☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange 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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1 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $144,283,581, respectively) | $ | 94,860,624 | $ | 144,307,676 | ||||
Cash | 71,307,875 | 6,852,395 | ||||||
Segregated cash balances with brokers for futures contracts | 94,991,815 | 127,094,546 | ||||||
Receivable on open futures contracts | 43,457,674 | 67,086,947 | ||||||
Interest receivable | 472,061 | 475,930 | ||||||
Total assets | 305,090,049 | 345,817,494 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 9,552,818 | 5,861,814 | ||||||
Brokerage commissions and futures account fees payable | 5,185 | 21,576 | ||||||
Payable to Sponsor | 191,653 | 342,466 | ||||||
Total liabilities | 9,749,656 | 6,225,856 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 295,340,393 | 339,591,638 | ||||||
Total liabilities and shareholders’ equity | $ | 305,090,049 | $ | 345,817,494 | ||||
Shares outstanding | 4,634,307 | 5,784,307 | ||||||
Net asset value per share | $ | 63.73 | $ | 58.71 | ||||
Market value per share (Note 2) | $ | 63.75 | $ | 58.68 | ||||
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 | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
3.874% due 04/11/23 | 25,000,000 | 24,973,528 | ||||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $94,860,159) | $ | 94,860,624 | ||||||
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 April 2023 | 4,007 | $ | 83,202,149 | $ | 11,676,653 | |||||||
VIX Futures – Cboe, expires May 2023 | 2,915 | 64,504,578 | 2,594,535 | |||||||||
$ | 14,271,188 | |||||||||||
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 March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 2,109,122 | $ | 94,343 | $ | 2,624,180 | $ | 1,006,499 | $ | 7,170,512 | $ | 1,325,976 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 565,777 | 986,537 | 634,871 | 914,054 | 1,817,684 | 2,934,952 | ||||||||||||||||||
Brokerage commissions | 126,503 | 187,698 | 137,943 | 152,661 | 387,868 | 517,911 | ||||||||||||||||||
Futures accounts fees | — | 217,030 | ||||||||||||||||||||||
Futures account fees | — | 23,966 | — | 348,217 | ||||||||||||||||||||
Non-recurring fees and expenses | — | 6,122 | — | 6,122 | ||||||||||||||||||||
Total expenses | 692,280 | 1,391,265 | 772,814 | 1,096,803 | 2,205,552 | 3,807,202 | ||||||||||||||||||
Net investment income (loss) | 1,416,842 | (1,296,922 | ) | 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 | 29,604,148 | (41,100,614 | ) | 30,285,319 | 27,694,574 | 125,117,609 | (26,435,234 | ) | ||||||||||||||||
Short-term U.S. government and agency obligations | — | (10,494 | ) | 4 | — | (25,807 | ) | (86,512 | ) | |||||||||||||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | 3,178,807 | 4,709,184 | (26,316,590 | ) | (17,783,632 | ) | (13,479,766 | ) | (47,541,296 | ) | ||||||||||||||
Short-term U.S. government and agency obligations | (23,630 | ) | (411,277 | ) | (557 | ) | 313,442 | (9,103 | ) | (138,767 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 32,759,325 | (36,813,201 | ) | 3,968,176 | 10,224,384 | 111,602,933 | (74,201,809 | ) | ||||||||||||||||
Net income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) | $ | 5,819,542 | $ | 10,134,080 | $ | 116,567,893 | $ | (76,683,035 | ) | ||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 339,591,638 | $ | 423,812,594 | $ | 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 | ) | ||||||||||||||||
Addition of 2,450,000 and 3,000,000 shares, respectively | 147,299,334 | 156,515,471 | ||||||||||||||||||||||
Redemption of 3,600,000 and 800,000 shares, respectively | (225,726,746 | ) | (46,629,093 | ) | ||||||||||||||||||||
Net addition (redemption) of (1,150,000) and 2,200,000 shares, respectively | (78,427,412 | ) | 109,886,378 | |||||||||||||||||||||
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) | 1,416,842 | (1,296,922 | ) | 1,851,366 | (90,304 | ) | 4,964,960 | (2,481,226 | ) | |||||||||||||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | 30,285,323 | 27,694,574 | 125,091,802 | (26,521,746 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | (26,317,147 | ) | (17,470,190 | ) | (13,488,869 | ) | (47,680,063 | ) | ||||||||||||||
Net income (loss) | 34,176,167 | (38,110,123 | ) | 5,819,542 | 10,134,080 | 116,567,893 | (76,683,035 | ) | ||||||||||||||||
Shareholders’ equity, end of period | $ | 295,340,393 | $ | 495,588,849 | $ | 261,698,747 | $ | 321,831,051 | $ | 261,698,747 | $ | 321,831,051 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) | $ | 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 | (99,763,542 | ) | (184,846,445 | ) | (584,136,375 | ) | (1,119,341,677 | ) | ||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 150,000,000 | 151,980,347 | 626,824,736 | 1,130,832,801 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (813,036 | ) | (97,211 | ) | (3,086,541 | ) | (491,158 | ) | ||||||||
Net realized (gain) loss on investments | — | 10,494 | 25,807 | 86,512 | ||||||||||||
Change in unrealized (appreciation) depreciation on investments | 23,630 | 411,277 | 9,103 | 138,767 | ||||||||||||
Decrease (Increase) in receivable on open futures contracts | 23,629,273 | 2,719,889 | 54,294,387 | 21,641,411 | ||||||||||||
Decrease (Increase) in interest receivable | 3,869 | 2,868 | 200,839 | (231,733 | ) | |||||||||||
Increase (Decrease) in payable to Sponsor | (150,813 | ) | 33,446 | (144,914 | ) | 256,789 | ||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (16,391 | ) | (34,038 | ) | (12,616 | ) | (95,868 | ) | ||||||||
Increase (Decrease) in payable on open futures contracts | — | 12,542,043 | 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 | 107,089,157 | (55,387,453 | ) | 213,167,374 | (40,998,164 | ) | ||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 147,299,334 | 156,515,471 | 241,582,456 | 255,975,394 | ||||||||||||
Payment on shares redeemed | (222,035,742 | ) | (52,754,223 | ) | (441,905,054 | ) | (287,399,032 | ) | ||||||||
Net cash provided by (used in) financing activities | (74,736,408 | ) | 103,761,248 | (200,322,598 | ) | (31,423,638 | ) | |||||||||
Net increase (decrease) in cash | 32,352,749 | 48,373,795 | 12,844,776 | (72,421,802 | ) | |||||||||||
Cash, beginning of period | 133,946,941 | 183,010,984 | 133,946,941 | 183,010,984 | ||||||||||||
Cash, end of period | $ | 166,299,690 | $ | 231,384,779 | $ | 146,791,717 | $ | 110,589,182 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $199,701,287 and $313,413,683, respectively) | $ | 199,701,685 | $ | 313,465,007 | ||||||||||||
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 | 340,933,444 | 224,296,858 | 26,232,492 | 224,296,858 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 65,465,226 | 76,813,658 | 31,197,841 | 76,813,658 | ||||||||||||
Segregated cash balances with brokers for swap agreements | 306,075,745 | 175,489,745 | 283,449,745 | 175,489,745 | ||||||||||||
Unrealized appreciation on swap agreements | — | 74,159,577 | 11,240,991 | 74,159,577 | ||||||||||||
Receivable on open futures contracts | 14,241,357 | 8,466,027 | — | 8,466,027 | ||||||||||||
Interest receivable | 806,649 | 618,549 | 337,421 | 618,549 | ||||||||||||
Total assets | 927,224,106 | 873,309,421 | 616,539,578 | 873,309,421 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 47,715,339 | 13,545,014 | 8,912,592 | 13,545,014 | ||||||||||||
Payable on open futures contracts | 2,980,155 | — | ||||||||||||||
Brokerage commissions and futures account fees payable | 6,487 | 7,154 | 2,674 | 7,154 | ||||||||||||
Payable to Sponsor | 631,438 | 662,979 | 519,825 | 662,979 | ||||||||||||
Unrealized depreciation on swap agreements | 67,202,386 | — | ||||||||||||||
Total liabilities | 115,555,650 | 14,215,147 | 12,415,246 | 14,215,147 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 811,668,456 | 859,094,274 | 604,124,332 | 859,094,274 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 927,224,106 | $ | 873,309,421 | $ | 616,539,578 | $ | 873,309,421 | ||||||||
Shares outstanding (Note 1) | 30,593,096 | 28,393,096 | ||||||||||||||
Shares outstanding | 17,143,096 | 28,393,096 | ||||||||||||||
Net asset value per share (Note 1) | $ | 26.53 | $ | 30.26 | ||||||||||||
Net asset value per share | $ | 35 .24 | $ | 30 .26 | ||||||||||||
Market value per share (Note 1) (Note 2) | $ | 26.47 | $ | 30.31 | ||||||||||||
Market value per share (Note 2) | $ | 35 .28 | $ | 30 .31 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(25% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 † | $ | 50,000,000 | $ | 49,993,605 | ||||
3.874% due 04/11/23 | 50,000,000 | 49,947,055 | ||||||
4.156% due 04/18/23 † | 50,000,000 | 49,902,190 | ||||||
4.205% due 04/25/23 † | 50,000,000 | 49,858,835 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $199,701,287) | $ | 199,701,685 | ||||||
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 June 2023 | 2,112 | $ | 160,089,600 | $ | 12,570,821 | |||||||
WTI Crude Oil – NYMEX, expires December 2023 | 2,182 | 160,486,100 | 10,055,416 | |||||||||
WTI Crude Oil – NYMEX, expires June 2024 | 2,261 | 161,051,030 | 6,867,926 | |||||||||
$ | 29,494,163 | |||||||||||
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 | 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 | % | 04/06/23 | $ | 180,552,235 | $ | (10,629,759 | ) | 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 | 04/06/23 | 224,484,374 | (13,216,202 | ) | 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 | 04/06/23 | 312,723,926 | (18,411,182 | ) | 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 | 04/06/23 | 170,398,805 | (10,019,635 | ) | 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 | 04/06/23 | 253,675,785 | (14,925,608 | ) | 0.30 | 10/06/23 | 157,428,427 | 3,662,118 | |||||||||||||||||||||||
Total Unrealized Depreciation | $ | (67,202,386 | ) | Total Unrealized Appreciation | $ | 11,240,991 | ||||||||||||||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 6,007,908 | $ | 308,880 | $ | 5,340,428 | $ | 2,391,191 | $ | 17,226,428 | $ | 3,964,082 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 1,874,618 | 3,084,812 | 1,629,737 | 2,118,088 | 5,249,353 | 8,301,804 | ||||||||||||||||||
Brokerage commissions | 94,344 | 195,541 | 51,162 | 85,906 | 239,809 | 421,657 | ||||||||||||||||||
Futures accounts fees | — | 252,687 | ||||||||||||||||||||||
Futures account fees | — | 19,466 | — | 381,754 | ||||||||||||||||||||
Non-recurring fees and expenses | — | 13,739 | — | 13,739 | ||||||||||||||||||||
Total expenses | 1,968,962 | 3,533,040 | 1,680,899 | 2,237,199 | 5,489,162 | 9,118,954 | ||||||||||||||||||
Net investment income (loss) | 4,038,946 | (3,224,160 | ) | 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 | 10,834,024 | 266,409,832 | 45,265,209 | (58,028,223 | ) | 85,471,042 | 452,879,319 | |||||||||||||||||
Swap agreements | 74,946,403 | 533,013,238 | 199,284,914 | (286,550,709 | ) | 168,504,091 | 365,260,911 | |||||||||||||||||
Short-term U.S. government and agency obligations | — | (3,136 | ) | 120 | — | (59,258 | ) | (7,789 | ) | |||||||||||||||
Net realized gain (loss) | 85,780,427 | 799,419,934 | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | 3,202,447 | 98,135,638 | 15,311,614 | (62,302,727 | ) | (1,561,796 | ) | (151,303,453 | ) | |||||||||||||||
Swap agreements | (141,361,963 | ) | (192,213,567 | ) | 12,933,232 | 28,330,957 | (62,918,586 | ) | (187,884,491 | ) | ||||||||||||||
Short-term U.S. government and agency obligations | (50,926 | ) | (586,058 | ) | (67,874 | ) | 723,596 | (13,931 | ) | (268,326 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (52,430,015 | ) | 704,755,947 | 272,727,215 | (377,827,106 | ) | 189,421,562 | 478,676,171 | ||||||||||||||||
Net income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 | $ | 276,386,744 | $ | (377,673,114 | ) | $ | 201,158,828 | $ | 473,521,299 | ||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | $ | 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 | ) | ||||||||||||||||
Addition of 19,100,000 and 8,600,000 shares, respectively (Note 1) | 459,350,575 | 330,317,033 | ||||||||||||||||||||||
Redemption of 16,900,000 and 24,600,000 shares, respectively (Note 1) | (458,385,324 | ) | (798,651,705 | ) | ||||||||||||||||||||
Net addition (redemption) of 2,200,000 and (16,000,000) shares, respectively (Note 1) | 965,251 | (468,334,672 | ) | |||||||||||||||||||||
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) | 4,038,946 | (3,224,160 | ) | 3,659,529 | 153,992 | 11,737,266 | (5,154,872 | ) | ||||||||||||||||
Net realized gain (loss) | 85,780,427 | 799,419,934 | 244,550,243 | (344,578,932 | ) | 253,915,875 | 818,132,441 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | 28,176,972 | (33,248,174 | ) | (64,494,313 | ) | (339,456,270 | ) | |||||||||||||
Net income (loss) | (48,391,069 | ) | 701,531,787 | 276,386,744 | (377,673,114 | ) | 201,158,828 | 473,521,299 | ||||||||||||||||
Shareholders’ equity, end of period | $ | 811,668,456 | $ | 1,336,980,685 | $ | 604,124,332 | $ | 724,595,262 | $ | 604,124,332 | $ | 724,595,262 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 | $ | 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 | (7,526,215,542 | ) | (1,394,562,680 | ) | (9,133,783,770 | ) | (13,891,053,120 | ) | ||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 7,644,000,000 | 1,226,992,801 | 9,194,559,106 | 14,207,412,141 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,072,062 | ) | (312,402 | ) | (11,464,606 | ) | (2,942,264 | ) | ||||||||
Net realized (gain) loss on investments | — | 3,136 | 59,258 | 7,789 | ||||||||||||
Change in unrealized (appreciation) depreciation on investments | 141,412,889 | 192,799,625 | 62,932,517 | 188,152,817 | ||||||||||||
Decrease (Increase) in receivable on open futures contracts | (5,775,330 | ) | (187,616 | ) | 8,466,027 | (891,736 | ) | |||||||||
Decrease (Increase) in interest receivable | (188,100 | ) | 3,522 | 281,128 | (317,244 | ) | ||||||||||
Increase (Decrease) in payable to Sponsor | (31,541 | ) | 375,565 | (143,154 | ) | 493,818 | ||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (667 | ) | 74,671 | (4,480 | ) | (18,209 | ) | |||||||||
Increase (Decrease) in payable on open futures contracts | — | 12,321,787 | 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 | 200,738,578 | 739,040,196 | 325,041,009 | 951,973,241 | ||||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 459,350,575 | 330,317,033 | 812,713,784 | 738,516,557 | ||||||||||||
Payment on shares redeemed | (424,214,999 | ) | (783,468,195 | ) | (1,273,474,976 | ) | (1,574,816,957 | ) | ||||||||
Net cash provided by (used in) financing activities | 35,135,576 | (453,151,162 | ) | (460,761,192 | ) | (836,300,400 | ) | |||||||||
Net increase (decrease) in cash | 235,874,154 | 285,889,034 | (135,720,183 | ) | 115,672,841 | |||||||||||
Cash, beginning of period | 476,600,261 | 217,287,389 | 476,600,261 | 217,287,389 | ||||||||||||
Cash, end of period | $ | 712,474,415 | $ | 503,176,423 | $ | 340,880,078 | $ | 332,960,230 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $299,678,924 and $263,209,299, respectively) | $ | 299,709,730 | $ | 263,260,158 | ||||||||||||
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 | 132,433,633 | 13,689,494 | 24,873,663 | 13,689,494 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 531,082,000 | 163,045,170 | 379,123,011 | 163,045,170 | ||||||||||||
Receivable from capital shares sold | 9,220,442 | — | ||||||||||||||
Segregated cash balances with brokers for swap agreements | 74,778,263 | — | ||||||||||||||
Receivable on open futures contracts | 231,758,209 | 149,650,221 | 126,823,271 | 149,650,221 | ||||||||||||
Interest receivable | 1,903,275 | 653,922 | 1,484,336 | 653,922 | ||||||||||||
Total assets | 1,206,107,289 | 590,298,965 | 910,940,931 | 590,298,965 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 26,001,646 | 1,826,653 | 32,487,150 | 1,826,653 | ||||||||||||
Payable on open futures contracts | — | 1,835,443 | 5,930,098 | 1,835,443 | ||||||||||||
Brokerage commissions and futures account fees payable | 73,674 | 35,242 | 36,861 | 35,242 | ||||||||||||
Payable to Sponsor | 959,877 | 450,514 | 709,247 | 450,514 | ||||||||||||
Unrealized depreciation on swap agreements | 39,088,319 | — | 1,438,294 | — | ||||||||||||
Total liabilities | 66,123,516 | 4,147,852 | 40,601,650 | 4,147,852 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 1,139,983,773 | 586,151,113 | 870,339,281 | 586,151,113 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 1,206,107,289 | $ | 590,298,965 | $ | 910,940,931 | $ | 590,298,965 | ||||||||
Shares outstanding | 309,087,527 | 32,287,527 | ||||||||||||||
Shares outstanding (Note 1) | 16,118,544 | 1,614,376 | ||||||||||||||
Net asset value per share | $ | 3.69 | $ | 18.15 | ||||||||||||
Net asset value per share (Note 1) | $ | 54 .00 | $ | 363 .08 | ||||||||||||
Market value per share (Note 2) | $ | 3.61 | $ | 17.78 | ||||||||||||
Market value per share (Note 1) (Note 2) | $ | 54 .38 | $ | 355 .60 | ||||||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(26% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.283% due 04/04/23 † | $ | 125,000,000 | $ | 124,984,013 | ||||
4.329% due 04/11/23 † | 100,000,000 | 99,894,110 | ||||||
4.156% due 04/18/23 † | 50,000,000 | 49,902,190 | ||||||
4.205% due 04/25/23 † | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $299,678,924) | $ | 299,709,730 | ||||||
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 May 2023 | 95,284 | $ | 2,111,493,440 | $ | (324,515,287 | ) |
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 | 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 | % | 04/06/23 | $ | 67,247,193 | $ | (15,605,398 | ) | 0.50 | % | 10/06/23 | $ | 132,651,213 | $ | (706,090 | ) | ||||||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 04/06/23 | 100,389,846 | (23,296,489 | ) | 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 | 04/06/23 | 803,815 | (186,432 | ) | 0.35 | 10/06/23 | 725,704 | (3,794 | ) | ||||||||||||||||||||||
Total Unrealized Depreciation | $ | (39,088,319 | ) | Total Unrealized Depreciation | $ | (1,438,294 | ) | |||||||||||||||||||||||||
† | All or partial amount pledged as collateral for |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 8,958,523 | $ | 39,581 | $ | 9,098,504 | $ | 909,204 | $ | 26,923,732 | $ | 1,095,255 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 2,328,410 | 396,610 | 2,303,082 | 658,525 | 7,220,063 | 1,589,759 | ||||||||||||||||||
Brokerage commissions | 952,779 | 88,452 | 629,541 | 97,589 | 2,727,691 | 300,747 | ||||||||||||||||||
Futures accounts fees | 187,693 | 71,117 | ||||||||||||||||||||||
Futures account fees | 131,828 | 43,620 | 531,306 | 177,950 | ||||||||||||||||||||
Non-recurring fees and expenses | — | 4,791 | — | 4,791 | ||||||||||||||||||||
Total expenses | 3,468,882 | 556,179 | 3,064,451 | 804,525 | 10,479,060 | 2,073,247 | ||||||||||||||||||
Net investment income (loss) | 5,489,641 | (516,598 | ) | 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 | (1,100,791,083 | ) | 76,220,688 | 221,454,698 | (5,889,116 | ) | (1,418,539,604 | ) | 235,322,266 | |||||||||||||||
Swap agreements | 39,159,789 | — | 15,625,140 | — | (22,895,121 | ) | — | |||||||||||||||||
Short-term U.S. government and agency obligations | (3,570 | ) | (3,452 | ) | 198 | (4,181 | ) | (7,018 | ) | (7,633 | ) | |||||||||||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | |||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | (13,901,318 | ) | 85,030,764 | (362,927,910 | ) | 97,063,212 | 196,021,496 | (89,157,584 | ) | |||||||||||||||
Swap agreements | (39,088,319 | ) | — | (47,526,551 | ) | — | (1,438,294 | ) | — | |||||||||||||||
Short-term U.S. government and agency obligations | (20,053 | ) | (163,020 | ) | (17,784 | ) | 158,315 | (8,113 | ) | (41,614 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (1,114,644,554 | ) | 161,084,980 | (173,392,209 | ) | 91,328,230 | (1,246,866,654 | ) | 146,115,435 | |||||||||||||||
Net income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 | $ | (167,358,156 | ) | $ | 91,432,909 | $ | (1,230,421,982 | ) | $ | 145,137,443 | |||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 586,151,113 | $ | 193,892,178 | $ | 1,141,021,278 | $ | 187,297,842 | $ | 586,151,113 | $ | 193,892,178 | ||||||||||||
Addition of 379,450,000 and 2,600,000 shares, respectively | 2,345,948,834 | 87,880,355 | ||||||||||||||||||||||
Redemption of 102,650,000 and 7,600,000 shares, respectively | (682,961,261 | ) | (297,271,429 | ) | ||||||||||||||||||||
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 276,800,000 and (5,000,000) shares, respectively | 1,662,987,573 | (209,391,074 | ) | |||||||||||||||||||||
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) | 5,489,641 | (516,598 | ) | 6,034,053 | 104,679 | 16,444,672 | (977,992 | ) | ||||||||||||||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | 237,080,036 | (5,893,297 | ) | (1,441,441,743 | ) | 235,314,633 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | (410,472,245 | ) | 97,221,527 | 194,575,089 | (89,199,198 | ) | |||||||||||||||
Net income (loss) | (1,109,154,913 | ) | 160,568,382 | (167,358,156 | ) | 91,432,909 | (1,230,421,982 | ) | 145,137,443 | |||||||||||||||
Shareholders’ equity, end of period | $ | 1,139,983,773 | $ | 145,069,486 | $ | 870,339,281 | $ | 289,386,097 | $ | 870,339,281 | $ | 289,386,097 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 | $ | (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 | (7,560,364,945 | ) | (135,944,242 | ) | (10,927,044,661 | ) | (750,045,262 | ) | ||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 7,527,849,267 | 130,991,301 | 10,897,274,725 | 734,916,266 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,957,517 | ) | (40,710 | ) | (10,843,424 | ) | (561,077 | ) | ||||||||
Net realized (gain) loss on investments | 3,570 | 3,452 | 7,018 | 7,633 | ||||||||||||
Change in unrealized (appreciation) depreciation on investments | 39,108,372 | 163,020 | 1,446,407 | 41,614 | ||||||||||||
Decrease (Increase) in receivable on open futures contracts | (82,107,988 | ) | 20,996,970 | 22,826,950 | (36,015,281 | ) | ||||||||||
Decrease (Increase) in interest receivable | (1,249,353 | ) | 1,130 | (830,414 | ) | (157,395 | ) | |||||||||
Increase (Decrease) in payable to Sponsor | 509,363 | (11,937 | ) | 258,733 | 294,750 | |||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 38,432 | (40,216 | ) | 1,619 | (48,246 | ) | ||||||||||
Increase (Decrease) in payable on open futures contracts | (1,835,443 | ) | (5,403,658 | ) | 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 | (1,191,161,155 | ) | 171,283,492 | (1,243,230,374 | ) | 94,761,738 | ||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 2,336,728,392 | 108,329,096 | 3,899,918,459 | 1,083,453,488 | ||||||||||||
Payment on shares redeemed | (658,786,268 | ) | (288,851,227 | ) | (2,354,647,812 | ) | (1,109,986,578 | ) | ||||||||
Net cash provided by (used in) financing activities | 1,677,942,124 | (180,522,131 | ) | 1,545,270,647 | (26,533,090 | ) | ||||||||||
Net increase (decrease) in cash | 486,780,969 | (9,238,639 | ) | 302,040,273 | 68,228,648 | |||||||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | 176,734,664 | 54,135,725 | ||||||||||||
Cash, end of period | $ | 663,515,633 | $ | 44,897,086 | $ | 478,774,937 | $ | 122,364,373 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Cash | $ | 7,171,419 | $ | 9,156,418 | $ | 5,923,008 | $ | 9,156,418 | ||||||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,103,000 | 1,103,000 | 803,000 | 1,103,000 | ||||||||||||
Unrealized appreciation on foreign currency forward contracts | 319,670 | 514,115 | 867 | 514,115 | ||||||||||||
Interest receivable | 30,947 | 40,421 | 25,385 | 40,421 | ||||||||||||
Total assets | 8,625,036 | 10,813,954 | 6,752,260 | 10,813,954 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable to Sponsor | 7,644 | 10,833 | 5,200 | 10,833 | ||||||||||||
Unrealized depreciation on foreign currency forward contracts | 959 | 98,459 | 223,579 | 98,459 | ||||||||||||
Total liabilities | 8,603 | 109,292 | 228,779 | 109,292 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 8,616,433 | 10,704,662 | 6,523,481 | 10,704,662 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 8,625,036 | $ | 10,813,954 | $ | 6,752,260 | $ | 10,813,954 | ||||||||
Shares outstanding | 750,000 | 950,000 | 600,000 | 950,000 | ||||||||||||
Net asset value per share | $ | 11.49 | $ | 11.27 | $ | 10 .87 | $ | 11 .27 | ||||||||
Market value per share (Note 2) | $ | 11.49 | $ | 11.26 | $ | 10 .85 | $ | 11 .26 | ||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||||||||||||||
Contracts to Purchase | ||||||||||||||||||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | 8,826,921 | $ | 9,580,310 | $ | 152,785 | 10/06/23 | 7,691,921 | $ | 8,134,350 | $ | (136,003 | ) | |||||||||||||||||||
Euro with UBS AG | 04/14/23 | 9,821,502 | 10,659,779 | 166,885 | 10/06/23 | 4,954,502 | 5,239,479 | (87,576 | ) | |||||||||||||||||||||||
Total Unrealized Appreciation | | $ | 319,670 | Total Unrealized Depreciation | | $ | (223,579 | ) | ||||||||||||||||||||||||
Contracts to Sell | ||||||||||||||||||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | (308,000 | ) | $ | (334,288 | ) | $ | (6,791 | ) | |||||||||||||||||||||||
Euro with UBS AG | 04/14/23 | (2,461,000 | ) | (2,671,050 | ) | 5,832 | 10/06/23 | (323,000 | ) | $ | (341,578 | ) | $ | 867 | ||||||||||||||||||
Total Unrealized Depreciation | $ | (959 | ) | Total Unrealized Appreciation | | $ | 867 | |||||||||||||||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 97,237 | $ | 4,587 | $ | 80,746 | $ | 36,856 | $ | 266,165 | $ | 47,965 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 24,246 | 20,278 | 16,999 | 31,331 | 61,096 | 66,646 | ||||||||||||||||||
Non-recurring fees and expenses | — | 237 | — | 237 | ||||||||||||||||||||
Total expenses | 24,246 | 20,278 | 16,999 | 31,568 | 61,096 | 66,883 | ||||||||||||||||||
Net investment income (loss) | 72,991 | (15,691 | ) | 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 | 280,279 | (441,030 | ) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,505,776 | ) | ||||||||||||||
Short-term U.S. government and agency obligations | — | (5,949 | ) | — | — | — | (5,949 | ) | ||||||||||||||||
Net realized gain (loss) | 280,279 | (446,979 | ) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Foreign currency forward contracts | (96,945 | ) | (132,970 | ) | (462,400 | ) | (98,836 | ) | (638,368 | ) | (513,883 | ) | ||||||||||||
Short-term U.S. government and agency obligations | — | (5,455 | ) | — | 3,824 | — | (844 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 183,334 | (585,404 | ) | (484,785 | ) | (1,713,393 | ) | (302,183 | ) | (3,026,452 | ) | |||||||||||||
Net income (loss) | $ | 256,325 | $ | (601,095 | ) | $ | (421,038 | ) | $ | (1,708,105 | ) | $ | (97,114 | ) | $ | (3,045,370 | ) | |||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 10,704,662 | $ | 8,659,095 | $ | 7,535,435 | $ | 9,415,626 | $ | 10,704,662 | $ | 8,659,095 | ||||||||||||
Addition of 200,000 and 100,000 shares, respectively | 2,296,437 | 1,316,267 | ||||||||||||||||||||||
Redemption of 400,000 and 250,000 shares, respectively | (4,640,991 | ) | (3,137,285 | ) | ||||||||||||||||||||
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 (200,000) and (150,000) shares, respectively | (2,344,554 | ) | (1,821,018 | ) | ||||||||||||||||||||
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) | 72,991 | (15,691 | ) | 63,747 | 5,288 | 205,069 | (18,918 | ) | ||||||||||||||||
Net realized gain (loss) | 280,279 | (446,979 | ) | (22,385 | ) | (1,618,381 | ) | 336,185 | (2,511,725 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | (462,400 | ) | (95,012 | ) | (638,368 | ) | (514,727 | ) | ||||||||||||
Net income (loss) | 256,325 | (601,095 | ) | (421,038 | ) | (1,708,105 | ) | (97,114 | ) | (3,045,370 | ) | |||||||||||||
Shareholders’ equity, end of period | $ | 8,616,433 | $ | 6,236,982 | $ | 6,523,481 | $ | 13,869,371 | $ | 6,523,481 | $ | 13,869,371 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | 256,325 | $ | (601,095 | ) | $ | (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 | — | (5,984,289 | ) | — | (5,984,290 | ) | ||||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 2,290,249 | — | 6,290,250 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (4,740 | ) | — | (11,431 | ) | ||||||||||
Net realized (gain) loss on investments | — | 5,949 | — | 5,949 | ||||||||||||
Change in unrealized (appreciation) depreciation on investments | 96,945 | 138,425 | 638,368 | 514,727 | ||||||||||||
Decrease (Increase) in interest receivable | 9,474 | 153 | 15,036 | (13,185 | ) | |||||||||||
Increase (Decrease) in payable to Sponsor | (3,189 | ) | 2,160 | (5,633 | ) | 18,088 | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 237 | ||||||||||||||
Net cash provided by (used in) operating activities | 359,555 | (4,153,188 | ) | 550,657 | (2,225,025 | ) | ||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 2,296,437 | 1,316,267 | 2,296,437 | 13,058,757 | ||||||||||||
Payment on shares redeemed | (4,640,991 | ) | (3,137,285 | ) | (6,380,504 | ) | (5,281,415 | ) | ||||||||
Net cash provided by (used in) financing activities | (2,344,554 | ) | (1,821,018 | ) | (4,084,067 | ) | 7,777,342 | |||||||||
Net increase (decrease) in cash | (1,984,999 | ) | (5,974,206 | ) | (3,533,410 | ) | 5,552,317 | |||||||||
Cash, beginning of period | 10,259,418 | 7,582,458 | 10,259,418 | 7,582,458 | ||||||||||||
Cash, end of period | $ | 8,274,419 | $ | 1,608,252 | $ | 6,726,008 | $ | 13,134,775 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $129,100,287, respectively) | $ | 94,860,624 | $ | 129,123,489 | ||||||||||||
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 | 53,885,007 | 16,568,417 | 11,124,533 | 16,568,417 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 5,396,000 | 2,611,350 | 2,074,800 | 2,611,350 | ||||||||||||
Segregated cash balances with brokers for swap agreements | 32,250,000 | 18,730,000 | 35,494,971 | 18,730,000 | ||||||||||||
Unrealized appreciation on swap agreements | 15,353,259 | 6,496,466 | — | 6,496,466 | ||||||||||||
Receivable on open futures contracts | — | 8,169 | — | 8,169 | ||||||||||||
Interest receivable | 246,513 | 126,595 | 73,655 | 126,595 | ||||||||||||
Total assets | 201,991,403 | 173,664,486 | 158,432,838 | 173,664,486 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable on open futures contracts | 684,839 | — | 264,526 | — | ||||||||||||
Payable to Sponsor | 145,035 | 140,350 | 128,566 | 140,350 | ||||||||||||
Unrealized depreciation on swap agreements | 10,343,189 | — | ||||||||||||||
Total liabilities | 829,874 | 140,350 | 10,736,281 | 140,350 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 201,161,529 | 173,524,136 | 147,696,557 | 173,524,136 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 201,991,403 | $ | 173,664,486 | $ | 158,432,838 | $ | 173,664,486 | ||||||||
Shares outstanding | 3,200,000 | 3,150,000 | 2,800,000 | 3,150,000 | ||||||||||||
Net asset value per share | $ | 62.86 | $ | 55.09 | $ | 52 .75 | $ | 55 .09 | ||||||||
Market value per share (Note 2) | $ | 63.02 | $ | 55.27 | $ | 52 .60 | $ | 55 .27 | ||||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(46% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 † | $ | 25,000,000 | $ | 24,996,803 | ||||
3.874% due 04/11/23 | 25,000,000 | 24,973,528 | ||||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $94,860,159) | $ | 94,860,624 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures – COMEX, expires June 2023 | 667 | $ | 132,479,540 | $ | 5,096,411 |
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 | % | 04/06/23 | $ | 115,835,052 | $ | 6,674,065 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 04/06/23 | 55,017,986 | 3,169,970 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 04/06/23 | 98,916,314 | 5,509,224 | ||||||||||||
| Total Unrealized Appreciation | $ | 15,353,259 | |||||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 1,649,014 | $ | 95,113 | ||||
Expenses | ||||||||
Management fee | 427,114 | 671,415 | ||||||
Brokerage commissions | 8,615 | 21,659 | ||||||
Futures accounts fees | — | 19,505 | ||||||
Total expenses | 435,729 | 712,579 | ||||||
Net investment income (loss) | 1,213,285 | (617,466 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 2,760,579 | 20,190,020 | ||||||
Swap agreements | 8,039,317 | 37,628,576 | ||||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 1,854,323 | (7,899,907 | ) | |||||
Swap agreements | 8,856,793 | (16,749,744 | ) | |||||
Short-term U.S. government and agency obligations | (22,737 | ) | (170,860 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net realized and unrealized gain (loss) | 21,488,275 | 32,998,085 | ||||||
Net income (loss) | $ | 22,701,560 | $ | 32,380,619 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
Addition of 400,000 and 1,500,000 shares, respectively | 24,973,354 | 95,684,676 | ||||||
Redemption of 350,000 and 100,000 shares, respectively | (20,037,521 | ) | (5,816,007 | ) | ||||
Net addition (redemption) of 50,000 and 1,400,000 shares, respectively | 4,935,833 | 89,868,669 | ||||||
Net investment income (loss) | 1,213,285 | (617,466 | ) | |||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net income (loss) | 22,701,560 | 32,380,619 | ||||||
Shareholders’ equity, end of period | $ | 201,161,529 | $ | 355,029,822 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 22,701,560 | $ | 32,380,619 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (264,664,939 | ) | (439,592,586 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 300,000,000 | 349,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,094,933 | ) | (95,803 | ) | ||||
Change in unrealized (appreciation) depreciation on investments | (8,834,056 | ) | 16,920,604 | |||||
Decrease (Increase) in receivable on open futures contracts | 8,169 | (1,618,170 | ) | |||||
Decrease (Increase) in interest receivable | (119,918 | ) | 690 | |||||
Increase (Decrease) in payable to Sponsor | 4,685 | 99,065 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | 6,496 | ||||||
Increase (Decrease) in payable on open futures contracts | 684,839 | — | ||||||
Net cash provided by (used in) operating activities | 48,685,407 | (42,899,085 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 24,973,354 | 95,684,676 | ||||||
Payment on shares redeemed | (20,037,521 | ) | (5,816,007 | ) | ||||
Net cash provided by (used in) financing activities | 4,935,833 | 89,868,669 | ||||||
Net increase (decrease) in cash | 53,621,240 | 46,969,584 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 91,531,007 | $ | 62,391,666 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $149,794,065 and $228,617,421, respectively) | $ | 149,798,740 | $ | 228,657,634 | ||||
Cash | 126,500,008 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 27,421,750 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 61,009,000 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | 62,363,833 | 39,224,212 | ||||||
Receivable on open futures contracts | 1,907,867 | — | ||||||
Interest receivable | 401,200 | 300,712 | ||||||
Total assets | 429,402,398 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | — | 1,948,902 | ||||||
Payable to Sponsor | 287,064 | 344,467 | ||||||
Total liabilities | 287,064 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 429,115,334 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 429,402,398 | $ | 418,194,629 | ||||
Shares outstanding | 13,796,526 | 13,046,526 | ||||||
Net asset value per share | $ | 31.10 | $ | 31.75 | ||||
Market value per share (Note 2) | $ | 31.23 | $ | 32.00 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.283% due 04/04/23 † | $ | 50,000,000 | $ | 49,993,605 | ||||
4.329% due 04/11/23 | 25,000,000 | 24,973,527 | ||||||
4.156% due 04/18/23 | 50,000,000 | 49,902,190 | ||||||
4.205% due 04/25/23 † | 25,000,000 | 24,929,418 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $149,794,065) | $ | 149,798,740 | ||||||
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 | ||||||||||
Silver Futures – COMEX, expires May 2023 | 2,879 | $ | 347,725,620 | $ | 28,674,611 |
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 Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | % | 04/06/23 | $ | 159,299,488 | $ | 18,503,019 | |||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | 177,727,745 | 22,200,338 | ||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 04/06/23 | 23,479,523 | 2,932,172 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | 149,931,926 | 18,728,304 | ||||||||||||
Total Unrealized Appreciation | $ | 62,363,833 | ||||||||||||||
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 |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
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 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 3,374,396 | $ | 140,449 | ||||
Expenses | ||||||||
Management fee | 871,559 | 1,217,599 | ||||||
Brokerage commissions | 26,562 | 30,551 | ||||||
Futures accounts fees | — | 20,505 | ||||||
Total expenses | 898,121 | 1,268,655 | ||||||
Net investment income (loss) | 2,476,275 | (1,128,206 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 3,641,746 | (5,744,962 | ) | |||||
Swap agreements | (32,385,610 | ) | 122,381,989 | |||||
Short-term U.S. government and agency obligations | — | 10 | ||||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (751,963 | ) | 6,685,833 | |||||
Swap agreements | 23,139,621 | (64,442,429 | ) | |||||
Short-term U.S. government and agency obligations | (35,538 | ) | (279,649 | ) | ||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net realized and unrealized gain (loss) | (6,391,744 | ) | 58,600,792 | |||||
Net income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 | |||
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 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
Addition of 1,900,000 and 1,000,000 shares, respectively | 51,232,279 | 39,033,941 | ||||||
Redemption of 1,150,000 and 1,500,000 shares, respectively | (32,487,354 | ) | (53,584,280 | ) | ||||
Net addition (redemption) of 750,000 and (500,000) shares, respectively | 18,744,925 | (14,550,339 | ) | |||||
Net investment income (loss) | 2,476,275 | (1,128,206 | ) | |||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net income (loss) | (3,915,469 | ) | 57,472,586 | |||||
Shareholders’ equity, end of period | $ | 429,115,334 | $ | 558,375,841 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 | |||
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 | (1,776,762,620 | ) | (555,554,828 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,858,000,000 | 541,999,742 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,414,024 | ) | (142,031 | ) | ||||
Net realized (gain) loss on investments | — | (10 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (23,104,083 | ) | 64,722,078 | |||||
Decrease (Increase) in receivable on open futures contracts | (1,907,867 | ) | 1,210,319 | |||||
Decrease (Increase) in interest receivable | (100,488 | ) | 1,582 | |||||
Increase (Decrease) in payable to Sponsor | (57,403 | ) | 69,683 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | 60 | ||||||
Increase (Decrease) in payable on open futures contracts | (1,948,902 | ) | — | |||||
Net cash provided by (used in) operating activities | 47,789,144 | 109,779,181 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 51,232,279 | 39,033,941 | ||||||
Payment on shares redeemed | (34,102,736 | ) | (57,068,050 | ) | ||||
Net cash provided by (used in) financing activities | 17,129,543 | (18,034,109 | ) | |||||
Net increase (decrease) in cash | 64,918,687 | 91,745,072 | ||||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 214,930,758 | $ | 117,233,575 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $69,869,161 and $34,728,989, respectively) | $ | 69,863,821 | $ | 34,732,372 | ||||
Cash | 93,765,363 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 258,517,916 | 323,761,025 | ||||||
Receivable from capital shares sold | 13,423,891 | — | ||||||
Receivable on open futures contracts | 100,274,772 | 209,470,270 | ||||||
Interest receivable | 1,354,316 | 1,246,402 | ||||||
Total assets | 537,200,079 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 720,028 | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 41,938 | 58,772 | ||||||
Payable to Sponsor | 457,877 | 570,429 | ||||||
Total liabilities | 1,219,843 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 535,980,236 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 537,200,079 | $ | 640,296,551 | ||||
Shares outstanding | 115,878,420 | 93,078,420 | ||||||
Net asset value per share | $ | 4.63 | $ | 6.87 | ||||
Market value per share (Note 2) | $ | 4.65 | $ | 6.86 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(13% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
3.874% due 04/11/23 | $ | 25,000,000 | $ | 24,973,527 | ||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,418 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $69,869,161) | $ | 69,863,821 | ||||||
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 | ||||||||||
VIX Futures – Cboe, expires April 2023 | 21,811 | $ | 452,887,966 | $ | (19,782,862 | ) | ||||||
VIX Futures – Cboe, expires May 2023 | 15,863 | 351,024,396 | (14,726,341 | ) | ||||||||
$ | (34,509,203 | ) | ||||||||||
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 | ) |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 4,416,655 | $ | 95,261 | ||||
Expenses | ||||||||
Management fee | 1,373,770 | 1,961,177 | ||||||
Brokerage commissions | 777,701 | 936,758 | ||||||
Futures accounts fees | 123,361 | 782,688 | ||||||
Total expenses | 2,274,832 | 3,680,623 | ||||||
Net investment income (loss) | 2,141,823 | (3,585,362 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (182,233,430 | ) | 258,438,098 | |||||
Swap agreements | — | 22,556,586 | ||||||
Short-term U.S. government and agency obligations | (7,778 | ) | (15,153 | ) | ||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 2,046,250 | (34,855,903 | ) | |||||
Swap agreements | — | 477,437 | ||||||
Short-term U.S. government and agency obligations | (8,723 | ) | (622,418 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net realized and unrealized gain (loss) | (180,203,681 | ) | 245,978,647 | |||||
Net income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
Addition of 83,700,000 and 83,100,000 shares, respectively | 436,460,449 | 1,171,715,867 | ||||||
Redemption of 60,900,000 and 65,400,000 shares, respectively | (361,736,717 | ) | (1,103,180,147 | ) | ||||
Net addition (redemption) of 22,800,000 and 17,700,000 shares, respectively | 74,723,732 | 68,535,720 | ||||||
Net investment income (loss) | 2,141,823 | (3,585,362 | ) | |||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net income (loss) | (178,061,858 | ) | 242,393,285 | |||||
Shareholders’ equity, end of period | $ | 535,980,236 | $ | 1,127,608,641 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 | |||
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 | (664,522,118 | ) | (396,948,446 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 629,900,478 | 424,952,914 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (526,310 | ) | (100,321 | ) | ||||
Net realized (gain) loss on investments | 7,778 | 15,153 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,723 | 144,981 | ||||||
Decrease (Increase) in securities sold receivable | — | (6,195,418 | ) | |||||
Decrease (Increase) in receivable on open futures contracts | 109,195,498 | (318,669,084 | ) | |||||
Decrease (Increase) in interest receivable | (107,914 | ) | 5,060 | |||||
Increase (Decrease) in payable to Sponsor | (112,552 | ) | 98,097 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (16,834 | ) | 66,511 | |||||
Increase (Decrease) in payable on open futures contracts | 371,040 | (9,447,456 | ) | |||||
Net cash provided by (used in) operating activities | (103,864,069 | ) | (63,684,724 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 423,036,558 | 1,156,170,922 | ||||||
Payment on shares redeemed | (361,736,717 | ) | (1,103,180,147 | ) | ||||
Net cash provided by (used in) financing activities | 61,299,841 | 52,990,775 | ||||||
Net increase (decrease) in cash | (42,564,228 | ) | (10,693,949 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 352,283,279 | $ | 561,426,930 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 9,915,279 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,137,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 502,639 | 1,152,834 | ||||||
Interest receivable | 34,903 | 39,204 | ||||||
Total assets | 11,589,821 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,653,365 | — | ||||||
Payable to Sponsor | 9,216 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 12,157 | 168,285 | ||||||
Total liabilities | 1,674,738 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 9,915,083 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 11,589,821 | $ | 13,993,996 | ||||
Shares outstanding | 299,970 | 399,970 | ||||||
Net asset value per share | $ | 33.05 | $ | 34.54 | ||||
Market value per share (Note 2) | $ | 33.02 | $ | 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 | 04/14/23 | 1,492,519,517 | $ | 11,266,763 | $ | 221,961 | ||||||||||
Yen with UBS AG | 04/14/23 | 1,730,435,856 | 13,062,750 | 280,678 | ||||||||||||
Total Unrealized Appreciation | | $ | 502,639 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 04/14/23 | (16,977,000 | ) | $ | (128,156 | ) | $ | (2,749 | ) | |||||||
Yen with UBS AG | 04/14/23 | (577,337,000 | ) | (4,358,214 | ) | (9,408 | ) | |||||||||
Total Unrealized Depreciation | $ | (12,157 | ) | |||||||||||||
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 |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 120,118 | $ | 873 | ||||
Expenses | ||||||||
Management fee | 30,560 | 5,429 | ||||||
Total expenses | 30,560 | 5,429 | ||||||
Net investment income (loss) | 89,558 | (4,556 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Foreign currency forward contracts | (298,808 | ) | (118,771 | ) | ||||
Short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Foreign currency forward contracts | (494,067 | ) | (138,539 | ) | ||||
Short-term U.S. government and agency obligations | — | (2,826 | ) | |||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net realized and unrealized gain (loss) | (792,875 | ) | (258,588 | ) | ||||
Net income (loss) | $ | (703,317 | ) | $ | (263,144 | ) | ||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
Addition of 50,000 and – shares, respectively | 1,812,626 | — | ||||||
Redemption of 150,000 and – shares, respectively | (5,009,022 | ) | — | |||||
Net addition (redemption) of (100,000) and – shares, respectively | (3,196,396 | ) | — | |||||
Net investment income (loss) | 89,558 | (4,556 | ) | |||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net income (loss) | (703,317 | ) | (263,144 | ) | ||||
Shareholders’ equity, end of period | $ | 9,915,083 | $ | 2,099,705 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (703,317 | ) | $ | (263,144 | ) | ||
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 | — | (967 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 494,067 | 141,365 | ||||||
Decrease (Increase) in interest receivable | 4,301 | 95 | ||||||
Increase (Decrease) in payable to Sponsor | (1,699 | ) | (154 | ) | ||||
Net cash provided by (used in) operating activities | (206,648 | ) | (1,118,574 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,812,626 | — | ||||||
Payment on shares redeemed | (3,355,657 | ) | — | |||||
Net cash provided by (used in) financing activities | (1,543,031 | ) | — | |||||
Net increase (decrease) in cash | (1,749,679 | ) | (1,118,574 | ) | ||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 11,052,279 | $ | 1,339,246 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $44,952,937 and $89,407,308, respectively) | $ | 44,957,679 | $ | 89,426,935 | ||||
Cash | 43,870,581 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 44,519,487 | 65,184,460 | ||||||
Receivable from capital shares sold | 18,906,418 | 41,694 | ||||||
Receivable on open futures contracts | — | 1,604,847 | ||||||
Interest receivable | 281,264 | 384,856 | ||||||
Total assets | 152,535,429 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,257,090 | ||||||
Payable on open futures contracts | 7,629,422 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 3,407 | 4,134 | ||||||
Payable to Sponsor | 140,037 | 208,602 | ||||||
Total liabilities | 7,772,866 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 144,762,563 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 152,535,429 | $ | 231,269,843 | ||||
Shares outstanding (Note 1) | 5,755,220 | 9,305,220 | ||||||
Net asset value per share (Note 1) | $ | 25.15 | $ | 23.93 | ||||
Market value per share (Note 1) (Note 2) | $ | 25.22 | $ | 23.85 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(31% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $44,952,937) | $ | 44,957,679 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil – NYMEX, expires June 2023 | 1,269 | $ | 96,190,200 | $ | 13,187,668 | |||||||
WTI Crude Oil – NYMEX, expires December 2023 | 1,312 | 96,497,600 | 5,095,651 | |||||||||
WTI Crude Oil – NYMEX, expires June 2024 | 1,359 | 96,801,570 | 2,932,689 | |||||||||
$ | 21,216,008 | |||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 2,003,209 | $ | 53,907 | ||||
Expenses | ||||||||
Management fee | 484,880 | 492,647 | ||||||
Brokerage commissions | 65,757 | 77,056 | ||||||
Futures accounts fees | — | 70,177 | ||||||
Total expenses | 550,637 | 639,880 | ||||||
Net investment income (loss) | 1,452,572 | (585,973 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 27,614,279 | (106,482,101 | ) | |||||
Short-term U.S. government and agency obligations | 488 | — | ||||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 10,971,115 | 2,115,992 | ||||||
Short-term U.S. government and agency obligations | (14,885 | ) | (186,950 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net realized and unrealized gain (loss) | 38,570,997 | (104,553,059 | ) | |||||
Net income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
Addition of 5,300,000 and 15,570,000 shares, respectively (Note 1) | 127,905,875 | 510,028,879 | ||||||
Redemption of 8,850,000 and 3,060,000 shares, respectively (Note 1) | (245,864,218 | ) | (102,258,218 | ) | ||||
Net addition (redemption) of (3,550,000) and 12,510,000 shares, respectively (Note 1) | (117,958,343 | ) | 407,770,661 | |||||
Net investment income (loss) | 1,452,572 | (585,973 | ) | |||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net income (loss) | 40,023,569 | (105,139,032 | ) | |||||
Shareholders’ equity, end of period | $ | 144,762,563 | $ | 416,799,231 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) | |||
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 | (239,587,448 | ) | (203,890,683 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 284,998,708 | 87,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (956,401 | ) | (55,266 | ) | ||||
Net realized (gain) loss on investments | (488 | ) | — | |||||
Change in unrealized (appreciation) depreciation on investments | 14,885 | 186,950 | ||||||
Decrease (Increase) in receivable on open futures contracts | 1,604,847 | (20,653,809 | ) | |||||
Decrease (Increase) in interest receivable | 103,592 | 1,359 | ||||||
Increase (Decrease) in payable to Sponsor | (68,565 | ) | 196,247 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (727 | ) | 34,348 | |||||
Increase (Decrease) in payable on open futures contracts | 526,742 | 3,806,529 | ||||||
Net cash provided by (used in) operating activities | 86,658,714 | (238,513,357 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 109,041,151 | 507,693,464 | ||||||
Payment on shares redeemed | (247,121,308 | ) | (102,258,218 | ) | ||||
Net cash provided by (used in) financing activities | (138,080,157 | ) | 405,435,246 | |||||
Net increase (decrease) in cash | (51,421,443 | ) | 166,921,889 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 88,390,068 | $ | 221,365,442 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $24,990,998 and $61,469,726, respectively) | $ | 24,996,803 | $ | 61,482,526 | ||||
Cash | 33,253,799 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 52,300,800 | 38,758,160 | ||||||
Receivable from capital shares sold | 28,445,000 | — | ||||||
Receivable on open futures contracts | 19,197,683 | 33,637,888 | ||||||
Interest receivable | 214,834 | 293,818 | ||||||
Total assets | 158,408,919 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,365,196 | ||||||
Payable on open futures contracts | 11,323,200 | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 9,059 | 7,497 | ||||||
Payable to Sponsor | 94,900 | 132,197 | ||||||
Total liabilities | 11,427,159 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 146,981,760 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 158,408,919 | $ | 139,896,772 | ||||
Shares outstanding (Note 1) | 2,066,856 | 4,966,856 | ||||||
Net asset value per share (Note 1) | $ | 71.11 | $ | 27.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 72.42 | $ | 27.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(17% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $24,990,998) | $ | 24,996,803 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires May 2023 | 13,265 | $ | 293,952,400 | $ | 40,936,595 |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 1,186,752 | $ | 55,825 | ||||
Expenses | ||||||||
Management fee | 296,862 | 542,364 | ||||||
Brokerage commissions | 209,641 | 220,951 | ||||||
Futures accounts fees | 29,609 | 129,929 | ||||||
Total expenses | 536,112 | 893,244 | ||||||
Net investment income (loss) | 650,640 | (837,419 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 183,408,644 | (114,665,698 | ) | |||||
Short-term U.S. government and agency obligations | (2,678 | ) | (58,610 | ) | ||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (44,952,803 | ) | (87,532,158 | ) | ||||
Short-term U.S. government and agency obligations | (6,995 | ) | (254,913 | ) | ||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net realized and unrealized gain (loss) | 138,446,168 | (202,511,379 | ) | |||||
Net income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
Addition of 7,250,000 and 4,640,000 shares, respectively (Note 1) | 376,009,637 | 454,959,241 | ||||||
Redemption of 10,150,000 and 1,750,123 shares, respectively (Note 1) | (502,234,205 | ) | (243,414,736 | ) | ||||
Net addition (redemption) of (2,900,000) and 2,889,877 shares, respectively (Note 1) | (126,224,568 | ) | 211,544,505 | |||||
Net investment income (loss) | 650,640 | (837,419 | ) | |||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net income (loss) | 139,096,808 | (203,348,798 | ) | |||||
Shareholders’ equity, end of period | $ | 146,981,760 | $ | 250,340,837 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) | |||
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 | (34,903,867 | ) | (171,922,547 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 71,888,275 | 185,860,345 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (508,358 | ) | (57,574 | ) | ||||
Net realized (gain) loss on investments | 2,678 | 58,610 | ||||||
Change in unrealized (appreciation) depreciation on investments | 6,995 | 254,913 | ||||||
Decrease (Increase) in receivable on open futures contracts | 14,440,205 | 11,635,357 | ||||||
Decrease (Increase) in interest receivable | 78,984 | 1,749 | ||||||
Increase (Decrease) in payable to Sponsor | (37,297 | ) | (22,809 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,562 | (17,357 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 11,040,838 | (6,200,338 | ) | |||||
Net cash provided by (used in) operating activities | 201,106,823 | (183,758,449 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 347,564,637 | 435,523,078 | ||||||
Payment on shares redeemed | (507,599,401 | ) | (259,400,738 | ) | ||||
Net cash provided by (used in) financing activities | (160,034,764 | ) | 176,122,340 | |||||
Net increase (decrease) in cash | 41,072,059 | (7,636,109 | ) | |||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 85,554,599 | $ | 105,364,818 | ||||
March 31, 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 | 54,803,973 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 8,391,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 332,826 | 193,192 | ||||||
Interest receivable | 144,160 | 109,830 | ||||||
Total assets | 63,672,080 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,435,389 | — | ||||||
Payable to Sponsor | 51,362 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 2,648,069 | 2,654,448 | ||||||
Total liabilities | 4,134,820 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 59,537,260 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 63,672,080 | $ | 77,831,002 | ||||
Shares outstanding | 2,050,000 | 2,550,000 | ||||||
Net asset value per share | $ | 29.04 | $ | 29.46 | ||||
Market value per share (Note 2) | $ | 29.04 | $ | 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 | 04/14/23 | 13,747,000 | $ | 14,920,324 | $ | 177,561 | ||||||||||
Euro with UBS AG | 04/14/23 | 21,381,000 | 23,205,896 | 155,265 | ||||||||||||
Total Unrealized Appreciation | | $ | 332,826 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | (71,345,263 | ) | $ | (77,434,672 | ) | $ | (1,288,634 | ) | |||||||
Euro with UBS AG | 04/14/23 | (73,465,199 | ) | (79,735,547 | ) | (1,359,435 | ) | |||||||||
Total Unrealized Depreciation | $ | (2,648,069 | ) | |||||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 647,120 | $ | 15,405 | ||||
Expenses | ||||||||
Management fee | 161,568 | 117,456 | ||||||
Total expenses | 161,568 | 117,456 | ||||||
Net investment income (loss) | 485,552 | (102,051 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Foreign currency forward contracts | (1,407,311 | ) | 2,542,134 | |||||
Short-term U.S. government and agency obligations | — | 210,974 | ||||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Foreign currency forward contracts | 146,013 | 342,076 | ||||||
Short-term U.S. government and agency obligations | (4,802 | ) | (73,335 | ) | ||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net realized and unrealized gain (loss) | (1,266,100 | ) | 3,021,849 | |||||
Net income (loss) | $ | (780,548 | ) | $ | 2,919,798 | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
Addition of 100,000 and 50,000 shares, respectively | 3,051,886 | 1,371,662 | ||||||
Redemption of 600,000 and 300,000 shares, respectively | (17,847,257 | ) | (8,056,421 | ) | ||||
Net addition (redemption) of (500,000) and (250,000) shares, respectively | (14,795,371 | ) | (6,684,759 | ) | ||||
Net investment income (loss) | 485,552 | (102,051 | ) | |||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net income (loss) | (780,548 | ) | 2,919,798 | |||||
Shareholders’ equity, end of period | $ | 59,537,260 | $ | 50,498,084 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (780,548 | ) | $ | 2,919,798 | |||
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 | ) | (29,988,234 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 35,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (16,008 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (141,211 | ) | (268,741 | ) | ||||
Decrease (Increase) in interest receivable | (34,330 | ) | 603 | |||||
Increase (Decrease) in payable to Sponsor | (12,013 | ) | (3,776 | ) | ||||
Net cash provided by (used in) operating activities | 39,023,720 | 7,643,642 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 1,371,662 | ||||||
Payment on shares redeemed | (16,411,868 | ) | (8,056,421 | ) | ||||
Net cash provided by (used in) financing activities | (13,359,982 | ) | (6,684,759 | ) | ||||
Net increase (decrease) in cash | 25,663,738 | 958,883 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 63,195,094 | $ | 8,512,948 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,054,368 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 614,000 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 3,476,000 | 3,536,000 | ||||||
Receivable on open futures contracts | 59,952 | — | ||||||
Interest receivable | 41,782 | 42,135 | ||||||
Total assets | 17,246,102 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 700 | ||||||
Payable to Sponsor | 11,441 | 12,854 | ||||||
Unrealized depreciation on swap agreements | 1,185,388 | 592,957 | ||||||
Total liabilities | 1,196,829 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 16,049,273 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 17,246,102 | $ | 16,062,548 | ||||
Shares outstanding | 596,977 | 496,977 | ||||||
Net asset value per share | $ | 26.88 | $ | 31.10 | ||||
Market value per share (Note 2) | $ | 26.84 | $ | 30.99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures – COMEX, expires June 2023 | 76 | $ | 15,095,120 | $ | (162,157 | ) |
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 | % | 04/06/23 | $ | (3,932,159 | ) | $ | (227,829 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 04/06/23 | (5,153,543 | ) | (495,713 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 04/06/23 | (7,971,123 | ) | (461,846 | ) | ||||||||||
Total Unrealized Depreciation | $ | (1,185,388 | ) | |||||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
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 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 132,562 | $ | 9,685 | ||||
Expenses | ||||||||
Management fee | 36,373 | 66,138 | ||||||
Brokerage commissions | 1,361 | 2,811 | ||||||
Futures accounts fees | — | 1,866 | ||||||
Total expenses | 37,734 | 70,815 | ||||||
Net investment income (loss) | 94,828 | (61,130 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (114,050 | ) | (1,991,249 | ) | ||||
Swap agreements | (916,831 | ) | (4,317,424 | ) | ||||
Short-term U.S. government and agency obligations | — | 4 | ||||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (63,271 | ) | 167,908 | |||||
Swap agreements | (592,431 | ) | 1,901,440 | |||||
Short-term U.S. government and agency obligations | — | (40,569 | ) | |||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net realized and unrealized gain (loss) | (1,686,583 | ) | (4,279,890 | ) | ||||
Net income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) | ||
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 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
Addition of 300,000 and 450,000 shares, respectively | 8,364,270 | 13,189,949 | ||||||
Redemption of 200,000 and 100,000 shares, respectively | (6,179,279 | ) | (3,110,322 | ) | ||||
Net addition (redemption) of 100,000 and 350,000 shares, respectively | 2,184,991 | 10,079,627 | ||||||
Net investment income (loss) | 94,828 | (61,130 | ) | |||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net income (loss) | (1,591,755 | ) | (4,341,020 | ) | ||||
Shareholders’ equity, end of period | $ | 16,049,273 | $ | 32,598,451 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) | ||
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 | — | 21,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (10,118 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 592,431 | (1,860,871 | ) | |||||
Decrease (Increase) in receivable on open futures contracts | (59,952 | ) | — | |||||
Decrease (Increase) in interest receivable | 353 | 434 | ||||||
Increase (Decrease) in payable to Sponsor | (1,413 | ) | (1,726 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | 239 | ||||||
Increase (Decrease) in payable on open futures contracts | (700 | ) | 62,888 | |||||
Net cash provided by (used in) operating activities | (1,061,036 | ) | (2,137,680 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 8,364,270 | 13,189,949 | ||||||
Payment on shares redeemed | (6,179,279 | ) | (3,110,322 | ) | ||||
Net cash provided by (used in) financing activities | 2,184,991 | 10,079,627 | ||||||
Net increase (decrease) in cash | 1,123,955 | 7,941,947 | ||||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 17,144,368 | $ | 9,932,301 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,761,074 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 1,319,312 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 7,502,000 | 7,875,000 | ||||||
Receivable from capital shares sold | 931,710 | 972,789 | ||||||
Receivable on open futures contracts | — | 59,575 | ||||||
Interest receivable | 53,223 | 60,480 | ||||||
Total assets | 23,567,319 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 192,643 | — | ||||||
Payable to Sponsor | 16,663 | 20,705 | ||||||
Unrealized depreciation on swap agreements | 3,022,322 | 1,722,623 | ||||||
Total liabilities | 3,231,628 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 20,335,691 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 23,567,319 | $ | 33,676,127 | ||||
Shares outstanding | 1,091,329 | 1,641,329 | ||||||
Net asset value per share | $ | 18.63 | $ | 19.46 | ||||
Market value per share (Note 2) | $ | 18.56 | $ | 19.30 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures - COMEX, expires December 2023 | 71 | $ | 13,249,310 | $ | 510,754 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures – COMEX, expires May 2023 | 137 | $ | 16,546,860 | $ | (824,037 | ) |
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 | % | 04/06/23 | $ | (2,858,231 | ) | $ | (357,884 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | (10,412,145 | ) | (1,303,722 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 04/06/23 | (8,232,766 | ) | (1,031,085 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | (2,632,575 | ) | (329,631 | ) | ||||||||||
Total Unrealized Depreciation | $ | (3,022,322 | ) | |||||||||||||
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 |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
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 March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 200,078 | $ | 8,920 | $ | 337,096 | $ | 63,222 | $ | 860,908 | $ | 90,885 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 60,168 | 60,953 | 78,166 | 67,215 | 220,751 | 190,549 | ||||||||||||||||||
Brokerage commissions | 5,703 | 5,301 | 13,775 | 8,699 | 28,436 | 20,677 | ||||||||||||||||||
Futures accounts fees | — | 3,274 | ||||||||||||||||||||||
Futures account fees | — | — | — | 4,443 | ||||||||||||||||||||
Non-recurring fees and expenses | — | 612 | — | 612 | ||||||||||||||||||||
Total expenses | 65,871 | 69,528 | 91,941 | 76,526 | 249,187 | 216,281 | ||||||||||||||||||
Net investment income (loss) | 134,207 | (60,608 | ) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | |||||||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||
Futures contracts | 1,331,998 | (1,293,770 | ) | 6,217,172 | 1,719,839 | 11,009,808 | 6,370,119 | |||||||||||||||||
Swap agreements | 1,381,625 | (6,079,976 | ) | 704,259 | 4,495,568 | (261,158 | ) | 1,882,774 | ||||||||||||||||
Short-term U.S. government and agency obligations | — | (190 | ) | — | — | (906 | ) | (190 | ) | |||||||||||||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | 116,463 | (385,346 | ) | (107,686 | ) | (1,063,521 | ) | 1,791,737 | 800,876 | |||||||||||||||
Swap agreements | (1,299,699 | ) | 2,194,508 | 169,456 | (3,024,441 | ) | 2,737,091 | 770,011 | ||||||||||||||||
Short-term U.S. government and agency obligations | — | (19,510 | ) | — | 12,438 | — | (3,447 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1,530,387 | (5,584,284 | ) | 6,983,201 | 2,139,883 | 15,276,572 | 9,820,143 | |||||||||||||||||
Net income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) | $ | 7,228,356 | $ | 2,126,579 | $ | 15,888,293 | $ | 9,694,747 | |||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 31,932,799 | $ | 26,537,000 | $ | 19,290,473 | $ | 33,052,840 | $ | 31,932,799 | $ | 26,537,000 | ||||||||||||
Addition of 650,000 and 1,100,000 shares, respectively | 13,789,540 | 25,560,144 | ||||||||||||||||||||||
Redemption of 1,200,000 and 1,000,000 shares, respectively | (27,051,242 | ) | (23,045,736 | ) | ||||||||||||||||||||
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 (550,000) and 100,000 shares, respectively | (13,261,702 | ) | 2,514,408 | |||||||||||||||||||||
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) | 134,207 | (60,608 | ) | 245,155 | (13,304 | ) | 611,721 | (125,396 | ) | |||||||||||||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | 6,921,431 | 6,215,407 | 10,747,744 | 8,252,703 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | 61,770 | (4,075,524 | ) | 4,528,828 | 1,567,440 | ||||||||||||||||
Net income (loss) | 1,664,594 | (5,644,892 | ) | 7,228,356 | 2,126,579 | 15,888,293 | 9,694,747 | |||||||||||||||||
Shareholders’ equity, end of period | $ | 20,335,691 | $ | 23,406,516 | $ | 16,967,517 | $ | 33,763,052 | $ | 16,967,517 | $ | 33,763,052 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) | $ | 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 | — | (20,979,052 | ) | (39,876,608 | ) | (20,979,052 | ) | |||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 30,052,082 | 39,937,156 | 41,999,081 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (9,298 | ) | (61,454 | ) | (24,695 | ) | |||||||||
Net realized (gain) loss on investments | — | 190 | 906 | 190 | ||||||||||||
Change in unrealized (appreciation) depreciation on investments | 1,299,699 | (2,174,998 | ) | (2,737,091 | ) | (766,564 | ) | |||||||||
Decrease (Increase) in receivable on open futures contracts | 59,575 | 15,446 | 5,065 | 15,446 | ||||||||||||
Decrease (Increase) in interest receivable | 7,257 | 378 | 14,121 | (25,020 | ) | |||||||||||
Increase (Decrease) in payable to Sponsor | (4,042 | ) | (8,791 | ) | (6,841 | ) | 12,281 | |||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (14 | ) | — | (747 | ) | ||||||||||
Increase (Decrease) in payable on open futures contracts | 192,643 | 1,523 | — | 592,924 | ||||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 612 | ||||||||||||||
Net cash provided by (used in) operating activities | 3,219,726 | 1,252,574 | 13,163,547 | 30,519,203 | ||||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 13,830,619 | 25,560,144 | 108,077,849 | 77,349,605 | ||||||||||||
Payment on shares redeemed | (27,051,242 | ) | (23,045,736 | ) | (137,958,635 | ) | (79,818,300 | ) | ||||||||
Net cash provided by (used in) financing activities | (13,220,623 | ) | 2,514,408 | (29,880,786 | ) | (2,468,695 | ) | |||||||||
Net increase (decrease) in cash | (10,000,897 | ) | 3,766,982 | (16,717,239 | ) | 28,050,508 | ||||||||||
Cash, beginning of period | 32,583,283 | 5,483,476 | 32,583,283 | 5,483,476 | ||||||||||||
Cash, end of period | $ | 22,582,386 | $ | 9,250,458 | $ | 15,866,044 | $ | 33,533,984 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | 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 | ||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ - and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||||||||||
Cash | 19,852,266 | 451,616 | 22,694,511 | 451,616 | ||||||||||||
Segregated cash balances with brokers for foreign currency forward contracts | 3,562,511 | 3,652,511 | 2,482,511 | 3,652,511 | ||||||||||||
Unrealized appreciation on foreign currency forward contracts | 102,137 | 963,369 | 969,376 | 963,369 | ||||||||||||
Receivable from capital shares sold | 2,799,847 | — | ||||||||||||||
Interest receivable | 81,452 | 36,071 | 94,406 | 36,071 | ||||||||||||
Total assets | 26,398,213 | 28,101,626 | 26,240,804 | 28,101,626 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | — | 2,683,455 | — | 2,683,455 | ||||||||||||
Payable to Sponsor | 19,087 | 29,633 | 19,843 | 29,633 | ||||||||||||
Unrealized depreciation on foreign currency forward contracts | 1,267,308 | 3,990,802 | 48,770 | 3,990,802 | ||||||||||||
Total liabilities | 1,286,395 | 6,703,890 | 68,613 | 6,703,890 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 25,111,818 | 21,397,736 | 26,172,191 | 21,397,736 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 26,398,213 | $ | 28,101,626 | $ | 26,240,804 | $ | 28,101,626 | ||||||||
Shares outstanding (Note 1) | 448,580 | 398,580 | ||||||||||||||
Shares outstanding | 348,580 | 398,580 | ||||||||||||||
Net asset value per share (Note 1) | $ | 55.98 | $ | 53.68 | ||||||||||||
Net asset value per share | $ | 75 .08 | $ | 53 .68 | ||||||||||||
Market value per share (Note 1) (Note 2) | $ | 56.00 | $ | 53.57 | ||||||||||||
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 | 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 | 04/14/23 | 1,438,381,000 | $ | 10,858,080 | $ | (40,031 | ) | |||||||||||||||||||||||||
Yen with UBS AG | 04/14/23 | 1,461,674,000 | 11,033,916 | 142,168 | 10/06/23 | 428,237,000 | $ | 2,868,730 | $ | (48,770 | ) | |||||||||||||||||||||
Total Unrealized Appreciation | | $ | 102,137 | Total Unrealized Depreciation | | $ | (48,770 | ) | ||||||||||||||||||||||||
Contracts to Sell | ||||||||||||||||||||||||||||||||
Yen with Goldman Sachs International | 04/14/23 | (4,075,246,165 | ) | $ | (30,763,304 | ) | $ | (565,997 | ) | 10/06/23 | (3,330,184,165 | ) | $ | (22,308,674 | ) | $ | 406,284 | |||||||||||||||
Yen with UBS AG | 04/14/23 | (5,475,162,574 | ) | (41,331,023 | ) | (701,311 | ) | 10/06/23 | (4,908,633,574 | ) | (32,882,597 | ) | 563,092 | |||||||||||||||||||
Total Unrealized Depreciation | $ | (1,267,308 | ) | Total Unrealized Appreciation | $ | 969,376 | ||||||||||||||||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 204,200 | $ | 9,399 | $ | 274,125 | $ | 115,191 | $ | 733,679 | $ | 151,503 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 50,812 | 59,820 | 58,762 | 106,598 | 167,753 | 259,599 | ||||||||||||||||||
Non-recurring fees and expenses | — | 953 | — | 953 | ||||||||||||||||||||
Total expenses | 50,812 | 59,820 | 58,762 | 107,551 | 167,753 | 260,552 | ||||||||||||||||||
Net investment income (loss) | 153,388 | (50,421 | ) | 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 | (1,027,976 | ) | 1,080,173 | 3,079,208 | 5,879,873 | 3,422,003 | 14,877,216 | |||||||||||||||||
Short-term U.S. government and agency obligations | — | 102,971 | — | — | — | 102,971 | ||||||||||||||||||
Net realized gain (loss) | (1,027,976 | ) | 1,183,144 | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,862,262 | 1,466,402 | (1,059,246 | ) | (546,737 | ) | 3,948,039 | (444,812 | ) | |||||||||||||||
Short-term U.S. government and agency obligations | (2,761 | ) | (27,938 | ) | — | 22,866 | (2,761 | ) | (8,524 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 831,525 | 2,621,608 | 2,019,962 | 5,356,002 | 7,367,281 | 14,526,851 | ||||||||||||||||||
Net income (loss) | $ | 984,913 | $ | 2,571,187 | $ | 2,235,325 | $ | 5,363,642 | $ | 7,933,207 | $ | 14,417,802 | ||||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 21,397,736 | $ | 24,840,784 | $ | 27,077,656 | $ | 45,568,882 | $ | 21,397,736 | $ | 24,840,784 | ||||||||||||
Addition of 200,000 and 200,000 shares, respectively (Note 1) | 11,156,537 | 9,605,322 | ||||||||||||||||||||||
Redemption of 150,000 and 200,000 shares, respectively (Note 1) | (8,427,368 | ) | (9,290,592 | ) | ||||||||||||||||||||
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 and – shares, respectively (Note 1) | 2,729,169 | 314,730 | ||||||||||||||||||||||
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) | 153,388 | (50,421 | ) | 215,363 | 7,640 | 565,926 | (109,049 | ) | ||||||||||||||||
Net realized gain (loss) | (1,027,976 | ) | 1,183,144 | 3,079,208 | 5,879,873 | 3,422,003 | 14,980,187 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | (1,059,246 | ) | (523,871 | ) | 3,945,278 | (453,336 | ) | |||||||||||||||
Net income (loss) | 984,913 | 2,571,187 | 2,235,325 | 5,363,642 | 7,933,207 | 14,417,802 | ||||||||||||||||||
Shareholders’ equity, end of period | $ | 25,111,818 | $ | 27,726,701 | $ | 26,172,191 | $ | 51,937,338 | $ | 26,172,191 | $ | 51,937,338 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | 984,913 | $ | 2,571,187 | $ | 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 | — | (17,984,733 | ) | — | (17,984,732 | ) | ||||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 18,102,971 | 23,000,000 | 34,102,971 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (9,737 | ) | (4,702 | ) | (24,192 | ) | ||||||||
Net realized (gain) loss on investments | — | (102,971 | ) | — | (102,971 | ) | ||||||||||
Change in unrealized (appreciation) depreciation on investments | (1,859,501 | ) | (1,438,464 | ) | (3,945,278 | ) | 453,336 | |||||||||
Decrease (Increase) in interest receivable | (45,381 | ) | 339 | (58,335 | ) | (42,154 | ) | |||||||||
Increase (Decrease) in payable to Sponsor | (10,546 | ) | 1,513 | (9,790 | ) | 48,690 | ||||||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 953 | ||||||||||||||
Net cash provided by (used in) operating activities | 22,064,783 | 1,140,105 | 26,915,102 | 30,869,703 | ||||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 8,356,690 | 9,605,322 | 26,056,375 | 59,472,902 | ||||||||||||
Payment on shares redeemed | (11,110,823 | ) | — | (31,898,582 | ) | (46,794,150 | ) | |||||||||
Net cash provided by (used in) financing activities | (2,754,133 | ) | 9,605,322 | (5,842,207 | ) | 12,678,752 | ||||||||||
Net increase (decrease) in cash | 19,310,650 | 10,745,427 | 21,072,895 | 43,548,455 | ||||||||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | 4,104,127 | 3,003,251 | ||||||||||||
Cash, end of period | $ | 23,414,777 | $ | 13,748,678 | $ | 25,177,022 | $ | 46,551,706 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $44,936,828 and $49,876,697, respectively) | $ | 44,934,404 | $ | 49,882,348 | ||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively) | $ | – | $ | 49,882,348 | ||||||||||||
Cash | 13,499,926 | 19,575,939 | 50,204,095 | 19,575,939 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 9,985,700 | 14,384,050 | 9,032,162 | 14,384,050 | ||||||||||||
Receivable on open futures contracts | 168,815 | 142,794 | 560,581 | 142,794 | ||||||||||||
Interest receivable | 116,972 | 88,180 | 208,470 | 88,180 | ||||||||||||
Total assets | 68,705,817 | 84,073,311 | 60,005,308 | 84,073,311 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 1,339,113 | — | ||||||||||||||
Payable on open futures contracts | 14,074 | — | ||||||||||||||
Brokerage commissions and futures account fees payable | 2,677 | 3,688 | 2,387 | 3,688 | ||||||||||||
Payable to Sponsor | 43,866 | 54,664 | 34,897 | 54,664 | ||||||||||||
Total liabilities | 1,399,730 | 58,352 | 37,284 | 58,352 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 67,306,087 | 84,014,959 | 59,968,024 | 84,014,959 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 68,705,817 | $ | 84,073,311 | $ | 60,005,308 | $ | 84,073,311 | ||||||||
Shares outstanding | 2,512,403 | 2,762,403 | 3,087,403 | 2,762,403 | ||||||||||||
Net asset value per share | $ | 26.79 | $ | 30.41 | $ | 19 .42 | $ | 30 .41 | ||||||||
Market value per share (Note 2) | $ | 26.82 | $ | 30.36 | $ | 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 | ||||||||
(67% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
3.874% due 04/11/23 | $ | 25,000,000 | $ | 24,973,528 | ||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $44,936,828) | $ | 44,934,404 | ||||||
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 July 2023 | 545 | $ | 12,858,785 | $ | (709,434 | ) | ||||||
VIX Futures – Cboe, expires August 2023 | 942 | 22,324,458 | 510,275 | |||||||||
VIX Futures – Cboe, expires September 2023 | 942 | 22,599,428 | 130,594 | |||||||||
VIX Futures – Cboe, expires October 2023 | 396 | 9,523,800 | (132,123 | ) | ||||||||
$ | (200,688 | ) | ||||||||||
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 March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 647,920 | $ | 23,923 | ||||
Expenses | ||||||||
Management fee | 150,123 | 215,663 | ||||||
Brokerage commissions | 9,169 | 24,869 | ||||||
Futures accounts fees | 11,440 | 35,488 | ||||||
Total expenses | 170,732 | 276,020 | ||||||
Net investment income (loss) | 477,188 | (252,097 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (15,820,720 | ) | 4,791,833 | |||||
Short-term U.S. government and agency obligations | — | (336 | ) | |||||
Net realized gain (loss) | (15,820,720 | ) | 4,791,497 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 4,590,535 | (335,175 | ) | |||||
Short-term U.S. government and agency obligations | (8,075 | ) | (138,660 | ) | ||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||
Net realized and unrealized gain (loss) | (11,238,260 | ) | 4,317,662 | |||||
Net income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
Addition of 275,000 and 700,000 shares, respectively | 7,751,336 | 22,135,602 | ||||||
Redemption of 525,000 and 1,275,000 shares, respectively | (13,699,136 | ) | (41,206,933 | ) | ||||
Net addition (redemption) of (250,000) and (575,000) shares, respectively | (5,947,800 | ) | (19,071,331 | ) | ||||
Net investment income (loss) | 477,188 | (252,097 | ) | |||||
Net realized gain (loss) | (15,820,720 | ) | 4,791,497 | |||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||
Net income (loss) | (10,761,072 | ) | 4,065,565 | |||||
Shareholders’ equity, end of period | $ | 67,306,087 | $ | 97,869,914 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 | |||
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 | (214,823,214 | ) | (51,992,010 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 220,000,000 | 73,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (236,917 | ) | (25,020 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,075 | 138,660 | ||||||
Decrease (Increase) in receivable on open futures contracts | (26,021 | ) | (1,523,098 | ) | ||||
Decrease (Increase) in interest receivable | (28,792 | ) | 1,097 | |||||
Increase (Decrease) in payable to Sponsor | (10,798 | ) | (10,387 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (1,011 | ) | 2,998 | |||||
Increase (Decrease) in payable on open futures contracts | 14,074 | (94,495 | ) | |||||
Net cash provided by (used in) operating activities | (5,865,676 | ) | 24,562,194 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 7,751,336 | 22,135,602 | ||||||
Payment on shares redeemed | (12,360,023 | ) | (41,206,933 | ) | ||||
Net cash provided by (used in) financing activities | (4,608,687 | ) | (19,071,331 | ) | ||||
Net increase (decrease) in cash | (10,474,363 | ) | 5,490,863 | |||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 23,485,626 | $ | 32,562,682 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,841,128 and $89,329,814, respectively) | $ | 104,841,062 | $ | 89,347,714 | ||||
Cash | 19,325,280 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 71,032,224 | 91,634,942 | ||||||
Receivable from capital shares sold | 5,421,620 | — | ||||||
Receivable on open futures contracts | 26,161,690 | 52,643,553 | ||||||
Interest receivable | 512,515 | 403,667 | ||||||
Total assets | 227,294,391 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | 353,115 | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 14,043 | 27,102 | ||||||
Payable to Sponsor | 162,029 | 155,130 | ||||||
Total liabilities | 529,187 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 226,765,204 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 227,294,391 | $ | 267,556,744 | ||||
Shares outstanding | 25,107,826 | 23,382,826 | ||||||
Net asset value per share | $ | 9.03 | $ | 11.40 | ||||
Market value per share (Note 2) | $ | 9.05 | $ | 11.38 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(46% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
3.874% due 04/11/23 | 25,000,000 | 24,973,528 | ||||||
4.156% due 04/18/23 | 30,000,000 | 29,941,314 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $104,841,128) | $ | 104,841,062 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures – Cboe, expires April 2023 | 6,151 | $ | 127,720,594 | $ | (4,825,023 | ) | ||||||
VIX Futures – Cboe, expires May 2023 | 4,474 | 99,002,909 | (3,823,808 | ) | ||||||||
$ | (8,648,831 | ) | ||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Investment Income | ||||||||||||||||||||||||
Interest | $ | 2,120,561 | $ | 70,709 | $ | 2,271,345 | $ | 1,400,201 | $ | 6,832,197 | $ | 1,678,813 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 517,488 | 705,691 | 447,560 | 874,070 | 1,495,874 | 2,353,478 | ||||||||||||||||||
Brokerage commissions | 96,497 | 116,474 | 58,426 | 203,095 | 250,314 | 490,751 | ||||||||||||||||||
Futures accounts fees | 50,659 | 200,657 | ||||||||||||||||||||||
Futures account fees | 44,110 | 54,944 | 143,501 | 371,384 | ||||||||||||||||||||
Non-recurring fees and expenses | — | 8,700 | — | 8,700 | ||||||||||||||||||||
Total expenses | 664,644 | 1,022,822 | 550,096 | 1,140,809 | 1,889,689 | 3,224,313 | ||||||||||||||||||
Net investment income (loss) | 1,455,917 | (952,113 | ) | 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 | (46,096,702 | ) | 53,734,127 | (54,950,042 | ) | (45,457,319 | ) | (228,276,043 | ) | 31,935,990 | ||||||||||||||
Short-term U.S. government and agency obligations | 8 | 97 | — | — | (10,605 | ) | (300 | ) | ||||||||||||||||
Net realized gain (loss) | (46,096,694 | ) | 53,734,224 | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||||||||||
Futures contracts | 1,147,992 | (13,174,318 | ) | 41,847,057 | 51,449,994 | 21,670,993 | 84,956,040 | |||||||||||||||||
Short-term U.S. government and agency obligations | (17,966 | ) | (274,063 | ) | (5,866 | ) | 248,953 | (3,029 | ) | (104,697 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | |||||||||||||||||
Net realized and unrealized gain (loss) | (44,966,668 | ) | 40,285,843 | (13,108,851 | ) | 6,241,628 | (206,618,684 | ) | 116,787,033 | |||||||||||||||
Net income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 | $ | (11,387,602 | ) | $ | 6,501,020 | $ | (201,676,176 | ) | $ | 115,241,533 | |||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Shareholders’ equity, beginning of period | $ | 266,580,320 | $ | 269,703,164 | $ | 230,227,830 | $ | 341,714,316 | $ | 266,580,320 | $ | 269,703,164 | ||||||||||||
Addition of 11,500,000 and 9,950,000 shares, respectively | 108,467,352 | 161,172,915 | ||||||||||||||||||||||
Redemption of 9,775,000 and 3,400,000 shares, respectively | (104,771,717 | ) | (65,259,409 | ) | ||||||||||||||||||||
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 1,725,000 and 6,550,000 shares, respectively | 3,695,635 | 95,913,506 | ||||||||||||||||||||||
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) | 1,455,917 | (952,113 | ) | 1,721,249 | 259,392 | 4,942,508 | (1,545,500 | ) | ||||||||||||||||
Net realized gain (loss) | (46,096,694 | ) | 53,734,224 | (54,950,042 | ) | (45,457,319 | ) | (228,286,648 | ) | 31,935,690 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | 41,841,191 | 51,698,947 | 21,667,964 | 84,851,343 | |||||||||||||||||
Net income (loss) | (43,510,751 | ) | 39,333,730 | (11,387,602 | ) | 6,501,020 | (201,676,176 | ) | 115,241,533 | |||||||||||||||
Shareholders’ equity, end of period | $ | 226,765,204 | $ | 404,950,400 | $ | 211,604,428 | $ | 437,536,628 | $ | 211,604,428 | $ | 437,536,628 | ||||||||||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 | $ | (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 | (124,671,570 | ) | (167,928,504 | ) | (614,146,126 | ) | (2,462,189,566 | ) | ||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 109,979,608 | 148,999,840 | 601,754,108 | 2,455,998,870 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (819,344 | ) | (72,483 | ) | (2,913,568 | ) | (725,037 | ) | ||||||||
Net realized (gain) loss on investments | (8 | ) | (97 | ) | 10,605 | 300 | ||||||||||
Change in unrealized (appreciation) depreciation on investments | 17,966 | 274,063 | 3,029 | 104,697 | ||||||||||||
Decrease (Increase) in receivable on open futures contracts | 26,481,863 | (72,620,028 | ) | 35,100,289 | (67,758,303 | ) | ||||||||||
Decrease (Increase) in interest receivable | (108,848 | ) | 1,774 | 136,672 | (362,333 | ) | ||||||||||
Increase (Decrease) in payable to Sponsor | 6,899 | 59,476 | (60,834 | ) | 372,867 | |||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (13,059 | ) | 19,047 | (15,432 | ) | (20,676 | ) | |||||||||
Increase (Decrease) in payable on open futures contracts | 129,396 | (2,037,376 | ) | (223,719 | ) | (2,037,391 | ) | |||||||||
Increase (Decrease) in non-recurring fees and expenses payable | — | 8,700 | ||||||||||||||
Net cash provided by (used in) operating activities | (32,507,848 | ) | (53,970,558 | ) | (182,031,152 | ) | 38,633,661 | |||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 103,045,732 | 155,054,067 | 324,424,030 | 566,483,117 | ||||||||||||
Payment on shares redeemed | (105,342,190 | ) | (65,259,409 | ) | (178,294,219 | ) | (498,163,549 | ) | ||||||||
Net cash provided by (used in) financing activities | (2,296,458 | ) | 89,794,658 | 146,129,811 | 68,319,568 | |||||||||||
Net increase (decrease) in cash | (34,804,306 | ) | 35,824,100 | (35,901,341 | ) | 106,953,229 | ||||||||||
Cash, beginning of period | 125,161,810 | 115,960,816 | 125,161,810 | 115,960,816 | ||||||||||||
Cash, end of period | $ | 90,357,504 | $ | 151,784,916 | $ | 89,260,469 | $ | 222,914,045 | ||||||||
March 31, 2023 (unaudited) | December 31, 2022 | September 30, 2023 (unaudited) | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,128,485,646 and $1,466,423,925, respectively) | $ | 1,128,525,172 | $ | 1,466,680,542 | ||||||||||||
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 | 1,047,333,295 | 625,964,378 | 367,158,559 | 625,964,378 | ||||||||||||
Segregated cash balances with brokers for futures contracts | 1,162,646,230 | 925,792,861 | 858,586,121 | 925,792,861 | ||||||||||||
Segregated cash balances with brokers for foreign currency forward contracts | 14,193,632 | 12,956,632 | 9,686,632 | 12,956,632 | ||||||||||||
Segregated cash balances with brokers for swap agreements | 410,312,745 | 262,053,745 | 524,175,300 | 262,053,745 | ||||||||||||
Unrealized appreciation on swap agreements | 77,717,092 | 119,880,255 | 12,904,475 | 119,880,255 | ||||||||||||
Unrealized appreciation on foreign currency forward contracts | 1,257,272 | 2,823,510 | 2,564,273 | 2,823,510 | ||||||||||||
Receivable from capital shares sold | 79,148,928 | 1,014,483 | 31,210,088 | 1,014,483 | ||||||||||||
Receivable on open futures contracts | 437,228,019 | 522,770,291 | 214,636,493 | 522,770,291 | ||||||||||||
Interest receivable | 6,696,066 | 4,920,772 | 4,484,827 | 4,920,772 | ||||||||||||
Total assets | 4,365,058,451 | 3,944,857,469 | 3,400,411,986 | 3,944,857,469 | ||||||||||||
Liabilities and shareholders’ equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Payable for capital shares redeemed | 87,697,670 | 32,725,077 | 47,876,891 | 32,725,077 | ||||||||||||
Payable on open futures contracts | 20,917,321 | 11,742,794 | 14,962,756 | 11,742,794 | ||||||||||||
Brokerage commissions and futures account fees payable | 156,470 | 165,165 | 105,802 | 165,165 | ||||||||||||
Payable to Sponsor | 3,229,189 | 3,210,113 | 2,610,466 | 3,210,113 | ||||||||||||
Unrealized depreciation on swap agreements | 110,498,415 | 2,315,580 | 33,398,222 | 2,315,580 | ||||||||||||
Unrealized depreciation on foreign currency forward contracts | 3,928,493 | 6,911,994 | 998,472 | 6,911,994 | ||||||||||||
Total liabilities | 226,427,558 | 57,070,723 | 99,952,609 | 57,070,723 | ||||||||||||
Commitments and Contingencies (Note 2) | ||||||||||||||||
Shareholders’ equity | ||||||||||||||||
Shareholders’ equity | 4,138,630,893 | 3,887,786,746 | 3,300,459,377 | 3,887,786,746 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 4,365,058,451 | $ | 3,944,857,469 | $ | 3,400,411,986 | $ | 3,944,857,469 | ||||||||
Shares outstanding (Note 1) | 517,869,037 | 222,594,037 | 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 March 31, | ||||||||
2023 | 2022* | |||||||
Investment Income | ||||||||
Interest | $ | 33,875,375 | $ | 1,026,882 | ||||
Expenses | ||||||||
Management fee | 9,254,328 | 10,616,957 | ||||||
Brokerage commissions | 2,374,632 | 1,908,765 | ||||||
Futures account fees | 402,762 | 1,804,923 | ||||||
Total expenses | 12,031,722 | 14,330,645 | ||||||
Net investment income (loss) | 21,843,653 | (13,303,763 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (1,085,860,567 | ) | 408,448,775 | |||||
Swap agreements | 90,224,693 | 705,182,989 | ||||||
Foreign currency forward contracts | (2,453,816 | ) | 3,062,506 | |||||
Short-term U.S. government and agency obligations | (13,530 | ) | 227,575 | |||||
Net realized gain (loss) | (998,103,220 | ) | 1,116,921,845 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (32,561,423 | ) | 52,639,066 | |||||
Swap agreements | (150,345,998 | ) | (268,832,355 | ) | ||||
Foreign currency forward contracts | 1,417,263 | 1,536,969 | ||||||
Short-term U.S. government and agency obligations | (217,091 | ) | (3,257,507 | ) | ||||
Change in net unrealized appreciation (depreciation) | (181,707,249 | ) | (217,913,827 | ) | ||||
Net realized and unrealized gain (loss) | (1,179,810,469 | ) | 899,008,018 | |||||
Net income (loss) | $ | (1,157,966,816 | ) | $ | 885,704,255 | |||
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. |
Three Months Ended March 31, | ||||||||
2023 | 2022* | |||||||
Shareholders’ equity, beginning of period | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||
Addition of 512,825,000 and 132,610,000 shares, respectively (Note 1) | 4,125,870,321 | 3,082,800,285 | ||||||
Redemption of 217,550,000 and 111,335,123 shares, respectively (Note 1) | (2,717,059,358 | ) | (2,803,912,313 | ) | ||||
Net addition (redemption) of 295,275,000 and 21,274,877 shares, respectively (Note 1) | 1,408,810,963 | 278,887,972 | ||||||
Net investment income (loss) | 21,843,653 | (13,303,763 | ) | |||||
Net realized gain (loss) | (998,103,220 | ) | 1,116,921,845 | |||||
Change in net unrealized appreciation (depreciation) | (181,707,249 | ) | (217,913,827 | ) | ||||
Net income (loss) | (1,157,966,816 | ) | 885,704,255 | |||||
Shareholders’ equity, end of period | $ | 4,138,630,893 | $ | 5,338,066,570 | ||||
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Cash flow from operating activities | ||||||||||||||||
Net income (loss) | $ | (1,157,966,816 | ) | $ | 885,704,255 | $ | (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 | (18,561,204,980 | ) | (3,797,102,540 | ) | (27,871,422,186 | ) | (32,181,153,315 | ) | ||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 18,914,616,336 | 3,431,442,943 | 28,009,309,658 | 32,879,938,110 | ||||||||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (15,486,607 | ) | (1,049,820 | ) | (46,469,916 | ) | (9,697,124 | ) | ||||||||
Net realized (gain) loss on investments | 13,530 | (227,575 | ) | 195,666 | 264,143 | |||||||||||
Change in unrealized (appreciation) depreciation on investments | 149,145,826 | 270,552,893 | 132,466,239 | 212,838,004 | ||||||||||||
Decrease (Increase) in securities sold receivable | — | (6,195,418 | ) | |||||||||||||
Decrease (Increase) in receivable on futures contracts | 85,542,272 | (378,744,093 | ) | 308,133,798 | (333,246,149 | ) | ||||||||||
Decrease (Increase) in interest receivable | (1,775,294 | ) | 22,942 | 435,945 | (3,095,982 | ) | ||||||||||
Increase (Decrease) in payable to Sponsor | 19,076 | 876,923 | (599,647 | ) | 4,244,972 | |||||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (8,695 | ) | 112,745 | (59,363 | ) | (327,015 | ) | |||||||||
Increase (Decrease) in payable on futures contracts | 9,174,527 | 5,526,212 | 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 | (577,930,825 | ) | 410,919,467 | (1,216,466,313 | ) | 1,082,164,851 | ||||||||||
Cash flow from financing activities | ||||||||||||||||
Proceeds from addition of shares | 4,047,735,876 | 3,059,813,655 | 8,465,504,170 | 9,008,566,233 | ||||||||||||
Payment on shares redeemed | (2,662,086,765 | ) | (2,796,612,911 | ) | (7,316,198,861 | ) | (9,440,488,808 | ) | ||||||||
Net cash provided by (used in) financing activities | 1,385,649,111 | 263,200,744 | 1,149,305,309 | (431,922,575 | ) | |||||||||||
Net increase (decrease) in cash | 807,718,286 | 674,120,211 | (67,161,004 | ) | 650,242,276 | |||||||||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | 1,826,767,616 | 1,408,701,238 | ||||||||||||
Cash, end of period | $ | 2,634,485,902 | $ | 2,082,821,449 | $ | 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 |
Level I – Quoted Prices | Level II – Other Significant Observable Inputs | Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | ||||||||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 94,860,624 | $ | 14,271,188 | $ | — | $ | — | $ | 109,131,812 | $ | 104,670,946 | $ | (2,387,385 | ) | $ | — | $ | — | $ | 102,283,561 | |||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 199,701,685 | 29,494,163 | — | (67,202,386 | ) | 161,993,462 | 264,081,088 | 24,729,920 | — | 11,240,991 | 300,051,999 | |||||||||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 299,709,730 | (324,515,287 | ) | — | (39,088,319 | ) | (63,893,876 | ) | 303,858,387 | (114,592,473 | ) | — | (1,438,294 | ) | 187,827,620 | |||||||||||||||||||||||||
ProShares Ultra Euro | — | — | 318,711 | — | 318,711 | — | — | (222,712 | ) | — | (222,712 | ) | ||||||||||||||||||||||||||||
ProShares Ultra Gold | 94,860,624 | 5,096,411 | — | 15,353,259 | 115,310,294 | 109,664,879 | (2,617,740 | ) | — | (10,343,189 | ) | 96,703,950 | ||||||||||||||||||||||||||||
ProShares Ultra Silver | 149,798,740 | 28,674,611 | — | 62,363,833 | 240,837,184 | 199,275,356 | (6,167,328 | ) | — | (21,616,739 | ) | 171,491,289 | ||||||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 69,863,821 | (34,509,203 | ) | — | — | 35,354,618 | 84,581,081 | 29,009,491 | — | — | 113,590,572 | |||||||||||||||||||||||||||||
ProShares Ultra Yen | — | — | 490,482 | — | 490,482 | — | — | (580,421 | ) | — | (580,421 | ) | ||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 44,957,679 | 21,216,008 | — | — | 66,173,687 | 184,298,349 | (25,040,263 | ) | — | — | 159,258,086 | |||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 24,996,803 | 40,936,595 | — | — | 65,933,398 | 19,935,466 | 23,776,317 | — | — | 43,711,783 | ||||||||||||||||||||||||||||||
ProShares UltraShort Euro | — | — | (2,315,243 | ) | — | (2,315,243 | ) | — | — | 1,448,328 | — | 1,448,328 | ||||||||||||||||||||||||||||
ProShares UltraShort Gold | — | (162,157 | ) | — | (1,185,388 | ) | (1,347,545 | ) | — | 510,754 | — | 649,016 | 1,159,770 | |||||||||||||||||||||||||||
ProShares UltraShort Silver | — | (824,037 | ) | — | (3,022,322 | ) | (3,846,359 | ) | — | 851,237 | — | 1,014,468 | 1,865,705 | |||||||||||||||||||||||||||
ProShares UltraShort Yen | — | — | (1,165,171 | ) | — | (1,165,171 | ) | — | — | 920,606 | — | 920,606 | ||||||||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 44,934,404 | (200,688 | ) | — | — | 44,733,716 | — | (943,672 | ) | — | — | (943,672 | ) | |||||||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | 104,841,062 | (8,648,831 | ) | — | — | 96,192,231 | 104,639,666 | 11,874,170 | — | — | 116,513,836 | |||||||||||||||||||||||||||||
Combined Trust: | $ | 1,128,525,172 | $ | (229,171,227 | ) | $ | (2,671,221 | ) | $ | (32,781,323 | ) | $ | 863,901,401 | $ | 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 | Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | ||||||||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | $ | 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 | 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 | ) | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) | ||||||||||||||||||||||||||
ProShares Ultra Euro | — | — | 415,656 | — | 415,656 | — | — | 415,656 | — | 415,656 | ||||||||||||||||||||||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | 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 | 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 | ) | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | ||||||||||||||||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | — | — | 984,549 | — | 984,549 | ||||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | 89,426,935 | 10,244,893 | — | — | 99,671,828 | ||||||||||||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | 61,482,526 | 85,889,398 | — | — | 147,371,924 | ||||||||||||||||||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | 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 | $ | 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 | $ | 14,271,188 | * | $ | — | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 34,509,203 | * | |||||||||||||
ProShares VIX Mid-Term Futures ETF | 640,869 | * | 841,557 | * | ||||||||||||
ProShares VIX Short- Term Futures ETF | — | 8,648,831 | * | |||||||||||||
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 | 29,494,163 | * | 67,202,386 | * | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 363,603,606 | * | |||||||||||||
ProShares Ultra Gold | 20,449,670 | * | — | |||||||||||||
ProShares Ultra Silver | 91,038,444 | * | — | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 21,216,008 | * | — | |||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 40,936,595 | * | — | |||||||||||||
ProShares UltraShort Gold | — | 1,347,545 | * | |||||||||||||
ProShares UltraShort Silver | — | 3,846,359 | * |
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 | 319,670 | 959 | ||||||||||||||||
ProShares Ultra Yen | 502,639 | 12,157 | ||||||||||||||||
ProShares UltraShort Euro | | 332,826 | 2,648,069 | |||||||||||||||
ProShares UltraShort Yen | 102,137 | 1,267,308 | ||||||||||||||||
Combined Trust: | $ | 219,304,209 | * | $ | 483,927,980 | * |
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 | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | Fund | Statements of Financial Condition Location | Unrealized Appreciation | Statements of Financial Condition Location | Unrealized Depreciation | ||||||||||||||||||||
VIX Futures Contracts | Receivable on open futures contracts, unrealized appreciation on swap agreements | | Payable on open futures contracts, unrealized depreciation on swap agreements | | Receivable on open futures contracts, unrealized appreciation on swap agreements | Payable on open futures contracts, unrealized depreciation on swap agreements | ||||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 11,092,381 | * | $ | — | ProShares Short VIX Short-Term Futures ETF | $ | 11,092,381 | * | $ | — | |||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 | * | ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 | * | |||||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | 4,791,223 | * | ProShares VIX Mid-Term Futures ETF | — | 4,791,223 | * | |||||||||||||||||||||||
ProShares VIX Short- Term Futures ETF | — | 9,796,823 | * | 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 | | 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 Crude Oil | | 100,451,293 | * | — | ||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 310,613,969 | * | ProShares Ultra Bloomberg Natural Gas | — | | 310,613,969 | * | ||||||||||||||||||||||
ProShares Ultra Gold | 9,738,554 | * | — | ProShares Ultra Gold | 9,738,554 | * | — | |||||||||||||||||||||||
ProShares Ultra Silver | 68,650,786 | * | — | ProShares Ultra Silver | 68,650,786 | * | — | |||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 13,202,924 | * | 2,958,031 | * | ProShares UltraShort Bloomberg Crude Oil | 13,202,924 | * | 2,958,031 | * | |||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 85,889,398 | * | — | ProShares UltraShort Bloomberg Natural Gas | 85,889,398 | * | — | |||||||||||||||||||||||
ProShares UltraShort Gold | — | 691,843 | * | ProShares UltraShort Gold | — | 691,843 | * | |||||||||||||||||||||||
ProShares UltraShort Silver | — | 2,663,123 | * | 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 | | 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 | ) |
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 | $ | 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 | $ | 29,604,148 | $ | 3,178,807 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | (182,233,430 | ) | 2,046,250 | |||||||||
ProShares VIX Mid-Term Futures ETF | (15,820,720 | ) | 4,590,535 | |||||||||
ProShares VIX Short-Term Futures ETF | (46,096,702 | ) | 1,147,992 | |||||||||
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 | 85,780,427 | (138,159,516 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | (1,061,631,294 | ) | (52,989,637 | ) | ||||||||
ProShares Ultra Gold | 10,799,896 | 10,711,116 | ||||||||||
ProShares Ultra Silver | (28,743,864 | ) | 22,387,658 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 27,614,279 | 10,971,115 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 183,408,644 | (44,952,803 | ) | |||||||||
ProShares UltraShort Gold | (1,030,881 | ) | (655,702 | ) | ||||||||
ProShares UltraShort Silver | 2,713,623 | (1,183,236 | ) |
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 | 280,279 | (96,945 | ) | |||||||||
ProShares Ultra Yen | (298,808 | ) | (494,067 | ) | ||||||||
ProShares UltraShort Euro | (1,407,311 | ) | 146,013 | |||||||||
ProShares UltraShort Yen | (1,027,976 | ) | 1,862,262 | |||||||||
Combined Trust: | $ | (998,089,690 | ) | $ | (181,490,158 | ) |
Derivatives Not Accounted for as Hedging Instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | Location of Gain (Loss) on Derivatives Recognized in Income | Fund | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
VIX Futures Contracts | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements | ||||||||||||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | (41,100,614 | ) | $ | 4,709,184 | ProShares Short VIX Short-Term Futures ETF | $ | 27,694,574 | $ | (17,783,632 | ) | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 280,994,684 | (34,378,466 | ) | ProShares Ultra VIX Short-Term Futures ETF | (289,871,717 | ) | 161,330,331 | |||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 4,791,833 | (335,175 | ) | ProShares VIX Mid-Term Futures ETF | (1,349,272 | ) | 3,236,565 | |||||||||||||||||
ProShares VIX Short-Term Futures ETF | 53,734,127 | (13,174,318 | ) | ProShares VIX Short-Term Futures ETF | (45,457,319 | ) | 51,449,994 | |||||||||||||||||
Commodities Contracts | Net r e alized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | ||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 799,423,070 | (94,077,929 | ) | ProShares Ultra Bloomberg Crude Oil | (344,578,932 | ) | (33,971,770 | ) | ||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 76,220,688 | 85,030,764 | ProShares Ultra Bloomberg Natural Gas | (5,889,116 | ) | 97,063,212 | ||||||||||||||||||
ProShares Ultra Gold | 57,818,596 | (24,649,651 | ) | ProShares Ultra Gold | (39,825,586 | ) | 2,070,901 | |||||||||||||||||
ProShares Ultra Silver | 116,637,027 | (57,756,596 | ) | ProShares Ultra Silver | (147,384,761 | ) | 91,205,187 | |||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | (106,482,101 | ) | 2,115,992 | ProShares UltraShort Bloomberg Crude Oil | 66,444,885 | 76,797,273 | ||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | (114,665,698 | ) | (87,532,158 | ) | 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 |
ProShares UltraShort Gold | (6,308,673 | ) | 2,069,348 | |||||||||
ProShares UltraShort Silver | (7,373,746 | ) | 1,809,162 | |||||||||
Foreign Exchange Contracts | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts | |||||||||||
ProShares Short Euro | 59,419 | 8,056 | ||||||||||
ProShares Ultra Euro | (441,030 | ) | (132,970 | ) | ||||||||
ProShares Ultra Yen | (118,771 | ) | (138,539 | ) | ||||||||
ProShares UltraShort Australian Dollar | (116,848 | ) | (31,502 | ) | ||||||||
ProShares UltraShort Euro | 2,542,134 | 342,076 | ||||||||||
ProShares UltraShort Yen | 1,080,173 | 1,466,402 | ||||||||||
Combined Trust: | $ | 1,116,694,270 | $ | (214,656,320 | ) |
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 |
Fair Values of Derivative Instruments as of March 31, 2023 | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||
Swap agreements | $ | — | $ | — | $ | — | $ | 67,202,386 | $ | — | $ | 67,202,386 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||
Swap agreements | — | — | — | 39,088,319 | — | 39,088,319 | ||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 319,670 | — | 319,670 | 959 | — | 959 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 15,353,259 | — | 15,353,259 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 62,363,833 | — | 62,363,833 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 502,639 | — | 502,639 | 12,157 | — | 12,157 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 332,826 | — | 332,826 | 2,648,069 | — | 2,648,069 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,185,388 | — | 1,185,388 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 3,022,322 | — | 3,022,322 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 102,137 | — | 102,137 | 1,267,308 | — | 1,267,308 |
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 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. | $ | (10,629,759 | ) | $ | — | $ | 10,629,759 | $ | — | |||||||
Goldman Sachs International | (13,216,202 | ) | — | 13,216,202 | — | |||||||||||
Morgan Stanley & Co. International PLC | (18,411,182 | ) | — | 18,411,182 | — | |||||||||||
Societe Generale | (10,019,635 | ) | — | 10,019,635 | — | |||||||||||
UBS AG | (14,925,608 | ) | — | 14,925,608 | — | |||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||
Citibank N.A. | (15,605,398 | ) | 15,605,398 | — | — | |||||||||||
Goldman Sachs International | (23,296,489 | ) | — | — | (23,296,489 | ) | ||||||||||
UBS AG | (186,432 | ) | 186,432 | — | — |
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023 | 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 | 145,994 | — | — | 145,994 | (136,003 | ) | — | 136,003 | — | |||||||||||||||||||||||
UBS AG | 172,717 | — | — | 172,717 | (86,709 | ) | — | 86,709 | — | |||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||
Citibank, N.A. | 6,674,065 | (6,674,065 | ) | — | — | (4,441,216 | ) | — | 4,441,216 | — | ||||||||||||||||||||||
Goldman Sachs International | 3,169,970 | (3,169,970 | ) | — | — | (2,109,437 | ) | — | 2,109,437 | — | ||||||||||||||||||||||
UBS AG | 5,509,224 | (5,509,224 | ) | — | — | (3,792,536 | ) | — | 3,792,536 | — | ||||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||
Citibank, N.A. | 22,200,338 | (21,755,480 | ) | — | 444,858 | (7,524,763 | ) | — | 7,524,763 | — | ||||||||||||||||||||||
Goldman Sachs International | 2,932,172 | (2,905,625 | ) | — | 26,547 | (994,790 | ) | — | 994,790 | — | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | 18,503,019 | — | (17,394,000 | ) | 1,109,019 | (6,749,262 | ) | — | 6,749,262 | — | ||||||||||||||||||||||
UBS AG | 18,728,304 | (17,967,788 | ) | (9,608 | ) | 750,908 | (6,347,924 | ) | — | 6,347,924 | — | |||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||
Goldman Sachs International | 219,212 | (219,212 | ) | — | — | (268,253 | ) | — | 268,253 | — | ||||||||||||||||||||||
UBS AG | 271,270 | (263,083 | ) | — | 8,187 | (312,168 | ) | — | 312,168 | — | ||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||
Goldman Sachs International | (1,111,073 | ) | — | 1,111,073 | — | 763,505 | (763,505 | ) | — | — | ||||||||||||||||||||||
UBS AG | (1,204,170 | ) | — | 1,204,170 | — | 684,823 | (684,823 | ) | — | — | ||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||
Citibank, N.A. | (227,829 | ) | — | 227,829 | — | 149,583 | — | — | 149,583 | |||||||||||||||||||||||
Goldman Sachs International | (495,713 | ) | — | 495,713 | — | 196,202 | — | — | 196,202 | |||||||||||||||||||||||
UBS AG | (461,846 | ) | — | 461,846 | — | 303,231 | (262,149 | ) | — | 41,082 | ||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||
Citibank, N.A. | (357,884 | ) | — | 357,884 | — | 120,165 | — | — | 120,165 | |||||||||||||||||||||||
Goldman Sachs International | (1,303,722 | ) | — | 1,303,722 | — | 437,748 | (344,363 | ) | — | 93,385 | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | (1,031,085 | ) | — | 1,031,085 | — | 345,878 | — | — | 345,878 | |||||||||||||||||||||||
UBS AG | (329,631 | ) | — | 320,000 | (9,631 | ) | 110,677 | — | — | 110,677 | ||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||
Goldman Sachs International | (606,028 | ) | — | 606,028 | — | 406,284 | (331,699 | ) | — | 74,585 | ||||||||||||||||||||||
UBS AG | (559,143 | ) | — | 559,143 | — | 514,322 | (290,824 | ) | — | 223,498 |
Fair Values of Derivative Instruments as of December 31, 2022 | Fair Values of Derivative Instruments as of December 31, 2022 | Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | |||||||||||||||||||||||||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Assets presented in the Statements of Financial Condition | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Liabilities presented in the Statements of Financial Condition | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | 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 | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 | 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 | $ | — | $ | — | $ | 11,723,388 | ||||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | — | 20,305,392 | ||||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | 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 | 217,491 | — | — | 217,491 | ||||||||||||||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | 198,165 | (198,165 | ) | — | — | ||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||
Citibank, N.A. | 2,582,849 | — | — | 2,582,849 | 2,582,849 | — | (2,570,000 | ) | 12,849 | |||||||||||||||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | 1,226,772 | (1,193,425 | ) | — | 33,347 | ||||||||||||||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||
Citibank, N.A. | 12,628,472 | — | — | 12,628,472 | 12,628,472 | — | (12,628,472 | ) | — | |||||||||||||||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | 1,667,621 | (1,667,621 | ) | — | — | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | 13,862,180 | — | — | 13,862,180 | ||||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||
International PLC | 13,862,180 | — | (10,733,000 | ) | 3,129,180 | |||||||||||||||||||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | 11,065,939 | (11,065,939 | ) | — | — | ||||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | 683,120 | (308,636 | ) | — | 374,484 | ||||||||||||||||||||||
UBS AG | 301,429 | — | — | 301,429 | 301,429 | — | — | 301,429 | ||||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | (1,121,150 | ) | — | 1,121,150 | — | ||||||||||||||||||||||
UBS AG | (1,340,106 | ) | — | 1.340,106 | — | (1,340,106 | ) | — | 1,340,106 | — | ||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | (181,291 | ) | — | 181,291 | — | ||||||||||||||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | (231,533 | ) | — | 231,533 | — | ||||||||||||||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | (180,133 | ) | — | 180,133 | — | ||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | (203,969 | ) | — | 203,969 | — | ||||||||||||||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | (743,029 | ) | — | 743,029 | — | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | (587,758 | ) | — | 587,758 | — | ||||||||||||||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | (187,867 | ) | — | 187,867 | — | ||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | (936,322 | ) | — | 936,322 | — | ||||||||||||||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
Fund | Three Months Ended March 31, 2023 | |||
ProShares Short VIX Short-Term Futures ETF | $ | 112,214 | ||
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 | 431,018 | |||
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 | 6,465 | |||
ProShares VIX Short-Term Futures ETF | 84,321 | |||
Combined Trust: | $ | 634,018 |
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 December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 18.15 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 0.37 | 0.14 | 0.03 | 0.08 | 0.39 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 4.65 | (3.87 | ) | (14.49 | ) | 0.14 | 7.38 | (0.84 | ) | |||||||||||||||
Change in net asset value from operations | 5.02 | (3.73 | ) | (14.46 | ) | 0.22 | 7.77 | (0.65 | ) | |||||||||||||||
Net asset value, at March 31, 2023 | $ | 63.73 | $ | 26.53 | $ | 3.69 | $ | 11.49 | $ | 62.86 | $ | 31.10 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 17.78 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 63.75 | $ | 26.47 | $ | 3.61 | $ | 11.49 | $ | 63.02 | $ | 31.23 | ||||||||||||
Total Return, at net asset value^ | 8.6 | % | (12.3 | )% | (79.7 | )% | 2.0 | % | 14.1 | % | (2.0 | )% | ||||||||||||
Total Return, at market value^ | 8.6 | % | (12.7 | )% | (79.7 | )% | 2.0 | % | 14.0 | % | (2.4 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.16 | % | 1.00 | % | 1.42 | % | 0.95 | % | 0.97 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.38 | % | 2.05 | % | 2.24 | % | 2.86 | % | 2.70 | % | 2.70 | % |
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 | $ | 6.87 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.02 | 0.23 | 0.18 | 0.25 | 0.21 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (2.26 | ) | (1.72 | ) | 1.04 | 43.86 | (0.63 | ) | (4.40 | ) | ||||||||||||||
Change in net asset value from operations | (2.24 | ) | (1.49 | ) | 1.22 | 44.11 | (0.42 | ) | (4.22 | ) | ||||||||||||||
Net asset value, at March 31, 2023 | $ | 4.63 | $ | 33.05 | $ | 25.15 | $ | 71.11 | $ | 29.04 | $ | 26.88 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 6.86 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 4.65 | $ | 33.02 | $ | 25.22 | $ | 72.42 | $ | 29.04 | $ | 26.84 | ||||||||||||
Total Return, at net asset value^ | (32.7 | )% | (4.3 | )% | 5.1 | % | 163.4 | % | (1.4 | )% | (13.6 | )% | ||||||||||||
Total Return, at market value^ | (32.2 | )% | (4.5 | )% | 5.8 | % | 162.8 | % | (1.4 | )% | (13.4 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.57 | % | 0.95 | % | 1.08 | % | 1.72 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 1.48 | % | 2.78 | % | 2.85 | % | 2.08 | % | 2.85 | % | 2.48 | % |
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 | $ | 11.40 | ||||||||
Net investment income (loss) | 0.11 | 0.39 | 0.18 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss)# | (0.94 | ) | 1.91 | (3.80 | ) | (2.43 | ) | |||||||||
Change in net asset value from operations | (0.83 | ) | 2.30 | (3.62 | ) | (2.37 | ) | |||||||||
Net asset value, at March 31, 2023 | $ | 18.63 | $ | 55.98 | $ | 26.79 | $ | 9.03 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 11.38 | ||||||||
Market value per share, at March 31, 2023 † | $ | 18.56 | $ | 56.00 | $ | 26.82 | $ | 9.05 | ||||||||
Total Return, at net asset value^ | (4.2 | )% | 4.3 | % | (11.9 | )% | (20.8 | )% | ||||||||
Total Return, at market value^ | (3.8 | )% | 4.5 | % | (11.7 | )% | (20.5 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.04 | % | 0.95 | % | 0.97 | % | 1.09 | % | ||||||||
Net investment income gain (loss) | 2.12 | % | 2.87 | % | 2.70 | % | 2.39 | % |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 25.55 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.17 | ) | (0.08 | ) | (0.11 | ) | (0.02 | ) | (0.14 | ) | (0.08 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (6.84 | ) | 16.48 | 30.62 | (0.83 | ) | 7.44 | 4.30 | ||||||||||||||||
Change in net asset value from operations | (7.01 | ) | 16.40 | 30.51 | (0.85 | ) | 7.30 | 4.22 | ||||||||||||||||
Net asset value, at March 31, 2022 | $ | 54.55 | $ | 37.94 | $ | 56.06 | $ | 12.47 | $ | 66.99 | $ | 39.06 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 26.09 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 54.56 | $ | 38.33 | $ | 56.31 | $ | 12.46 | $ | 66.14 | $ | 38.53 | ||||||||||||
Total Return, at net asset value^ | (11.4 | )% | 76.1 | % | 119.4 | % | (6.4 | )% | 12.2 | % | 12.1 | % | ||||||||||||
Total Return, at market value^ | (11.4 | )% | 76.7 | % | 115.8 | % | (6.5 | )% | 10.6 | % | 10.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.34 | % | 1.09 | % | 1.33 | % | 0.95 | % | 1.01 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | (1.25 | )% | (0.99 | )% | (1.23 | )% | (0.74 | )% | (0.87 | )% | (0.88 | )% |
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 |
^^ | 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 | $ | 12.41 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (0.07 | ) | (0.09 | ) | (0.10 | ) | (0.44 | ) | (0.05 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 1.16 | (5.18 | ) | (34.99 | ) | (182.25 | ) | 1.51 | (4.42 | ) | ||||||||||||||
Change in net asset value from operations | 1.09 | (5.27 | ) | (35.09 | ) | (182.69 | ) | 1.46 | (4.48 | ) | ||||||||||||||
Net asset value, at March 31, 2022 | $ | 13.50 | $ | 42.02 | $ | 29.17 | $ | 64.71 | $ | 27.30 | $ | 27.23 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 12.43 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 13.46 | $ | 42.09 | $ | 28.95 | $ | 64.56 | $ | 27.31 | $ | 27.61 | ||||||||||||
Total Return, at net asset value^ | 8.8 | % | (11.1 | )% | (54.6 | )% | (73.9 | )% | 5.6 | % | (14.1 | )% | ||||||||||||
Total Return, at market value^ | 8.3 | % | (11.0 | )% | (54.6 | )% | (73.4 | )% | 5.6 | % | (12.8 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.78 | % | 0.95 | % | 1.24 | % | 1.56 | % | 0.95 | % | 1.02 | % | ||||||||||||
Net investment income gain (loss) | (1.73 | )% | (0.80 | )% | (1.13 | )% | (1.46 | )% | (0.83 | )% | (0.88 | )% |
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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 15.12 | ||||||||
Net investment income (loss) | (0.06 | ) | (0.08 | ) | (0.08 | ) | (0.05 | ) | ||||||||
Net realized and unrealized gain (loss)# | (5.26 | ) | 4.90 | 0.92 | 1.54 | |||||||||||
Change in net asset value from operations | (5.32 | ) | 4.82 | 0.84 | 1.49 | |||||||||||
Net asset value, at March 31, 2022 | $ | 21.45 | $ | 46.32 | $ | 31.45 | $ | 16.61 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 15.17 | ||||||||
Market value per share, at March 31, 2022 † | $ | 21.78 | $ | 46.37 | $ | 31.50 | $ | 16.57 | ||||||||
Total Return, at net asset value^ | (19.9 | )% | 11.6 | % | 2.7 | % | 9.9 | % | ||||||||
Total Return, at market value^ | (18.9 | )% | 11.7 | % | 3.0 | % | 9.2 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.95 | % | 1.09 | % | 1.23 | % | ||||||||
Net investment income gain (loss) | (0.94 | )% | (0.80 | )% | (0.99 | )% | (1.15 | )% |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid-Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at June 30, 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 |
^^ | 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. |
1
and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
Fund | Interest Income Three Months Ended March 31, 2023 | Interest Income Three Months Ended March 31, 2022 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,109,122 | $ | 94,343 | ||||
ProShares Ultra Bloomberg Crude Oil | 6,007,908 | 308,880 | ||||||
ProShares Ultra Bloomberg Natural Gas | 8,958,523 | 39,581 | ||||||
ProShares Ultra Euro | 97,237 | 4,587 | ||||||
ProShares Ultra Gold | 1,649,014 | 95,113 | ||||||
ProShares Ultra Silver | 3,374,396 | 140,449 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 4,416,655 | 95,261 | ||||||
ProShares Ultra Yen | 120,118 | 873 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 2,003,209 | 53,907 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 1,186,752 | 55,825 | ||||||
ProShares UltraShort Euro | 647,120 | 15,405 | ||||||
ProShares UltraShort Gold | 132,562 | 9,685 | ||||||
ProShares UltraShort Silver | 200,078 | 8,920 | ||||||
ProShares UltraShort Yen | 204,200 | 9,399 | ||||||
ProShares VIX Mid-Term Futures ETF | 647,920 | 23,923 | ||||||
ProShares VIX Short-Term Futures ETF | 2,120,561 | 70,709 |
2
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 |
3
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
4
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
5
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 295,340,393 | $ | 495,588,849 | ||||
Percentage change in NAV | (13.0 | )% | 16.9 | % | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 4,634,307 | 9,084,307 | ||||||
Percentage change in shares outstanding | (19.9 | )% | 32.0 | % | ||||
Shares created | 2,450,000 | 3,000,000 | ||||||
Shares redeemed | 3,600,000 | 800,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 63.73 | $ | 54.55 | ||||
Percentage change in per share NAV | 8.6 | % | (11.4 | )% | ||||
Percentage change in benchmark | (20.3 | )% | 10.2 | % | ||||
Benchmark annualized volatility | 68.1 | % | 86.4 | % |
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 | % |
6
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,416,842 | $ | (1,296,922 | ) | |||
Management fee | 565,777 | 986,537 | ||||||
Brokerage commission | 126,503 | 187,698 | ||||||
Futures account fees | — | 217,030 | ||||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | ||||||
Net Income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) |
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 |
Oil
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 811,668,456 | $ | 1,336,980,685 | ||||
Percentage change in NAV | (5.5 | )% | 21.2 | % | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 30,593,096 | 35,243,096 | ||||||
Percentage change in shares outstanding | 7.7 | % | (31.2 | )% | ||||
Shares created | 19,100,000 | 8,600,000 | ||||||
Shares redeemed | 16,900,000 | 24,600,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 | ||||
Per share NAV end of period | $ | 26.53 | $ | 37.94 | ||||
Percentage change in per share NAV | (12.3 | )% | 76.1 | % | ||||
Percentage change in benchmark | (5.4 | )% | 36.7 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.0 | % |
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 | % |
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 76.1% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31,September 30, 2023.
The benchmark’s decline of 5.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 36.7% for the three months ended March 31, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2023.
7
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 4,038,946 | $ | (3,224,160 | ) | |||
Management fee | 1,874,618 | 3,084,812 | ||||||
Brokerage commission | 94,344 | 195,541 | ||||||
Futures account fees | — | 252,687 | ||||||
Net realized gain (loss) | 85,780,427 | 799,419,934 | ||||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | ||||
Net Income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 |
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2023.
|
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 1,139,983,773 | $ | 145,069,486 | ||||
Percentage change in NAV | 94.5 | % | (25.2 | )% | ||||
Shares outstanding beginning of period | 32,287,527 | 7,587,527 | ||||||
Shares outstanding end of period | 309,087,527 | 2,587,527 | ||||||
Percentage change in shares outstanding | 857.3 | % | (65.9 | )% | ||||
Shares created | 379,450,000 | 2,600,000 | ||||||
Shares redeemed | 102,650,000 | 7,600,000 | ||||||
Per share NAV beginning of period | $ | 18.15 | $ | 25.55 | ||||
Per share NAV end of period | $ | 3.69 | $ | 56.06 | ||||
Percentage change in per share NAV | (79.7 | )% | 119.4 | % | ||||
Percentage change in benchmark | (50.4 | )% | 58.4 | % | ||||
Benchmark annualized volatility | 78.6 | % | 72.9 | % |
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 32,287,527 outstanding Shares at December 31, 2022 to 309,087,527 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended March 31,September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindexwas offset by a decreasealso resulted in part from 7,587,527an increase from 236,876 outstanding Shares at December 31, 2021June 30, 2022 to 2,587,527271,876 outstanding Shares at March 31,September 30, 2022.
8
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 5,489,641 | $ | (516,598 | ) | |||
Management fee | 2,328,410 | 396,610 | ||||||
Brokerage commission | 952,779 | 88,452 | ||||||
Futures account fees | 187,693 | 71,117 | ||||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | |||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | |||||
Net Income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 |
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 March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 8,616,433 | $ | 6,236,982 | ||||
Percentage change in NAV | (19.5 | )% | (28.0 | )% | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 750,000 | 500,000 | ||||||
Percentage change in shares outstanding | (21.1 | )% | (23.1 | )% | ||||
Shares created | 200,000 | 100,000 | ||||||
Shares redeemed | 400,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 11.49 | $ | 12.47 | ||||
Percentage change in per share NAV | 2.0 | % | (6.4 | )% | ||||
Percentage change in benchmark | 1.31 | % | (2.8 | )% | ||||
Benchmark annualized volatility | 9.21 | % | 8.6 | % |
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 | % |
9
decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021June 30, 2023 to 500,000600,000 outstanding Shares at March 31, 2022.September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 72,991 | $ | (15,691 | ) | |||
Management fee | 24,246 | 20,278 | ||||||
Net realized gain (loss) | 280,279 | (446,979 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | ||||
Net Income (loss) | $ | 256,325 | $ | (601,095 | ) |
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 March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 201,161,529 | $ | 355,029,822 | ||||
Percentage change in NAV | 15.9 | % | 52.5 | % | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,200,000 | 5,300,000 | ||||||
Percentage change in shares outstanding | 1.6 | % | 35.9 | % | ||||
Shares created | 400,000 | 1,500,000 | ||||||
Shares redeemed | 350,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 62.86 | $ | 66.99 | ||||
Percentage change in per share NAV | 14.1 | % | 12.2 | % | ||||
Percentage change in benchmark | 8.1 | % | 6.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 17.3 | % |
10
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 | % |
By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,213,285 | $ | (617,466 | ) | |||
Management fee | 427,114 | 671,415 | ||||||
Brokerage commission | 8,615 | 21,659 | ||||||
Futures account fees | — | 19,505 | ||||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net Income (loss) | $ | 22,701,560 | $ | 32,380,619 |
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 | ) |
11
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 429,115,334 | $ | 558,375,842 | ||||
Percentage change in NAV | 3.6 | % | 8.3 | % | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,796,526 | 14,296,526 | ||||||
Percentage change in shares outstanding | 5.7 | % | (3.4 | )% | ||||
Shares created | 1,900,000 | 1,000,000 | ||||||
Shares redeemed | 1,150,000 | 1,500,000 | ||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 31.10 | $ | 39.06 | ||||
Percentage change in per share NAV | (2.0 | )% | 12.1 | % | ||||
Percentage change in benchmark | 0.8 | % | 7.5 | % | ||||
Benchmark annualized volatility | 27.6 | % | 31.9 | % |
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 March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 2,476,275 | $ | (1,128,206 | ) | |||
Management fee | 871,559 | 1,217,599 | ||||||
Brokerage commission | 26,562 | 30,551 | ||||||
Futures account fees | — | 20,505 | ||||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net Income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 |
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 | ) |
12
ETF*ETF
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 535,980,236 | $ | 1,127,608,641 | ||||
Percentage change in NAV | (16.2 | )% | 38.1 | % | ||||
Shares outstanding beginning of period | 93,078,420 | 65,828,420 | ||||||
Shares outstanding end of period | 115,878,420 | 83,528,420 | ||||||
Percentage change in shares outstanding | 24.5 | % | 26.9 | % | ||||
Shares created | 83,700,000 | 83,100,000 | ||||||
Shares redeemed | 60,900,000 | 65,400,000 | ||||||
Per share NAV beginning of period | $ | 6.87 | $ | 12.41 | ||||
Per share NAV end of period | $ | 4.63 | $ | 13.50 | ||||
Percentage change in per share NAV | (32.7 | )% | 8.8 | % | ||||
Percentage change in benchmark | (20.3 | )% | 10.2 | % | ||||
Benchmark annualized volatility | 68.1 | % | 86.4 | % |
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 | % |
By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,722,842 outstanding Shares at June 30, 2022 to 7,732,842 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
13
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 2,141,823 | $ | (3,585,362 | ) | |||
Management fee | 1,373,770 | 1,961,177 | ||||||
Brokerage commission | 777,701 | 936,758 | ||||||
Futures account fees | 123,361 | 782,688 | ||||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net Income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 |
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 March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 9,915,083 | $ | 2,099,705 | ||||
Percentage change in NAV | (28.2 | )% | (11.1 | )% | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 299,970 | 49,970 | ||||||
Percentage change in shares outstanding | (25.0 | )% | — | % | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | 150,000 | — | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 33.05 | $ | 42.02 | ||||
Percentage change in per share NAV | (4.3 | )% | (11.1 | )% | ||||
Percentage change in benchmark | (1.16 | )% | (5.5 | )% | ||||
Benchmark annualized volatility | 12.37 | % | 7.1 | % |
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 | % |
14
The benchmark’s declinerise of 1.16%1.3% for the threenine months ended March 31,September 30, 2023, as compared to the benchmark’s decline of 5.5%9.3% for the threenine months ended MarchSeptember 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2023.
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 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 89,558 | $ | (4,556 | ) | |||
Management fee | 30,560 | 5,429 | ||||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net Income (loss) | $ | (703,317 | ) | $ | (263,144 | ) |
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 | ) |
Oil
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 144,762,563 | $ | 416,799,231 | ||||
Percentage change in NAV | (35.0 | )% | 265.1 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 5,755,220 | 14,286,760 | ||||||
Percentage change in shares outstanding | (38.2 | )% | 704.1 | % | ||||
Shares created | 5,300,000 | 15,570,000 | ||||||
Shares redeemed | 8,850,000 | 3,060,000 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 25.15 | $ | 29.17 | ||||
Percentage change in per share NAV | 5.1 | % | (54.6 | )% | ||||
Percentage change in benchmark | (5.4 | )% | 36.6 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.0 | % |
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 | % |
15
For the threenine months ended March 31,September 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.1%127.7% for the threenine months ended March 31,September 30, 2023, as compared to the Fund’s per Share NAV decrease of 54.6%93.0% for the threenine months ended March 31,September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the threenine months ended March 31,September 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,452,572 | $ | (585,973 | ) | |||
Management fee | 484,880 | 492,647 | ||||||
Brokerage commission | 65,757 | 77,056 | ||||||
Futures account fees | — | 70,177 | ||||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net Income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) |
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 | ) |
|
Euro
16
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 146,981,760 | $ | 250,340,837 | ||||
Percentage change in NAV | 9.6 | % | 3.4 | % | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 2,066,856 | 3,868,619 | ||||||
Percentage change in shares outstanding | (58.4 | )% | 295.3 | % | ||||
Shares created | 7,250,000 | 4,640,000 | ||||||
Shares redeemed | 10,150,000 | 1,750,123 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 71.11 | $ | 64.71 | ||||
Percentage change in per share NAV | 163.4 | % | (73.9 | )% | ||||
Percentage change in benchmark | (50.4 | )% | 58.4 | % | ||||
Benchmark annualized volatility | 78.6 | % | 72.9 | % |
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 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 650,640 | $ | (837,419 | ) | |||
Management fee | 296,862 | 542,364 | ||||||
Brokerage commission | 209,641 | 220,951 | ||||||
Futures account fees | 29,609 | 129,929 | ||||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net Income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) |
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 |
|
17
GoldEuro
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 59,537,260 | $ | 50,498,084 | ||||
Percentage change in NAV | (20.7 | )% | (6.9 | )% | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 2,050,000 | 1,850,000 | ||||||
Percentage change in shares outstanding | (19.6 | )% | (11.9 | )% | ||||
Shares created | 100,000 | 50,000 | ||||||
Shares redeemed | 600,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 29.04 | $ | 27.30 | ||||
Percentage change in per share NAV | (1.4 | )% | 5.6 | % | ||||
Percentage change in benchmark | 1.31 | % | (2.8 | )% | ||||
Benchmark annualized volatility | 9.21 | % | 8.6 | % |
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 | % |
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.4% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s rise of 1.31% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
18
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 485,552 | $ | (102,051 | ) | |||
Management fee | 161,568 | 117,456 | ||||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net Income (loss) | $ | (780,548 | ) | $ | 2,919,798 |
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended March 31, 2023.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 16,049,273 | $ | 32,598,451 | ||||
Percentage change in NAV | 3.8 | % | 21.4 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 596,977 | 1,196,977 | ||||||
Percentage change in shares outstanding | 20.1 | % | 41.3 | % | ||||
Shares created | 300,000 | 450,000 | ||||||
Shares redeemed | 200,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 26.88 | $ | 27.23 | ||||
Percentage change in per share NAV | (13.6 | )% | (14.1 | )% | ||||
Percentage change in benchmark | 8.1 | % | 6.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 17.3 | % |
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 596,977 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x)of the daily performance of the Bloomberg Gold Subindexthreenine months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,196,977 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.6% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 14.1% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023.
19
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 94,828 | $ | (61,130 | ) | |||
Management fee | 36,373 | 66,138 | ||||||
Brokerage commission | 1,361 | 2,811 | ||||||
Futures account fees | — | 1,866 | ||||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net Income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) |
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a greater increase in the value of the futures prices during the three months ended March 31, 2023.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 20,335,691 | $ | 23,406,516 | ||||
Percentage change in NAV | (36.3 | )% | (11.8 | )% | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 | ||||||
Shares outstanding end of period | 1,091,329 | 1,091,329 | ||||||
Percentage change in shares outstanding | (33.5 | )% | 10.1 | % | ||||
Shares created | 650,000 | 1,100,000 | ||||||
Shares redeemed | 1,200,000 | 1,000,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 18.63 | $ | 21.45 | ||||
Percentage change in per share NAV | (4.2 | )% | (19.9 | )% | ||||
Percentage change in benchmark | 0.8 | % | 7.5 | % | ||||
Benchmark annualized volatility | 27.6 | % | 31.9 | % |
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 1,091,329 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,091,329 outstanding Shares at March 31, 2022.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
20
The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of the silver futures contracts during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 134,207 | $ | (60,608 | ) | |||
Management fee | 60,168 | 60,953 | ||||||
Brokerage commission | 5,703 | 5,301 | ||||||
Futures account fees | — | 3,274 | ||||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | |||||
Net Income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) |
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 25,111,818 | $ | 27,726,701 | ||||
Percentage change in NAV | 17.4 | % | 11.6 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 448,580 | 598,580 | ||||||
Percentage change in shares outstanding | 12.5 | % | — | % | ||||
Shares created | 200,000 | 200,000 | ||||||
Shares redeemed | 150,000 | 200,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 55.98 | $ | 46.32 | ||||
Percentage change in per share NAV | 4.3 | % | 11.6 | % | ||||
Percentage change in benchmark | (1.16 | )% | (5.5 | )% | ||||
Benchmark annualized volatility | 12.37 | % | 7.1 | % |
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 398,580 outstanding Shares at December 31, 2022 to 448,580 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31,September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inversespot price of the Japanese yen versus the U.S. dollar. There was no net changeBloomberg Gold Subindexfromat December 31, 2021 to March 31,796,977 outstanding Shares at September 30, 2022.
21
For the threenine months ended March 31,September 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.3%3.4% for the threenine months ended March 31,September 30, 2023, as compared to the Fund’s per Share NAV increase of 11.6%17.3% for the threenine months ended March 31,September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the threenine months ended March 31,September 30, 2023.
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 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 153,388 | $ | (50,421 | ) | |||
Management fee | 50,812 | 59,820 | ||||||
Net realized gain (loss) | (1,027,976 | ) | 1,183,144 | |||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | ||||||
Net Income (loss) | $ | 984,913 | $ | 2,571,187 |
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 |
|
22
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
NAV end of period | $ | 67,306,087 | $ | 97,869,914 | ||||
Percentage change in NAV | (19.9 | )% | (13.4 | )% | ||||
Shares outstanding beginning of period | 2,762,403 | 3,687,403 | ||||||
Shares outstanding end of period | 2,512,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | (9.1 | )% | (15.6 | )% | ||||
Shares created | 275,000 | 700,000 | ||||||
Shares redeemed | 525,000 | 1,275,000 | ||||||
Per share NAV beginning of period | $ | 30.41 | $ | 30.61 | ||||
Per share NAV end of period | $ | 26.79 | $ | 31.45 | ||||
Percentage change in per share NAV | (11.9 | )% | 2.7 | % | ||||
Percentage change in benchmark | (11.4 | )% | 3.3 | % | ||||
Benchmark annualized volatility | 36.4 | % | 32.8 | % |
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 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 477,188 | $ | (252,097 | ) | |||
Management fee | 150,123 | 215,663 | ||||||
Brokerage commission | 9,169 | 24,869 | ||||||
Futures account fees | 11,440 | 35,488 | ||||||
Net realized gain (loss) | (15,820,720 | ) | 4,791,497 | |||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||
Net Income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 |
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 |
23
NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatilitythreenine months ended March 31,September 30, 2023 and 2022: Three Months Ended
March 31, 2023 Three Months Ended
March 31, 2022 $ 266,580,320 $ 269,703,164 $ 226,765,204 $ 404,950,400 (14.9 )% 50.1 % 23,382,826 17,832,826 25,107,826 24,382,826 7.4 % 36.7 % 11,500,000 9,950,000 9,775,000 3,400,000 $ 11.40 $ 15.12 $ 9.03 $ 16.61 (20.8 )% 9.9 % (20.3 )% 10.2 % 68.1 % 86.4 % $ 266,580,320 $ 269,703,164 $ 211,604,428 $ 437,536,628 (20.6 )% 62.2 % 4,676,565 3,566,565 9,075,947 5,116,565 94.1 % 43.5 % 9,235,000 7,180,000 4,835,618 5,630,000 $ 57.00 $ 75.62 $ 23.31 $ 85.51 (59.1 )% 13.1 % (58.4 )% 14.7 % 56.0 % 86.1 % threenine months ended March 31,September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 23,382,8264,676,565 outstanding Shares at December 31, 2022 to 25,107,8269,075,947 outstanding Shares at March 31,September 30, 2023. By comparison, during the threenine months ended March 31,September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,8263,566,565 outstanding Shares at December 31, 2021 to 24,382,8265,116,565 outstanding Shares at March 31,September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.threenine months ended March 31,September 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.8%59.1% for the threenine months ended March 31,September 30, 2023, as compared to the Fund’s per Share NAV increase of 9.9%13.1% for the threenine months ended March 31,September 30, 2022, was primarily due to deprecationa depreciation in the value of the assets held by the Fund during the threenine months ended March 31,September 30, 2023.20.3%58.4% for the threenine months ended March 31,September 30, 2023, as compared to the benchmark’s rise of 10.2%14.7% for the threenine months ended March 31,September 30, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31,September 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,455,917 | $ | (952,113 | ) | |||
Management fee | 517,488 | 705,691 | ||||||
Brokerage commission | 96,497 | 116,474 | ||||||
Futures account fees | 50,659 | 200,657 | ||||||
Net realized gain (loss) | (46,096,694 | ) | 53,734,224 | |||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | |||||
Net Income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 |
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 |
24
* | 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 March 31, 2023 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | April 2023 | 4,007 | $ | 20.76 | 1,000 | $ | (83,202,149 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | May 2023 | 2,915 | 22.13 | 1,000 | (64,504,578 | ) |
25
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | April 2022 | 4,910 | $ | 23.47 | 1,000 | $ | (115,232,790 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | May 2022 | 5,324 | 24.99 | 1,000 | (133,034,515 | ) |
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 March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 2,112 | $ | 75.80 | 1,000 | $ | 160,089,600 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 2,182 | 73.55 | 1,000 | 160,486,100 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 2,261 | 71.23 | 1,000 | 161,051,030 |
Swap Agreements as of March 31, 2023 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Citibank, N.A. | Long | $ | 80.1009 | $ | 180,552,235 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Goldman Sachs International | Long | 80.1009 | 224,484,374 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | Morgan Stanley & Co. | |||||||||||||||
Index | International PLC | Long | 80.1009 | 312,723,926 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Societe Generale | Long | 80.1009 | 170,398,805 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | UBS AG | Long | 80.1009 | 253,675,785 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 4,115 | $ | 98.52 | 1,000 | $ | 405,409,800 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 4,724 | 89.60 | 1,000 | 423,270,400 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 5,012 | 84.61 | 1,000 | 424,065,320 |
26
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 |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 89.7299 | $ | 202,256,578 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 89.7299 | 394,073,711 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 89.7299 | 350,316,746 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 89.7299 | 190,882,596 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 89.7299 | 284,170,376 |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | May 2023 | 95,284 | $ | 2.22 | 10,000 | $ | 2,111,493,440 |
Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0885 | $ | 67,247,193 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0885 | 100,389,846 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0885 | 803,815 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | May 2022 | 5,149 | $ | 5.64 | 10,000 | $ | 290,506,580 |
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 |
27
ProShares Ultra Euro:
Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Euro | Goldman Sachs International | Long | 04/14/23 | 8,826,921 | 1.0680 | $ | 9,427,525 | |||||||||||
Euro | UBS AG | Long | 04/14/23 | 9,821,502 | 1.0684 | 10,492,894 | ||||||||||||
Euro | Goldman Sachs International | Short | 04/14/23 | (308,000 | ) | 1.0633 | (327,497 | ) | ||||||||||
Euro | UBS AG | Short | 04/14/23 | (2,461,000 | ) | 1.0877 | (2,676,882 | ) |
Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Euro | Goldman Sachs International | Long | 04/08/22 | 4,422,921 | 1.1082 | $ | 4,901,569 | |||||||||||
Euro | UBS AG | Long | 04/08/22 | 11,991,502 | 1.1091 | 13,299,566 | ||||||||||||
Euro | UBS AG | Short | 04/08/22 | (5,127,000 | ) | 1.1044 | (5,662,185 | ) |
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 March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | June 2023 | 667 | $ | 1,986.20 | 100 | $ | 132,479,540 |
Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 209.1875 | $ | 115,835,052 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 209.1875 | 55,017,986 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 209.1875 | 98,916,314 |
28
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 March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | June 2022 | 1,871 | $ | 1,954.00 | 100 | $ | 365,593,400 |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 214.4125 | $ | 118,728,333 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 214.4125 | 102,600,526 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 214.4125 | 123,508,801 |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | May 2023 | 2,879 | $ | 24.16 | 5,000 | $ | 347,725,620 |
Swap Agreements as of March 31, 2023 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Long | $ | 211.9607 | $ | 159,299,488 | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | 211.9607 | 177,727,745 | ||||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 211.9607 | 23,479,523 | ||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 211.9607 | 149,931,926 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | May 2022 | 1,351 | $ | 25.13 | 5,000 | $ | 169,773,415 |
29
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 227.4218 | $ | 237,998,246 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 227.4218 | 249,395,557 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 227.4218 | 232,374,365 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 227.4218 | 227,857,585 |
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 March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 21,811 | $ | 20.76 | 1,000 | $ | 452,887,966 | ||||||||||||
VIX Futures (Cboe) | Long | May 2023 | 15,863 | 22.13 | 1,000 | 351,024,396 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 33,482 | $ | 23.47 | 1,000 | $ | 785,789,058 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 36,263 | 24.99 | 1,000 | 906,128,965 |
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 |
30
Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 04/14/23 | 1,492,519,517 | 0.007400 | $ | 11,044,802 | |||||||||||
Yen | UBS AG | Long | 04/14/23 | 1,730,435,856 | 0.007387 | 12,782,072 | ||||||||||||
Yen | Goldman Sachs International | Short | 04/14/23 | (16,977,000 | ) | 0.007387 | (125,407 | ) | ||||||||||
Yen | UBS AG | Short | 04/14/23 | (577,337,000 | ) | 0.007533 | (4,348,806 | ) |
Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 04/08/22 | 321,397,517 | 0.008653 | $ | 2,781,048 | |||||||||||
Yen | UBS AG | Long | 04/08/22 | 234,765,856 | 0.008634 | 2,027,006 | ||||||||||||
Yen | Goldman Sachs International | Short | 04/08/22 | (6,529,000 | ) | 0.008177 | (53,386 | ) | ||||||||||
Yen | UBS AG | Short | 04/08/22 | (37,680,000 | ) | 0.008411 | (316,941 | ) |
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 | ) |
31
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 March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 1,269 | $ | 75.80 | 1,000 | $ | (96,190,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 1,312 | 73.55 | 1,000 | (96,497,600 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 1,359 | 71.23 | 1,000 | (96,801,570 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 2,737 | $ | 98.52 | 1,000 | $ | (269,649,240 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,147 | 89.60 | 1,000 | (281,971,200 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,339 | 84.61 | 1,000 | (282,512,790 | ) |
Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | May 2023 | 13,265 | $ | 2.22 | 10,000 | $ | (293,952,400 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | May 2022 | 8,883 | $ | 5.64 | 10,000 | $ | (501,178,860 | ) |
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 | ) |
32
ProShares UltraShort Euro:
Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 04/14/23 | 13,747,000 | 1.0724 | $ | 14,742,763 | |||||||||||||||
Euro | UBS AG | Long | 04/14/23 | 21,381,000 | 1.0781 | 23,050,631 | ||||||||||||||||
Euro | Goldman Sachs International | Short | 04/14/23 | (71,345,263 | ) | 1.0673 | (76,146,038 | ) | ||||||||||||||
Euro | UBS AG | Short | 04/14/23 | (73,465,199 | ) | 1.0668 | (78,376,112 | ) |
Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 04/08/22 | 13,916,000 | 1.1059 | $ | 15,390,379 | |||||||||||||
Euro | Goldman Sachs International | Short | 04/08/22 | (46,280,263 | ) | 1.1082 | (51,288,713 | ) | ||||||||||||
Euro | UBS AG | Short | 04/08/22 | (58,998,199 | ) | 1.1072 | (65,320,957 | ) |
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 March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Gold Futures (COMEX) | Short | June 2023 | 76 | $ | 1,986.20 | 100 | $ | (15,095,120 | ) |
Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 209.1875 | $ | (3,932,159 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 209.1875 | (5,153,543 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 209.1875 | (7,971,123 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Gold Futures (COMEX) | Short | June 2022 | 134 | $ | 1,954.00 | 100 | $ | (26,183,600 | ) |
33
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 | ) |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 214.4125 | $ | (16,074,140 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 214.4125 | (10,515,819 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 214.4125 | (12,574,684 | ) |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | May 2023 | 137 | $ | 24.16 | 5,000 | $ | (16,546,860 | ) |
Swap Agreements as of March 31, 2023 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 211.9607 | $ | (2,858,231 | ) | |||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 211.9607 | (10,412,145 | ) | |||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 211.9607 | (8,232,766 | ) | |||||||||
Bloomberg Silver Subindex | UBS AG | Short | 211.9607 | (2,632,575 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | May 2022 | 167 | $ | 25.13 | 5,000 | $ | (20,986,055 | ) |
34
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 227.4218 | $ | (3,066,720 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 227.4218 | (11,171,645 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 227.4218 | (8,833,290 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 227.4218 | (2,824,603 | ) |
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 March 31, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 04/14/23 | 1,438,381,000 | 0.007577 | $ | 10,898,111 | |||||||||||||
Yen | UBS AG | Long | 04/14/23 | 1,461,674,000 | 0.007452 | 10,891,748 | ||||||||||||||
Yen | Goldman Sachs International | Short | 04/14/23 | (4,075,246,165 | ) | 0.007410 | (30,197,307 | ) | ||||||||||||
Yen | UBS AG | Short | 04/14/23 | (5,475,162,574 | ) | 0.007421 | (40,629,712 | ) |
Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 04/08/22 | 2,874,020,000 | 0.008228 | $ | 23,648,854 | |||||||||||||
Yen | Goldman Sachs International | Short | 04/08/22 | (1,973,114,165 | ) | 0.008595 | (16,958,793 | ) | ||||||||||||
Yen | UBS AG | Short | 04/08/22 | (7,652,928,574 | ) | 0.008428 | (64,498,778 | ) |
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 | ) |
35
ProShares VIX
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 545 | $ | 23.59 | 1,000 | $ | 12,858,785 | ||||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 942 | 23.70 | 1,000 | 22,324,458 | ||||||||||||||||
VIX Futures (Cboe) | Long | September 2023 | 942 | 23.99 | 1,000 | 22,599,428 | ||||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 396 | 24.05 | 1,000 | 9,523,800 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 593 | $ | 26.11 | 1,000 | $ | 15,480,562 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 1,235 | 26.25 | 1,000 | 32,424,802 | ||||||||||||||
VIX Futures (Cboe) | Long | September 2022 | 1,235 | 26.60 | 1,000 | 32,852,729 | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 642 | 26.86 | 1,000 | 17,245,083 |
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 March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 6,151 | $ | 20.76 | 1,000 | $ | 127,720,594 | ||||||||||||||
VIX Futures (Cboe) | Long | May 2023 | 4,474 | 22.13 | 1,000 | 99,002,909 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 8,017 | $ | 23.47 | 1,000 | $ | 188,150,973 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 8,681 | 24.99 | 1,000 | 216,918,224 |
36
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 |
37
38
39
During April 2020,
Fund may decline significantly.
40
Fund Title of Securities Registered* ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest ProShares Ultra Euro Common Units of Beneficial Interest ProShares Ultra Gold Common Units of Beneficial InterestFund. (including41a)None.b)Not applicable.c)The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended March 31, 2023: Total Number of
Shares Redeemed Average Price
Per Share 01/01/23 to 01/31/23 2,200,000 $ 62.86 02/01/23 to 02/28/23 1,050,000 $ 64.50 03/01/23 to 03/31/23 350,000 $ 63.64 01/01/23 to 01/31/23 3,100,000 $ 29.90 02/01/23 to 02/28/23 3,700,000 $ 28.81 03/01/23 to 03/31/23 10,100,000 $ 25.61 01/01/23 to 01/31/23 7,350,000 $ 10.61 02/01/23 to 02/28/23 57,800,000 $ 6.16 03/01/23 to 03/31/23 37,500,000 $ 6.27 01/01/23 to 01/31/23 — $ — 02/01/23 to 02/28/23 300,000 $ 11.52 03/01/23 to 03/31/23 100,000 $ 11.62 01/01/23 to 01/31/23 50,000 $ 61.88 02/01/23 to 02/28/23 150,000 $ 55.99 03/01/23 to 03/31/23 150,000 $ 56.97 42
Title of Securities Registered* |
| Total Number of Shares Redeemed | Average Price Per Share | |||||||
ProShares Ultra Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 500,000 | $ | 31.11 | |||||||
02/01/23 to 02/28/23 | 100,000 | $ | 26.65 | |||||||
03/01/23 to 03/31/23 | 550,000 | $ | 26.07 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 850,000 | $ | 5.73 | |||||||
02/01/23 to 02/28/23 | 10,600,000 | $ | 5.27 | |||||||
03/01/23 to 03/31/23 | 49,450,000 | $ | 6.07 | |||||||
ProShares Ultra Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 34.84 | |||||||
02/01/23 to 02/28/23 | 50,000 | $ | 32.27 | |||||||
03/01/23 to 03/31/23 | 50,000 | $ | 33.07 | |||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 1,450,000 | $ | 26.37 | |||||||
02/01/23 to 02/28/23 | 2,850,000 | $ | 25.33 | |||||||
03/01/23 to 03/31/23 | 4,550,000 | $ | 28.86 | |||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 5,200,000 | $ | 40.04 | |||||||
02/01/23 to 02/28/23 | 2,050,000 | $ | 63.09 | |||||||
03/01/23 to 03/31/23 | 2,900,000 | $ | 58.90 | |||||||
ProShares UltraShort Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 30.02 | |||||||
02/01/23 to 02/28/23 | 350,000 | $ | 29.68 | |||||||
03/01/23 to 03/31/23 | 200,000 | $ | 29.48 | |||||||
ProShares UltraShort Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | — | $ | — | |||||||
02/01/23 to 02/28/23 | 150,000 | $ | 30.85 | |||||||
03/01/23 to 03/31/23 | 50,000 | $ | 30.89 | |||||||
ProShares UltraShort Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 300,000 | $ | 19.36 | |||||||
02/01/23 to 02/28/23 | 750,000 | $ | 23.64 | |||||||
03/01/23 to 03/31/23 | 150,000 | $ | 24.06 | |||||||
ProShares UltraShort Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 54.92 | |||||||
02/01/23 to 02/28/23 | — | $ | — | |||||||
03/01/23 to 03/31/23 | 100,000 | $ | 56.81 | |||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 175,000 | $ | 27.45 | |||||||
02/01/23 to 02/28/23 | 275,000 | $ | 25.96 | |||||||
03/01/23 to 03/31/23 | 75,000 | $ | 26.18 | |||||||
ProShares VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 1,650,000 | $ | 10.68 | |||||||
02/01/23 to 02/28/23 | 2,200,000 | $ | 9.71 | |||||||
03/01/23 to 03/31/23 | 5,925,000 | $ | 11.04 |
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. |
43
None.
44
(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. |
45
PROSHARES TRUST II |
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: |
46