net investment income (loss) | 2,424,022 | (15,349 | ) | 7,577,899 | (1,839,301 | ) | ||||||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | 5,620,169 | (186,949,626 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | (96,446,948 | ) | (16,694,572 | ) | ||||||||||
Net income (loss) | (27,609,114 | ) | (55,929,191 | ) | (83,248,880 | ) | (205,483,499 | ) | ||||||||
Shareholders’ equity, end of period | $ | 327,996,075 | $ | 323,970,863 | $ | 327,996,075 | $ | 323,970,863 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (83,248,880 | ) | $ | (205,483,499 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (2,785,919,203 | ) | (2,619,720,954 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,822,588,221 | 2,909,963,011 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,345,692 | ) | (1,060,031 | ) | ||||
Net realized (gain) loss on investments | 46,857 | 7,717 | ||||||
Change in unrealized (appreciation) depreciation on investments | 60,853,046 | 13,858,795 | ||||||
Decrease (Increase) in receivable on open futures contracts | — | (314,479 | ) | |||||
Decrease (Increase) in interest receivable | 89,500 | (72,051 | ) | |||||
Increase (Decrease) in payable to Sponsor | (62,866 | ) | 143,880 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (9,833 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 122,267 | — | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 5,922 | ||||||
Net cash provided by (used in) operating activities | 7,123,250 | 97,318,478 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 114,264,874 | 113,960,240 | ||||||
Payment on shares redeemed | (118,921,179 | ) | (107,612,236 | ) | ||||
Net cash provided by (used in) financing activities | (4,656,305 | ) | 6,348,004 | |||||
Net increase (decrease) in cash | 2,466,945 | 103,666,482 | ||||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 152,479,016 | $ | 129,154,985 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $84,569,073 and $34,728,989, respectively) | $ | 84,581,081 | $ | 34,732,372 | ||||
Cash | 20,004,039 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 133,149,681 | 323,761,025 | ||||||
Receivable from capital shares sold | 9,725,630 | — | ||||||
Receivable on open futures contracts | 41,678,702 | 209,470,270 | ||||||
Interest receivable | 689,129 | 1,246,402 | ||||||
Total assets | 289,828,262 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 6,477,149 | — | ||||||
Payable on open futures contracts | — | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 34,400 | 58,772 | ||||||
Payable to Sponsor | 266,022 | 570,429 | ||||||
Total liabilities | 6,777,571 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 283,050,691 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 289,828,262 | $ | 640,296,551 | ||||
Shares outstanding (Note 1) | 17,474,459 | 9,307,842 | ||||||
Net asset value per share (Note 1) | $ | 16 .20 | $ | 68 .69 | ||||
Market value per share (Note 1) (Note 2) | $ | 16 .21 | $ | 68 .60 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(30% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.478% due 10/17/23 | $ | 10,000,000 | $ | 9,977,979 | ||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 | 50,000,000 | 49,683,770 | ||||||
Total short-term U.S. government and agency obligations (cost $84,569,073) | $ | 84,581,081 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 14,181 | $ | 252,013,387 | $ | 26,387,450 | |||||||
VIX Futures - Cboe, expires November 2023 | 9,464 | 172,682,983 | 2,622,041 | |||||||||
$ | 29,009,491 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,255,531 | $ | 3,945,136 | $ | 12,422,781 | $ | 4,471,067 | ||||||||
Expenses | ||||||||||||||||
Management fee | 803,793 | 2,831,005 | 3,507,644 | 7,085,920 | ||||||||||||
Brokerage commissions | 517,699 | 1,276,819 | 2,007,911 | 3,183,788 | ||||||||||||
Futures account fees | 103,793 | 219,828 | 354,153 | 1,446,639 | ||||||||||||
Non-recurring fees and expenses | — | 20,117 | — | 20,117 | ||||||||||||
Total expenses | 1,425,285 | 4,347,769 | 5,869,708 | 11,736,464 | ||||||||||||
Net investment income (loss) | 1,830,246 | (402,633 | ) | 6,553,073 | (7,265,397 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (142,584,115 | ) | (289,871,717 | ) | (751,122,089 | ) | 59,605,816 | |||||||||
Swap agreements | — | — | — | 22,556,586 | ||||||||||||
Short-term U.S. government and agency obligations | (141 | ) | (2,037 | ) | (3,731 | ) | (355,124 | ) | ||||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | (751,125,820 | ) | 81,807,278 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 108,839,211 | 161,330,331 | 65,564,944 | 323,131,606 | ||||||||||||
Swap agreements | — | — | — | 477,437 | ||||||||||||
Short-term U.S. government and agency obligations | 12,008 | 414,952 | 8,625 | (129,295 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | 65,573,569 | 323,479,748 | ||||||||||||
Net realized and unrealized gain (loss) | (33,733,037 | ) | (128,128,471 | ) | (685,552,251 | ) | 405,287,026 | |||||||||
Net income (loss) | $ | (31,902,791 | ) | $ | (128,531,104 | ) | $ | (678,999,178 | ) | $ | 398,021,629 | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 387,764,059 | $ | 975,683,533 | $ | 639,318,362 | $ | 816,679,636 | ||||||||
Addition of 13,400,000, 9,340,000, 34,710,000 and 23,490,000 shares, respectively (Note 1) | 217,623,291 | 1,064,364,417 | 1,109,114,165 | 3,035,837,360 | ||||||||||||
Redemption of 16,903,383, 8,330,000, 26,543,383 and 22,340,000 shares, respectively (Note 1) | (290,433,868 | ) | (916,027,068 | ) | (786,382,658 | ) | (3,255,048,847 | ) | ||||||||
Net addition (redemption) of (3,503,383), 1,010,000, 8,166,617 and 1,150,000 shares, respectively (Note 1) | (72,810,577 | ) | 148,337,349 | 322,731,507 | (219,211,487 | ) | ||||||||||
Net investment income (loss) | 1,830,246 | (402,633 | ) | 6,553,073 | (7,265,397 | ) | ||||||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | (751,125,820 | ) | 81,807,278 | |||||||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | 65,573,569 | 323,479,748 | ||||||||||||
Net income (loss) | (31,902,791 | ) | (128,531,104 | ) | (678,999,178 | ) | 398,021,629 | |||||||||
Shareholders’ equity, end of period | $ | 283,050,691 | $ | 995,489,778 | $ | 283,050,691 | $ | 995,489,778 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (678,999,178 | ) | $ | 398,021,629 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (1,439,995,575 | ) | (4,540,406,696 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,392,250,029 | 4,489,474,762 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,098,269 | ) | (1,094,279 | ) | ||||
Net realized (gain) loss on investments | 3,731 | 355,124 | ||||||
Change in unrealized (appreciation) depreciation on investments | (8,625 | ) | (348,142 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 167,791,568 | (228,922,727 | ) | |||||
Decrease (Increase) in interest receivable | 557,273 | (1,045,845 | ) | |||||
Increase (Decrease) in payable to Sponsor | (304,407 | ) | 1,301,939 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (24,372 | ) | (101,787 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (348,988 | ) | (9,447,456 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 20,117 | ||||||
Net cash provided by (used in) operating activities | (561,176,813 | ) | 107,806,639 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,099,388,535 | 3,035,837,360 | ||||||
Payment on shares redeemed | (779,905,509 | ) | (3,218,451,554 | ) | ||||
Net cash provided by (used in) financing activities | 319,483,026 | (182,614,194 | ) | |||||
Net increase (decrease) in cash | (241,693,787 | ) | (74,807,555 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 153,153,720 | $ | 497,313,324 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 16,103,538 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,937,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 8,894 | 1,152,834 | ||||||
Interest receivable | 60,530 | 39,204 | ||||||
Total assets | 18,109,962 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 12,399 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 589,315 | 168,285 | ||||||
Total liabilities | 601,714 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 17,508,248 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 18,109,962 | $ | 13,993,996 | ||||
Shares outstanding | 699,970 | 399,970 | ||||||
Net asset value per share | $ | 25 .01 | $ | 34 .54 | ||||
Market value per share (Note 2) | $ | 25 .00 | $ | 34 .56 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/23 | 2,355,724,056 | $ | 15,780,833 | $ | (268,253 | ) | |||||||||
Yen with UBS AG | 10/06/23 | 2,976,699,856 | 19,940,707 | (321,062 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (589,315 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with UBS AG | 10/06/23 | (97,972,000 | ) | $ | (656,308 | ) | $ | 8,894 | ||||||||
Total Unrealized Appreciation | $ | 8,894 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 174,354 | $ | 25,362 | $ | 409,452 | $ | 29,299 | ||||||||
Expenses | ||||||||||||||||
Management fee | 35,968 | 21,245 | 91,858 | 34,710 | ||||||||||||
Non-recurring fees and expenses | — | 194 | — | 194 | ||||||||||||
Total expenses | 35,968 | 21,439 | 91,858 | 34,904 | ||||||||||||
Net investment income (loss) | 138,386 | 3,923 | 317,594 | (5,605 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,532,839 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | — | 1,548 | ||||||||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,531,291 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 277,206 | (17,967 | ) | (1,564,970 | ) | (2,005 | ) | |||||||||
Short-term U.S. government and agency obligations | — | 3,286 | — | (1,856 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | (1,564,970 | ) | (3,861 | ) | |||||||||
Net realized and unrealized gain (loss) | (1,577,564 | ) | (1,667,271 | ) | (4,488,690 | ) | (2,535,152 | ) | ||||||||
Net income (loss) | $ | (1,439,178 | ) | $ | (1,663,348 | ) | $ | (4,171,096 | ) | $ | (2,540,757 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 12,330,974 | $ | 5,024,773 | $ | 13,814,796 | $ | 2,362,849 | ||||||||
Addition of 300,000, 250,000, 500,000 and 350,000 shares, respectively | 8,063,291 | 8,285,325 | 14,320,409 | 11,824,658 | ||||||||||||
Redemption of 50,000, 50,000, 200,000 and 50,000 shares, respectively | (1,446,839 | ) | (1,487,561 | ) | (6,455,861 | ) | (1,487,561 | ) | ||||||||
Net addition (redemption) of 250,000, 200,000, 300,000 and 300,000 shares, respectively | 6,616,452 | 6,797,764 | 7,864,548 | 10,337,097 | ||||||||||||
Net investment income (loss) | 138,386 | 3,923 | 317,594 | (5,605 | ) | |||||||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | (2,923,720 | ) | (2,531,291 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | (1,564,970 | ) | (3,861 | ) | |||||||||
Net income (loss) | (1,439,178 | ) | (1,663,348 | ) | (4,171,096 | ) | (2,540,757 | ) | ||||||||
Shareholders’ equity, end of period | $ | 17,508,248 | $ | 10,159,189 | $ | 17,508,248 | $ | 10,159,189 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (4,171,096 | ) | $ | (2,540,757 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | — | (995,769 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (3,732 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 1,564,970 | 3,861 | ||||||
Decrease (Increase) in interest receivable | (21,326 | ) | (9,886 | ) | ||||
Increase (Decrease) in payable to Sponsor | 1,484 | 14,302 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 194 | ||||||
Net cash provided by (used in) operating activities | (2,625,968 | ) | (3,531,787 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 14,320,409 | 11,824,658 | ||||||
Payment on shares redeemed | (6,455,861 | ) | (1,487,561 | ) | ||||
Net cash provided by (used in) financing activities | 7,864,548 | 10,337,097 | ||||||
Net increase (decrease) in cash | 5,238,580 | 6,805,310 | ||||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 18,040,538 | $ | 9,263,130 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $184,272,303 and $89,407,308, respectively) | $ | 184,298,349 | $ | 89,426,935 | ||||
Cash | 26,182,767 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 76,076,031 | 65,184,460 | ||||||
Receivable from capital shares sold | 7,585,012 | 41,694 | ||||||
Receivable on open futures contracts | 3,557,787 | 1,604,847 | ||||||
Interest receivable | 279,874 | 384,856 | ||||||
Total assets | 297,979,820 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,257,090 | ||||||
Payable on open futures contracts | 993,204 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 4,433 | 4,134 | ||||||
Payable to Sponsor | 205,717 | 208,602 | ||||||
Total liabilities | 1,203,354 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 296,776,466 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 297,979,820 | $ | 231,269,843 | ||||
Shares outstanding | 17,605,220 | 9,305,220 | ||||||
Net asset value per share | $ | 16 .86 | $ | 23 .93 | ||||
Market value per share (Note 2) | $ | 16 .82 | $ | 23 .85 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(62% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 70,000,000 | 69,845,853 | ||||||
5.499% due 10/24/23 | 25,000,000 | 24,919,332 | ||||||
5.490% due 11/14/23 | 40,000,000 | 39,747,016 | ||||||
5.497% due 11/21/23 | 25,000,000 | 24,815,453 | ||||||
Total short-term U.S. government and agency obligations (cost $184,272,303) | $ | 184,298,349 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 | 2,296 | $ | 203,884,800 | $ | (16,612,860 | ) | ||||||
WTI Crude Oil - NYMEX, expires June 2024 | 2,404 | 195,012,480 | (9,249,968 | ) | ||||||||
WTI Crude Oil - NYMEX, expires December 2024 | 2,500 | 194,650,000 | 822,565 | |||||||||
$ | (25,040,263 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,609,417 | $ | 1,748,548 | $ | 6,172,654 | $ | 2,091,754 | ||||||||
Expenses | ||||||||||||||||
Management fee | 548,671 | 1,160,746 | 1,392,728 | 2,599,503 | ||||||||||||
Brokerage commissions | 54,549 | 148,121 | 180,385 | 332,256 | ||||||||||||
Futures account fees | — | 39,563 | — | 195,542 | ||||||||||||
Non-recurring fees and expenses | — | 7,548 | — | 7,548 | ||||||||||||
Total expenses | 603,220 | 1,355,978 | 1,573,113 | 3,134,849 | ||||||||||||
Net investment income (loss) | 2,006,197 | 392,570 | 4,599,541 | (1,043,095 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (47,764,820 | ) | 66,444,885 | 7,896,254 | (142,631,216 | ) | ||||||||||
Short-term U.S. government and agency obligations | 60 | — | (11,723 | ) | — | |||||||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | 7,884,531 | (142,631,216 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (38,026,419 | ) | 76,797,273 | (35,285,156 | ) | 113,723,566 | ||||||||||
Short-term U.S. government and agency obligations | 8,060 | 190,676 | 6,419 | (49,461 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | (35,278,737 | ) | 113,674,105 | ||||||||||
Net realized and unrealized gain (loss) | (85,783,119 | ) | 143,432,834 | (27,394,206 | ) | (28,957,111 | ) | |||||||||
Net income (loss) | $ | (83,776,922 | ) | $ | 143,825,404 | $ | (22,794,665 | ) | $ | (30,000,206 | ) | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 112,854,952 | $ | 501,157,304 | $ | 222,697,337 | $ | 114,167,602 | ||||||||
Addition of 17,250,000, 11,050,000, 28,800,000 and 38,940,000 shares, respectively | 345,709,147 | 263,018,131 | 622,896,585 | 1,051,908,930 | ||||||||||||
Redemption of 4,050,000, 20,650,000, 20,500,000 and 28,561,540 shares, respectively | (78,010,711 | ) | (539,209,750 | ) | (526,022,791 | ) | (767,285,237 | ) | ||||||||
Net addition (redemption) of 13,200,000, (9,600,000), 8,300,000 and 10,378,460 shares, respectively | 267,698,436 | (276,191,619 | ) | 96,873,794 | 284,623,693 | |||||||||||
Net investment income (loss) | 2,006,197 | 392,570 | 4,599,541 | (1,043,095 | ) | |||||||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | 7,884,531 | (142,631,216 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | (35,278,737 | ) | 113,674,105 | ||||||||||
Net income (loss) | (83,776,922 | ) | 143,825,404 | (22,794,665 | ) | (30,000,206 | ) | |||||||||
Shareholders’ equity, end of period | $ | 296,776,466 | $ | 368,791,089 | $ | 296,776,466 | $ | 368,791,089 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (22,794,665 | ) | $ | (30,000,206 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (881,618,883 | ) | (5,037,566,739 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 789,898,469 | 4,974,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,156,304 | ) | (1,233,461 | ) | ||||
Net realized (gain) loss on investments | 11,723 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | (6,419 | ) | 49,461 | |||||
Decrease (Increase) in receivable on open futures contracts | (1,952,940 | ) | (3,393,165 | ) | ||||
Decrease (Increase) in interest receivable | 104,982 | (329,488 | ) | |||||
Increase (Decrease) in payable to Sponsor | (2,885 | ) | 639,427 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 299 | 3,314 | ||||||
Increase (Decrease) in payable on open futures contracts | (6,109,476 | ) | 54,103 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 7,548 | ||||||
Net cash provided by (used in) operating activities | (125,626,099 | ) | (97,769,206 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 615,353,267 | 1,051,908,930 | ||||||
Payment on shares redeemed | (527,279,881 | ) | (758,540,834 | ) | ||||
Net cash provided by (used in) financing activities | 88,073,386 | 293,368,096 | ||||||
Net increase (decrease) in cash | (37,552,713 | ) | 195,598,890 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 102,258,798 | $ | 250,042,443 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $19,932,661 and $61,469,726, respectively) | $ | 19,935,466 | $ | 61,482,526 | ||||
Cash | 17,318,005 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 50,351,496 | 38,758,160 | ||||||
Receivable from capital shares sold | 12,292,429 | — | ||||||
Receivable on open futures contracts | 11,619,568 | 33,637,888 | ||||||
Interest receivable | 228,248 | 293,818 | ||||||
Total assets | 111,745,212 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,365,196 | ||||||
Payable on open futures contracts | — | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 4,417 | 7,497 | ||||||
Payable to Sponsor | 77,733 | 132,197 | ||||||
Total liabilities | 82,150 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 111,663,062 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 111,745,212 | $ | 139,896,772 | ||||
Shares outstanding | 1,816,856 | 4,966,856 | ||||||
Net asset value per share | $ | 61 .46 | $ | 27 .00 | ||||
Market value per share (Note 2) | $ | 61 .04 | $ | 27 .56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(18% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.499% due 10/24/23 | $ | 20,000,000 | $ | 19,935,466 | ||||
Total short-term U.S. government and agency obligations (cost $19,932,661) | $ | 19,935,466 | ||||||
Futures Contracts Sold | ||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires November 2023 | 7,624 | $ | 223,306,960 | $ | 23,776,317 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,476,050 | $ | 953,050 | $ | 4,007,691 | $ | 1,131,063 | ||||||||
Expenses | ||||||||||||||||
Management fee | 304,567 | 730,949 | 903,703 | 1,784,017 | ||||||||||||
Brokerage commissions | 133,782 | 173,386 | 577,070 | 539,244 | ||||||||||||
Futures account fees | 23,941 | 48,485 | 80,308 | 255,370 | ||||||||||||
Non-recurring fees and expenses | — | 5,374 | — | 5,374 | ||||||||||||
Total expenses | 462,290 | 958,194 | 1,561,081 | 2,584,005 | ||||||||||||
Net investment income (loss) | 1,013,760 | (5,144 | ) | 2,446,610 | (1,452,942 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (10,798,451 | ) | 8,173,631 | 221,346,621 | (389,138,752 | ) | ||||||||||
Short-term U.S. government and agency obligations | (174 | ) | (57,864 | ) | (1,437 | ) | (116,673 | ) | ||||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | 221,345,184 | (389,255,425 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 44,086,649 | (23,776,729 | ) | (62,113,081 | ) | 116,857,361 | ||||||||||
Short-term U.S. government and agency obligations | 173 | 309,345 | (9,995 | ) | (32,689 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | (62,123,076 | ) | 116,824,672 | ||||||||||
Net realized and unrealized gain (loss) | 33,288,197 | (15,351,617 | ) | 159,222,108 | (272,430,753 | ) | ||||||||||
Net income (loss) | $ | 34,301,957 | $ | (15,356,761 | ) | $ | 161,668,718 | $ | (273,883,695 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 141,324,963 | $ | 211,823,446 | $ | 134,109,520 | $ | 242,145,130 | ||||||||
Addition of 5,500,000, 58,900,000, 19,350,000 and 82,240,000 shares, respectively | 295,245,731 | 790,506,039 | 1,128,672,428 | 1,734,541,781 | ||||||||||||
Redemption of 6,250,000, 49,900,000, 22,500,000 and 69,251,886 shares, respectively | (359,209,589 | ) | (744,582,726 | ) | (1,312,787,604 | ) | (1,460,413,218 | ) | ||||||||
Net addition (redemption) of (750,000), 9,000,000, (3,150,000) and 12,988,114 shares, respectively | (63,963,858 | ) | 45,923,313 | (184,115,176 | ) | 274,128,563 | ||||||||||
Net investment income (loss) | 1,013,760 | (5,144 | ) | 2,446,610 | (1,452,942 | ) | ||||||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | 221,345,184 | (389,255,425 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | (62,123,076 | ) | 116,824,672 | ||||||||||
Net income (loss) | 34,301,957 | (15,356,761 | ) | 161,668,718 | (273,883,695 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 111,663,062 | $ | 242,389,998 | $ | 111,663,062 | $ | 242,389,998 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 161,668,718 | $ | (273,883,695 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (228,632,508 | ) | (641,286,804 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 271,472,626 | 680,730,195 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,304,490 | ) | (447,861 | ) | ||||
Net realized (gain) loss on investments | 1,437 | 116,673 | ||||||
Change in unrealized (appreciation) depreciation on investments | 9,995 | 32,689 | ||||||
Decrease (Increase) in receivable on open futures contracts | 22,018,320 | (17,665,801 | ) | |||||
Decrease (Increase) in interest receivable | 65,570 | (278,702 | ) | |||||
Increase (Decrease) in payable to Sponsor | (54,464 | ) | 354,079 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (3,080 | ) | (23,511 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (282,362 | ) | (8,542,438 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 5,374 | ||||||
Net cash provided by (used in) operating activities | 224,959,762 | (260,889,802 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,116,379,999 | 1,734,541,781 | ||||||
Payment on shares redeemed | (1,318,152,800 | ) | (1,464,617,750 | ) | ||||
Net cash provided by (used in) financing activities | (201,772,801 | ) | 269,924,031 | |||||
Net increase (decrease) in cash | 23,186,961 | 9,034,229 | ||||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 67,669,501 | $ | 122,035,156 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $— and $39,991,822, respectively) | $ | — | $ | 39,996,624 | ||||
Cash | 37,961,502 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 4,464,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 1,585,136 | 193,192 | ||||||
Interest receivable | 164,862 | 109,830 | ||||||
Total assets | 44,175,621 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 34,405 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 136,808 | 2,654,448 | ||||||
Total liabilities | 171,213 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 44,004,408 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 44,175,621 | $ | 77,831,002 | ||||
Shares outstanding | 1,400,000 | 2,550,000 | ||||||
Net asset value per share | $ | 31 .43 | $ | 29 .46 | ||||
Market value per share (Note 2) | $ | 31 .43 | $ | 29 .45 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/23 | 486,000 | $ | 513,954 | $ | (5,789 | ) | |||||||||
Euro with UBS AG | 10/06/23 | 10,804,000 | 11,425,433 | (131,019 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (136,808 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 10/06/23 | (43,752,263 | ) | $ | (46,268,836 | ) | $ | 769,294 | ||||||||
Euro with UBS AG | 10/06/23 | (50,970,199 | ) | (53,901,938 | ) | 815,842 | ||||||||||
Total Unrealized Appreciation | $ | 1,585,136 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 523,684 | $ | 230,824 | $ | 1,764,550 | $ | 285,240 | ||||||||
Expenses | ||||||||||||||||
Management fee | 111,472 | 203,036 | 404,141 | 467,426 | ||||||||||||
Non-recurring fees and expenses | — | 1,835 | — | 1,835 | ||||||||||||
Total expenses | 111,472 | 204,871 | 404,141 | 469,261 | ||||||||||||
Net investment income (loss) | 412,212 | 25,953 | 1,360,409 | (184,021 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,693,971 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | 210,974 | ||||||||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,904,945 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 3,207,102 | (354,043 | ) | 3,909,584 | 3,049,081 | |||||||||||
Short-term U.S. government and agency obligations | — | 61,225 | (4,802 | ) | (33,420 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | 3,904,782 | 3,015,661 | |||||||||||
Net realized and unrealized gain (loss) | 3,084,236 | 10,793,890 | 1,328,663 | 19,920,606 | ||||||||||||
Net income (loss) | $ | 3,496,448 | $ | 10,819,843 | $ | 2,689,072 | $ | 19,736,585 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 50,931,301 | $ | 62,270,097 | $ | 75,113,179 | $ | 54,263,045 | ||||||||
Addition of –, 1,100,000, 100,000 and 1,650,000 shares, respectively | — | 36,183,635 | 3,051,886 | 52,211,698 | ||||||||||||
Redemption of 350,000, 550,000, 1,250,000 and 1,150,000 shares, respectively | (10,423,341 | ) | (18,689,297 | ) | (36,849,729 | ) | (35,627,050 | ) | ||||||||
Net addition (redemption) of (350,000), 550,000, (1,150,000) and 500,000 shares, respectively | (10,423,341 | ) | 17,494,338 | (33,797,843 | ) | 16,584,648 | ||||||||||
Net investment income (loss) | 412,212 | 25,953 | 1,360,409 | (184,021 | ) | |||||||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | (2,576,119 | ) | 16,904,945 | ||||||||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | 3,904,782 | 3,015,661 | |||||||||||
Net income (loss) | 3,496,448 | 10,819,843 | 2,689,072 | 19,736,585 | ||||||||||||
Shareholders’ equity, end of period | $ | 44,004,408 | $ | 90,584,278 | $ | 44,004,408 | $ | 90,584,278 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 2,689,072 | $ | 19,736,585 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (54,925,175 | ) | (74,843,167 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 76,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (83,446 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (3,904,782 | ) | (3,015,661 | ) | ||||
Decrease (Increase) in interest receivable | (55,032 | ) | (61,501 | ) | ||||
Increase (Decrease) in payable to Sponsor | (28,970 | ) | 98,171 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 1,835 | ||||||
Net cash provided by (used in) operating activities | 38,692,110 | 17,832,816 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 52,211,149 | ||||||
Payment on shares redeemed | (36,849,729 | ) | (32,142,870 | ) | ||||
Net cash provided by (used in) financing activities | (33,797,843 | ) | 20,068,279 | |||||
Net increase (decrease) in cash | 4,894,267 | 37,901,095 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 42,425,623 | $ | 45,455,160 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 9,138,880 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 557,700 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 2,476,000 | 3,536,000 | ||||||
Unrealized appreciation on swap agreements | 649,016 | — | ||||||
Receivable from capital shares sold | 1,607,017 | — | ||||||
Receivable on open futures contracts | 6,250 | — | ||||||
Interest receivable | 38,854 | 42,135 | ||||||
Total assets | 14,473,717 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 98,549 | 700 | ||||||
Payable to Sponsor | 9,299 | 12,854 | ||||||
Unrealized depreciation on swap agreements | — | 592,957 | ||||||
Total liabilities | 107,848 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 14,365,869 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 14,473,717 | $ | 16,062,548 | ||||
Shares outstanding | 446,977 | 496,977 | ||||||
Net asset value per share | $ | 32 .14 | $ | 31 .10 | ||||
Market value per share (Note 2) | $ | 32 .20 | $ | 30 .99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 71 | $ | 13,249,310 | $ | 510,754 |
Total Return Swap Agreements ^ | ||||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 10/06/23 | $ | (3,588,216 | ) | $ | 149,583 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 10/06/23 | (4,702,766 | ) | 196,202 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/23 | (7,273,894 | ) | 303,231 | |||||||||||
Total Unrealized Appreciation | $ | 649,016 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 142,707 | $ | 72,261 | $ | 459,321 | $ | 101,921 | ||||||||
Expenses | ||||||||||||||||
Management fee | 32,970 | 76,652 | 112,212 | 218,466 | ||||||||||||
Brokerage commissions | 1,099 | 3,565 | 4,065 | 9,361 | ||||||||||||
Futures account fees | — | — | — | 2,446 | ||||||||||||
Non-recurring fees and expenses | — | 639 | — | 639 | ||||||||||||
Total expenses | 34,069 | 80,856 | 116,277 | 230,912 | ||||||||||||
Net investment income (loss) | 108,638 | (8,595 | ) | 343,044 | (128,991 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 807,474 | 2,017,269 | 131,315 | 1,336,740 | ||||||||||||
Swap agreements | 628,950 | 2,970,959 | (1,278,923 | ) | 1,900,685 | |||||||||||
Short-term U.S. government and agency obligations | — | — | — | 4 | ||||||||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | (1,147,608 | ) | 3,237,429 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (460,051 | ) | 725,119 | 609,640 | 1,378,602 | |||||||||||
Swap agreements | 208,445 | 81,220 | 1,241,973 | 1,795,321 | ||||||||||||
Short-term U.S. government and agency obligations | — | 35,207 | — | (13,647 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | 1,851,613 | 3,160,276 | |||||||||||
Net realized and unrealized gain (loss) | 1,184,818 | 5,829,774 | 704,005 | 6,397,705 | ||||||||||||
Net income (loss) | $ | 1,293,456 | $ | 5,821,179 | $ | 1,047,049 | $ | 6,268,714 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 15,809,378 | $ | 34,611,284 | $ | 15,456,037 | $ | 26,859,844 | ||||||||
Addition of 100,000, 350,000, 700,000 and 1,500,000 shares, respectively | 3,039,866 | 12,520,359 | 19,338,209 | 46,264,925 | ||||||||||||
Redemption of 200,000, 650,000, 750,000 and 1,550,000 shares, respectively | (5,776,831 | ) | (23,318,097 | ) | (21,475,426 | ) | (49,758,758 | ) | ||||||||
Net addition (redemption) of (100,000), (300,000), (50,000) and (50,000) shares, respectively | (2,736,965 | ) | (10,797,738 | ) | (2,137,217 | ) | (3,493,833 | ) | ||||||||
Net investment income (loss) | 108,638 | (8,595 | ) | 343,044 | (128,991 | ) | ||||||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | (1,147,608 | ) | 3,237,429 | |||||||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | 1,851,613 | 3,160,276 | |||||||||||
Net income (loss) | 1,293,456 | 5,821,179 | 1,047,049 | 6,268,714 | ||||||||||||
Shareholders’ equity, end of period | $ | 14,365,869 | $ | 29,634,725 | $ | 14,365,869 | $ | 29,634,725 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 1,047,049 | $ | 6,268,714 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | — | (17,987,492 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 35,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (26,784 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,241,973 | ) | (1,781,674 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (6,250 | ) | — | |||||
Decrease (Increase) in interest receivable | 3,281 | (25,595 | ) | |||||
Increase (Decrease) in payable to Sponsor | (3,555 | ) | 22,778 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (294 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 97,849 | (49,875 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 639 | ||||||
Net cash provided by (used in) operating activities | (103,599 | ) | 22,420,403 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 17,731,192 | 46,264,925 | ||||||
Payment on shares redeemed | (21,475,426 | ) | (49,758,758 | ) | ||||
Net cash provided by (used in) financing activities | (3,744,234 | ) | (3,493,833 | ) | ||||
Net increase (decrease) in cash | (3,847,833 | ) | 18,926,570 | |||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 12,172,580 | $ | 20,916,924 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 8,563,844 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 876,000 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 6,426,200 | 7,875,000 | ||||||
Unrealized appreciation on swap agreements | 1,014,468 | — | ||||||
Receivable from capital shares sold | — | 972,789 | ||||||
Receivable on open futures contracts | 54,510 | 59,575 | ||||||
Interest receivable | 46,359 | 60,480 | ||||||
Total assets | 16,981,381 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 13,864 | 20,705 | ||||||
Unrealized depreciation on swap agreements | — | 1,722,623 | ||||||
Total liabilities | 13,864 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 16,967,517 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 16,981,381 | $ | 33,676,127 | ||||
Shares outstanding | 791,329 | 1,641,329 | ||||||
Net asset value per share | $ | 21 .44 | $ | 19 .46 | ||||
Market value per share (Note 2) | $ | 21 .55 | $ | 19 .30 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures - COMEX, expires December 2023 | 109 | $ | 12,235,250 | $ | 851,237 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 10/06/23 | $ | (2,570,998 | ) | $ | 120,165 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | (9,365,796 | ) | 437,748 | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/23 | (7,405,429 | ) | 345,878 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/23 | (2,368,019 | ) | 110,677 | |||||||||||
Total Unrealized Appreciation | $ | 1,014,468 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of September 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 337,096 | $ | 63,222 | $ | 860,908 | $ | 90,885 | ||||||||
Expenses | ||||||||||||||||
Management fee | 78,166 | 67,215 | 220,751 | 190,549 | ||||||||||||
Brokerage commissions | 13,775 | 8,699 | 28,436 | 20,677 | ||||||||||||
Futures account fees | — | — | — | 4,443 | ||||||||||||
Non-recurring fees and expenses | — | 612 | — | 612 | ||||||||||||
Total expenses | 91,941 | 76,526 | 249,187 | 216,281 | ||||||||||||
Net investment income (loss) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 6,217,172 | 1,719,839 | 11,009,808 | 6,370,119 | ||||||||||||
Swap agreements | 704,259 | 4,495,568 | (261,158 | ) | 1,882,774 | |||||||||||
Short-term U.S. government and agency obligations | — | — | (906 | ) | (190 | ) | ||||||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (107,686 | ) | (1,063,521 | ) | 1,791,737 | 800,876 | ||||||||||
Swap agreements | 169,456 | (3,024,441 | ) | 2,737,091 | 770,011 | |||||||||||
Short-term U.S. government and agency obligations | — | 12,438 | — | (3,447 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | |||||||||||
Net realized and unrealized gain (loss) | 6,983,201 | 2,139,883 | 15,276,572 | 9,820,143 | ||||||||||||
Net income (loss) | $ | 7,228,356 | $ | 2,126,579 | $ | 15,888,293 | $ | 9,694,747 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 19,290,473 | $ | 33,052,840 | $ | 31,932,799 | $ | 26,537,000 | ||||||||
Addition of 2,950,000, 1,000,000, 6,050,000 and 2,800,000 shares, respectively | 51,792,185 | 34,082,044 | 107,105,060 | 77,349,605 | ||||||||||||
Redemption of 3,100,000, 1,050,000, 6,900,000 and 2,800,000 shares, respectively | (61,343,497 | ) | (35,498,411 | ) | (137,958,635 | ) | (79,818,300 | ) | ||||||||
Net addition (redemption) of (150,000), (50,000), (850,000) and – shares, respectively | (9,551,312 | ) | (1,416,367 | ) | (30,853,575 | ) | (2,468,695 | ) | ||||||||
Net investment income (loss) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | ||||||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | |||||||||||
Net income (loss) | 7,228,356 | 2,126,579 | 15,888,293 | 9,694,747 | ||||||||||||
Shareholders’ equity, end of period | $ | 16,967,517 | $ | 33,763,052 | $ | 16,967,517 | $ | 33,763,052 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 15,888,293 | $ | 9,694,747 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (39,876,608 | ) | (20,979,052 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 39,937,156 | 41,999,081 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (61,454 | ) | (24,695 | ) | ||||
Net realized (gain) loss on investments | 906 | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,737,091 | ) | (766,564 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | 5,065 | 15,446 | ||||||
Decrease (Increase) in interest receivable | 14,121 | (25,020 | ) | |||||
Increase (Decrease) in payable to Sponsor | (6,841 | ) | 12,281 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (747 | ) | |||||
Increase (Decrease) in payable on open futures contracts | — | 592,924 | ||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 612 | ||||||
Net cash provided by (used in) operating activities | 13,163,547 | 30,519,203 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 108,077,849 | 77,349,605 | ||||||
Payment on shares redeemed | (137,958,635 | ) | (79,818,300 | ) | ||||
Net cash provided by (used in) financing activities | (29,880,786 | ) | (2,468,695 | ) | ||||
Net increase (decrease) in cash | (16,717,239 | ) | 28,050,508 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 15,866,044 | $ | 33,533,984 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ - and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||
Cash | 22,694,511 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,482,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 969,376 | 963,369 | ||||||
Interest receivable | 94,406 | 36,071 | ||||||
Total assets | 26,240,804 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,843 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 48,770 | 3,990,802 | ||||||
Total liabilities | 68,613 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 26,172,191 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 26,240,804 | $ | 28,101,626 | ||||
Shares outstanding | 348,580 | 398,580 | ||||||
Net asset value per share | $ | 75 .08 | $ | 53 .68 | ||||
Market value per share (Note 2) | $ | 75 .08 | $ | 53 .57 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 10/06/23 | 428,237,000 | $ | 2,868,730 | $ | (48,770 | ) | |||||||||
Total Unrealized Depreciation | | $ | (48,770 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 10/06/23 | (3,330,184,165 | ) | $ | (22,308,674 | ) | $ | 406,284 | ||||||||
Yen with UBS AG | 10/06/23 | (4,908,633,574 | ) | (32,882,597 | ) | 563,092 | ||||||||||
Total Unrealized Appreciation | $ | 969,376 | ||||||||||||||
^ | The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 274,125 | $ | 115,191 | $ | 733,679 | $ | 151,503 | ||||||||
Expenses | ||||||||||||||||
Management fee | 58,762 | 106,598 | 167,753 | 259,599 | ||||||||||||
Non-recurring fees and expenses | — | 953 | — | 953 | ||||||||||||
Total expenses | 58,762 | 107,551 | 167,753 | 260,552 | ||||||||||||
Net investment income (loss) | 215,363 | 7,640 | 565,926 | (109,049 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 3,079,208 | 5,879,873 | 3,422,003 | 14,877,216 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | — | 102,971 | ||||||||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (1,059,246 | ) | (546,737 | ) | 3,948,039 | (444,812 | ) | |||||||||
Short-term U.S. government and agency obligations | — | 22,866 | (2,761 | ) | (8,524 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||
Net realized and unrealized gain (loss) | 2,019,962 | 5,356,002 | 7,367,281 | 14,526,851 | ||||||||||||
Net income (loss) | $ | 2,235,325 | $ | 5,363,642 | $ | 7,933,207 | $ | 14,417,802 | ||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 27,077,656 | $ | 45,568,882 | $ | 21,397,736 | $ | 24,840,784 | ||||||||
Addition of –, 250,000, 450,000 and 1,100,000 shares, respectively | — | 15,352,183 | 26,056,375 | 59,472,902 | ||||||||||||
Redemption of 50,000, 250,000, 500,000 and 900,000 shares, respectively | (3,140,790 | ) | (14,347,369 | ) | (29,215,127 | ) | (46,794,150 | ) | ||||||||
Net addition (redemption) of (50,000), –, (50,000) and 200,000 shares, respectively | (3,140,790 | ) | 1,004,814 | (3,158,752 | ) | 12,678,752 | ||||||||||
Net investment income (loss) | 215,363 | 7,640 | 565,926 | (109,049 | ) | |||||||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||
Net income (loss) | 2,235,325 | 5,363,642 | 7,933,207 | 14,417,802 | ||||||||||||
Shareholders’ equity, end of period | $ | 26,172,191 | $ | 51,937,338 | $ | 26,172,191 | $ | 51,937,338 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 7,933,207 | $ | 14,417,802 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | — | (17,984,732 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 34,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (24,192 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (3,945,278 | ) | 453,336 | |||||
Decrease (Increase) in interest receivable | (58,335 | ) | (42,154 | ) | ||||
Increase (Decrease) in payable to Sponsor | (9,790 | ) | 48,690 | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 953 | ||||||
Net cash provided by (used in) operating activities | 26,915,102 | 30,869,703 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 26,056,375 | 59,472,902 | ||||||
Payment on shares redeemed | (31,898,582 | ) | (46,794,150 | ) | ||||
Net cash provided by (used in) financing activities | (5,842,207 | ) | 12,678,752 | |||||
Net increase (decrease) in cash | 21,072,895 | 43,548,455 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 25,177,022 | $ | 46,551,706 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively) | $ | – | $ | 49,882,348 | ||||
Cash | 50,204,095 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 9,032,162 | 14,384,050 | ||||||
Receivable on open futures contracts | 560,581 | 142,794 | ||||||
Interest receivable | 208,470 | 88,180 | ||||||
Total assets | 60,005,308 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Brokerage commissions and futures account fees payable | 2,387 | 3,688 | ||||||
Payable to Sponsor | 34,897 | 54,664 | ||||||
Total liabilities | 37,284 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 59,968,024 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 60,005,308 | $ | 84,073,311 | ||||
Shares outstanding | 3,087,403 | 2,762,403 | ||||||
Net asset value per share | $ | 19 .42 | $ | 30 .41 | ||||
Market value per share (Note 2) | $ | 19 .41 | $ | 30 .36 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires January 2024 | 617 | $ | 11,784,515 | $ | (350,626 | ) | ||||||
VIX Futures - Cboe, expires February 2024 | 1,028 | 19,841,839 | (508,849 | ) | ||||||||
VIX Futures - Cboe, expires March 2024 | 1,028 | 20,146,847 | (104,194 | ) | ||||||||
VIX Futures - Cboe, expires April 2024 | 411 | 8,178,119 | 19,997 | |||||||||
$ | (943,672 | ) | ||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 597,040 | $ | 220,211 | $ | 1,895,545 | $ | 296,960 | ||||||||
Expenses | ||||||||||||||||
Management fee | 117,018 | 201,508 | 401,207 | 627,755 | ||||||||||||
Brokerage commissions | 8,822 | 17,922 | 30,191 | 58,291 | ||||||||||||
Futures account fees | 9,991 | — | 33,287 | 46,394 | ||||||||||||
Non-recurring fees and expenses | — | 2,050 | — | 2,050 | ||||||||||||
Total expenses | 135,831 | 221,480 | 464,685 | 734,490 | ||||||||||||
Net investment income (loss) | 461,209 | (1,269 | ) | 1,430,860 | (437,530 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,613 | |||||||||
Short-term U.S. government and agency obligations | — | — | — | (336 | ) | |||||||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,277 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 8,934,542 | 3,236,565 | 3,847,551 | 6,941,620 | ||||||||||||
Short-term U.S. government and agency obligations | — | 131,644 | (5,651 | ) | (54,576 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | 3,841,900 | 6,887,044 | ||||||||||||
Net realized and unrealized gain (loss) | (3,309,969 | ) | 2,018,937 | (31,166,664 | ) | 18,191,321 | ||||||||||
Net income (loss) | $ | (2,848,760 | ) | $ | 2,017,668 | $ | (29,735,804 | ) | $ | 17,753,791 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 49,421,413 | $ | 95,721,271 | $ | 84,014,959 | $ | 112,875,680 | ||||||||
Addition of 850,000, 850,000, 1,700,000 and 1,850,000 shares, respectively | 16,840,213 | 28,312,142 | 38,658,971 | 60,491,195 | ||||||||||||
Redemption of 175,000, 450,000, 1,375,000 and 2,425,000 shares, respectively | (3,444,842 | ) | (15,630,507 | ) | (32,970,102 | ) | (80,700,092 | ) | ||||||||
Net addition (redemption) of 675,000, 400,000, 325,000 and (575,000) shares, respectively | 13,395,371 | 12,681,635 | 5,688,869 | (20,208,897 | ) | |||||||||||
Net investment income (loss) | 461,209 | (1,269 | ) | 1,430,860 | (437,530 | ) | ||||||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | (35,008,564 | ) | 11,304,277 | |||||||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | 3,841,900 | 6,887,044 | ||||||||||||
Net income (loss) | (2,848,760 | ) | 2,017,668 | (29,735,804 | ) | 17,753,791 | ||||||||||
Shareholders’ equity, end of period | $ | 59,968,024 | $ | 110,420,574 | $ | 59,968,024 | $ | 110,420,574 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (29,735,804 | ) | $ | 17,753,791 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (294,811,992 | ) | (66,991,148 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 345,000,000 | 120,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (311,311 | ) | (63,980 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 5,651 | 54,576 | ||||||
Decrease (Increase) in receivable on open futures contracts | (417,787 | ) | (765,221 | ) | ||||
Decrease (Increase) in interest receivable | (120,290 | ) | (84,257 | ) | ||||
Increase (Decrease) in payable to Sponsor | (19,767 | ) | 51,511 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (1,301 | ) | (7,124 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | (94,495 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 2,050 | ||||||
Net cash provided by (used in) operating activities | 19,587,399 | 70,854,587 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 38,658,971 | 60,491,195 | ||||||
Payment on shares redeemed | (32,970,102 | ) | (78,938,105 | ) | ||||
Net cash provided by (used in) financing activities | 5,688,869 | (18,446,910 | ) | |||||
Net increase (decrease) in cash | 25,276,268 | 52,407,677 | ||||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 59,236,257 | $ | 79,479,496 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,624,795 and $89,329,814, respectively) | $ | 104,639,666 | $ | 89,347,714 | ||||
Cash | 23,955,940 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 65,304,529 | 91,634,942 | ||||||
Receivable on open futures contracts | 17,543,264 | 52,643,553 | ||||||
Interest receivable | 266,995 | 403,667 | ||||||
Total assets | 211,710,394 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | — | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 11,670 | 27,102 | ||||||
Payable to Sponsor | 94,296 | 155,130 | ||||||
Total liabilities | 105,966 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 211,604,428 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 211,710,394 | $ | 267,556,744 | ||||
Shares outstanding (Note 1) | 9,075,947 | 4,676,565 | ||||||
Net asset value per share (Note 1) | $ | 23 .31 | $ | 57 .00 | ||||
Market value per share (Note 1) (Note 2) | $ | 23 .30 | $ | 56 .90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.407% due 10/10/23 | $ | 25,000,000 | $ | 24,970,695 | ||||
5.478% due 10/17/23 | 45,000,000 | 44,900,905 | ||||||
5.490% due 11/14/23 | 25,000,000 | 24,841,885 | ||||||
5.497% due 11/21/23 | 10,000,000 | 9,926,181 | ||||||
Total short-term U.S. government and agency obligations (cost $104,624,795) | $ | 104,639,666 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 7,067 | $ | 125,589,070 | $ | 11,154,767 | |||||||
VIX Futures - Cboe, expires November 2023 | 4,719 | 86,104,290 | 719,403 | |||||||||
$ | 11,874,170 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,271,345 | $ | 1,400,201 | $ | 6,832,197 | $ | 1,678,813 | ||||||||
Expenses | ||||||||||||||||
Management fee | 447,560 | 874,070 | 1,495,874 | 2,353,478 | ||||||||||||
Brokerage commissions | 58,426 | 203,095 | 250,314 | 490,751 | ||||||||||||
Futures account fees | 44,110 | 54,944 | 143,501 | 371,384 | ||||||||||||
Non-recurring fees and expenses | — | 8,700 | — | 8,700 | ||||||||||||
Total expenses | 550,096 | 1,140,809 | 1,889,689 | 3,224,313 | ||||||||||||
Net investment income (loss) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (54,950,042 | ) | (45,457,319 | ) | (228,276,043 | ) | 31,935,990 | |||||||||
Short-term U.S. government and agency obligations | — | — | (10,605 | ) | (300 | ) | ||||||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 41,847,057 | 51,449,994 | 21,670,993 | 84,956,040 | ||||||||||||
Short-term U.S. government and agency obligations | (5,866 | ) | 248,953 | (3,029 | ) | (104,697 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | ||||||||||||
Net realized and unrealized gain (loss) | (13,108,851 | ) | 6,241,628 | (206,618,684 | ) | 116,787,033 | ||||||||||
Net income (loss) | $ | (11,387,602 | ) | $ | 6,501,020 | $ | (201,676,176 | ) | $ | 115,241,533 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 230,227,830 | $ | 341,714,316 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
Addition of 2,475,000, 3,555,000, 9,235,000 and7,180,000 shares, respectively (Note 1) | 56,655,376 | 261,088,034 | 324,424,030 | 563,456,503 | ||||||||||||
Redemption of 2,625,618, 2,190,000, 4,835,618 and5,630,000 shares, respectively (Note 1) | (63,891,176 | ) | (171,766,742 | ) | (177,723,746 | ) | (510,864,572 | ) | ||||||||
Net addition (redemption) of (150,618), 1,365,000, 4,399,382 and 1,550,000 shares, respectively (Note 1) | (7,235,800 | ) | 89,321,292 | 146,700,284 | 52,591,931 | |||||||||||
Net investment income (loss) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | |||||||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | |||||||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | ||||||||||||
Net income (loss) | (11,387,602 | ) | 6,501,020 | (201,676,176 | ) | 115,241,533 | ||||||||||
Shareholders’ equity, end of period | $ | 211,604,428 | $ | 437,536,628 | $ | 211,604,428 | $ | 437,536,628 | ||||||||
Nine Months Ended September 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (201,676,176 | ) | $ | 115,241,533 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (614,146,126 | ) | (2,462,189,566 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 601,754,108 | 2,455,998,870 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,913,568 | ) | (725,037 | ) | ||||
Net realized (gain) loss on investments | 10,605 | 300 | ||||||
Change in unrealized (appreciation) depreciation on investments | 3,029 | 104,697 | ||||||
Decrease (Increase) in receivable on open futures contracts | 35,100,289 | (67,758,303 | ) | |||||
Decrease (Increase) in interest receivable | 136,672 | (362,333 | ) | |||||
Increase (Decrease) in payable to Sponsor | (60,834 | ) | 372,867 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (15,432 | ) | (20,676 | ) | ||||
Increase (Decrease) in payable on open futures contracts | (223,719 | ) | (2,037,391 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 8,700 | ||||||
Net cash provided by (used in) operating activities | (182,031,152 | ) | 38,633,661 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 324,424,030 | 566,483,117 | ||||||
Payment on shares redeemed | (178,294,219 | ) | (498,163,549 | ) | ||||
Net cash provided by (used in) financing activities | 146,129,811 | 68,319,568 | ||||||
Net increase (decrease) in cash | (35,901,341 | ) | 106,953,229 | |||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 89,260,469 | $ | 222,914,045 | ||||
September 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,374,810,703 and $1,466,423,925, respectively) | $ | 1,375,005,218 | $ | 1,466,680,542 | ||||
Cash | 367,158,559 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 858,586,121 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 9,686,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 524,175,300 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 12,904,475 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,564,273 | 2,823,510 | ||||||
Receivable from capital shares sold | 31,210,088 | 1,014,483 | ||||||
Receivable on open futures contracts | 214,636,493 | 522,770,291 | ||||||
Interest receivable | 4,484,827 | 4,920,772 | ||||||
Total assets | 3,400,411,986 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 47,876,891 | 32,725,077 | ||||||
Payable on open futures contracts | 14,962,756 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 105,802 | 165,165 | ||||||
Payable to Sponsor | 2,610,466 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 33,398,222 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 998,472 | 6,911,994 | ||||||
Total liabilities | 99,952,609 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,300,459,377 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 3,400,411,986 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 105,689,214 | 89,444,047 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 33,986,958 | $ | 14,620,209 | $ | 103,035,154 | $ | 19,240,564 | ||||||||
Expenses | ||||||||||||||||
Management fee | 8,433,063 | 11,269,281 | 27,104,933 | 33,494,289 | ||||||||||||
Brokerage commissions | 1,640,018 | 2,210,735 | 6,556,137 | 6,013,653 | ||||||||||||
Futures account fees | 313,663 | 449,872 | 1,142,555 | 3,285,001 | ||||||||||||
Non-recurring fees and expenses | — | 81,773 | — | 81,773 | ||||||||||||
Total expenses | 10,386,744 | 14,011,661 | 34,803,625 | 42,874,716 | ||||||||||||
Net investment income (loss) | 23,600,214 | 608,548 | 68,231,529 | (23,634,152 | ) | |||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 14,374,480 | (321,993,985 | ) | (1,974,626,401 | ) | 188,147,013 | ||||||||||
Swap agreements | 190,429,303 | (438,845,993 | ) | 153,509,127 | 217,520,213 | |||||||||||
Foreign currency forward contracts | 1,079,187 | 13,695,610 | (1,741,651 | ) | 26,532,572 | |||||||||||
Short-term U.S. government and agency obligations | 205 | (71,343 | ) | (195,666 | ) | (264,143 | ) | |||||||||
Net realized gain (loss) | 205,883,175 | (747,215,711 | ) | (1,823,054,591 | ) | 431,935,655 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (202,241,004 | ) | 291,970,061 | 135,612,832 | 354,740,180 | |||||||||||
Swap agreements | (41,076,901 | ) | 112,369,648 | (138,058,422 | ) | (213,954,485 | ) | |||||||||
Foreign currency forward contracts | 1,962,662 | (1,017,583 | ) | 5,654,285 | 2,088,381 | |||||||||||
Short-term U.S. government and agency obligations | (111,348 | ) | 3,053,986 | (62,102 | ) | (971,900 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (241,466,591 | ) | 406,376,112 | 3,146,593 | 141,902,176 | |||||||||||
Net realized and unrealized gain (loss) | (35,583,416 | ) | (340,839,599 | ) | (1,819,907,998 | ) | 573,837,831 | |||||||||
Net income (loss) | $ | (11,983,202 | ) | $ | (340,231,051 | ) | $ | (1,751,676,469 | ) | $ | 550,203,679 | |||||
* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 3,753,845,537 | $ | 4,563,369,776 | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||||||
Addition of 57,975,000, 100,995,000, 190,410,000 and 194,805,000 shares, respectively (Note 1) | 1,835,741,719 | 3,360,951,964 | 8,495,699,775 | 8,989,738,725 | ||||||||||||
Redemption of 63,757,333, 97,035,000, 174,164,833 and 191,370,926 shares, respectively (Note 1) | (2,277,144,677 | ) | (3,379,709,104 | ) | (7,331,350,675 | ) | (9,509,035,162 | ) | ||||||||
Net addition (redemption) of (5,782,333), 3,960,000, 16,245,167 and 3,434,074 shares, respectively (Note 1) | (441,402,958 | ) | (18,757,140 | ) | 1,164,349,100 | (519,296,437 | ) | |||||||||
Net investment income (loss) | 23,600,214 | 608,548 | 68,231,529 | (23,634,152 | ) | |||||||||||
Net realized gain (loss) | 205,883,175 | (747,215,711 | ) | (1,823,054,591 | ) | 431,935,655 | ||||||||||
Change in net unrealized appreciation (depreciation) | (241,466,591 | ) | 406,376,112 | 3,146,593 | 141,902,176 | |||||||||||
Net income (loss) | (11,983,202 | ) | (340,231,051 | ) | (1,751,676,469 | ) | 550,203,679 | |||||||||
Shareholders’ equity, end of period | $ | 3,300,459,377 | $ | 4,204,381,585 | $ | 3,300,459,377 | $ | 4,204,381,585 | ||||||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Nine Months Ended September 30, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,751,676,469 | ) | $ | 550,203,679 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (27,871,422,186 | ) | (32,181,153,315 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 28,009,309,658 | 32,879,938,110 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (46,469,916 | ) | (9,697,124 | ) | ||||
Net realized (gain) loss on investments | 195,666 | 264,143 | ||||||
Change in unrealized (appreciation) depreciation on investments | 132,466,239 | 212,838,004 | ||||||
Decrease (Increase) in receivable on futures contracts | 308,133,798 | (333,246,149 | ) | |||||
Decrease (Increase) in interest receivable | 435,945 | (3,095,982 | ) | |||||
Increase (Decrease) in payable to Sponsor | (599,647 | ) | 4,244,972 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (59,363 | ) | (327,015 | ) | ||||
Increase (Decrease) in payable on futures contracts | 3,219,962 | (37,886,245 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 81,773 | ||||||
Net cash provided by (used in) operating activities | (1,216,466,313 | ) | 1,082,164,851 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 8,465,504,170 | 9,008,566,233 | ||||||
Payment on shares redeemed | (7,316,198,861 | ) | (9,440,488,808 | ) | ||||
Net cash provided by (used in) financing activities | 1,149,305,309 | (431,922,575 | ) | |||||
Net increase (decrease) in cash | (67,161,004 | ) | 650,242,276 | |||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 1,759,606,612 | $ | 2,058,943,514 | ||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Fund | Execution Date (Prior to Opening of Trading) | Type of Split | Date Trading Resumed at Post- Split Price | |||||
ProShares UltraShort Bloomberg Natural Gas | January 13, 2022 | 1-for-5 | January 14, 2022 | |||||
ProShares UltraShort Yen | May 25, 2022 | 2-for-1 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Crude Oil | May 25, 2022 | 4-for-1 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Natural Gas | May 25, 2022 | 1-for-4 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Crude Oil | May 25, 2022 | 1-for-5 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Natural Gas | June 23, 2023 | 1-for-20 | June 24, 2023 | |||||
ProShares Ultra VIX Short-Term Futures | June 23, 2023 | 1-for-10 | June 24, 2023 | |||||
ProShares VIX Short-Term Futures | June 23, 2023 | 1-for-5 | June 24, 2023 |
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 29, 2023 | |||||||||
Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | September 29, 2023 | |||||||||
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 29, 2023 | |||||||||
Ultra Euro, | ||||||||||||
Ultra Yen, | ||||||||||||
UltraShort Euro and | ||||||||||||
UltraShort Yen | 3:00 p.m. | 4:00 p.m. | September 29, 2023 | |||||||||
Short VIX Short-Term Futures ETF, | ||||||||||||
Ultra VIX Short-Term Futures ETF, | ||||||||||||
VIX Mid-Term Futures ETF and | ||||||||||||
VIX Short-Term Futures ETF | 2:00 p.m. | 4:00 p.m. | September 29, 2023 |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2023. |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 104,670,946 | $ | (2,387,385 | ) | $ | — | $ | — | $ | 102,283,561 | |||||||||
ProShares Ultra Bloomberg Crude Oil | 264,081,088 | 24,729,920 | — | 11,240,991 | 300,051,999 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 303,858,387 | (114,592,473 | ) | — | (1,438,294 | ) | 187,827,620 | |||||||||||||
ProShares Ultra Euro | — | — | (222,712 | ) | — | (222,712 | ) | |||||||||||||
ProShares Ultra Gold | 109,664,879 | (2,617,740 | ) | — | (10,343,189 | ) | 96,703,950 | |||||||||||||
ProShares Ultra Silver | 199,275,356 | (6,167,328 | ) | — | (21,616,739 | ) | 171,491,289 | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 84,581,081 | 29,009,491 | — | — | 113,590,572 | |||||||||||||||
ProShares Ultra Yen | — | — | (580,421 | ) | — | (580,421 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 184,298,349 | (25,040,263 | ) | — | — | 159,258,086 | ||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 19,935,466 | 23,776,317 | — | — | 43,711,783 | |||||||||||||||
ProShares UltraShort Euro | — | — | 1,448,328 | — | 1,448,328 | |||||||||||||||
ProShares UltraShort Gold | — | 510,754 | — | 649,016 | 1,159,770 | |||||||||||||||
ProShares UltraShort Silver | — | 851,237 | — | 1,014,468 | 1,865,705 | |||||||||||||||
ProShares UltraShort Yen | — | — | 920,606 | — | 920,606 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | (943,672 | ) | — | — | (943,672 | ) | |||||||||||||
ProShares VIX Short-Term Futures ETF | 104,639,666 | 11,874,170 | — | — | 116,513,836 | |||||||||||||||
Combined Trust: | $ | 1,375,005,218 | $ | (60,996,972 | ) | $ | 1,565,801 | $ | (20,493,747 | ) | $ | 1,295,080,300 |
* | Includes cumulative 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 VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 313,465,007 | 26,291,716 | — | 74,159,577 | 413,916,300 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) | |||||||||||||
ProShares Ultra Euro | — | — | 415,656 | — | 415,656 | |||||||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | |||||||||||||||
ProShares Ultra Silver | 228,657,634 | 29,426,574 | — | 39,224,212 | 297,308,420 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | |||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | |||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | ||||||||||||||
Combined Trust: | $ | 1,466,680,542 | $ | (196,609,804 | ) | $ | (4,088,484 | ) | $ | 117,564,675 | $ | 1,383,546,929 |
* | Includes cumulative 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 | $ | — | $ | 2,387,385 | * | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | 29,009,491 | * | — | |||||||||||
ProShares VIX Mid-Term Futures ETF | 19,997 | * | 963,669 | * | ||||||||||
ProShares VIX Short-Term Futures ETF | 11,874,170 | * | — | |||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 36,159,401 | * | 188,490 | * | ||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 116,030,767 | * | |||||||||||
ProShares Ultra Gold | — | 12,960,929 | * | |||||||||||
ProShares Ultra Silver | — | 27,784,068 | * | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | 822,565 | * | 25,862,828 | * | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 23,776,317 | * | — | |||||||||||
ProShares UltraShort Gold | 1,159,770 | * | — | |||||||||||
ProShares UltraShort Silver | 1,865,705 | * | — | |||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts | ||||||||||||
ProShares Ultra Euro | 867 | 223,579 | ||||||||||||
ProShares Ultra Yen | 8,894 | 589,315 | ||||||||||||
ProShares UltraShort Euro | 1,585,136 | 136,808 | ||||||||||||
ProShares UltraShort Yen | 969,376 | 48,770 | ||||||||||||
Combined Trust: | $ | 107,251,689 | * | $ | 187,176,608 | * |
* | Includes cumulative 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 | $ | 11,092,381 | * | $ | — | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 | * | |||||||||||
ProShares VIX Mid-Term Futures ETF | — | 4,791,223 | * | |||||||||||
ProShares VIX Short-Term Futures ETF | — | 9,796,823 | * | |||||||||||
Commodities Contracts | Receivables on open futures contracts and/or unrealized appreciation on swap agreements | Payable on open futures contracts and/or unrealized depreciation on swap agreements | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | | 100,451,293 | * | — | ||||||||||
ProShares Ultra Bloomberg Natural Gas | — | | 310,613,969 | * | ||||||||||
ProShares Ultra Gold | 9,738,554 | * | — | |||||||||||
ProShares Ultra Silver | 68,650,786 | * | — | |||||||||||
ProShares UltraShort Bloomberg Crude Oil | 13,202,924 | * | 2,958,031 | * | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 85,889,398 | * | — | |||||||||||
ProShares UltraShort Gold | — | 691,843 | * | |||||||||||
ProShares UltraShort Silver | — | 2,663,123 | * | |||||||||||
Foreign Exchange Contracts | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |
ProShares Ultra Euro | 514,115 | 98,459 | ||||||||||||
ProShares Ultra Yen | 1,152,834 | 168,285 | ||||||||||||
ProShares UltraShort Euro | 193,192 | 2,654,448 | ||||||||||||
ProShares UltraShort Yen | 963,369 | 3,990,802 | ||||||||||||
Combined Trust: | $ | 291,848,846 | * | $ | 374,982,459 | * |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 30,285,319 | $ | (26,316,590 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (142,584,115 | ) | 108,839,211 | |||||||||
ProShares VIX Mid-Term Futures ETF | (12,244,511 | ) | 8,934,542 | |||||||||
ProShares VIX Short-Term Futures ETF | (54,950,042 | ) | 41,847,057 | |||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 244,550,123 | 28,244,846 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 237,079,838 | (410,454,461 | ) | |||||||||
ProShares Ultra Gold | (16,876,003 | ) | (522,115 | ) | ||||||||
ProShares Ultra Silver | (30,251,410 | ) | 239,211 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | (47,764,820 | ) | (38,026,419 | ) | ||||||||
ProShares UltraShort Bloomberg Natural Gas | (10,798,451 | ) | 44,086,649 | |||||||||
ProShares UltraShort Gold | 1,436,424 | (251,606 | ) | |||||||||
ProShares UltraShort Silver | 6,921,431 | 61,770 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
ProShares Ultra Euro | (22,385 | ) | (462,400 | ) | ||||||||
ProShares Ultra Yen | (1,854,770 | ) | 277,206 | |||||||||
ProShares UltraShort Euro | (122,866 | ) | 3,207,102 | |||||||||
ProShares UltraShort Yen | 3,079,208 | (1,059,246 | ) | |||||||||
Combined Trust | $ | 205,882,970 | $ | (241,355,243 | ) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | |||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 125,117,609 | $ | (13,479,766 | ) | |||||||
ProShares Ultra VIX Short-Term Futures ETF | (751,122,089 | ) | 65,564,944 | |||||||||
ProShares VIX Mid-Term Futures ETF | (35,008,564 | ) | 3,847,551 | |||||||||
ProShares VIX Short-Term Futures ETF | (228,276,043 | ) | 21,670,993 | |||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 253,975,133 | (64,480,382 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | (1,441,434,725 | ) | 194,583,202 | |||||||||
ProShares Ultra Gold | 11,120,462 | (22,699,483 | ) | |||||||||
ProShares Ultra Silver | 5,667,026 | (96,434,853 | ) | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 7,896,254 | (35,285,156 | ) | |||||||||
ProShares UltraShort Bloomberg Natural Gas | 221,346,621 | (62,113,081 | ) | |||||||||
ProShares UltraShort Gold | (1,147,608 | ) | 1,851,613 | |||||||||
ProShares UltraShort Silver | 10,748,650 | 4,528,828 | ||||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Ultra Euro | 336,185 | (638,368 | ) | |||||||||
ProShares Ultra Yen | (2,923,720 | ) | (1,564,970 | ) | ||||||||
ProShares UltraShort Euro | (2,576,119 | ) | 3,909,584 | |||||||||
ProShares UltraShort Yen | 3,422,003 | 3,948,039 | ||||||||||
Combined Trust: | $ | (1,822,858,925 | ) | $ | 3,208,695 |
* | Includes cumulative 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 | $ | 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 |
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 |
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 11,240,991 | $ | — | $ | 11,240,991 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,438,294 | — | 1,438,294 | ||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 867 | — | 867 | 223,579 | — | 223,579 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 10,343,189 | — | 10,343,189 | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 21,616,739 | — | 21,616,739 | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 8,894 | — | 8,894 | 589,315 | — | 589,315 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,585,136 | — | 1,585,136 | 136,808 | — | 136,808 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | 649,016 | — | 649,016 | — | — | — | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | 1,014,468 | — | 1,014,468 | — | — | — | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 969,376 | — | 969,376 | 48,770 | — | 48,770 |
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023 | ||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | 1,869,634 | $ | (1,869,634 | ) | $ | — | $ | — | |||||||
Goldman Sachs International | 2,324,555 | (2,324,555 | ) | — | — | |||||||||||
Morgan Stanley & Co. | ||||||||||||||||
International PLC | 1,607,761 | (1,368,876 | ) | (238,885 | ) | — | ||||||||||
Societe Generale | 1,776,923 | (1,776,923 | ) | — | — | |||||||||||
UBS AG | 3,662,118 | (3,662,118 | ) | — | — | |||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||
Citibank, N.A. | (706,090 | ) | — | 706,090 | — | |||||||||||
Goldman Sachs International | (482,438 | ) | — | 482,438 | — | |||||||||||
Societe Generale | (245,972 | ) | — | 245,972 | — | |||||||||||
UBS AG | (3,794 | ) | — | 3,794 | — | |||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | (136,003 | ) | — | 136,003 | — | |||||||||||
UBS AG | (86,709 | ) | — | 86,709 | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (4,441,216 | ) | — | 4,441,216 | — | |||||||||||
Goldman Sachs International | (2,109,437 | ) | — | 2,109,437 | — | |||||||||||
UBS AG | (3,792,536 | ) | — | 3,792,536 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | (7,524,763 | ) | — | 7,524,763 | — | |||||||||||
Goldman Sachs International | (994,790 | ) | — | 994,790 | — | |||||||||||
Morgan Stanley & Co. International PLC | (6,749,262 | ) | — | 6,749,262 | — | |||||||||||
UBS AG | (6,347,924 | ) | — | 6,347,924 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (268,253 | ) | — | 268,253 | — | |||||||||||
UBS AG | (312,168 | ) | — | 312,168 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | 763,505 | (763,505 | ) | — | — | |||||||||||
UBS AG | 684,823 | (684,823 | ) | — | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 149,583 | — | — | 149,583 | ||||||||||||
Goldman Sachs International | 196,202 | — | — | 196,202 | ||||||||||||
UBS AG | 303,231 | (262,149 | ) | — | 41,082 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | 120,165 | — | — | 120,165 | ||||||||||||
Goldman Sachs International | 437,748 | (344,363 | ) | — | 93,385 | |||||||||||
Morgan Stanley & Co. International PLC | 345,878 | — | — | 345,878 | ||||||||||||
UBS AG | 110,677 | — | — | 110,677 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 406,284 | (331,699 | ) | — | 74,585 | |||||||||||
UBS AG | 514,322 | (290,824 | ) | — | 223,498 |
Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | ||||||||||||||||
Fund | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition | Financial Instruments for the Benefit of (the Funds) / the Counterparties | Cash Collateral for the Benefit of (the Funds) / the Counterparties | Net Amount | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||
Citibank, N.A. | $ | 11,723,388 | $ | — | $ | (7,220,000 | ) | $ | 4,503,388 | |||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | (12,510,000 | ) | 7,795,392 | |||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 | ||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 217,491 | — | — | 217,491 | ||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,582,849 | — | (2,570,000 | ) | 12,849 | |||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | |||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 12,628,472 | — | (12,628,472 | ) | — | |||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | |||||||||||
Morgan Stanley & Co. | ||||||||||||||||
International PLC | 13,862,180 | — | (10,733,000 | ) | 3,129,180 | |||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | |||||||||||
UBS AG | 301,429 | — | — | 301,429 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | |||||||||||
UBS AG | (1,340,106 | ) | — | 1,340,106 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | |||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | |||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | |||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | |||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | |||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | |||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
Three Months Ended | Nine Months Ended | |||||||
Fund | September 30, 2023 | September 30, 2023 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 41,549 | $ | 203,485 | ||||
ProShares Ultra Bloomberg Crude Oil | — | — | ||||||
ProShares Ultra Bloomberg Natural Gas | — | — | ||||||
ProShares Ultra Euro | — | — | ||||||
ProShares Ultra Gold | — | — | ||||||
ProShares Ultra Silver | — | — | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 248,309 | 1,068,660 | ||||||
ProShares Ultra Yen | — | — | ||||||
ProShares UltraShort Bloomberg Crude Oil | — | — | ||||||
ProShares UltraShort Bloomberg Natural Gas | — | — | ||||||
ProShares UltraShort Euro | — | — | ||||||
ProShares UltraShort Gold | — | — | ||||||
ProShares UltraShort Silver | — | — | ||||||
ProShares UltraShort Yen | — | — | ||||||
ProShares VIX Mid-Term Futures ETF | 6,068 | 21,579 | ||||||
ProShares VIX Short-Term Futures ETF | 47,895 | 215,117 | ||||||
Combined Trust: | $ | 343,821 | $ | 1,508,841 |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Net investment income (loss) | 0.60 | 0.16 | 0.38 | 0.10 | 0.47 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 0.97 | 11.34 | (15.86 | ) | (0.82 | ) | (6.08 | ) | (2.46 | ) | ||||||||||||||
Change in net asset value from operations | 1.57 | 11.50 | (15.48 | ) | (0.72 | ) | (5.61 | ) | (2.28 | ) | ||||||||||||||
Net asset value, at September 30, 2023 | $ | 86.25 | $ | 35.24 | $ | 54.00 | $ | 10.87 | $ | 52.75 | $ | 24.76 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 86.34 | $ | 35.28 | $ | 54.38 | $ | 10.85 | $ | 52.60 | $ | 24.61 | ||||||||||||
Total Return, at net asset value^ | 1.9 | % | 48.4 | % | (22.3 | )% | (6.2 | )% | (9.6 | )% | (8 .4 | )% | ||||||||||||
Total Return, at market value^ | 2.0 | % | 49.2 | % | (21.2 | )% | (6.6 | )% | (9.7 | )% | (8.7 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.16 | % | 0.98 | % | 1 .26 | % | 0.95 | % | 0.96 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.77 | % | 2.13 | % | 2 .49 | % | 3.56 | % | 3.22 | % | 2.58 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Net investment income (loss) | 0.09 | 0.25 | 0.17 | 0.45 | 0.26 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (2.37 | ) | (2.64 | ) | (8.93 | ) | 5.95 | 2.07 | 3.01 | |||||||||||||||
Change in net asset value from operations | (2.28 | ) | (2.39 | ) | (8.76 | ) | 6.40 | 2.33 | 3.24 | |||||||||||||||
Net asset value, at September 30, 2023 | $ | 16.20 | $ | 25.01 | $ | 16.86 | $ | 61.46 | $ | 31.43 | $ | 32.14 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 16.21 | $ | 25.00 | $ | 16.82 | $ | 61.04 | $ | 31.43 | $ | 32.20 | ||||||||||||
Total Return, at net asset value^ | (12.4 | )% | (8.7 | )% | (34.2 | )% | 11.6 | % | 8 .0 | % | 11.2 | % | ||||||||||||
Total Return, at market value^ | (12.3 | )% | (8.8 | )% | (34.6 | )% | 10.1 | % | 8 .0 | % | 11.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.68 | % | 0.95 | % | 1.04 | % | 1.44 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.16 | % | 3.66 | % | 3.47 | % | 3.16 | % | 3.51 | % | 3.13 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid-Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Net investment income (loss) | 0.14 | 0.61 | 0.17 | 0.19 | ||||||||||||
Net realized and unrealized gain (loss)# | 0.81 | 6.53 | (1.24 | ) | (1.83 | ) | ||||||||||
Change in net asset value from operations | 0.95 | 7.14 | (1.07 | ) | (1.64 | ) | ||||||||||
Net asset value, at September 30, 2023 | $ | 21.44 | $ | 75.08 | $ | 19.42 | $ | 23.31 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Market value per share, at September 30, 2023 † | $ | 21.55 | $ | 75.08 | $ | 19.41 | $ | 23.30 | ||||||||
Total Return, at net asset value^ | 4.6 | % | 10.5 | % | (5.2 | )% | (6.6 | )% | ||||||||
Total Return, at market value^ | 4.7 | % | 10.5 | % | (5.2 | )% | (6.6 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.12 | % | 0.95 | % | 0.99 | % | 1.04 | % | ||||||||
Net investment income gain (loss) | 2.98 | % | 3.48 | % | 3.35 | % | 3.27 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Net investment income (loss) | (0.01 | ) | 0.01 | 0.58 | 0.00 | (1) | 0.05 | 0.00 | (2) | |||||||||||||||
Net realized and unrealized gain (loss)# | 0.38 | (15.41 | ) | 273.12 | (1.51 | ) | (9.44 | ) | (3.94 | ) | ||||||||||||||
Change in net asset value from operations | 0.37 | (15.40 | ) | 273.70 | (1.51 | ) | (9.39 | ) | (3.94 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 1064.40 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 1073.20 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | 0.8 | % | (37.0 | )% | 34.6 | % | (13.7 | )% | (16.6 | )% | (15.9 | )% | ||||||||||||
Total Return, at market value^ | 0.8 | % | (37.3 | )% | 27.5 | % | (13.9 | )% | (16.9 | )% | (15.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1 .01 | % | 1 .16 | % | 0.96 | % | 0.97 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.09 | )% | 0 .07 | % | 0 .15 | % | 0.16 | % | 0.38 | % | (0.02 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
(1) | Amount represents less than $0.005. |
(2) | Amount represents greater than $(0.005). |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Net investment income (loss) | (0.04 | ) | 0.01 | 0.02 | 0.00 | (1) | 0.01 | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain (loss)# | (16.35 | ) | (4.49 | ) | 7.28 | (25.30 | ) | 4.45 | 5.64 | |||||||||||||||
Change in net asset value from operations | (16.39 | ) | (4.48 | ) | 7.30 | (25.30 | ) | 4.46 | 5.63 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 128.74 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 128.50 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | (11.3 | )% | (13.3 | )% | 31.7 | % | (59.3 | )% | 14.7 | % | 17.9 | % | ||||||||||||
Total Return, at market value^ | (11.6 | )% | (13.2 | )% | 32.1 | % | (57.0 | )% | 14.7 | % | 18.1 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .46 | % | 0.96 | % | 1.11 | % | 1 .25 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.14 | )% | 0.18 | % | 0.32 | % | (0.01 | )% | 0.12 | % | (0.11 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
(1) | Amount represents greater than $(0.005). |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Net investment income (loss) | (0.02 | ) | 0.01 | 0.00 | (1) | 0.05 | ||||||||||
Net realized and unrealized gain (loss)# | 2.34 | 7.97 | 0.19 | (5.63 | ) | |||||||||||
Change in net asset value from operations | 2.32 | 7.98 | 0.19 | (5.58 | ) | |||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 85.51 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 85.50 | ||||||||
Total Return, at net asset value^ | 7 .3 | % | 14.0 | % | 0 .6 | % | (6.1 | )% | ||||||||
Total Return, at market value^ | 6 .1 | % | 13.8 | % | 0 .3 | % | (6.3 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.96 | % | 0.93 | % | 1.11 | % | ||||||||
Net investment income gain (loss) | (0.19 | )% | 0.07 | % | (0.01 | )% | 0.25 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
(1) | Amount represents greater than $(0.005). |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 363.08 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 1.41 | 0.43 | 1.18 | 0.27 | 1.33 | 0.57 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 26.13 | 4.55 | (310.26 | ) | (0.67 | ) | (3.67 | ) | (7.56 | ) | ||||||||||||||
Change in net asset value from operations | 27.54 | 4.98 | (309.08 | ) | (0.40 | ) | (2.34 | ) | (6.99 | ) | ||||||||||||||
Net asset value, at September 30, 2023 | $ | 86.25 | $ | 35.24 | $ | 54.00 | $ | 10.87 | $ | 52.75 | $ | 24.76 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 355.60 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 86.34 | $ | 35.28 | $ | 54.38 | $ | 10.85 | $ | 52.60 | $ | 24.61 | ||||||||||||
Total Return, at net asset value^ | 46.9 | % | 16.5 | % | (85.1 | )% | (3.5 | )% | (4.3 | )% | (22.0 | )% | ||||||||||||
Total Return, at market value^ | 47.1 | % | 16.4 | % | (84.7 | )% | (3.6 | )% | (4.8 | )% | (23.1 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.15 | % | 0.99 | % | 1 .38 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 2.59 | % | 2.12 | % | 2 .16 | % | 3.19 | % | 2.98 | % | 2.63 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 68.69 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.40 | 0.74 | 0.53 | 1.11 | 0.70 | 0.61 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (52.89 | ) | (10.27 | ) | (7.60 | ) | 33.35 | 1.27 | 0.43 | |||||||||||||||
Change in net asset value from operations | (52.49 | ) | (9.53 | ) | (7.07 | ) | 34.46 | 1.97 | 1.04 | |||||||||||||||
Net asset value, at September 30, 2023 | $ | 16.20 | $ | 25.01 | $ | 16.86 | $ | 61.46 | $ | 31.43 | $ | 32.14 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 68.60 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at September 30, 2023 † | $ | 16.21 | $ | 25.00 | $ | 16.82 | $ | 61.04 | $ | 31.43 | $ | 32.20 | ||||||||||||
Total Return, at net asset value^ | (76.4 | )% | (27.6 | )% | (29.6 | )% | 127.7 | % | 6.7 | % | 3.4 | % | ||||||||||||
Total Return, at market value^ | (76.4 | )% | (27.7 | )% | (29.5 | )% | 121.5 | % | 6.7 | % | 3.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .58 | % | 0 .95 | % | 1.07 | % | 1.64 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 1 .77 | % | 3 .28 | % | 3.14 | % | 2.57 | % | 3.20 | % | 2.90 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2022 | $ | 19.46 | $ | 53.68 | $ | 30.41 | $ | 57.00 | ||||||||
Net investment income (loss) | 0.38 | 1.47 | 0.54 | 0.70 | ||||||||||||
Net realized and unrealized gain (loss)# | 1.60 | 19.93 | (11.53 | ) | (34.39 | ) | ||||||||||
Change in net asset value from operations | 1.98 | 21.40 | (10.99 | ) | (33.69 | ) | ||||||||||
Net asset value, at September 30, 2023 | $ | 21.44 | $ | 75.08 | $ | 19.42 | $ | 23.31 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 56.90 | ||||||||
Market value per share, at September 30, 2023 † | $ | 21.55 | $ | 75.08 | $ | 19.41 | $ | 23.30 | ||||||||
Total Return, at net asset value^ | 10.2 | % | 39.9 | % | (36.1 | )% | (59.1 | )% | ||||||||
Total Return, at market value^ | 11.7 | % | 40.2 | % | (36.1 | )% | (59.1 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.07 | % | 0.95 | % | 0 .98 | % | 1 .07 | % | ||||||||
Net investment income gain (loss) | 2.63 | % | 3.20 | % | 3 .03 | % | 2 .81 | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas * | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 511.08 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.31 | ) | (0.16 | ) | (5.33 | ) | (0.02 | ) | (0.19 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (12.74 | ) | 4.83 | 558.65 | (3.73 | ) | (12.43 | ) | (13.87 | ) | ||||||||||||||
Change in net asset value from operations | (13.05 | ) | 4.67 | 553.32 | (3.75 | ) | (12.62 | ) | (14.00 | ) | ||||||||||||||
Net asset value, at September 30, 2022 | $ | 48.51 | $ | 26.21 | $ | 1,064.40 | $ | 9.57 | $ | 47.07 | $ | 20.84 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 521.80 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 48.59 | $ | 26.26 | $ | 1,073.20 | $ | 9.57 | $ | 46.93 | $ | 20.76 | ||||||||||||
Total Return, at net asset value^ | (21.2 | )% | 21.7 | % | 108.3 | % | (28.2 | )% | (21.1 | )% | (40.2 | )% | ||||||||||||
Total Return, at market value^ | (21.1 | )% | 21.0 | % | 105.7 | % | (28.2 | )% | (21.5 | )% | (40.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1 .23 | % | 1.04 | % | 1 .24 | % | 0.95 | % | 0 .99 | % | 0 .99 | % | ||||||||||||
Net investment income gain (loss) | (0.80 | )% | (0.59 | )% | (0 .58 | )% | (0.27 | )% | (0.43 | )% | (0.56 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 124.06 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (0.94 | ) | (0.04 | ) | (0.07 | ) | (0.14 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 5.62 | (18.22 | ) | (33.85 | ) | (229.91 | ) | 9.08 | 5.60 | |||||||||||||||
Change in net asset value from operations | 4.68 | (18.26 | ) | (33.92 | ) | (230.05 | ) | 9.00 | 5.47 | |||||||||||||||
Net asset value, at September 30, 2022 | $ | 128.74 | $ | 29.03 | $ | 30.34 | $ | 17.35 | $ | 34.84 | $ | 37.18 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 124.30 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at September 30, 2022 † | $ | 128.50 | $ | 29.06 | $ | 30.28 | $ | 17.21 | $ | 34.88 | $ | 37.30 | ||||||||||||
Total Return, at net asset value^ | 3.7 | % | (38.6 | )% | (52.8 | )% | (93.0 | )% | 34.8 | % | 17.3 | % | ||||||||||||
Total Return, at market value^ | 3.4 | % | (38.6 | )% | (52.5 | )% | (92.9 | )% | 34.9 | % | 17.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.57 | % | 0.96 | % | 1.15 | % | 1.38 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (0.97 | )% | (0.15 | )% | (0.38 | )% | (0.77 | )% | (0.37 | )% | (0.56 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid-Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 75.62 | ||||||||
Net investment income (loss) | (0.13 | ) | (0.16 | ) | (0.15 | ) | (0.35 | ) | ||||||||
Net realized and unrealized gain (loss)# | 7.42 | 23.70 | 5.02 | 10.24 | ||||||||||||
Change in net asset value from operations | 7.29 | 23.54 | 4.87 | 9.89 | ||||||||||||
Net asset value, at September 30, 2022 | $ | 34.06 | $ | 65.04 | $ | 35.48 | $ | 85.51 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 75.85 | ||||||||
Market value per share, at September 30, 2022 † | $ | 34.15 | $ | 65.02 | $ | 35.50 | $ | 85.50 | ||||||||
Total Return, at net asset value^ | 27.2 | % | 56.7 | % | 15.9 | % | 13.1 | % | ||||||||
Total Return, at market value^ | 27.2 | % | 56.7 | % | 16.1 | % | 12.7 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.95 | % | 0.99 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.63 | )% | (0.40 | )% | (0.59 | )% | (0.56 | )% |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended September 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Fund | Interest Income Three Months Ended September 30, 2023 | Interest Income Three Months Ended September 30, 2022 | Interest Income Nine Months Ended September 30, 2023 | Interest Income Nine Months Ended September 30, 2022 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||
ProShares Ultra Bloomberg Crude Oil | 5,340,428 | 2,391,191 | 17,226,428 | 3,964,082 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 9,098,504 | 909,204 | 26,923,732 | 1,095,255 | ||||||||||||
ProShares Ultra Euro | 80,746 | 36,856 | 266,165 | 47,965 | ||||||||||||
ProShares Ultra Gold | 1,837,846 | 678,282 | 5,470,056 | 1,092,549 | ||||||||||||
ProShares Ultra Silver | 3,343,905 | 824,171 | 10,419,483 | 1,386,134 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 3,255,531 | 3,945,136 | 12,422,781 | 4,471,067 | ||||||||||||
ProShares Ultra Yen | 174,354 | 25,362 | 409,452 | 29,299 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 2,609,417 | 1,748,548 | 6,172,654 | 2,091,754 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,476,050 | 953,050 | 4,007,691 | 1,131,063 | ||||||||||||
ProShares UltraShort Euro | 523,684 | 230,824 | 1,764,550 | 285,240 | ||||||||||||
ProShares UltraShort Gold | 142,707 | 72,261 | 459,321 | 101,921 | ||||||||||||
ProShares UltraShort Silver | 337,096 | 63,222 | 860,908 | 90,885 | ||||||||||||
ProShares UltraShort Yen | 274,125 | 115,191 | 733,679 | 151,503 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 597,040 | 220,211 | 1,895,545 | 296,960 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 2,271,345 | 1,400,201 | 6,832,197 | 1,678,813 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 282,353,267 | $ | 403,644,956 | ||||
NAV end of period | $ | 261,698,747 | $ | 321,831,051 | ||||
Percentage change in NAV | (7.3) | % | (20.3) | % | ||||
Shares outstanding beginning of period | 3,334,307 | 8,384,307 | ||||||
Shares outstanding end of period | 3,034,307 | 6,634,307 | ||||||
Percentage change in shares outstanding | (9.0) | % | (20.9) | % | ||||
Shares created | 650,000 | 450,000 | ||||||
Shares redeemed | 950,000 | 2,200,000 | ||||||
Per share NAV beginning of period | $ | 84.68 | $ | 48.14 | ||||
Per share NAV end of period | $ | 86.25 | $ | 48.51 | ||||
Percentage change in per share NAV | 1.9 | % | 0.8 | % | ||||
Percentage change in benchmark | (6.1) | % | (5.7) | % | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,851,366 | $ | (90,304 | ) | |||
Management fee | 634,871 | 914,054 | ||||||
Brokerage commission | 137,943 | 152,661 | ||||||
Futures account fees | — | 23,966 | ||||||
Non-recurring fees and expenses | — | 6,122 | ||||||
Net realized gain (loss) | 30,285,323 | 27,694,574 | ||||||
Change in net unrealized appreciation (depreciation) | (26,317,147 | ) | (17,470,190 | ) | ||||
Net Income (loss) | $ | 5,819,542 | $ | 10,134,080 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
NAV end of period | $ | 604,124,332 | $ | 724,595,262 | ||||
Percentage change in NAV | (18.2 | )% | (31.7 | )% | ||||
Shares outstanding beginning of period | 31,093,096 | 25,493,096 | ||||||
Shares outstanding end of period | 17,143,096 | 27,643,096 | ||||||
Percentage change in shares outstanding | (44.9 | )% | 8.4 | % | ||||
Shares created | — | 10,400,000 | ||||||
Shares redeemed | 13,950,000 | 8,250,000 | ||||||
Per share NAV beginning of period | $ | 23.74 | $ | 41.61 | ||||
Per share NAV end of period | $ | 35.24 | $ | 26.21 | ||||
Percentage change in per share NAV | 48.4 | % | (37.0 | )% | ||||
Percentage change in benchmark | 22.1 | % | (18.6 | )% | ||||
Benchmark annualized volatility | 18.4 | % | 42.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 3,659,529 | $ | 153,992 | ||||
Management fee | 1,629,737 | 2,118,088 | ||||||
Brokerage commission | 51,162 | 85,906 | ||||||
Futures account fees | — | 19,466 | ||||||
Non-recurring fees and expenses | — | 13,739 | ||||||
Net realized gain (loss) | 244,550,243 | (344,578,932 | ) | |||||
Change in net unrealized appreciation (depreciation) | 28,176,972 | (33,248,174 | ) | |||||
Net Income (loss) | $ | 276,386,744 | $ | (377,673,114 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
NAV end of period | $ | 870,339,281 | $ | 289,386,097 | ||||
Percentage change in NAV | (23.7 | )% | 54.5 | % | ||||
Shares outstanding beginning of period | 16,421,876 | 236,876 | ||||||
Shares outstanding end of period | 16,118,544 | 271,876 | ||||||
Percentage change in shares outstanding | (1.8 | )% | 14.8 | % | ||||
Shares created | 12,950,000 | 300,000 | ||||||
Shares redeemed | 13,253,332 | 265,000 | ||||||
Per share NAV beginning of period | $ | 69.48 | $ | 790.70 | ||||
Per share NAV end of period | $ | 54.00 | $ | 1064.40 | ||||
Percentage change in per share NAV | (22.3 | )% | 34.6 | % | ||||
Percentage change in benchmark | (9.2 | )% | 25.3 | % | ||||
Benchmark annualized volatility | 39.6 | % | 76.6 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 6,034,053 | $ | 104,679 | ||||
Management fee | 2,303,082 | 658,525 | ||||||
Brokerage commission | 629,541 | 97,589 | ||||||
Futures account fees | 131,828 | 43,620 | ||||||
Non-recurring fees and expenses | — | 4,791 | ||||||
Net realized gain (loss) | 237,080,036 | (5,893,297 | ) | |||||
Change in net unrealized appreciation (depreciation) | (410,472,245 | ) | 97,221,527 | |||||
Net Income (loss) | $ | (167,358,156 | ) | $ | 91,432,909 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 7,535,435 | $ | 9,415,626 | ||||
NAV end of period | $ | 6,523,481 | $ | 13,869,371 | ||||
Percentage change in NAV | (13.4 | )% | 47.3 | % | ||||
Shares outstanding beginning of period | 650,000 | 850,000 | ||||||
Shares outstanding end of period | 600,000 | 1,450,000 | ||||||
Percentage change in shares outstanding | (7.7 | )% | 70.6 | % | ||||
Shares created | — | 700,000 | ||||||
Shares redeemed | 50,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 11.59 | $ | 11.08 | ||||
Per share NAV end of period | $ | 10.87 | $ | 9.57 | ||||
Percentage change in per share NAV | (6.2 | )% | (13.7 | )% | ||||
Percentage change in benchmark | (3.1 | )% | (6.0 | )% | ||||
Benchmark annualized volatility | 6.7 | % | 10.5 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 63,747 | $ | 5,288 | ||||
Management fee | 16,999 | 31,331 | ||||||
Non-recurring fees and expenses | — | 237 | ||||||
Net realized gain (loss) | (22,385 | ) | (1,618,381 | ) | ||||
Change in net unrealized appreciation (depreciation) | (462,400 | ) | (95,012 | ) | ||||
Net Income (loss) | $ | (421,038 | ) | $ | (1,708,105 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 180,916,531 | $ | 239,938,853 | ||||
NAV end of period | $ | 147,696,557 | $ | 160,022,292 | ||||
Percentage change in NAV | (18.4 | )% | (33.3 | )% | ||||
Shares outstanding beginning of period | 3,100,000 | 4,250,000 | ||||||
Shares outstanding end of period | 2,800,000 | 3,400,000 | ||||||
Percentage change in shares outstanding | (9.7 | )% | (20.0 | )% | ||||
Shares created | 50,000 | 50,000 | ||||||
Shares redeemed | 350,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 58.36 | $ | 56.46 | ||||
Per share NAV end of period | $ | 52.75 | $ | 47.07 | ||||
Percentage change in per share NAV | (9.6 | )% | (16.6 | )% | ||||
Percentage change in benchmark | (3.9 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 9.5 | % | | 13.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,415,082 | $ | 191,709 | ||||
Management fee | 417,418 | 475,457 | ||||||
Brokerage commission | 5,346 | 8,176 | ||||||
Non-recurring fees and expenses | — | 2,940 | ||||||
Net realized gain (loss) | (16,875,865 | ) | (39,826,294 | ) | ||||
Change in net unrealized appreciation (depreciation) | (540,686 | ) | 2,222,833 | |||||
Net Income (loss) | $ | (16,001,469 | ) | $ | (37,411,752 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 356,791,659 | $ | 355,577,515 | ||||
NAV end of period | $ | 327,996,075 | $ | 323,970,863 | ||||
Percentage change in NAV | (8.1 | )% | (8.9 | )% | ||||
Shares outstanding beginning of period | 13,196,526 | 14,346,526 | ||||||
Shares outstanding end of period | 13,246,526 | 15,546,526 | ||||||
Percentage change in shares outstanding | 0.4 | % | 8.4 | % | ||||
Shares created | 1,500,000 | 2,450,000 | ||||||
Shares redeemed | 1,450,000 | 1,250,000 | ||||||
Per share NAV beginning of period | $ | 27.04 | $ | 24.78 | ||||
Per share NAV end of period | $ | 24.76 | $ | 20.84 | ||||
Percentage change in per share NAV | (8.4 | )% | (15.9 | )% | ||||
Percentage change in benchmark | (2.6 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 23.4 | % | 31.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,424,022 | $ | (15,349 | ) | |||
Management fee | 892,009 | 798,802 | ||||||
Brokerage commission | 27,874 | 34,796 | ||||||
Non-recurring fees and expenses | — | 5,922 | ||||||
Net realized gain (loss) | (30,251,410 | ) | (147,391,314 | ) | ||||
Change in net unrealized appreciation (depreciation) | 218,274 | 91,477,472 | ||||||
Net Income (loss) | $ | (27,609,114 | ) | $ | (55,929,191 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 387,764,059 | $ | 975,683,533 | ||||
NAV end of period | $ | 283,050,691 | $ | 995,489,778 | ||||
Percentage change in NAV | (27.0 | )% | 2.0 | % | ||||
Shares outstanding beginning of period | 20,977,842 | 6,722,842 | ||||||
Shares outstanding end of period | 17,474,459 | 7,732,842 | ||||||
Percentage change in shares outstanding | (16.7 | )% | 15.0 | % | ||||
Shares created | 13,400,000 | 9,340,000 | ||||||
Shares redeemed | 16,903,383 | 8,330,000 | ||||||
Per share NAV beginning of period | $ | 18.48 | $ | 145.13 | ||||
Per share NAV end of period | $ | 16.20 | $ | 128.74 | ||||
Percentage change in per share NAV | (12.4 | )% | (11.3 | )% | ||||
Percentage change in benchmark | (6.1 | )% | (5.7 | )% | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,830,246 | $ | (402,633 | ) | |||
Management fee | 803,793 | 2,831,005 | ||||||
Brokerage commission | 517,699 | 1,276,819 | ||||||
Futures account fees | 103,793 | 219,828 | ||||||
Non-recurring fees and expenses | — | 20,117 | ||||||
Net realized gain (loss) | (142,584,256 | ) | (289,873,754 | ) | ||||
Change in net unrealized appreciation (depreciation) | 108,851,219 | 161,745,283 | ||||||
Net Income (loss) | $ | (31,902,791 | ) | $ | (128,531,104 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 12,330,974 | $ | 5,024,773 | ||||
NAV end of period | $ | 17,508,248 | $ | 10,159,189 | ||||
Percentage change in NAV | 42.0 | % | 102.2 | % | ||||
Shares outstanding beginning of period | 449,970 | 149,970 | ||||||
Shares outstanding end of period | 699,970 | 349,970 | ||||||
Percentage change in shares outstanding | 55.6 | % | 133.4 | % | ||||
Shares created | 300,000 | 250,000 | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 27.40 | $ | 33.51 | ||||
Per share NAV end of period | $ | 25.01 | $ | 29.03 | ||||
Percentage change in per share NAV | (8.7 | )% | (13.3 | )% | ||||
Percentage change in benchmark | (3.4 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 138,386 | $ | 3,923 | ||||
Management fee | 35,968 | 21,245 | ||||||
Non-recurring fees and expenses | — | 194 | ||||||
Net realized gain (loss) | (1,854,770 | ) | (1,652,590 | ) | ||||
Change in net unrealized appreciation (depreciation) | 277,206 | (14,681 | ) | |||||
Net Income (loss) | $ | (1,439,178 | ) | $ | (1,663,348 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 112,854,952 | $ | 501,157,304 | ||||
NAV end of period | $ | 296,776,466 | $ | 368,791,089 | ||||
Percentage change in NAV | 163.0 | % | (26.4 | )% | ||||
Shares outstanding beginning of period | 4,405,220 | 21,755,220 | ||||||
Shares outstanding end of period | 17,605,220 | 12,155,220 | ||||||
Percentage change in shares outstanding | 299.6 | % | (44.1 | )% | ||||
Shares created | 17,250,000 | 11,050,000 | ||||||
Shares redeemed | 4,050,000 | 20,650,000 | ||||||
Per share NAV beginning of period | $ | 25.62 | $ | 23.04 | ||||
Per share NAV end of period | $ | 16.86 | $ | 30.34 | ||||
Percentage change in per share NAV | (34.2 | )% | 31.7 | % | ||||
Percentage change in benchmark | 22.1 | % | (18.6 | )% | ||||
Benchmark annualized volatility | 18.4 | % | 42.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,006,197 | $ | 392,570 | ||||
Management fee | 548,671 | 1,160,746 | ||||||
Brokerage commission | 54,549 | 148,121 | ||||||
Futures account fees | — | 39,563 | ||||||
Non-recurring fees and expenses | — | 7,548 | ||||||
Net realized gain (loss) | (47,764,760 | ) | 66,444,885 | |||||
Change in net unrealized appreciation (depreciation) | (38,018,359 | ) | 76,987,949 | |||||
Net Income (loss) | $ | (83,776,922 | ) | $ | 143,825,404 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 141,324,963 | $ | 211,823,446 | ||||
NAV end of period | $ | 111,663,062 | $ | 242,389,998 | ||||
Percentage change in NAV | (21.0 | )% | 14.4 | % | ||||
Shares outstanding beginning of period | 2,566,856 | 4,966,856 | ||||||
Shares outstanding end of period | 1,816,856 | 13,966,856 | ||||||
Percentage change in shares outstanding | (29.2 | )% | 181.2 | % | ||||
Shares created | 5,500,000 | 58,900,000 | ||||||
Shares redeemed | 6,250,000 | 49,900,000 | ||||||
Per share NAV beginning of period | $ | 55.06 | $ | 42.65 | ||||
Per share NAV end of period | $ | 61.46 | $ | 17.35 | ||||
Percentage change in per share NAV | 11.6 | % | (59.3 | )% | ||||
Percentage change in benchmark | (9.2 | )% | 25.3 | % | ||||
Benchmark annualized volatility | 39.6 | % | 76.6 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,013,760 | $ | (5,144 | ) | |||
Management fee | 304,567 | 730,949 | ||||||
Brokerage commission | 133,782 | 173,386 | ||||||
Futures account fees | 23,941 | 48,485 | ||||||
Non-recurring fees and expenses | — | 5,374 | ||||||
Net realized gain (loss) | (10,798,625 | ) | 8,115,767 | |||||
Change in net unrealized appreciation (depreciation) | 44,086,822 | (23,467,384 | ) | |||||
Net Income (loss) | $ | 34,301,957 | $ | (15,356,761 | ) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 50,931,301 | $ | 62,270,097 | ||||
NAV end of period | $ | 44,004,408 | $ | 90,584,278 | ||||
Percentage change in NAV | (13.6 | )% | 45.5 | % | ||||
Shares outstanding beginning of period | 1,750,000 | 2,050,000 | ||||||
Shares outstanding end of period | 1,400,000 | 2,600,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | 26.8 | % | ||||
Shares created | — | 1,100,000 | ||||||
Shares redeemed | 350,000 | 550,000 | ||||||
Per share NAV beginning of period | $ | 29.10 | $ | 30.38 | ||||
Per share NAV end of period | $ | 31.43 | $ | 34.84 | ||||
Percentage change in per share NAV | 8.0 | % | 14.7 | % | ||||
Percentage change in benchmark | (3.1 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 6.7 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 412,212 | $ | 25,953 | ||||
Management fee | 111,472 | 203,036 | ||||||
Non-recurring fees and expenses | — | 1,835 | ||||||
Net realized gain (loss) | (122,866 | ) | 11,086,708 | |||||
Change in net unrealized appreciation (depreciation) | 3,207,102 | (292,818 | ) | |||||
Net Income (loss) | $ | 3,496,448 | $ | 10,819,843 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 15,809,378 | $ | 34,611,284 | ||||
NAV end of period | $ | 14,365,869 | $ | 29,634,725 | ||||
Percentage change in NAV | (9.1 | )% | (14.4 | )% | ||||
Shares outstanding beginning of period | 546,977 | 1,096,977 | ||||||
Shares outstanding end of period | 446,977 | 796,977 | ||||||
Percentage change in shares outstanding | (18.3 | )% | (27.3 | )% | ||||
Shares created | 100,000 | 350,000 | ||||||
Shares redeemed | 200,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 28.90 | $ | 31.55 | ||||
Per share NAV end of period | $ | 32.14 | $ | 37.18 | ||||
Percentage change in per share NAV | 11.2 | % | 17.9 | % | ||||
Percentage change in benchmark | (3.9 | )% | (7.9 | )% | ||||
Benchmark annualized volatility | 9.5 | % | 13.4 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 108,638 | $ | (8,595 | ) | |||
Management fee | 32,970 | 76,652 | ||||||
Brokerage commission | 1,099 | 3,565 | ||||||
Non-recurring fees and expenses | — | 639 | ||||||
Net realized gain (loss) | 1,436,424 | 4,988,228 | ||||||
Change in net unrealized appreciation (depreciation) | (251,606 | ) | 841,546 | |||||
Net Income (loss) | $ | 1,293,456 | $ | 5,821,179 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 19,290,473 | $ | 33,052,840 | ||||
NAV end of period | $ | 16,967,517 | $ | 33,763,052 | ||||
Percentage change in NAV | (12.0 | )% | 2.1 | % | ||||
Shares outstanding beginning of period | 941,329 | 1,041,329 | ||||||
Shares outstanding end of period | 791,329 | 991,329 | ||||||
Percentage change in shares outstanding | (15.9 | )% | (4.8 | )% | ||||
Shares created | 2,950,000 | 1,000,000 | ||||||
Shares redeemed | 3,100,000 | 1,050,000 | ||||||
Per share NAV beginning of period | $ | 20.49 | $ | 31.74 | ||||
Per share NAV end of period | $ | 21.44 | $ | 34.06 | ||||
Percentage change in per share NAV | 4.6 | % | 7.3 | % | ||||
Percentage change in benchmark | (2.6 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 23.4 | % | 31.8 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 245,155 | $ | (13,304 | ) | |||
Management fee | 78,166 | 67,215 | ||||||
Brokerage commission | 13,775 | 8,699 | ||||||
Non-recurring fees and expenses | — | 612 | ||||||
Net realized gain (loss) | 6,921,431 | 6,215,407 | ||||||
Change in net unrealized appreciation (depreciation) | 61,770 | (4,075,524 | ) | |||||
Net Income (loss) | $ | 7,228,356 | $ | 2,126,579 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 27,077,656 | $ | 45,568,882 | ||||
NAV end of period | $ | 26,172,191 | $ | 51,937,338 | ||||
Percentage change in NAV | (3.3 | )% | 14.0 | % | ||||
Shares outstanding beginning of period | 398,580 | 798,580 | ||||||
Shares outstanding end of period | 348,580 | 798,580 | ||||||
Percentage change in shares outstanding | (12.5 | )% | – | % | ||||
Shares created | — | 250,000 | ||||||
Shares redeemed | 50,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 67.94 | $ | 57.06 | ||||
Per share NAV end of period | $ | 75.08 | $ | 65.04 | ||||
Percentage change in per share NAV | 10.5 | % | 14.0 | % | ||||
Percentage change in benchmark | (3.4 | )% | (6.5 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.2 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 215,363 | $ | 7,640 | ||||
Management fee | 58,762 | 106,598 | ||||||
Non-recurring fees and expenses | — | 953 | ||||||
Net realized gain (loss) | 3,079,208 | 5,879,873 | ||||||
Change in net unrealized appreciation (depreciation) | (1,059,246 | ) | (523,871 | ) | ||||
Net Income (loss) | $ | 2,235,325 | $ | 5,363,642 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 49,421,413 | $ | 95,721,271 | ||||
NAV end of period | $ | 59,968,024 | $ | 110,420,574 | ||||
Percentage change in NAV | 21.3 | % | 15.4 | % | ||||
Shares outstanding beginning of period | 2,412,403 | 2,712,403 | ||||||
Shares outstanding end of period | 3,087,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | 28.0 | % | 14.7 | % | ||||
Shares created | 850,000 | 850,000 | ||||||
Shares redeemed | 175,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 20.49 | $ | 35.29 | ||||
Per share NAV end of period | $ | 19.42 | $ | 35.48 | ||||
Percentage change in per share NAV | (5.2 | )% | 0.6 | % | ||||
Percentage change in benchmark | (4.6 | )% | 1.1 | % | ||||
Benchmark annualized volatility | 23.8 | % | 22.1 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 461,209 | $ | (1,269 | ) | |||
Management fee | 117,018 | 201,508 | ||||||
Brokerage commission | 8,822 | 17,922 | ||||||
Futures account fees | 9,991 | — | ||||||
Non-recurring fees and expenses | — | 2,050 | ||||||
Net realized gain (loss) | (12,244,511 | ) | (1,349,272 | ) | ||||
Change in net unrealized appreciation (depreciation) | 8,934,542 | 3,368,209 | ||||||
Net Income (loss) | $ | (2,848,760 | ) | $ | 2,017,668 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 230,227,830 | $ | 341,714,316 | ||||
NAV end of period | $ | 211,604,428 | $ | 437,536,628 | ||||
Percentage change in NAV | (8.2 | )% | 28.0 | % | ||||
Shares outstanding beginning of period | 9,226,565 | 3,751,565 | ||||||
Shares outstanding end of period | 9,075,947 | 5,116,565 | ||||||
Percentage change in shares outstanding | (1.6 | )% | 36.4 | % | ||||
Shares created | 2,475,000 | 3,555,000 | ||||||
Shares redeemed | 2,625,618 | 2,190,000 | ||||||
Per share NAV beginning of period | $ | 24.95 | $ | 91.09 | ||||
Per share NAV end of period | $ | 23.31 | $ | 85.51 | ||||
Percentage change in per share NAV | (6.6 | )% | (6.1 | )% | ||||
Percentage change in benchmark | (6.1 | )% | (5.7 | )% | ||||
Benchmark annualized volatility | 52.0 | % | 51.0 | % |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,721,249 | $ | 259,392 | ||||
Management fee | 447,560 | 874,070 | ||||||
Brokerage commission | 58,426 | 203,095 | ||||||
Futures account fees | 44,110 | 54,944 | ||||||
Non-recurring fees and expenses | — | 8,700 | ||||||
Net realized gain (loss) | (54,950,042 | ) | (45,457,319 | ) | ||||
Change in net unrealized appreciation (depreciation) | 41,841,191 | 51,698,947 | ||||||
Net Income (loss) | $ | (11,387,602 | ) | $ | 6,501,020 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 261,698,747 | $ | 321,831,051 | ||||
Percentage change in NAV | (22.9 | )% | (24.1 | )% | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 3,034,307 | 6,634,307 | ||||||
Percentage change in shares outstanding | (47.5 | )% | (3.6 | )% | ||||
Shares created | 3,650,000 | 5,050,000 | ||||||
Shares redeemed | 6,400,000 | 5,300,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 86.25 | $ | 48.51 | ||||
Percentage change in per share NAV | 46.9 | % | (21.2 | )% | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,964,960 | $ | (2,481,226 | ) | |||
Management fee | 1,817,684 | 2,934,952 | ||||||
Brokerage commission | 387,868 | 517,911 | ||||||
Futures account fees | — | 348,217 | ||||||
Non-recurring fees and expenses | — | 6,122 | ||||||
Net realized gain (loss) | 125,091,802 | (26,521,746 | ) | |||||
Change in net unrealized appreciation (depreciation) | (13,488,869 | ) | (47,680,063 | ) | ||||
Net Income (loss) | $ | 116,567,893 | $ | (76,683,035 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 604,124,332 | $ | 724,595,262 | ||||
Percentage change in NAV | (29.7 | )% | (34.4 | )% | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 17,143,096 | 27,643,096 | ||||||
Percentage change in shares outstanding | (39.6 | )% | (46.1 | )% | ||||
Shares created | 34,650,000 | 20,700,000 | ||||||
Shares redeemed | 45,900,000 | 44,300,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 | ||||
Per share NAV end of period | $ | 35.24 | $ | 26.21 | ||||
Percentage change in per share NAV | 16.5 | % | 21.7 | % | ||||
Percentage change in benchmark | 10.5 | % | 18.7 | % | ||||
Benchmark annualized volatility | 28.0 | % | 45.6 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 11,737,266 | $ | (5,154,872 | ) | |||
Management fee | 5,249,353 | 8,301,804 | ||||||
Brokerage commission | 239,809 | 421,657 | ||||||
Futures account fees | — | 381,754 | ||||||
Non-recurring fees and expenses | — | 13,739 | ||||||
Net realized gain (loss) | 253,915,875 | 818,132,441 | ||||||
Change in net unrealized appreciation (depreciation) | (64,494,313 | ) | (339,456,270 | ) | ||||
Net Income (loss) | $ | 201,158,828 | $ | 473,521,299 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 870,339,281 | $ | 289,386,097 | ||||
Percentage change in NAV | 48.5 | % | 49.3 | % | ||||
Shares outstanding beginning of period | 1,614,376 | 379,376 | ||||||
Shares outstanding end of period | 16,118,544 | 271,876 | ||||||
Percentage change in shares outstanding | 898.4 | % | (28.3 | )% | ||||
Shares created | 45,715,000 | 755,000 | ||||||
Shares redeemed | 31,210,832 | 862,500 | ||||||
Per share NAV beginning of period | $ | 363.08 | $ | 511.08 | ||||
Per share NAV end of period | $ | 54.00 | $ | 1064.40 | ||||
Percentage change in per share NAV | (85.1 | )% | 108.3 | % | ||||
Percentage change in benchmark | (54.0 | )% | 86.6 | % | ||||
Benchmark annualized volatility | 60.8 | % | 71.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 16,444,672 | $ | (977,992 | ) | |||
Management fee | 7,220,063 | 1,589,759 | ||||||
Brokerage commission | 2,727,691 | 300,747 | ||||||
Futures account fees | 531,306 | 177,950 | ||||||
Non-recurring fees and expenses | — | 4,791 | ||||||
Net realized gain (loss) | (1,441,441,743 | ) | 235,314,633 | |||||
Change in net unrealized appreciation (depreciation) | 194,575,089 | (89,199,198 | ) | |||||
Net Income (loss) | $ | (1,230,421,982 | ) | $ | 145,137,443 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 6,523,481 | $ | 13,869,371 | ||||
Percentage change in NAV | (39.1 | )% | 60.2 | % | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 600,000 | 1,450,000 | ||||||
Percentage change in shares outstanding | (36.8 | )% | 123.1 | % | ||||
Shares created | 200,000 | 1,250,000 | ||||||
Shares redeemed | 550,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 10.87 | $ | 9.57 | ||||
Percentage change in per share NAV | (3.5 | )% | (28.2 | )% | ||||
Percentage change in benchmark | (1.2 | )% | (13.2 | )% | ||||
Benchmark annualized volatility | 7.6 | % | 9.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 205,069 | $ | (18,918 | ) | |||
Management fee | 61,096 | 66,646 | ||||||
Non-recurring fees and expenses | — | 237 | ||||||
Net realized gain (loss) | 336,185 | (2,511,725 | ) | |||||
Change in net unrealized appreciation (depreciation) | (638,368 | ) | (514,727 | ) | ||||
Net Income (loss) | $ | (97,114 | ) | $ | (3,045,370 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 147,696,557 | $ | 160,022,292 | ||||
Percentage change in NAV | (14.9 | )% | (31.3 | )% | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 2,800,000 | 3,400,000 | ||||||
Percentage change in shares outstanding | (11.1 | )% | (12.8 | )% | ||||
Shares created | 500,000 | 1,650,000 | ||||||
Shares redeemed | 850,000 | 2,150,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 52.75 | $ | 47.07 | ||||
Percentage change in per share NAV | (4.3 | )% | (21.1 | )% | ||||
Percentage change in benchmark | 1.3 | % | (9.3 | )% | ||||
Benchmark annualized volatility | 12.9 | % | 17.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,130,377 | $ | (845,479 | ) | |||
Management fee | 1,318,793 | 1,863,020 | ||||||
Brokerage commission | 20,886 | 43,899 | ||||||
Futures account fees | — | 28,169 | ||||||
Non-recurring fees and expenses | — | 2,940 | ||||||
Net realized gain (loss) | 11,092,138 | (39,908,781 | ) | |||||
Change in net unrealized appreciation (depreciation) | (22,707,149 | ) | (17,626,635 | ) | ||||
Net Income (loss) | $ | (7,484,634 | ) | $ | (58,380,895 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 327,996,075 | $ | 323,970,863 | ||||
Percentage change in NAV | (20.8 | )% | (37.1 | )% | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,246,526 | 15,546,526 | ||||||
Percentage change in shares outstanding | 1.5 | % | 5.1 | % | ||||
Shares created | 4,100,000 | 4,250,000 | ||||||
Shares redeemed | 3,900,000 | 3,500,000 | ||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 24.76 | $ | 20.84 | ||||
Percentage change in per share NAV | (22.0 | )% | (40.2 | )% | ||||
Percentage change in benchmark | (6.9 | )% | (19.0 | )% | ||||
Benchmark annualized volatility | 25.0 | % | 31.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 7,577,899 | $ | (1,839,301 | ) | |||
Management fee | 2,740,073 | 3,098,741 | ||||||
Brokerage commission | 101,511 | 94,079 | ||||||
Futures account fees | — | 26,693 | ||||||
Non-recurring fees and expenses | — | 5,922 | ||||||
Net realized gain (loss) | 5,620,169 | (186,949,626 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,446,948 | ) | (16,694,572 | ) | ||||
Net Income (loss) | $ | (83,248,880 | ) | $ | (205,483,499 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 283,050,691 | $ | 995,489,778 | ||||
Percentage change in NAV | (55.7 | )% | 21.9 | % | ||||
Shares outstanding beginning of period | 9,307,842 | 6,582,842 | ||||||
Shares outstanding end of period | 17,474,459 | 7,732,842 | ||||||
Percentage change in shares outstanding | 87.7 | % | 17.5 | % | ||||
Shares created | 34,710,000 | 23,490,000 | ||||||
Shares redeemed | 26,543,383 | 22,340,000 | ||||||
Per share NAV beginning of period | $ | 68.69 | $ | 124.06 | ||||
Per share NAV end of period | $ | 16.20 | $ | 128.74 | ||||
Percentage change in per share NAV | (76.4 | )% | 3.7 | % | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 6,553,073 | $ | (7,265,397 | ) | |||
Management fee | 3,507,644 | 7,085,920 | ||||||
Brokerage commission | 2,007,911 | 3,183,788 | ||||||
Futures account fees | 354,153 | 1,446,639 | ||||||
Non-recurring fees and expenses | — | 20,117 | ||||||
Net realized gain (loss) | (751,125,820 | ) | 81,807,278 | |||||
Change in net unrealized appreciation (depreciation) | 65,573,569 | 323,479,748 | ||||||
Net Income (loss) | $ | (678,999,178 | ) | $ | 398,021,629 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 17,508,248 | $ | 10,159,189 | ||||
Percentage change in NAV | 26.7 | % | 330.0 | % | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 699,970 | 349,970 | ||||||
Percentage change in shares outstanding | 75.0 | % | 600.4 | % | ||||
Shares created | 500,000 | 350,000 | ||||||
Shares redeemed | 200,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 25.01 | $ | 29.03 | ||||
Percentage change in per share NAV | (27.6 | )% | (38.6 | )% | ||||
Percentage change in benchmark | (12.2 | )% | (20.3 | )% | ||||
Benchmark annualized volatility | 10.2 | % | 10.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 317,594 | $ | (5,605 | ) | |||
Management fee | 91,858 | 34,710 | ||||||
Non-recurring fees and expenses | — | 194 | ||||||
Net realized gain (loss) | (2,923,720 | ) | (2,531,291 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,564,970 | ) | (3,861 | ) | ||||
Net Income (loss) | $ | (4,171,096 | ) | $ | (2,540,757 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 296,776,466 | $ | 368,791,089 | ||||
Percentage change in NAV | 33.3 | % | 223.0 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 17,605,220 | 12,155,220 | ||||||
Percentage change in shares outstanding | 89.2 | % | 584.1 | % | ||||
Shares created | 28,800,000 | 38,940,000 | ||||||
Shares redeemed | 20,500,000 | 28,561,540 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 16.86 | $ | 30.34 | ||||
Percentage change in per share NAV | (29.6 | )% | (52.8 | )% | ||||
Percentage change in benchmark | 10.5 | % | 18.7 | % | ||||
Benchmark annualized volatility | 28.0 | % | 45.6 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,599,541 | $ | (1,043,095 | ) | |||
Management fee | 1,392,728 | 2,599,503 | ||||||
Brokerage commission | 180,385 | 332,256 | ||||||
Futures account fees | — | 195,542 | ||||||
Non-recurring fees and expenses | — | 7,548 | ||||||
Net realized gain (loss) | 7,884,531 | (142,631,216 | ) | |||||
Change in net unrealized appreciation (depreciation) | (35,278,737 | ) | 113,674,105 | |||||
Net Income (loss) | $ | (22,794,665 | ) | $ | (30,000,206 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 111,663,062 | $ | 242,389,998 | ||||
Percentage change in NAV | (16.7 | )% | 0.1 | % | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 1,816,856 | 13,966,856 | ||||||
Percentage change in shares outstanding | (63.4 | )% | 1,327.0 | % | ||||
Shares created | 19,350,000 | 82,240,000 | ||||||
Shares redeemed | 22,500,000 | 69,251,886 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 61.46 | $ | 17.35 | ||||
Percentage change in per share NAV | 127.7 | % | (93.0 | )% | ||||
Percentage change in benchmark | (54.0 | )% | 86.6 | % | ||||
Benchmark annualized volatility | 60.8 | % | 71.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 2,446,610 | $ | (1,452,942 | ) | |||
Management fee | 903,703 | 1,784,017 | ||||||
Brokerage commission | 577,070 | 539,244 | ||||||
Futures account fees | 80,308 | 255,370 | ||||||
Non-recurring fees and expenses | — | 5,374 | ||||||
Net realized gain (loss) | 221,345,184 | (389,255,425 | ) | |||||
Change in net unrealized appreciation (depreciation) | (62,123,076 | ) | 116,824,672 | |||||
Net Income (loss) | $ | 161,668,718 | $ | (273,883,695 | ) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 44,004,408 | $ | 90,584,278 | ||||
Percentage change in NAV | (41.4 | )% | 66.9 | % | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 1,400,000 | 2,600,000 | ||||||
Percentage change in shares outstanding | (45.1 | )% | 23.8 | % | ||||
Shares created | 100,000 | 1,650,000 | ||||||
Shares redeemed | 1,250,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 31.43 | $ | 34.84 | ||||
Percentage change in per share NAV | 6.7 | % | 34.8 | % | ||||
Percentage change in benchmark | (1.2 | )% | (13.2 | )% | ||||
Benchmark annualized volatility | 7.6 | % | 9.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,360,409 | $ | (184,021 | ) | |||
Management fee | 404,141 | 467,426 | ||||||
Non-recurring fees and expenses | — | 1,835 | ||||||
Net realized gain (loss) | (2,576,119 | ) | 16,904,945 | |||||
Change in net unrealized appreciation (depreciation) | 3,904,782 | 3,015,661 | ||||||
Net Income (loss) | $ | 2,689,072 | $ | 19,736,585 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 14,365,869 | $ | 29,634,725 | ||||
Percentage change in NAV | (7.1 | )% | 10.3 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 446,977 | 796,977 | ||||||
Percentage change in shares outstanding | (10.1 | )% | (5.9 | )% | ||||
Shares created | 700,000 | 1,500,000 | ||||||
Shares redeemed | 750,000 | 1,550,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 32.14 | $ | 37.18 | ||||
Percentage change in per share NAV | 3.4 | % | 17.3 | % | ||||
Percentage change in benchmark | 1.3 | % | (9.3 | )% | ||||
Benchmark annualized volatility | 12.9 | % | 17.4 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 343,044 | $ | (128,991 | ) | |||
Management fee | 112,212 | 218,466 | ||||||
Brokerage commission | 4,065 | 9,361 | ||||||
Futures account fees | — | 2,446 | ||||||
Non-recurring fees and expenses | — | 639 | ||||||
Net realized gain (loss) | (1,147,608 | ) | 3,237,429 | |||||
Change in net unrealized appreciation (depreciation) | 1,851,613 | 3,160,276 | ||||||
Net Income (loss) | $ | 1,047,049 | $ | 6,268,714 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 16,967,517 | $ | 33,763,052 | ||||
Percentage change in NAV | (46.9 | )% | 27.2 | % | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 | ||||||
Shares outstanding end of period | 791,329 | 991,329 | ||||||
Percentage change in shares outstanding | (51.8 | )% | — | % | ||||
Shares created | 6,050,000 | 2,800,000 | ||||||
Shares redeemed | 6,900,000 | 2,800,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 21.44 | $ | 34.06 | ||||
Percentage change in per share NAV | 10.2 | % | 27.2 | % | ||||
Percentage change in benchmark | (6.9 | )% | (19.0 | )% | ||||
Benchmark annualized volatility | 25.0 | % | 31.7 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 611,721 | $ | (125,396 | ) | |||
Management fee | 220,751 | 190,549 | ||||||
Brokerage commission | 28,436 | 20,677 | ||||||
Futures account fees | — | 4,443 | ||||||
Non-recurring fees and expenses | — | 612 | ||||||
Net realized gain (loss) | 10,747,744 | 8,252,703 | ||||||
Change in net unrealized appreciation (depreciation) | 4,528,828 | 1,567,440 | ||||||
Net Income (loss) | $ | 15,888,293 | $ | 9,694,747 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 26,172,191 | $ | 51,937,338 | ||||
Percentage change in NAV | 22.3 | % | 109.1 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 348,580 | 798,580 | ||||||
Percentage change in shares outstanding | (12.5 | )% | 33.4 | % | ||||
Shares created | 450,000 | 1,100,000 | ||||||
Shares redeemed | 500,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 75.08 | $ | 65.04 | ||||
Percentage change in per share NAV | 39.9 | % | 56.7 | % | ||||
Percentage change in benchmark | (12.2 | )% | (20.3 | )% | ||||
Benchmark annualized volatility | 10.2 | % | 10.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 565,926 | $ | (109,049 | ) | |||
Management fee | 167,753 | 259,599 | ||||||
Non-recurring fees and expenses | — | 953 | ||||||
Net realized gain (loss) | 3,422,003 | 14,980,187 | ||||||
Change in net unrealized appreciation (depreciation) | 3,945,278 | (453,336 | ) | |||||
Net Income (loss) | $ | 7,933,207 | $ | 14,417,802 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
NAV end of period | $ | 59,968,024 | $ | 110,420,574 | ||||
Percentage change in NAV | (28.6 | )% | (2.2 | )% | ||||
Shares outstanding beginning of period | 2,762,403 | 3,687,403 | ||||||
Shares outstanding end of period | 3,087,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | 11.8 | % | (15.6 | )% | ||||
Shares created | 1,700,000 | 1,850,000 | ||||||
Shares redeemed | 1,375,000 | 2,425,000 | ||||||
Per share NAV beginning of period | $ | 30.41 | $ | 30.61 | ||||
Per share NAV end of period | $ | 19.42 | $ | 35.48 | ||||
Percentage change in per share NAV | (36.1 | )% | 15.9 | % | ||||
Percentage change in benchmark | (35.0 | )% | 17.8 | % | ||||
Benchmark annualized volatility | 28.2 | % | 32.5 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 1,430,860 | $ | (437,530 | ) | |||
Management fee | 401,207 | 627,755 | ||||||
Brokerage commission | 30,191 | 58,291 | ||||||
Futures account fees | 33,287 | 46,394 | ||||||
Non-recurring fees and expenses | — | 2,050 | ||||||
Net realized gain (loss) | (35,008,564 | ) | 11,304,277 | |||||
Change in net unrealized appreciation (depreciation) | 3,841,900 | 6,887,044 | ||||||
Net Income (loss) | $ | (29,735,804 | ) | $ | 17,753,791 |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
NAV beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
NAV end of period | $ | 211,604,428 | $ | 437,536,628 | ||||
Percentage change in NAV | (20.6 | )% | 62.2 | % | ||||
Shares outstanding beginning of period | 4,676,565 | 3,566,565 | ||||||
Shares outstanding end of period | 9,075,947 | 5,116,565 | ||||||
Percentage change in shares outstanding | 94.1 | % | 43.5 | % | ||||
Shares created | 9,235,000 | 7,180,000 | ||||||
Shares redeemed | 4,835,618 | 5,630,000 | ||||||
Per share NAV beginning of period | $ | 57.00 | $ | 75.62 | ||||
Per share NAV end of period | $ | 23.31 | $ | 85.51 | ||||
Percentage change in per share NAV | (59.1 | )% | 13.1 | % | ||||
Percentage change in benchmark | (58.4 | )% | 14.7 | % | ||||
Benchmark annualized volatility | 56.0 | % | 86.1 | % |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||
Net investment income (loss) | $ | 4,942,508 | $ | (1,545,500 | ) | |||
Management fee | 1,495,874 | 2,353,478 | ||||||
Brokerage commission | 250,314 | 490,751 | ||||||
Futures account fees | 143,501 | 371,384 | ||||||
Non-recurring fees and expenses | — | 8,700 | ||||||
Net realized gain (loss) | (228,286,648 | ) | 31,935,690 | |||||
Change in net unrealized appreciation (depreciation) | 21,667,964 | 84,851,343 | ||||||
Net Income (loss) | $ | (201,676,176 | ) | $ | 115,241,533 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | October 2023 | 4,373 | $ | 17.77 | 1,000 | $ | (77,713,457 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2023 | 2,906 | 18.25 | 1,000 | (53,023,748 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Short | October 2022 | 3,083 | $ | 31.52 | 1,000 | $ | (97,163,828 | ) | |||||||||||||
VIX Futures (Cboe) | Short | November 2022 | 2,052 | 31.07 | 1,000 | (63,759,128 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 879 | $ | 88.80 | 1,000 | $ | 78,055,200 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 920 | 81.12 | 1,000 | 74,630,400 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2024 | 956 | 77.86 | 1,000 | 74,434,160 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 93.5651 | $ | 210,901,349 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 93.5651 | 262,218,064 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 93.5651 | 151,363,911 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 93.5651 | 199,041,224 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 93.5651 | 157,428,427 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 1,450 | $ | 78.72 | 1,000 | $ | 114,144,000 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 1,535 | 73.00 | 1,000 | 112,055,000 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 1,610 | 69.66 | 1,000 | 112,152,600 |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 77.9524 | $ | 175,709,387 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 77.9524 | 218,463,160 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 77.9524 | 304,335,914 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 77.9524 | 165,828,296 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 77.9524 | 246,871,587 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2023 | 50,182 | $ | 2.93 | 10,000 | $ | 1,469,830,780 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0799 | $ | 132,651,213 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0799 | 90,634,449 | ||||||||
Bloomberg Natural Gas Subindex | Societe General | Long | 0.0799 | 47,221,373 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0799 | 725,704 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2022 | 8,556 | $ | 6.77 | 10,000 | $ | 578,898,960 |
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/06/23 | 7,691,921 | 1.0752 | $ | 8,270,353 | |||||||||||||
Euro | UBS AG | Long | 10/06/23 | 4,954,502 | 1.0752 | 5,327,055 | ||||||||||||||
Euro | UBS AG | Short | 10/06/23 | (323,000 | ) | 1.0602 | (342,445 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/07/22 | 12,276,921 | 0.9964 | $ | 12,232,264 | |||||||||||||
Euro | UBS AG | Long | 10/07/22 | 17,572,502 | 0.9940 | 17,466,744 | ||||||||||||||
Euro | UBS AG | Short | 10/07/22 | (1,566,000 | ) | 0.9801 | (1,534,866 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2023 | 264 | $ | 1,866.10 | 100 | $ | 49,265,040 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 190.8900 | $ | 105,703,033 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 190.8900 | 50,205,597 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 190.8900 | 90,264,166 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2022 | 409 | $ | 1,672.00 | 100 | $ | 68,384,800 |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 180.7152 | $ | 100,068,860 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 180.7152 | 47,529,603 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 180.7152 | 104,098,025 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2023 | 1,756 | $ | 22.45 | 5,000 | $ | 197,111,000 |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 190.6601 | $ | 159,867,323 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 190.6601 | 21,119,991 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 190.6601 | 143,290,980 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 190.6601 | 134,864,794 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2022 | 2,163 | $ | 19.04 | 5,000 | $ | 205,906,785 |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 169.7456 | $ | 142,330,643 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 169.7456 | 18,803,260 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 169.7456 | 156,302,767 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 169.7456 | 124,719,934 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 14,181 | $ | 17.77 | 1,000 | $ | 252,013,387 | ||||||||||||
VIX Futures (Cboe) | Long | November 2023 | 9,464 | 18.25 | 1,000 | 172,682,983 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 28,597 | $ | 31.52 | 1,000 | $ | 901,263,052 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 19,065 | 31.07 | 1,000 | 592,381,961 |
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/06/23 | 2,355,724,056 | 0.006813 | $ | 16,049,086 | |||||||||||||
Yen | UBS AG | Long | 10/06/23 | 2,976,699,856 | 0.006807 | 20,261,769 | ||||||||||||||
Yen | UBS AG | Short | 10/06/23 | (97,972,000 | ) | 0.006790 | (665,202 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/07/22 | 1,186,245,517 | 0.006949 | $ | 8,243,617 | |||||||||||||
Yen | UBS AG | Long | 10/07/22 | 1,919,545,856 | 0.006945 | 13,331,165 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/22 | (33,368,000 | ) | 0.006974 | (232,706 | ) | ||||||||||||
Yen | UBS AG | Short | 10/07/22 | (133,030,000 | ) | 0.006945 | (923,831 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 2,296 | $ | 88.80 | 1,000 | $ | (203,884,800 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 2,404 | 81.12 | 1,000 | (195,012,480 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2024 | 2,500 | 77.86 | 1,000 | (194,650,000 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,174 | $ | 78.72 | 1,000 | $ | (249,857,280 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,344 | 73.00 | 1,000 | (244,112,000 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 3,500 | 69.66 | 1,000 | (243,810,000 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2023 | 7,624 | $ | 2.93 | 10,000 | $ | (223,306,960 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2022 | 7,167 | $ | 6.77 | 10,000 | $ | (484,919,220 | ) |
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/06/23 | 486,000 | 1.0694 | $ | 519,743 | |||||||||||||
Euro | UBS AG | Long | 10/06/23 | 10,804,000 | 1.0696 | 11,556,452 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/06/23 | (43,752,263 | ) | 1.0751 | (47,038,130 | ) | ||||||||||||
Euro | UBS AG | Short | 10/06/23 | (50,970,199 | ) | 1.0735 | (54,717,780 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Euro | UBS AG | Long | 10/07/22 | 38,000,000 | 0.9876 | $ | 37,528,206 | |||||||||||
Euro | Goldman Sachs International | Short | 10/07/22 | (78,612,263 | ) | 0.9970 | (78,374,875 | ) | ||||||||||
Euro | UBS AG | Short | 10/07/22 | (144,189,199 | ) | 0.9931 | (143,198,834 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2023 | 71 | $ | 1,866.10 | 100 | $ | (13,249,310 | ) |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 190.8900 | $ | (3,588,216 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 190.8900 | (4,702,766 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 190.8900 | (7,273,894 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2022 | 157 | $ | 1,672.00 | 100 | $ | (26,250,400 | ) |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 180.7152 | $ | (13,547,911 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 180.7152 | (8,863,141 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 180.7152 | (10,598,433 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2023 | 109 | $ | 22.45 | 5,000 | $ | (12,235,250 | ) |
Swap Agreements as of September 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 190.6601 | $ | (2,570,998 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 190.6601 | (9,365,796 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 190.6601 | (7,405,429 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 190.6601 | (2,368,019 | ) |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2022 | 506 | $ | 19.04 | 5,000 | $ | (48,168,670 | ) |
Swap Agreements as of September 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 169.7456 | $ | (2,288,972 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 169.7456 | (8,338,415 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 169.7456 | (6,593,089 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 169.7456 | (2,108,259 | ) |
Foreign Currency Forward Contracts as of September 30, 2023 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | UBS AG | Long | 10/06/23 | 428,237,000 | 0.006813 | $ | 2,917,500 | |||||||||||
Yen | Goldman Sachs International | Short | 10/06/23 | (3,330,184,165 | ) | 0.006821 | (22,714,958 | ) | ||||||||||
Yen | UBS AG | Short | 10/06/23 | (4,908,633,574 | ) | 0.006814 | (33,445,689 | ) |
Foreign Currency Forward Contracts as of September 30, 2022 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 10/07/22 | 513,732,000 | 0.007033 | $ | 3,613,292 | |||||||||||
Yen | UBS AG | Long | 10/07/22 | 1,169,990,000 | 0.006995 | 8,183,497 | ||||||||||||
Yen | Goldman Sachs International | Short | 10/07/22 | (4,358,922,165 | ) | 0.006949 | (30,291,833 | ) | ||||||||||
Yen | UBS AG | Short | 10/07/22 | (12,349,528,574 | ) | 0.006949 | (85,811,526 | ) |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2024 | 617 | $ | 19.10 | 1,000 | $ | 11,784,515 | ||||||||||||
VIX Futures (Cboe) | Long | February 2024 | 1,028 | 19.30 | 1,000 | 19,841,839 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2024 | 1,028 | 19.60 | 1,000 | 20,146,847 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2024 | 411 | 19.90 | 1,000 | 8,178,119 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2023 | 728 | $ | 30.70 | 1,000 | $ | 22,351,129 | ||||||||||||
VIX Futures (Cboe) | Long | February 2023 | 1,214 | 30.31 | 1,000 | 36,796,340 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2023 | 1,214 | 30.18 | 1,000 | 36,638,520 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 486 | 30.25 | 1,000 | 14,700,868 |
Futures Positions as of September 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 7,067 | $ | 17.77 | 1,000 | $ | 125,589,070 | ||||||||||||
VIX Futures (Cboe) | Long | November 2023 | 4,719 | 18.25 | 1,000 | 86,104,290 |
Futures Positions as of September 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 8,381 | $ | 31.52 | 1,000 | $ | 264,135,596 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 5,587 | 31.07 | 1,000 | 173,597,588 |
Title of Securities Registered * | Total Number of Shares Redeemed | Average Price Per Share | ||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 450,000 | $ | 88.08 | |||||||
08/01/23 to 08/31/23 | 450,000 | $ | 86.17 | |||||||
09/01/23 to 09/30/23 | 50,000 | $ | 92.61 | |||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 7,950,000 | $ | 26.87 | |||||||
08/01/23 to 08/31/23 | 1,950,000 | $ | 30.67 | |||||||
09/01/23 to 09/30/23 | 4,050,000 | $ | 35.16 | |||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 3,353,332 | $ | 63.97 | |||||||
08/01/23 to 08/31/23 | 6,000,000 | $ | 66.70 | |||||||
09/01/23 to 09/30/23 | 3,900,000 | $ | 55.93 | |||||||
ProShares Ultra Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 11.82 | |||||||
08/01/23 to 08/31/23 | — | $ | — | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares Ultra Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 100,000 | $ | 58.94 | |||||||
08/01/23 to 08/31/23 | 100,000 | $ | 57.47 | |||||||
09/01/23 to 09/30/23 | 150,000 | $ | 57.69 | |||||||
ProShares Ultra Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 600,000 | $ | 30.85 | |||||||
08/01/23 to 08/31/23 | 600,000 | $ | 29.62 | |||||||
09/01/23 to 09/30/23 | 250,000 | $ | 27.58 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 2,353,383 | $ | 18.57 | |||||||
08/01/23 to 08/31/23 | 5,050,000 | $ | 18.29 | |||||||
09/01/23 to 09/30/23 | 9,500,000 | $ | 16.29 | |||||||
ProShares Ultra Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 28.94 | |||||||
08/01/23 to 08/31/23 | — | $ | — | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 1,000,000 | $ | 21.53 | |||||||
08/01/23 to 08/31/23 | 1,650,000 | $ | 19.97 | |||||||
09/01/23 to 09/30/23 | 1,400,000 | $ | 16.73 | |||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 1,750,000 | $ | 60.64 | |||||||
08/01/23 to 08/31/23 | 3,050,000 | $ | 54.57 | |||||||
09/01/23 to 09/30/23 | 1,450,000 | $ | 62.25 | |||||||
ProShares UltraShort Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 100,000 | $ | 29.02 | |||||||
08/01/23 to 08/31/23 | 100,000 | $ | 29.31 | |||||||
09/01/23 to 09/30/23 | 150,000 | $ | 30.60 | |||||||
ProShares UltraShort Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 27.73 | |||||||
08/01/23 to 08/31/23 | 150,000 | $ | 29.27 | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares UltraShort Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 20.33 | |||||||
08/01/23 to 08/31/23 | 2,750,000 | $ | 19.57 | |||||||
09/01/23 to 09/30/23 | 300,000 | $ | 20.32 | |||||||
ProShares UltraShort Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 50,000 | $ | 62.82 | |||||||
08/01/23 to 08/31/23 | — | $ | — | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 100,000 | $ | 20.17 | |||||||
08/01/23 to 08/31/23 | 75,000 | $ | 19.32 | |||||||
09/01/23 to 09/30/23 | — | $ | — | |||||||
ProShares VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
07/01/23 to 07/31/23 | 125,618 | $ | 25.62 | |||||||
08/01/23 to 08/31/23 | 2,025,000 | $ | 24.51 | |||||||
09/01/23 to 09/30/23 | 475,000 | $ | 23.28 |
* | The registration statement covers an indeterminate amount of securities to be offered or sold. |
(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. |
PROSHARES TRUST II |
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: November 6, 2023 |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: November 6, 2023 |