UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-21114 | |||||||
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ProShares Trust | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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7501 Wisconsin Avenue, Suite 1000 |
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(Address of principal executive offices) |
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The Corporation Trust Company/ProShare Advisors LLC | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | (240) 497-6400 |
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Date of fiscal year end: | May 31 |
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Date of reporting period: | November 30, 2006 |
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Item 1. Reports To Stockholders.
The following is a copy of the semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (the “1940 Act”) (17 CFR 270.30e-1).
ULTRA S&P500®
ULTRA ®
ULTRA Dow30SM
ULTRA MidCap400
SHORT S&P500®
SHORT ®
SHORT Dow30SM
SHORT MidCap400
ULTRASHORT S&P500®
ULTRASHORT ®
ULTRASHORT Dow30SM
ULTRASHORT MidCap400
Semiannual Report
ProShares Trust
NOVEMBER 30, 2006
Table of Contents
1 | Shareholder Letter | ||||||
2 | Allocation of Portfolio Holdings & Index Composition | ||||||
8 | Expense Examples | ||||||
Schedule of Portfolio Investments | |||||||
10 | Ultra S&P500® | ||||||
18 | Ultra QQQ® | ||||||
21 | Ultra Dow30SM | ||||||
23 | Ultra MidCap400 | ||||||
29 | Short S&P500® | ||||||
30 | Short QQQ® | ||||||
31 | Short Dow30SM | ||||||
32 | Short MidCap400 | ||||||
33 | UltraShort S&P500® | ||||||
34 | UltraShort QQQ® | ||||||
35 | UltraShort Dow30SM | ||||||
36 | UltraShort MidCap400 | ||||||
37 | Statements of Assets and Liabilities | ||||||
39 | Statements of Operations | ||||||
41 | Statements of Changes in Net Assets | ||||||
43 | Financial Highlights | ||||||
50 | Notes to Financial Statements | ||||||
58 | Board Approval of Investment Advisory Agreements | ||||||
60 | Proxy Voting & Quarterly Portfolio Holdings Information | ||||||
Dear Shareholder,
The year 2006 could be called the year of Exchange Traded Funds (ETFs). ETFs captured center stage in the investment world, with 159 ETFs introduced and assets growing 39% from $312 billion to $435 billion.(1) And, we hope as our shareholders you would agree that within the ETF world, there was perhaps no more important news than the introduction of ProShares.
Exchange Traded Funds, Chapter Two
ProShares have captured the attention of the ETF world since their launch in June. While there were many plain vanilla ETFs introduced last year, ProShares offered investors something new—the ability to do things they simply couldn't do before, specifically, execute sophisticated strategies in a single trade. ProShares are the industry's first ETFs to provide built-in short or magnified exposure to popular market indices including the S&P 500®, S&P MidCap 400, Dow Jones Industrial AverageSM and NASDAQ 100®. Therefore, ProShares can accommodate your more advanced investing tactics, such as hed ging your portfolio, taking advantage of market trends or amplifying your investment dollars.
A Fast Start
Soon after they were launched, ProShares began trading at significant volumes. As of the end of November 2006, they regularly traded more than three million shares daily, and did trade as many as six million shares in one day. The high trading volumes made ProShares more appealing to investors. And in less than six months after the launch, ProShares have garnered over $2 billion in assets.
I would like to thank you for your confidence in ProShares. Be assured, as we move forward, we are dedicated to becoming a major force in the exciting ETF world and continue creating innovative ETFs. We're going to see what the marketplace asks for and then deliver it.
We are grateful for your ongoing support and will do all in our power to maintain your trust and confidence.
Sincerely,
Michael L. Sapir
Chief Executive Office
ProShare Advisors, LLC
(1) Source: Citigroup Investment Research, January 2007.
This information must be preceded or accompanied by a current prospectus. Investors should read it carefully before investing.
Investing involves risk, including the possible loss of principal. ProShares entail certain risks, including in all or some cases aggressive investment techniques, inverse correlation, leverage, market price variance and short sale risks. These risks can increase volatility and decrease performance.
Please see the prospectus for more complete descriptions of these risks. Investing in ProShares involves different fees and risks than maintaining a margin account.
ProShares are distributed by SEI Investments Distribution Co., which is not affiliated with ProFunds Group or any other affiliate.
1
Allocation of Portfolio Holdings & Index Composition
November 30, 2006 (Unaudited)
Ultra S&P500®
Ultra S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P 500® Index. The S&P 500® Index is a measure of large-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 109 | % | |||||
Futures Contracts | 5 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 3.1 | % | |||||
General Electric Co. | 2.5 | % | |||||
Microsoft Corp. | 1.7 | % | |||||
Citigroup, Inc. | 1.7 | % | |||||
Bank of America Corp. | 1.7 | % |
S&P 500
Index – Composition
% of Index | |||||||
Financial | 21.27 | % | |||||
Consumer, Non-cyclical | 19.92 | % | |||||
Communications | 11.68 | % | |||||
Technology | 11.12 | % | |||||
Industrial | 10.85 | % | |||||
Energy | 9.81 | % | |||||
Consumer, Cyclical | 9.04 | % | |||||
Utilities | 3.39 | % | |||||
Basic Materials | 2.93 | % |
Ultra Dow30SM
Ultra Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the DJIA. The Dow Jones Industrial Average ("DJIA") includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 87 | % | |||||
Swap Agreements | 107 | % | |||||
Futures Contracts | 6 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
International Business Machines Corp. | 5.3 | % | |||||
Boeing Co. | 5.1 | % | |||||
Altria Group, Inc. | 4.8 | % | |||||
3M Co. | 4.7 | % | |||||
Exxon Mobil Corp. | 4.4 | % |
Dow Jones U.S. Industrials Average
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 23.81 | % | |||||
Technology | 16.14 | % | |||||
Financial | 16.13 | % | |||||
Industrial | 15.54 | % | |||||
Energy | 10.98 | % | |||||
Consumer, Cyclical | 8.31 | % | |||||
Communications | 7.37 | % | |||||
Basic Materials | 1.72 | % |
2
Ultra QQQ®
Ultra QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the NASDAQ-100 Index®. The NASDAQ-100 Index® represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 108 | % | |||||
Futures Contracts | 6 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple Computer, Inc. | 6.2 | % | |||||
Microsoft Corp. | 5.7 | % | |||||
Qualcomm, Inc. | 4.1 | % | |||||
Google, Inc., Class A | 3.9 | % | |||||
Cisco Systems, Inc. | 3.3 | % |
Nasdaq-100
Index – Composition
% of Index | |||||||
Technology | 43.33 | % | |||||
Communications | 35.00 | % | |||||
Consumer, Non-cyclical | 11.98 | % | |||||
Consumer, Cyclical | 7.22 | % | |||||
Industrial | 2.05 | % | |||||
Basic Materials | 0.22 | % | |||||
Energy | 0.20 | % |
Ultra MidCap400
Ultra MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 87 | % | |||||
Swap Agreements | 107 | % | |||||
Futures Contracts | 6 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Precision Castparts Corp. | 0.8 | % | |||||
Expeditors International Washington, Inc. | 0.8 | % | |||||
Noble Energy, Inc. | 0.7 | % | |||||
ENSCO International, Inc. | 0.6 | % | |||||
CH Robinson Worldwide, Inc. | 0.6 | % |
S&P MidCap400
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 17.35 | % | |||||
Financial | 17.01 | % | |||||
Consumer, Cyclical | 15.85 | % | |||||
Industrial | 15.39 | % | |||||
Energy | 9.28 | % | |||||
Technology | 9.25 | % | |||||
Utilities | 6.46 | % | |||||
Communications | 5.07 | % | |||||
Basic Materials | 3.83 | % | |||||
Diversified | 0.50 | % |
3
Allocation of Portfolio Holdings & Index Composition
November 30, 2006 (Unaudited) (continued)
Short S&P500®
Short S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P 500® Index. The S&P 500® Index is a measure of large-cap U.S. stock market performance. The Short S&P500® ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -93 | % | |||||
Futures Contracts | -7 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
S&P 500
Index – Composition
% of Index | |||||||
Financial | 21.27 | % | |||||
Consumer, Non-cyclical | 19.92 | % | |||||
Communications | 11.68 | % | |||||
Technology | 11.12 | % | |||||
Industrial | 10.85 | % | |||||
Energy | 9.81 | % | |||||
Consumer, Cyclical | 9.04 | % | |||||
Utilities | 3.39 | % | |||||
Basic Materials | 2.93 | % |
Short Dow30SM
Short Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the DJIA. The Dow Jones Industrial Average ("DJIA") includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies. The Short Dow30SM ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -94 | % | |||||
Futures Contracts | -6 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Dow Jones Industrial Average
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 23.81 | % | |||||
Technology | 16.14 | % | |||||
Financial | 16.13 | % | |||||
Industrial | 15.54 | % | |||||
Energy | 10.98 | % | |||||
Consumer, Cyclical | 8.31 | % | |||||
Communications | 7.37 | % | |||||
Basic Materials | 1.72 | % |
4
Short QQQ®
Short QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the NASDAQ-100 Index®. The NASDAQ-100 Index® represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market. The Short QQQ® ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -94 | % | |||||
Futures Contracts | -6 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Nasdaq-100
Index – Composition
% of Index | |||||||
Technology | 43.33 | % | |||||
Communications | 35.00 | % | |||||
Consumer, Non-cyclical | 11.98 | % | |||||
Consumer, Cyclical | 7.22 | % | |||||
Industrial | 2.05 | % | |||||
Basic Materials | 0.22 | % | |||||
Energy | 0.20 | % |
Short MidCap400
Short MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance. The Short MidCap400 ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -95 | % | |||||
Futures Contracts | -5 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
S&P MidCap400
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 17.35 | % | |||||
Financial | 17.01 | % | |||||
Consumer, Cyclical | 15.85 | % | |||||
Industrial | 15.39 | % | |||||
Energy | 9.28 | % | |||||
Technology | 9.25 | % | |||||
Utilities | 6.46 | % | |||||
Communications | 5.07 | % | |||||
Basic Materials | 3.83 | % | |||||
Diversified | 0.50 | % |
5
Allocation of Portfolio Holdings & Index Composition
November 30, 2006 (Unaudited) (continued)
UltraShort S&P500®
UltraShort S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P 500® Index. The S&P 500® Index is a measure of large-cap U.S. stock market performance. The UltraShort S&P500® ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -192 | % | |||||
Futures Contracts | -8 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
S&P 500
Index – Composition
% of Index | |||||||
Financial | 21.27 | % | |||||
Consumer, Non-cyclical | 19.92 | % | |||||
Communications | 11.68 | % | |||||
Technology | 11.12 | % | |||||
Industrial | 10.85 | % | |||||
Energy | 9.81 | % | |||||
Consumer, Cyclical | 9.04 | % | |||||
Utilities | 3.39 | % | |||||
Basic Materials | 2.93 | % |
UltraShort Dow30SM
UltraShort Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the DJIA. The Dow Jones Industrial Average ("DJIA") includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies. The UltraShort Dow30SM ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -193 | % | |||||
Futures Contracts | -7 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Dow Jones Industrial Average
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 23.81 | % | |||||
Technology | 16.14 | % | |||||
Financial | 16.13 | % | |||||
Industrial | 15.54 | % | |||||
Energy | 10.98 | % | |||||
Consumer, Cyclical | 8.31 | % | |||||
Communications | 7.37 | % | |||||
Basic Materials | 1.72 | % |
6
UltraShort QQQ®
UltraShort QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the NASDAQ-100 Index®. The NASDAQ-100 Index® represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market. The UltraShort QQQ® ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -192 | % | |||||
Futures Contracts | -8 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
Nasdaq-100
Index – Composition
% of Index | |||||||
Technology | 43.33 | % | |||||
Communications | 35.00 | % | |||||
Consumer, Non-cyclical | 11.98 | % | |||||
Consumer, Cyclical | 7.22 | % | |||||
Industrial | 2.05 | % | |||||
Basic Materials | 0.22 | % | |||||
Energy | 0.20 | % |
UltraShort MidCap400
UltraShort MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance. The UltraShort MidCap400 ProShares primarily invests in non-equity securities, which currently includes; swap agreements and futures contracts.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 0 | % | |||||
Swap Agreements | -193 | % | |||||
Futures Contracts | -7 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" excludes any shortterm investments and cash equivalents.
S&P MidCap400
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 17.35 | % | |||||
Financial | 17.01 | % | |||||
Consumer, Cyclical | 15.85 | % | |||||
Industrial | 15.39 | % | |||||
Energy | 9.28 | % | |||||
Technology | 9.25 | % | |||||
Utilities | 6.46 | % | |||||
Communications | 5.07 | % | |||||
Basic Materials | 3.83 | % | |||||
Diversified | 0.50 | % |
7
ProShares Trust
Expense Examples (Unaudited)
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in exchange-traded funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at Fund inception and held through the period ended, November 30, 2006.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of the six-month period and held through the period ended, November 30, 2006. For Funds that have been in operation for less than six months, the "Hypothetical Expenses Paid During the Period" reflect projected activity for the full six month period for the purposes of comparability. This projection assumes that the annualized expense ratio for each Fund was in effect during the period from June 1, 2006 to November 30, 2006.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation or redemption fees, or brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value 11/30/06 | Expenses Paid During the Period | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra S&P 500®* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,256.30 | $ | 4.82 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra QQQ®* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,288.90 | $ | 4.89 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Dow30SM* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,233.00 | $ | 4.77 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
8
ProShares Trust
Expense Examples (Unaudited)
Beginning Account Value | Ending Account Value 11/30/06 | Expenses Paid During the Period | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra MidCap400* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,200.00 | $ | 4.70 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short S&P 500®* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 912.10 | $ | 4.08 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short QQQ®* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 889.30 | $ | 4.03 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short Dow30SM* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 919.90 | $ | 4.10 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short MidCap400* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 924.10 | $ | 4.11 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort S&P 500®** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 852.60 | $ | 3.42 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort QQQ®** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 749.30 | $ | 3.23 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Dow30SM** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 852.10 | $ | 3.42 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort MidCap400** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 890.60 | $ | 3.49 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
* The Fund commenced operations on June 19, 2006. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 164 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one half year period).
** The Fund commenced operations on July 11, 2006. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 142 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one half year period).
9
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra S&P500®
Shares | Value | ||||||||||
Common Stocks (a) — 85.9% | |||||||||||
Consumer Discretionary — 8.9% | |||||||||||
3,379 | Amazon.Com, Inc.* | $ | 136,309 | ||||||||
1,505 | Apollo Group, Inc., Class A* | 58,379 | |||||||||
1,649 | Autonation, Inc.* | 33,986 | |||||||||
567 | Autozone, Inc.* | 64,417 | |||||||||
3,035 | Bed Bath & Beyond, Inc.* | 117,606 | |||||||||
4,373 | Best Buy Co., Inc. | 240,384 | |||||||||
1,171 | Big Lots, Inc.* | 26,125 | |||||||||
732 | Black & Decker Corp. | 62,864 | |||||||||
997 | Brunswick Corp. | 32,273 | |||||||||
4,786 | Carnival Corp. | 234,466 | |||||||||
8,396 | CBS Corp., Class B | 249,781 | |||||||||
1,275 | Centex Corp. | 70,558 | |||||||||
1,516 | Circuit City Stores, Inc. | 37,839 | |||||||||
5,338 | Clear Channel Communications, Inc. | 187,684 | |||||||||
3,935 | Coach, Inc.* | 170,031 | |||||||||
22,508 | Comcast Corp., Class A* | 910,674 | |||||||||
2,930 | D.R. Horton, Inc. | 78,055 | |||||||||
1,571 | Darden Restaurants, Inc. | 63,076 | |||||||||
650 | Dillards, Inc., Class A | 23,120 | |||||||||
3,355 | Dollar General Corp. | 52,137 | |||||||||
699 | Dow Jones & Co., Inc. | 25,227 | |||||||||
896 | E.W. Scripps Co., Class A | 43,779 | |||||||||
3,089 | Eastman Kodak Co. | 80,376 | |||||||||
1,631 | Family Dollar Stores, Inc. | 45,489 | |||||||||
5,846 | Federated Department Stores, Inc. | 246,058 | |||||||||
20,230 | Ford Motor Co. | 164,470 | |||||||||
1,622 | Fortune Brands, Inc. | 131,220 | |||||||||
2,542 | Gannett Co., Inc. | 151,300 | |||||||||
5,792 | Gap, Inc. (The) | 108,426 | |||||||||
6,083 | General Motors Corp. | 177,806 | |||||||||
1,842 | Genuine Parts Co. | 86,371 | |||||||||
1,907 | Goodyear Tire & Rubber Co. (The) * | 32,133 | |||||||||
3,460 | H&R Block, Inc. | 83,040 | |||||||||
2,820 | Harley-Davidson, Inc. | 208,031 | |||||||||
701 | Harman International Industries, Inc. | 72,792 | |||||||||
1,998 | Harrah's Entertainment, Inc. | 157,243 | |||||||||
1,759 | Hasbro, Inc. | 47,053 | |||||||||
4,149 | Hilton Hotels Corp. | 136,212 | |||||||||
22,199 | Home Depot, Inc. | 842,896 | |||||||||
2,399 | IAC/InterActiveCorp* | 87,539 | |||||||||
3,650 | International Game Technology | 159,797 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,741 | Interpublic Group of Cos., Inc.* | $ | 56,750 | ||||||||
2,411 | J.C. Penney Co., Inc. | 186,467 | |||||||||
2,103 | Johnson Controls, Inc. | 171,037 | |||||||||
1,213 | Jones Apparel Group, Inc. | 40,757 | |||||||||
845 | KB Home | 43,678 | |||||||||
3,521 | Kohl's Corp.* | 245,062 | |||||||||
1,943 | Leggett & Platt, Inc. | 46,205 | |||||||||
1,489 | Lennar Corp., Class A | 78,172 | |||||||||
3,653 | Limited Brands, Inc. | 115,764 | |||||||||
1,110 | Liz Claiborne, Inc. | 47,452 | |||||||||
16,433 | Lowe's Cos., Inc. | 495,619 | |||||||||
3,695 | Marriott International, Inc., Class A | 166,829 | |||||||||
4,065 | Mattel, Inc. | 89,227 | |||||||||
13,189 | McDonald's Corp. | 553,542 | |||||||||
3,785 | McGraw-Hill Cos., Inc. (The) | 252,270 | |||||||||
419 | Meredith Corp. | 22,668 | |||||||||
1,554 | New York Times Co., Class A | 37,514 | |||||||||
2,978 | Newell Rubbermaid, Inc. | 84,843 | |||||||||
25,131 | News Corp., Class A | 517,699 | |||||||||
2,060 | Nike, Inc., Class B | 203,837 | |||||||||
2,456 | Nordstrom, Inc. | 120,393 | |||||||||
3,047 | Office Depot, Inc.* | 115,359 | |||||||||
798 | OfficeMax, Inc. | 37,562 | |||||||||
1,848 | Omnicom Group, Inc. | 188,792 | |||||||||
2,277 | Pulte Homes, Inc. | 76,826 | |||||||||
1,460 | RadioShack Corp. | 25,594 | |||||||||
895 | Sears Holdings Corp.* | 153,421 | |||||||||
1,212 | Sherwin-Williams Co. (The) | 75,811 | |||||||||
624 | Snap-On, Inc. | 29,640 | |||||||||
870 | Stanley Works (The) | 44,387 | |||||||||
7,813 | Staples, Inc. | 198,997 | |||||||||
8,131 | Starbucks Corp.* | 286,943 | |||||||||
2,343 | Starwood Hotels & Resorts Worldwide, Inc. | 150,350 | |||||||||
9,235 | Target Corp. | 536,461 | |||||||||
1,486 | Tiffany & Co. | 57,107 | |||||||||
43,740 | Time Warner, Inc. | 880,924 | |||||||||
4,834 | TJX Cos., Inc. | 132,548 | |||||||||
2,050 | Tribune Co. | 65,190 | |||||||||
2,698 | Univision Communications, Inc., Class A* | 96,022 | |||||||||
954 | V.F. Corp. | 74,784 | |||||||||
7,630 | Viacom, Inc., Class B* | 286,201 |
See accompanying notes to the financial statements.
10
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
22,479 | Walt Disney Co. | $ | 742,931 | ||||||||
1,024 | Wendy's International, Inc. | 33,352 | |||||||||
841 | Whirlpool Corp. | 71,737 | |||||||||
2,155 | Wyndham Worldwide Corp.* | 68,400 | |||||||||
2,912 | Yum! Brands, Inc. | 178,185 | |||||||||
14,120,331 | |||||||||||
Consumer Staples — 7.9% | |||||||||||
22,515 | Altria Group, Inc. | 1,895,988 | |||||||||
8,267 | Anheuser-Busch Cos., Inc. | 392,765 | |||||||||
7,052 | Archer-Daniels-Midland Co. | 247,525 | |||||||||
4,815 | Avon Products, Inc. | 157,162 | |||||||||
845 | Brown-Forman Corp., Class B | 58,685 | |||||||||
2,480 | Campbell Soup Co. | 94,414 | |||||||||
1,626 | Clorox Co. | 104,064 | |||||||||
21,918 | Coca-Cola Co. (The) | 1,026,420 | |||||||||
2,964 | Coca-Cola Enterprises, Inc. | 60,614 | |||||||||
5,554 | Colgate-Palmolive Co. | 361,288 | |||||||||
5,494 | ConAgra Foods, Inc. | 141,196 | |||||||||
2,268 | Constellation Brands, Inc., Class A* | 63,459 | |||||||||
5,033 | Costco Wholesale Corp. | 263,025 | |||||||||
8,834 | CVS Corp. | 254,154 | |||||||||
1,436 | Dean Foods Co.* | 61,490 | |||||||||
1,389 | Estee Lauder Cos., Inc. (The) | 57,352 | |||||||||
3,794 | General Mills, Inc. | 212,274 | |||||||||
3,565 | H.J. Heinz Co. | 158,464 | |||||||||
1,889 | Hershey Co. (The) | 100,060 | |||||||||
2,688 | Kellogg Co. | 133,809 | |||||||||
4,928 | Kimberly-Clark Corp. | 327,564 | |||||||||
7,771 | Kroger Co. (The) | 166,766 | |||||||||
1,418 | McCormick & Co., Inc. (Non-Voting) | 54,905 | |||||||||
491 | Molson Coors Brewing Co., Class B | 34,900 | |||||||||
1,461 | Pepsi Bottling Group, Inc. | 45,759 | |||||||||
17,731 | PepsiCo, Inc. | 1,098,790 | |||||||||
34,148 | Procter & Gamble Co. | 2,144,153 | |||||||||
1,844 | Reynolds American, Inc. | 118,459 | |||||||||
4,782 | Safeway, Inc. | 147,333 | |||||||||
8,175 | Sara Lee Corp. | 135,541 | |||||||||
2,276 | Supervalu, Inc. | 77,976 | |||||||||
6,652 | Sysco Corp. | 238,474 | |||||||||
2,710 | Tyson Foods, Inc., Class A | 43,062 | |||||||||
1,730 | UST, Inc. | 96,845 | |||||||||
26,454 | Wal-Mart Stores, Inc. | 1,219,529 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
10,841 | Walgreen Co. | $ | 438,952 | ||||||||
1,518 | Whole Foods Market, Inc. | 74,078 | |||||||||
2,358 | WM Wrigley Jr. Co. | 123,653 | |||||||||
12,430,947 | |||||||||||
Energy — 8.7% | |||||||||||
4,942 | Anadarko Petroleum Corp. | 243,937 | |||||||||
3,541 | Apache Corp. | 247,622 | |||||||||
3,538 | Baker Hughes, Inc. | 259,795 | |||||||||
3,217 | BJ Services Co. | 108,638 | |||||||||
4,070 | Chesapeake Energy Corp. | 138,502 | |||||||||
23,639 | Chevron Corp. | 1,709,572 | |||||||||
17,722 | ConocoPhillips | 1,192,691 | |||||||||
1,972 | Consol Energy, Inc. | 72,392 | |||||||||
4,743 | Devon Energy Corp. | 347,994 | |||||||||
7,485 | El Paso Corp. | 109,281 | |||||||||
2,609 | EOG Resources, Inc. | 184,013 | |||||||||
63,937 | Exxon Mobil Corp. | 4,911,001 | |||||||||
11,090 | Halliburton Co. | 374,177 | |||||||||
2,595 | Hess Corp. | 130,451 | |||||||||
1,152 | Kinder Morgan, Inc. | 120,902 | |||||||||
3,852 | Marathon Oil Corp. | 363,552 | |||||||||
2,009 | Murphy Oil Corp. | 109,049 | |||||||||
3,399 | Nabors Industries Ltd.* | 114,750 | |||||||||
1,886 | National Oilwell Varco, Inc.* | 125,438 | |||||||||
1,475 | Noble Corp. | 113,944 | |||||||||
9,266 | Occidental Petroleum Corp. | 466,450 | |||||||||
2,843 | Peabody Energy Corp. | 130,806 | |||||||||
1,187 | Rowan Cos., Inc. | 42,756 | |||||||||
12,734 | Schlumberger Ltd. | 872,024 | |||||||||
2,156 | Smith International, Inc. | 91,328 | |||||||||
1,324 | Sunoco, Inc. | 90,244 | |||||||||
3,145 | Transocean, Inc.* | 245,153 | |||||||||
6,591 | Valero Energy Corp. | 362,966 | |||||||||
3,721 | Weatherford International Ltd.* | 167,110 | |||||||||
6,408 | Williams Cos., Inc. | 177,886 | |||||||||
3,933 | XTO Energy, Inc. | 199,010 | |||||||||
13,823,434 | |||||||||||
Financials — 18.7% | |||||||||||
3,497 | ACE Ltd. | 198,769 | |||||||||
5,338 | Aflac, Inc. | 235,619 | |||||||||
6,770 | Allstate Corp. (The) | 429,760 |
See accompanying notes to the financial statements.
11
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra S&P500® (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,139 | AMBAC Financial Group, Inc. | $ | 97,544 | ||||||||
13,066 | American Express Co. | 767,235 | |||||||||
27,949 | American International Group, Inc. | 1,965,374 | |||||||||
2,622 | Ameriprise Financial, Inc. | 141,850 | |||||||||
3,382 | AON Corp. | 120,670 | |||||||||
1,047 | Apartment Investment & Management Co. (REIT) | 60,349 | |||||||||
2,304 | Archstone-Smith Trust (REIT) | 138,194 | |||||||||
48,675 | Bank of America Corp. | 2,621,149 | |||||||||
8,207 | Bank of New York Co., Inc. (The) | 291,677 | |||||||||
5,776 | BB&T Corp. | 248,426 | |||||||||
1,295 | Bear Stearns Cos., Inc. (The) | 197,462 | |||||||||
1,229 | Boston Properties, Inc. (REIT) | 143,854 | |||||||||
3,293 | Capital One Financial Corp. | 256,459 | |||||||||
1,972 | CB Richard Ellis Group, Inc., Class A* | 64,938 | |||||||||
11,122 | Charles Schwab Corp. (The) | 203,977 | |||||||||
383 | Chicago Mercantile Exchange Holdings, Inc., Class A | 205,135 | |||||||||
4,418 | Chubb Corp. | 228,676 | |||||||||
1,863 | Cincinnati Financial Corp. | 82,494 | |||||||||
2,138 | CIT Group, Inc. | 111,197 | |||||||||
53,172 | Citigroup, Inc. | 2,636,799 | |||||||||
1,745 | Comerica, Inc. | 101,646 | |||||||||
2,006 | Commerce Bancorp, Inc. | 69,729 | |||||||||
1,392 | Compass Bancshares, Inc. | 79,539 | |||||||||
6,582 | Countrywide Financial Corp. | 261,437 | |||||||||
4,594 | E*Trade Financial Corp.* | 110,578 | |||||||||
3,766 | Equity Office Properties Trust (REIT) | 181,521 | |||||||||
3,129 | Equity Residential (REIT) | 166,650 | |||||||||
10,410 | Fannie Mae | 593,682 | |||||||||
974 | Federated Investors, Inc., Class B | 32,317 | |||||||||
6,000 | Fifth Third Bancorp | 236,580 | |||||||||
1,333 | First Horizon National Corp. | 53,133 | |||||||||
1,793 | Franklin Resources, Inc. | 191,385 | |||||||||
7,432 | Freddie Mac | 499,133 | |||||||||
4,894 | Genworth Financial, Inc. | 160,523 | |||||||||
4,643 | Goldman Sachs Group, Inc. | 904,456 | |||||||||
3,272 | Hartford Financial Services Group, Inc. | 280,607 | |||||||||
2,555 | Huntington Bancshares, Inc. | 62,112 | |||||||||
2,223 | Janus Capital Group, Inc. | 45,038 | |||||||||
37,335 | JPMorgan Chase & Co. | 1,727,864 | |||||||||
4,337 | Keycorp | 156,566 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,329 | Kimco Realty Corp. (REIT) | $ | 108,019 | ||||||||
1,410 | Legg Mason, Inc. | 134,458 | |||||||||
5,778 | Lehman Brothers Holdings, Inc. | 425,665 | |||||||||
3,088 | Lincoln National Corp. | 196,366 | |||||||||
4,916 | Loews Corp. | 196,247 | |||||||||
836 | M&T Bank Corp. | 99,183 | |||||||||
5,919 | Marsh & McLennan Cos., Inc. | 185,975 | |||||||||
2,735 | Marshall & Ilsley Corp. | 125,236 | |||||||||
1,449 | MBIA, Inc. | 100,923 | |||||||||
4,425 | Mellon Financial Corp. | 178,018 | |||||||||
9,534 | Merrill Lynch & Co., Inc. | 833,558 | |||||||||
8,167 | Metlife, Inc. | 479,648 | |||||||||
908 | MGIC Investment Corp. | 52,628 | |||||||||
2,547 | Moody's Corp. | 176,966 | |||||||||
11,529 | Morgan Stanley | 878,049 | |||||||||
6,505 | National City Corp. | 234,830 | |||||||||
5,011 | North Fork Bancorporation, Inc. | 140,659 | |||||||||
2,016 | Northern Trust Corp. | 114,831 | |||||||||
1,927 | Plum Creek Timber Co., Inc. (REIT) | 71,800 | |||||||||
3,167 | PNC Financial Services Group, Inc. | 223,875 | |||||||||
2,896 | Principal Financial Group, Inc. | 167,244 | |||||||||
8,305 | Progressive Corp. (The) | 187,278 | |||||||||
2,636 | Prologis (REIT) | 171,788 | |||||||||
5,216 | Prudential Financial, Inc. | 425,000 | |||||||||
1,304 | Public Storage, Inc. (REIT) | 125,549 | |||||||||
2,296 | Realogy Corp.* | 59,903 | |||||||||
7,827 | Regions Financial Corp. | 286,859 | |||||||||
1,142 | Safeco Corp. | 69,171 | |||||||||
2,379 | Simon Property Group, Inc. (REIT) | 242,610 | |||||||||
4,410 | SLM Corp. | 202,154 | |||||||||
3,857 | Sovereign Bancorp, Inc. | 96,348 | |||||||||
7,431 | St. Paul Travelers Cos., Inc. (The) | 385,000 | |||||||||
3,561 | State Street Corp. | 221,245 | |||||||||
3,923 | SunTrust Banks, Inc. | 320,313 | |||||||||
3,485 | Synovus Financial Corp. | 104,620 | |||||||||
2,814 | T. Rowe Price Group, Inc. | 121,931 | |||||||||
1,064 | Torchmark Corp. | 67,266 | |||||||||
19,113 | US Bancorp | 642,961 | |||||||||
3,684 | UnumProvident Corp. | 75,448 | |||||||||
1,311 | Vornado Realty Trust (REIT) | 165,330 | |||||||||
20,588 | Wachovia Corp. | 1,115,664 | |||||||||
10,362 | Washington Mutual, Inc. | 452,612 | |||||||||
36,214 | Wells Fargo & Co. | 1,276,181 |
See accompanying notes to the financial statements.
12
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,939 | XL Capital Ltd., Class A | $ | 137,902 | ||||||||
1,147 | Zions Bancorporation | 89,741 | |||||||||
29,529,155 | |||||||||||
Health Care — 10.3% | |||||||||||
16,431 | Abbott Laboratories | 766,670 | |||||||||
5,890 | Aetna, Inc. | 243,316 | |||||||||
1,622 | Allergan, Inc. | 189,093 | |||||||||
2,168 | AmerisourceBergen Corp. | 99,706 | |||||||||
12,589 | Amgen, Inc.* | 893,819 | |||||||||
1,960 | Applera Corp.- Applied Biosystems Group | 71,422 | |||||||||
1,143 | Barr Pharmaceuticals, Inc.* | 58,384 | |||||||||
578 | Bausch & Lomb, Inc. | 27,987 | |||||||||
7,016 | Baxter International, Inc. | 313,896 | |||||||||
2,632 | Becton Dickinson & Co. | 188,767 | |||||||||
3,695 | Biogen Idec, Inc.* | 193,101 | |||||||||
2,633 | Biomet, Inc. | 99,554 | |||||||||
12,669 | Boston Scientific Corp.* | 200,424 | |||||||||
21,150 | Bristol-Myers Squibb Co. | 525,155 | |||||||||
1,113 | C.R. Bard, Inc. | 91,589 | |||||||||
4,361 | Cardinal Health, Inc. | 281,808 | |||||||||
4,591 | Caremark Rx, Inc. | 217,154 | |||||||||
3,987 | Celgene Corp.* | 222,196 | |||||||||
1,103 | Cigna Corp. | 139,033 | |||||||||
1,709 | Coventry Health Care, Inc.* | 82,254 | |||||||||
10,577 | Eli Lilly & Co. | 566,821 | |||||||||
1,481 | Express Scripts, Inc.* | 101,004 | |||||||||
3,420 | Forest Laboratories, Inc.* | 166,554 | |||||||||
2,811 | Genzyme Corp.* | 181,028 | |||||||||
4,913 | Gilead Sciences, Inc.* | 323,865 | |||||||||
2,584 | Health Management Associates, Inc., Class A | 52,972 | |||||||||
1,689 | Hospira, Inc.* | 55,399 | |||||||||
1,775 | Humana, Inc.* | 96,028 | |||||||||
2,167 | IMS Health, Inc. | 59,528 | |||||||||
31,458 | Johnson & Johnson | 2,073,397 | |||||||||
2,614 | King Pharmaceuticals, Inc.* | 43,209 | |||||||||
1,347 | Laboratory Corp. of America Holdings* | 95,368 | |||||||||
792 | Manor Care, Inc. | 37,636 | |||||||||
3,219 | McKesson Corp. | 159,019 | |||||||||
3,161 | Medco Health Solutions, Inc.* | 158,714 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,575 | Medimmune, Inc.* | $ | 84,177 | ||||||||
12,361 | Medtronic, Inc. | 644,379 | |||||||||
23,404 | Merck & Co., Inc. | 1,041,712 | |||||||||
573 | Millipore Corp.* | 39,199 | |||||||||
2,267 | Mylan Laboratories, Inc. | 45,997 | |||||||||
1,494 | Patterson Cos., Inc.* | 55,442 | |||||||||
1,351 | PerkinElmer, Inc. | 29,276 | |||||||||
78,419 | Pfizer, Inc. | 2,155,738 | |||||||||
1,739 | Quest Diagnostics, Inc. | 92,463 | |||||||||
15,931 | Schering-Plough Corp. | 350,641 | |||||||||
3,793 | St. Jude Medical, Inc.* | 141,365 | |||||||||
3,192 | Stryker Corp. | 165,537 | |||||||||
5,069 | Tenet Healthcare Corp.* | 35,939 | |||||||||
4,371 | Thermo Fisher Scientific, Inc.* | 191,581 | |||||||||
14,487 | UnitedHealth Group, Inc. | 711,022 | |||||||||
1,102 | Waters Corp.* | 55,144 | |||||||||
1,099 | Watson Pharmaceuticals, Inc.* | 28,211 | |||||||||
6,666 | WellPoint, Inc.* | 504,416 | |||||||||
14,472 | Wyeth | 698,708 | |||||||||
2,611 | Zimmer Holdings, Inc.* | 190,499 | |||||||||
16,337,316 | |||||||||||
Industrials — 9.3% | |||||||||||
8,101 | 3M Co. | 659,907 | |||||||||
2,728 | Allied Waste Industries, Inc.* | 34,591 | |||||||||
1,823 | American Power Conversion Corp. | 55,328 | |||||||||
1,877 | American Standard Cos., Inc. | 84,108 | |||||||||
1,015 | Avery Dennison Corp. | 68,482 | |||||||||
8,549 | Boeing Co. | 756,843 | |||||||||
3,893 | Burlington Northern Santa Fe Corp. | 292,598 | |||||||||
7,053 | Caterpillar, Inc. | 437,498 | |||||||||
1,469 | Cintas Corp. | 61,992 | |||||||||
984 | Cooper Industries Ltd., Class A | 89,977 | |||||||||
4,770 | CSX Corp. | 171,052 | |||||||||
565 | Cummins, Inc. | 67,755 | |||||||||
2,545 | Danaher Corp. | 186,090 | |||||||||
2,487 | Deere & Co. | 238,752 | |||||||||
2,189 | Dover Corp. | 110,107 | |||||||||
1,613 | Eaton Corp. | 124,330 | |||||||||
4,385 | Emerson Electric Co. | 380,179 | |||||||||
1,362 | Equifax, Inc. | 51,742 | |||||||||
3,295 | FedEx Corp. | 380,342 | |||||||||
942 | Fluor Corp. | 82,029 |
See accompanying notes to the financial statements.
13
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra S&P500® (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,339 | General Dynamics Corp. | $ | 324,731 | ||||||||
111,027 | General Electric Co. | 3,917,033 | |||||||||
1,341 | Goodrich Corp. | 60,345 | |||||||||
8,808 | Honeywell International, Inc. | 378,568 | |||||||||
4,520 | Illinois Tool Works, Inc. | 213,344 | |||||||||
3,460 | Ingersoll-Rand Co., Ltd., Class A | 134,975 | |||||||||
1,986 | ITT Corp. | 107,145 | |||||||||
1,323 | L-3 Communications Holdings, Inc. | 108,817 | |||||||||
3,829 | Lockheed Martin Corp. | 346,333 | |||||||||
4,282 | Masco Corp. | 122,851 | |||||||||
1,381 | Monster Worldwide, Inc.* | 60,281 | |||||||||
664 | Navistar International Corp.* | 21,241 | |||||||||
4,451 | Norfolk Southern Corp. | 219,212 | |||||||||
3,705 | Northrop Grumman Corp. | 247,976 | |||||||||
2,681 | Paccar, Inc. | 175,069 | |||||||||
1,343 | Pall Corp. | 42,157 | |||||||||
1,293 | Parker Hannifin Corp. | 107,940 | |||||||||
2,383 | Pitney Bowes, Inc. | 109,832 | |||||||||
2,326 | R.R. Donnelley & Sons Co. | 82,038 | |||||||||
4,826 | Raytheon Co. | 246,319 | |||||||||
1,842 | Robert Half International, Inc. | 71,083 | |||||||||
1,892 | Rockwell Automation, Inc. | 123,131 | |||||||||
1,843 | Rockwell Collins, Inc. | 111,188 | |||||||||
667 | Ryder System, Inc. | 34,797 | |||||||||
8,454 | Southwest Airlines Co. | 132,812 | |||||||||
1,358 | Textron, Inc. | 132,337 | |||||||||
21,668 | Tyco International Ltd. | 656,324 | |||||||||
2,897 | Union Pacific Corp. | 262,236 | |||||||||
11,626 | United Parcel Service, Inc., Class B | 905,898 | |||||||||
10,878 | United Technologies Corp. | 701,957 | |||||||||
810 | WW Grainger, Inc. | 58,612 | |||||||||
5,813 | Waste Management, Inc. | 212,814 | |||||||||
14,763,098 | |||||||||||
Information Technology — 13.5% | |||||||||||
1,261 | ADC Telecommunications, Inc.* | 17,389 | |||||||||
6,229 | Adobe Systems, Inc.* | 249,970 | |||||||||
5,834 | Advanced Micro Devices, Inc.* | 125,839 | |||||||||
1,275 | Affiliated Computer Services, Inc., Class A* | 64,451 | |||||||||
4,395 | Agilent Technologies, Inc.* | 139,937 | |||||||||
3,864 | Altera Corp.* | 76,855 | |||||||||
3,795 | Analog Devices, Inc. | 123,413 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
9,147 | Apple Computer, Inc.* | $ | 838,597 | ||||||||
14,938 | Applied Materials, Inc. | 268,585 | |||||||||
2,492 | Autodesk, Inc.* | 102,621 | |||||||||
5,975 | Automatic Data Processing, Inc. | 288,174 | |||||||||
4,915 | Avaya, Inc.* | 62,814 | |||||||||
2,204 | BMC Software, Inc.* | 71,762 | |||||||||
5,044 | Broadcom Corp., Class A* | 165,595 | |||||||||
4,417 | CA, Inc. | 95,849 | |||||||||
907 | Ciena Corp.* | 22,802 | |||||||||
65,655 | Cisco Systems, Inc.* | 1,764,806 | |||||||||
1,977 | Citrix Systems, Inc.* | 56,819 | |||||||||
1,515 | Cognizant Technology Solutions Corp., Class A* | 123,563 | |||||||||
1,847 | Computer Sciences Corp.* | 96,413 | |||||||||
3,788 | Compuware Corp.* | 31,781 | |||||||||
2,173 | Comverse Technology, Inc.* | 42,417 | |||||||||
1,493 | Convergys Corp.* | 36,011 | |||||||||
16,775 | Corning, Inc.* | 361,669 | |||||||||
24,431 | Dell, Inc.* | 665,500 | |||||||||
12,635 | eBay, Inc.* | 408,742 | |||||||||
3,298 | Electronic Arts, Inc.* | 184,193 | |||||||||
5,567 | Electronic Data Systems Corp. | 151,088 | |||||||||
24,720 | EMC Corp.* | 324,079 | |||||||||
1,750 | Fidelity National Information Services, Inc. | 69,825 | |||||||||
8,229 | First Data Corp. | 207,782 | |||||||||
1,874 | Fiserv, Inc.* | 95,780 | |||||||||
4,363 | Freescale Semiconductor, Inc., Class B* | 174,215 | |||||||||
2,291 | Google, Inc., Class A* | 1,110,952 | |||||||||
29,457 | Hewlett-Packard Co. | 1,162,373 | |||||||||
62,034 | Intel Corp. | 1,324,426 | |||||||||
16,367 | International Business Machines Corp. | 1,504,455 | |||||||||
3,675 | Intuit, Inc.* | 115,689 | |||||||||
1,986 | Jabil Circuit, Inc. | 56,323 | |||||||||
2,263 | JDS Uniphase Corp.* | 41,812 | |||||||||
6,085 | Juniper Networks, Inc.* | 129,550 | |||||||||
2,141 | Kla-Tencor Corp. | 110,626 | |||||||||
1,079 | Lexmark International, Inc., Class A* | 74,429 | |||||||||
3,240 | Linear Technology Corp. | 104,134 | |||||||||
4,298 | LSI Logic Corp.* | 45,817 | |||||||||
48,194 | Lucent Technologies, Inc.* | 122,895 | |||||||||
3,449 | Maxim Integrated Products, Inc. | 108,575 |
See accompanying notes to the financial statements.
14
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,850 | Micron Technology, Inc.* | $ | 114,610 | ||||||||
92,892 | Microsoft Corp. | 2,724,522 | |||||||||
1,521 | Molex, Inc. | 48,672 | |||||||||
26,350 | Motorola, Inc. | 584,180 | |||||||||
3,201 | National Semiconductor Corp. | 77,432 | |||||||||
1,938 | NCR Corp.* | 83,160 | |||||||||
4,005 | Network Appliance, Inc.* | 157,036 | |||||||||
3,646 | Novell, Inc.* | 22,897 | |||||||||
1,325 | Novellus Systems, Inc.* | 41,367 | |||||||||
3,791 | Nvidia Corp.* | 140,229 | |||||||||
43,380 | Oracle Corp.* | 825,521 | |||||||||
1,201 | Parametric Technology Corp.* | 23,251 | |||||||||
3,641 | Paychex, Inc. | 143,492 | |||||||||
2,248 | PMC-Sierra, Inc.* | 17,107 | |||||||||
1,714 | QLogic Corp.* | 38,137 | |||||||||
17,766 | Qualcomm, Inc. | 650,058 | |||||||||
1,417 | Sabre Holdings Corp., Class A | 38,868 | |||||||||
2,420 | SanDisk Corp.* | 107,448 | |||||||||
5,731 | Sanmina-SCI Corp.* | 21,205 | |||||||||
9,836 | Solectron Corp.* | 32,754 | |||||||||
37,742 | Sun Microsystems, Inc.* | 204,562 | |||||||||
10,639 | Symantec Corp.* | 225,547 | |||||||||
2,731 | Symbol Technologies, Inc. | 40,473 | |||||||||
900 | Tektronix, Inc. | 27,504 | |||||||||
4,815 | Tellabs, Inc.* | 48,343 | |||||||||
2,119 | Teradyne, Inc.* | 31,573 | |||||||||
16,483 | Texas Instruments, Inc. | 487,073 | |||||||||
3,697 | Unisys Corp.* | 26,655 | |||||||||
2,636 | VeriSign, Inc.* | 68,826 | |||||||||
8,229 | Western Union Co. (The)* | 187,621 | |||||||||
10,521 | Xerox Corp.* | 173,597 | |||||||||
3,655 | Xilinx, Inc. | 97,954 | |||||||||
13,369 | Yahoo!, Inc.* | 360,829 | |||||||||
21,393,895 | |||||||||||
Materials — 2.6% | |||||||||||
2,370 | Air Products & Chemicals, Inc. | 163,862 | |||||||||
9,323 | Alcoa, Inc. | 290,598 | |||||||||
1,082 | Allegheny Technologies, Inc.* | 97,001 | |||||||||
681 | Ashland, Inc. | 46,042 | |||||||||
1,121 | Ball Corp. | 47,934 | |||||||||
1,128 | Bemis Co. | 38,499 | |||||||||
10,318 | Dow Chemical Co. (The) | 412,823 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
885 | Eastman Chemical Co. | $ | 52,551 | ||||||||
1,921 | Ecolab, Inc. | 85,196 | |||||||||
9,914 | El Du Pont de Nemours & Co. | 465,264 | |||||||||
2,113 | Freeport-McMoRan Copper & Gold, Inc., Class B | 132,844 | |||||||||
1,219 | Hercules, Inc.* | 22,710 | |||||||||
848 | International Flavors & Fragrances, Inc. | 39,949 | |||||||||
4,889 | International Paper Co. | 161,826 | |||||||||
1,949 | MeadWestvaco Corp. | 57,495 | |||||||||
5,838 | Monsanto Co. | 280,633 | |||||||||
4,836 | Newmont Mining Corp. | 226,857 | |||||||||
3,316 | Nucor Corp. | 198,463 | |||||||||
1,484 | Pactiv Corp.* | 51,124 | |||||||||
2,194 | Phelps Dodge Corp. | 269,862 | |||||||||
1,776 | PPG Industries, Inc. | 114,197 | |||||||||
3,467 | Praxair, Inc. | 216,341 | |||||||||
1,544 | Rohm & Haas Co. | 80,628 | |||||||||
872 | Sealed Air Corp. | 51,893 | |||||||||
714 | Sigma-Aldrich Corp. | 54,342 | |||||||||
1,170 | Temple-Inland, Inc. | 45,747 | |||||||||
1,324 | United States Steel Corp. | 99,022 | |||||||||
1,038 | Vulcan Materials Co. | 92,091 | |||||||||
2,648 | Weyerhaeuser Co. | 171,273 | |||||||||
4,067,067 | |||||||||||
Telecommunication Services — 2.9% | |||||||||||
4,174 | Alltel Corp. | 236,833 | |||||||||
41,774 | AT&T, Inc. | 1,416,556 | |||||||||
19,529 | BellSouth Corp. | 870,798 | |||||||||
1,252 | CenturyTel, Inc. | 53,273 | |||||||||
3,451 | Citizens Communications Co. | 48,901 | |||||||||
1,604 | Embarq Corp. | 82,526 | |||||||||
17,212 | Qwest Communications International, Inc.* | 132,360 | |||||||||
32,129 | Sprint Nextel Corp. | 626,837 | |||||||||
31,175 | Verizon Communications, Inc. | 1,089,254 | |||||||||
5,099 | Windstream Corp. | 71,080 | |||||||||
4,628,418 | |||||||||||
Utilities — 3.1% | |||||||||||
7,114 | AES Corp. (The)* | 166,254 | |||||||||
1,770 | Allegheny Energy, Inc.* | 78,517 | |||||||||
2,214 | Ameren Corp. | 121,128 |
See accompanying notes to the financial statements.
15
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra S&P500® (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,237 | American Electric Power Co., Inc. | $ | 175,878 | ||||||||
3,353 | Centerpoint Energy, Inc. | 54,822 | |||||||||
2,383 | CMS Energy Corp.* | 38,628 | |||||||||
2,651 | Consolidated Edison, Inc. | 127,831 | |||||||||
1,932 | Constellation Energy Group, Inc. | 132,555 | |||||||||
3,795 | Dominion Resources, Inc. | 306,408 | |||||||||
1,912 | DTE Energy Co. | 90,036 | |||||||||
13,476 | Duke Energy Corp. | 427,459 | |||||||||
4,068 | Dynegy, Inc., Class A* | 27,622 | |||||||||
3,504 | Edison International | 161,114 | |||||||||
2,241 | Entergy Corp. | 204,648 | |||||||||
7,200 | Exelon Corp. | 437,256 | |||||||||
3,547 | FirstEnergy Corp. | 212,252 | |||||||||
4,349 | FPL Group, Inc. | 231,802 | |||||||||
1,882 | KeySpan Corp. | 77,218 | |||||||||
479 | Nicor, Inc. | 23,734 | |||||||||
2,934 | NiSource, Inc. | 72,352 | |||||||||
414 | Peoples Energy Corp. | 17,963 | |||||||||
3,743 | PG&E Corp. | 171,916 | |||||||||
1,070 | Pinnacle West Capital Corp. | 52,794 | |||||||||
4,097 | PPL Corp. | 148,926 | |||||||||
2,725 | Progress Energy, Inc. | 130,173 | |||||||||
2,707 | Public Service Enterprise Group, Inc. | 181,965 | |||||||||
922 | Questar Corp. | 79,523 | |||||||||
2,809 | Sempra Energy | 153,091 | |||||||||
7,983 | Southern Co. (The) | 289,384 | |||||||||
2,247 | TECO Energy, Inc. | 38,177 | |||||||||
4,962 | TXU Corp. | 284,769 | |||||||||
4,366 | Xcel Energy, Inc. | 100,243 | |||||||||
4,816,438 | |||||||||||
Total Common Stock (Cost $128,629,092) | 135,910,099 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 12.3% | |||||||||||
$ | 6,653,298 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $6,654,274 ** | 6,653,298 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 12,888,524 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $12,890,416 *** | $ | 12,888,524 | |||||||
Total Repurchase Agreements (Cost $19,541,822) | 19,541,822 | ||||||||||
Total Investments (Cost $148,170,914) — 98.2% | 155,451,921 | ||||||||||
Other assets less liabilities — 1.8% | 2,840,116 | ||||||||||
Net Assets — 100.0% | $ | 158,292,037 |
(a) A portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $6,786,364. The investment in the repurchase agreement is through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $13,146,318. The investment in the repurchase agreement is through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2006, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 7,808,892 | |||||
Aggregate gross unrealized depreciation | (614,380 | ) | |||||
Net unrealized appreciation | $ | 7,194,512 | |||||
Federal income tax cost of investments | $ | 148,257,409 |
See accompanying notes to the financial statements.
16
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 128 | December - 06 | $ | 8,977,600 | $ | 365,732 |
Cash collateral in the amount of $664,543 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Ultra S&P500® had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P 500 Index, expiring 12/27/06 | $ | 65,174,386 | $ | 896,523 | |||||||
Equity Index Swap Agreement based on the S&P 500 Index, expiring 12/27/06 | 104,465,852 | 1,356,488 | |||||||||
$ | 2,253,011 |
See accompanying notes to the financial statements.
17
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra QQQ®
Shares | Value | ||||||||||
Common Stocks (a) — 86.5% | |||||||||||
Consumer Discretionary — 14.4% | |||||||||||
44,899 | Amazon.Com, Inc.* | $ | 1,811,226 | ||||||||
28,237 | Apollo Group, Inc., Class A* | 1,095,313 | |||||||||
61,270 | Bed Bath & Beyond, Inc.* | 2,374,212 | |||||||||
154,468 | Comcast Corp., Class A* | 6,249,775 | |||||||||
38,440 | Discovery Holding Co., Class A* | 589,670 | |||||||||
34,403 | EchoStar Communications Corp., Class A* | 1,238,852 | |||||||||
53,123 | Expedia, Inc.* | 965,245 | |||||||||
32,495 | Garmin Ltd. | 1,653,671 | |||||||||
50,281 | IAC/InterActiveCorp* | 1,834,754 | |||||||||
13,349 | Lamar Advertising Co., Class A* | 805,612 | |||||||||
33,464 | Liberty Global, Inc. Class A* | 902,524 | |||||||||
100,110 | Liberty Media Corp., Interactive Class A* | 2,278,504 | |||||||||
57,230 | NTL, Inc. | 1,378,671 | |||||||||
22,380 | PetSmart, Inc. | 662,000 | |||||||||
22,736 | Ross Stores, Inc. | 704,589 | |||||||||
26,038 | Sears Holdings Corp.* | 4,463,434 | |||||||||
245,732 | Sirius Satellite Radio, Inc.* | 1,046,818 | |||||||||
78,797 | Staples, Inc. | 2,006,960 | |||||||||
169,794 | Starbucks Corp.* | 5,992,030 | |||||||||
27,983 | Urban Outfitters, Inc.* | 623,461 | |||||||||
17,770 | Wynn Resorts Ltd.* | 1,561,094 | |||||||||
49,538 | XM Satellite Radio Holdings, Inc., Class A* | 715,329 | |||||||||
40,953,744 | |||||||||||
Consumer Staples — 1.1% | |||||||||||
39,820 | Costco Wholesale Corp. | 2,080,993 | |||||||||
22,344 | Whole Foods Market, Inc. | 1,090,387 | |||||||||
3,171,380 | |||||||||||
Energy — 0.3% | |||||||||||
27,074 | Patterson-UTI Energy, Inc. | 750,220 | |||||||||
Health Care — 11.6% | |||||||||||
88,084 | Amgen, Inc.* | 6,253,964 | |||||||||
19,277 | Amylin Pharmaceuticals, Inc.* | 771,080 | |||||||||
60,302 | Biogen Idec, Inc.* | 3,151,383 | |||||||||
53,213 | Biomet, Inc. | 2,011,984 | |||||||||
56,181 | Celgene Corp.* | 3,130,967 | |||||||||
23,879 | Dentsply International, Inc. | 762,456 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
19,872 | Express Scripts, Inc.* | $ | 1,355,270 | ||||||||
52,914 | Genzyme Corp.* | 3,407,662 | |||||||||
72,639 | Gilead Sciences, Inc.* | 4,788,363 | |||||||||
5,934 | Intuitive Surgical, Inc.* | 603,013 | |||||||||
14,621 | Lincare Holdings, Inc.* | 550,773 | |||||||||
41,350 | Medimmune, Inc.* | 1,351,731 | |||||||||
21,536 | Patterson Cos., Inc.* | 799,201 | |||||||||
17,120 | Sepracor, Inc.* | 955,467 | |||||||||
99,451 | Teva Pharmaceutical Industries Ltd. (ADR) | 3,188,399 | |||||||||
33,081,713 | |||||||||||
Industrials — 3.7% | |||||||||||
30,898 | American Power Conversion Corp. | 937,754 | |||||||||
27,050 | CH Robinson Worldwide, Inc. | 1,190,200 | |||||||||
31,119 | Cintas Corp. | 1,313,222 | |||||||||
33,847 | Expeditors International Washington, Inc. | 1,531,238 | |||||||||
23,286 | Fastenal Co. | 838,063 | |||||||||
18,800 | Joy Global, Inc. | 825,320 | |||||||||
21,167 | Monster Worldwide, Inc.* | 923,940 | |||||||||
45,115 | Paccar, Inc. | 2,946,010 | |||||||||
10,505,747 | |||||||||||
Information Technology — 54.2% | |||||||||||
40,403 | Activision, Inc.* | 688,871 | |||||||||
91,642 | Adobe Systems, Inc.* | 3,677,593 | |||||||||
24,116 | Akamai Technologies, Inc.* | 1,178,549 | |||||||||
81,574 | Altera Corp.* | 1,622,507 | |||||||||
192,143 | Apple Computer, Inc.* | 17,615,670 | |||||||||
115,737 | Applied Materials, Inc. | 2,080,951 | |||||||||
38,693 | Autodesk, Inc.* | 1,593,378 | |||||||||
58,665 | BEA Systems, Inc.* | 807,817 | |||||||||
69,063 | Broadcom Corp., Class A* | 2,267,338 | |||||||||
47,466 | Cadence Design Systems, Inc.* | 872,425 | |||||||||
13,077 | CDW Corp. | 921,929 | |||||||||
38,023 | Check Point Software Technologies* | 870,727 | |||||||||
14,050 | Checkfree Corp.* | 587,431 | |||||||||
352,239 | Cisco Systems, Inc.* | 9,468,184 | |||||||||
35,289 | Citrix Systems, Inc.* | 1,014,206 | |||||||||
22,145 | Cognizant Technology Solutions Corp., Class A* | 1,806,146 | |||||||||
33,883 | Comverse Technology, Inc.* | 661,396 | |||||||||
134,968 | Dell, Inc.* | 3,676,528 |
See accompanying notes to the financial statements.
18
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
170,504 | eBay, Inc.* | $ | 5,515,804 | ||||||||
49,897 | Electronic Arts, Inc.* | 2,786,747 | |||||||||
35,173 | Fiserv, Inc.* | 1,797,692 | |||||||||
101,442 | Flextronics International Ltd.* | 1,141,223 | |||||||||
21,550 | Google, Inc., Class A* | 10,450,026 | |||||||||
326,189 | Intel Corp. | 6,964,135 | |||||||||
69,943 | Intuit, Inc.* | 2,201,806 | |||||||||
39,113 | JDS Uniphase Corp. | 722,808 | |||||||||
60,039 | Juniper Networks, Inc.* | 1,278,230 | |||||||||
38,910 | Kla-Tencor Corp. | 2,010,480 | |||||||||
23,676 | Lam Research Corp.* | 1,245,358 | |||||||||
65,521 | Linear Technology Corp. | 2,105,845 | |||||||||
90,175 | Marvell Technology Group Ltd.* | 1,861,212 | |||||||||
72,577 | Maxim Integrated Products, Inc. | 2,284,724 | |||||||||
28,881 | Microchip Technology, Inc. | 985,131 | |||||||||
554,151 | Microsoft Corp. | 16,253,249 | |||||||||
62,783 | Network Appliance, Inc.* | 2,461,721 | |||||||||
55,927 | Nvidia Corp.* | 2,068,740 | |||||||||
353,151 | Oracle Corp.* | 6,720,464 | |||||||||
58,312 | Paychex, Inc. | 2,298,076 | |||||||||
321,732 | Qualcomm, Inc. | 11,772,174 | |||||||||
30,302 | Red Hat, Inc.* | 527,255 | |||||||||
30,133 | Research In Motion Ltd.* | 4,183,364 | |||||||||
29,135 | SanDisk Corp.* | 1,293,594 | |||||||||
246,237 | Sun Microsystems, Inc.* | 1,334,605 | |||||||||
167,035 | Symantec Corp.* | 3,541,142 | |||||||||
16,852 | Telefonaktiebolaget LM Ericsson (ADR) | 655,037 | |||||||||
41,228 | Tellabs, Inc.* | 413,929 | |||||||||
36,992 | VeriSign, Inc.* | 965,861 | |||||||||
72,819 | Xilinx, Inc. | 1,951,549 | |||||||||
107,226 | Yahoo!, Inc.* | 2,894,030 | |||||||||
154,097,657 | |||||||||||
Materials — 0.3% | |||||||||||
10,269 | Sigma-Aldrich Corp. | 781,574 | |||||||||
Telecommunication Services — 0.9% | |||||||||||
15,684 | Millicom International Cellular S.A.* | 898,066 | |||||||||
24,231 | NII Holdings, Inc.* | 1,573,319 | |||||||||
2,471,385 | |||||||||||
Total Common Stock (Cost $224,065,263) | 245,813,420 |
Principal Amount | Value | ||||||||||
Repurchase Agreements — 11.9% | |||||||||||
$ | 11,531,741 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $11,533,434 ** | $ | 11,531,741 | |||||||
22,338,868 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $22,342,146 *** | 22,338,868 | |||||||||
Total Repurchase Agreements (Cost $33,870,609) | 33,870,609 | ||||||||||
Total Investments (Cost $257,935,872) — 98.4% | 279,684,029 | ||||||||||
Other assets less liabilities — 1.6% | 4,505,772 | ||||||||||
Net Assets — 100.0% | $ | 284,189,801 |
(a) A portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $11,762,376. The investment in the repurchase agreement is through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $22,785,685. The investment in the repurchase agreement is through participation in a pooled account.
ADR American Depositary Receipt
As of November 30, 2006, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 23,108,588 | |||||
Aggregate gross unrealized depreciation | (1,530,820 | ) | |||||
Net unrealized appreciation | $ | 21,577,768 | |||||
Federal income tax cost of investments | $ | 258,106,261 |
See accompanying notes to the financial statements.
19
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra QQQ® (continued)
Futures Contracts Purchased
Ultra QQQ® had the following open long futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini Nasdaq-100 Index Futures Contracts | 414 | December - 06 | $ | 14,858,460 | $ | 1,138,387 |
Cash collateral in the amount of $1,934,507 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Ultra QQQ® had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Nasdaq-100 Index, expiring 12/27/06 | $ | 97,586,744 | $ | 845,407 | |||||||
Equity Index Swap Agreement based on the Nasdaq-100 Index, expiring 12/27/06 | 201,284,802 | 1,750,068 | |||||||||
Equity Index Swap Agreement based on the Nasdaq-100 Index, expiring 12/27/06 | 6,000,000 | (3,893 | ) | ||||||||
$ | 2,591,582 |
See accompanying notes to the financial statements.
20
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra Dow30SM
Shares | Value | ||||||||||
Common Stocks (a) — 87.4% | |||||||||||
Consumer Discretionary — 8.2% | |||||||||||
40,801 | General Motors Corp. | $ | 1,192,613 | ||||||||
40,801 | Home Depot, Inc. | 1,549,214 | |||||||||
40,801 | McDonald's Corp. | 1,712,418 | |||||||||
40,801 | Walt Disney Co. | 1,348,473 | |||||||||
5,802,718 | |||||||||||
Consumer Staples — 13.7% | |||||||||||
40,801 | Altria Group, Inc. | 3,435,852 | |||||||||
40,801 | Coca-Cola Co. (The) | 1,910,711 | |||||||||
40,801 | Procter & Gamble Co. | 2,561,895 | |||||||||
40,801 | Wal-Mart Stores, Inc. | 1,880,926 | |||||||||
9,789,384 | |||||||||||
Energy — 4.4% | |||||||||||
40,801 | Exxon Mobil Corp. | 3,133,925 | |||||||||
Financials — 12.9% | |||||||||||
40,801 | American Express Co. | 2,395,835 | |||||||||
40,801 | American International Group, Inc. | 2,869,126 | |||||||||
40,801 | Citigroup, Inc. | 2,023,322 | |||||||||
40,801 | JPMorgan Chase & Co. | 1,888,270 | |||||||||
9,176,553 | |||||||||||
Health Care — 7.9% | |||||||||||
40,801 | Johnson & Johnson | 2,689,194 | |||||||||
40,801 | Merck & Co., Inc. | 1,816,053 | |||||||||
40,801 | Pfizer, Inc. | 1,121,619 | |||||||||
5,626,866 | |||||||||||
Industrials — 21.5% | |||||||||||
40,801 | 3M Co. | 3,323,649 | |||||||||
40,801 | Boeing Co. | 3,612,112 | |||||||||
40,801 | Caterpillar, Inc. | 2,530,886 | |||||||||
40,801 | General Electric Co. | 1,439,459 | |||||||||
40,801 | Honeywell International, Inc. | 1,753,627 | |||||||||
40,801 | United Technologies Corp. | 2,632,889 | |||||||||
15,292,622 | |||||||||||
Information Technology — 10.4% | |||||||||||
40,801 | Hewlett-Packard Co. | 1,610,008 | |||||||||
40,801 | Intel Corp. | 871,101 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
40,801 | International Business Machines Corp. | $ | 3,750,428 | ||||||||
40,801 | Microsoft Corp. | 1,196,693 | |||||||||
7,428,230 | |||||||||||
Materials — 4.5% | |||||||||||
40,801 | Alcoa, Inc. | 1,271,767 | |||||||||
40,801 | El Du Pont de Nemours & Co. | 1,914,791 | |||||||||
3,186,558 | |||||||||||
Telecommunication Services — 3.9% | |||||||||||
40,801 | AT&T, Inc. | 1,383,562 | |||||||||
40,801 | Verizon Communications, Inc. | 1,425,587 | |||||||||
2,809,149 | |||||||||||
Total Common Stock (Cost $58,460,098) | 62,246,005 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 11.4% | |||||||||||
$ | 2,760,548 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $2,760,953 * | 2,760,548 | ||||||||
5,347,632 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $5,348,417 ** | 5,347,632 | |||||||||
Total Repurchase Agreements (Cost $8,108,180) | 8,108,180 | ||||||||||
Total Investments (Cost $66,568,278) — 98.8% | 70,354,185 | ||||||||||
Other assets less liabilities — 1.2% | 851,939 | ||||||||||
Net Assets — 100.0% | $ | 71,206,124 |
(a) A portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $2,815,759. The investment in the repurchase agreement is through participation in a pooled account.
See accompanying notes to the financial statements.
21
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra Dow30SM (continued)
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $5,454,594. The investment in the repurchase agreement is through participation in a pooled account.
As of November 30, 2006, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,798,496 | |||||
Aggregate gross unrealized depreciation | (337,665 | ) | |||||
Net unrealized appreciation | $ | 3,460,831 | |||||
Federal income tax cost of investments | $ | 66,893,354 |
Futures Contracts Purchased
Ultra Dow30SM had the following open long futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 61 | December - 06 | $ | 3,734,420 | $ | 168,867 |
Cash collateral in the amount of $185,744 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Ultra Dow30SM had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial Average Index, expiring 12/27/06 | $ | 15,768,228 | $ | 130,410 | |||||||
Equity Index Swap Agreement based on Dow Jones Industrial Average Index, expiring 12/27/06 | 60,079,004 | 479,565 | |||||||||
$ | 609,975 |
See accompanying notes to the financial statements.
22
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra MidCap400
Shares | Value | ||||||||||
Common Stocks (a)— 87.0% | |||||||||||
Consumer Discretionary — 13.3% | |||||||||||
2,050 | 99 Cents Only Stores* | $ | 22,653 | ||||||||
3,874 | Abercrombie & Fitch Co. | 261,263 | |||||||||
4,624 | Advance Auto Parts, Inc. | 164,614 | |||||||||
2,323 | Aeropostale, Inc.* | 70,248 | |||||||||
5,870 | American Eagle Outfitters | 265,207 | |||||||||
2,516 | American Greetings Corp., Class A | 59,906 | |||||||||
3,200 | AnnTaylor Stores Corp.* | 110,400 | |||||||||
3,274 | Applebee's International, Inc. | 74,484 | |||||||||
3,104 | ArvinMeritor, Inc. | 53,730 | |||||||||
505 | Bandag, Inc. | 22,311 | |||||||||
2,251 | Barnes & Noble, Inc. | 90,085 | |||||||||
1,724 | Beazer Homes USA, Inc. | 78,718 | |||||||||
3,863 | Belo Corp., Class A | 70,307 | |||||||||
1,103 | Blyth, Inc. | 28,038 | |||||||||
1,603 | Bob Evans Farms, Inc. | 54,454 | |||||||||
2,729 | Borders Group, Inc. | 62,494 | |||||||||
2,524 | BorgWarner, Inc. | 145,887 | |||||||||
1,861 | Boyd Gaming Corp. | 78,813 | |||||||||
3,638 | Brinker International, Inc. | 165,420 | |||||||||
2,764 | Callaway Golf Co. | 40,824 | |||||||||
4,165 | Career Education Corp.* | 105,166 | |||||||||
4,682 | Carmax, Inc.* | 216,028 | |||||||||
1,609 | Catalina Marketing Corp. | 39,372 | |||||||||
1,360 | CBRL Group, Inc. | 58,330 | |||||||||
5,394 | Charming Shoppes, Inc.* | 72,981 | |||||||||
3,479 | Cheesecake Factory (The)* | 96,368 | |||||||||
7,723 | Chico's FAS, Inc.* | 183,421 | |||||||||
4,187 | Claire's Stores, Inc. | 133,607 | |||||||||
2,643 | Coldwater Creek, Inc.* | 66,471 | |||||||||
3,789 | Corinthian Colleges, Inc.* | 48,878 | |||||||||
2,614 | DeVry, Inc.* | 68,539 | |||||||||
1,633 | Dick's Sporting Goods, Inc.* | 87,594 | |||||||||
4,486 | Dollar Tree Stores, Inc.* | 134,625 | |||||||||
1,224 | Entercom Communications Corp., Class A | 32,987 | |||||||||
6,843 | Foot Locker, Inc. | 156,705 | |||||||||
2,125 | Furniture Brands International, Inc. | 36,593 | |||||||||
3,307 | GameStop Corp., Class A* | 185,357 | |||||||||
6,458 | Gentex Corp. | 107,009 | |||||||||
4,179 | Hanesbrands, Inc.* | 101,926 | |||||||||
2,189 | Harte-Hanks, Inc. | 56,695 | |||||||||
1,603 | Hovnanian Enterprises, Inc., Class A* | 56,923 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,573 | International Speedway Corp., Class A | $ | 81,529 | ||||||||
1,452 | ITT Educational Services, Inc.* | 99,564 | |||||||||
1,936 | John Wiley & Sons, Inc., Class A | 77,014 | |||||||||
2,260 | Laureate Education, Inc.* | 117,452 | |||||||||
2,962 | Lear Corp. | 91,674 | |||||||||
2,018 | Lee Enterprises, Inc. | 58,320 | |||||||||
1,523 | MDC Holdings, Inc. | 87,009 | |||||||||
1,058 | Media General, Inc., Class A | 39,093 | |||||||||
1,450 | Modine Manufacturing Co. | 35,670 | |||||||||
2,353 | Mohawk Industries, Inc.* | 182,193 | |||||||||
4,988 | O'Reilly Automotive, Inc.* | 157,970 | |||||||||
3,274 | OSI Restaurant Partners, Inc. | 128,013 | |||||||||
3,050 | Pacific Sunwear Of California * | 60,024 | |||||||||
2,891 | Payless Shoesource, Inc.* | 90,170 | |||||||||
6,149 | PetSmart, Inc. | 181,887 | |||||||||
3,849 | Pier 1 Imports, Inc. | 25,596 | |||||||||
2,715 | Polo Ralph Lauren Corp. | 212,313 | |||||||||
4,239 | Reader's Digest Association, Inc. (The) | 71,003 | |||||||||
1,995 | Regis Corp. | 76,428 | |||||||||
3,068 | Rent-A-Center, Inc.* | 83,879 | |||||||||
6,207 | Ross Stores, Inc. | 192,355 | |||||||||
2,596 | Ruby Tuesday, Inc. | 70,066 | |||||||||
1,921 | Ryland Group, Inc. | 101,333 | |||||||||
6,025 | Saks, Inc. | 123,633 | |||||||||
1,123 | Scholastic Corp.* | 37,418 | |||||||||
2,932 | Scientific Games Corp. * | 85,175 | |||||||||
2,436 | Sotheby's | 75,735 | |||||||||
631 | Strayer Education, Inc. | 69,442 | |||||||||
1,571 | Thor Industries, Inc. | 71,103 | |||||||||
2,253 | Timberland Co., Class A* | 70,406 | |||||||||
5,536 | Toll Brothers, Inc.* | 178,259 | |||||||||
2,670 | Tupperware Brands Corp. | 56,684 | |||||||||
4,945 | Urban Outfitters, Inc.* | 110,175 | |||||||||
2,103 | Valassis Communications, Inc.* | 32,512 | |||||||||
249 | Washington Post Co. (The), Class B | 182,990 | |||||||||
3,084 | Westwood One, Inc. | 20,324 | |||||||||
4,991 | Williams-Sonoma, Inc. | 158,315 | |||||||||
7,558,157 | |||||||||||
Consumer Staples — 2.0% | |||||||||||
3,514 | Alberto-Culver Co. | 70,526 | |||||||||
2,855 | BJ's Wholesale Club, Inc.* | 92,216 |
See accompanying notes to the financial statements.
23
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra MidCap400 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,855 | Church & Dwight Co., Inc. | $ | 119,653 | ||||||||
2,524 | Energizer Holdings, Inc.* | 166,811 | |||||||||
2,677 | Hansen Natural Corp.* | 75,304 | |||||||||
3,217 | Hormel Foods Corp. | 121,860 | |||||||||
2,523 | JM Smucker Co. (The) | 121,306 | |||||||||
1,036 | Lancaster Colony Corp. | 44,279 | |||||||||
2,663 | PepsiAmericas, Inc. | 55,497 | |||||||||
1,567 | Ruddick Corp. | 43,688 | |||||||||
4,357 | Smithfield Foods, Inc.* | 114,938 | |||||||||
1,170 | Tootsie Roll Industries, Inc. | 37,966 | |||||||||
1,133 | Universal Corp. | 52,764 | |||||||||
1,116,808 | |||||||||||
Energy — 7.1% | |||||||||||
6,314 | Arch Coal, Inc. | 226,673 | |||||||||
4,908 | Cameron International Corp.* | 266,603 | |||||||||
5,246 | Denbury Resources, Inc.* | 153,970 | |||||||||
6,750 | ENSCO International, Inc. | 350,055 | |||||||||
3,014 | FMC Technologies, Inc.* | 180,870 | |||||||||
2,406 | Forest Oil Corp.* | 85,509 | |||||||||
5,742 | Grant Prideco, Inc.* | 251,614 | |||||||||
4,538 | Hanover Compressor Co.* | 89,626 | |||||||||
4,627 | Helmerich & Payne, Inc. | 122,939 | |||||||||
5,752 | Newfield Exploration Co.* | 286,277 | |||||||||
7,768 | Noble Energy, Inc. | 415,588 | |||||||||
1,304 | Overseas Shipholding Group | 75,058 | |||||||||
7,304 | Patterson-UTI Energy, Inc. | 202,394 | |||||||||
5,486 | Pioneer Natural Resources Co. | 238,915 | |||||||||
3,374 | Plains Exploration & Production Co.* | 158,848 | |||||||||
2,553 | Pogo Producing Co. | 135,105 | |||||||||
7,174 | Pride International, Inc.* | 231,648 | |||||||||
2,422 | Quicksilver Resources, Inc.* | 102,475 | |||||||||
7,397 | Southwestern Energy Co.* | 311,636 | |||||||||
2,566 | Tidewater, Inc. | 141,977 | |||||||||
4,027,780 | |||||||||||
Financials — 15.7% | |||||||||||
3,358 | A.G. Edwards, Inc. | 194,260 | |||||||||
3,888 | AMB Property Corp. (REIT) | 238,218 | |||||||||
2,040 | American Financial Group, Inc. | 106,508 | |||||||||
5,081 | AmeriCredit Corp.* | 119,149 | |||||||||
4,275 | Arthur J. Gallagher & Co. | 125,215 | |||||||||
5,815 | Associated Banc-Corp. | 193,291 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,803 | Astoria Financial Corp. | $ | 113,710 | ||||||||
2,222 | Bank of Hawaii Corp. | 114,722 | |||||||||
5,031 | Brown & Brown, Inc. | 145,899 | |||||||||
2,267 | Cathay General Bancorp | 77,894 | |||||||||
1,777 | City National Corp. | 120,516 | |||||||||
6,809 | Colonial BancGroup, Inc. (The) | 166,140 | |||||||||
2,444 | Cullen/Frost Bankers, Inc. | 133,198 | |||||||||
4,827 | Developers Diversified Realty Corp. (REIT) | 312,693 | |||||||||
5,588 | Eaton Vance Corp. | 178,257 | |||||||||
2,855 | Everest Re Group Ltd. | 280,961 | |||||||||
9,659 | Fidelity National Financial, Inc., Class A | 218,680 | |||||||||
4,251 | First American Corp. | 164,131 | |||||||||
4,862 | First Niagara Financial Group, Inc. | 69,867 | |||||||||
3,521 | FirstMerit Corp. | 83,448 | |||||||||
2,241 | Greater Bay Bancorp | 57,683 | |||||||||
2,241 | Hanover Insurance Group, Inc. (The) | 106,179 | |||||||||
4,891 | HCC Insurance Holdings, Inc. | 147,659 | |||||||||
2,411 | Highwoods Properties, Inc. (REIT) | 98,369 | |||||||||
1,891 | Horace Mann Educators Corp. | 38,236 | |||||||||
3,266 | Hospitality Properties Trust (REIT) | 163,920 | |||||||||
3,020 | IndyMac Bancorp, Inc. | 138,769 | |||||||||
2,906 | Investors Financial Services Corp. | 115,572 | |||||||||
4,441 | Jeffries Group, Inc. | 128,745 | |||||||||
7,135 | Leucadia National Corp. | 196,855 | |||||||||
3,960 | Liberty Property Trust (REIT) | 202,792 | |||||||||
2,892 | Longview Fibre Co. (REIT) | 60,211 | |||||||||
3,159 | Macherich Co. (The) (REIT) | 270,000 | |||||||||
2,744 | Mack-Cali Realty Corp. (REIT) | 149,932 | |||||||||
5,514 | Mercantile Bankshares Corp. | 251,493 | |||||||||
1,563 | Mercury General Corp. | 83,542 | |||||||||
4,610 | New Plan Excel Realty Trust (REIT) | 131,339 | |||||||||
11,421 | New York Community Bancorp, Inc. | 184,563 | |||||||||
3,459 | Nuveen Investments, Inc., Class A | 171,636 | |||||||||
2,702 | Ohio Casualty Corp. | 78,925 | |||||||||
10,118 | Old Republic International Corp. | 228,161 | |||||||||
3,805 | PMI Group, Inc. (The) | 164,795 | |||||||||
1,703 | Potlatch Corp. (REIT) | 70,998 | |||||||||
3,075 | Protective Life Corp. | 145,201 | |||||||||
3,594 | Radian Group, Inc. | 191,237 | |||||||||
3,983 | Raymond James Financial, Inc. | 125,504 | |||||||||
3,368 | Rayonier, Inc. (REIT) | 140,446 | |||||||||
3,024 | Regency Centers Corp. (REIT) | 238,835 |
See accompanying notes to the financial statements.
24
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,773 | SEI Investments Co. | $ | 161,361 | ||||||||
2,391 | Stancorp Financial Group, Inc. | 108,575 | |||||||||
1,519 | SVB Financial Group* | 72,122 | |||||||||
4,957 | TCF Financial Corp. | 129,477 | |||||||||
5,922 | United Dominion Realty Trust, Inc. (REIT) | 198,861 | |||||||||
1,798 | Unitrin, Inc. | 87,958 | |||||||||
7,407 | W.R. Berkley Corp. | 260,060 | |||||||||
3,727 | Waddell & Reed Financial, Inc. | 92,914 | |||||||||
3,838 | Washington Federal, Inc. | 89,195 | |||||||||
2,468 | Webster Financial Corp. | 117,896 | |||||||||
3,472 | Weingarten Realty Investors (REIT) | 165,684 | |||||||||
1,372 | Westamerica Bancorporation | 67,955 | |||||||||
3,020 | Wilmington Trust Corp. | 125,511 | |||||||||
8,915,923 | |||||||||||
Health Care — 9.4% | |||||||||||
2,609 | Advanced Medical Optics, Inc.* | 91,341 | |||||||||
2,977 | Affymetrix, Inc.* | 75,318 | |||||||||
1,867 | Apria Healthcare Group, Inc.* | 46,619 | |||||||||
2,728 | Beckman Coulter, Inc. | 161,907 | |||||||||
2,672 | Cephalon, Inc.* | 200,026 | |||||||||
3,005 | Charles River Laboratories International, Inc.* | 125,459 | |||||||||
4,158 | Community Health Systems, Inc.* | 145,530 | |||||||||
2,804 | Covance, Inc.* | 167,876 | |||||||||
4,949 | Cytyc Corp.* | 129,763 | |||||||||
6,766 | Dentsply International, Inc. | 216,038 | |||||||||
2,569 | Edwards Lifesciences Corp.* | 117,763 | |||||||||
2,279 | Gen-Probe, Inc.* | 111,078 | |||||||||
5,101 | Health Net, Inc.* | 235,360 | |||||||||
3,878 | Henry Schein, Inc.* | 199,833 | |||||||||
2,699 | Hillenbrand Industries, Inc. | 156,164 | |||||||||
1,618 | Intuitive Surgical, Inc.* | 164,421 | |||||||||
2,116 | Invitrogen Corp.* | 116,422 | |||||||||
2,520 | LifePoint Hospitals, Inc.* | 87,469 | |||||||||
4,120 | Lincare Holdings, Inc.* | 155,200 | |||||||||
1,414 | Martek Biosciences Corp.* | 34,643 | |||||||||
2,407 | Medicis Pharmaceutical Corp., Class A | 88,770 | |||||||||
13,870 | Millennium Pharmaceuticals, Inc.* | 156,038 | |||||||||
5,337 | Omnicare, Inc. | 211,826 | |||||||||
1,542 | Par Pharmaceutical Cos., Inc.* | 30,408 | |||||||||
5,052 | PDL BioPharma, Inc.* | 114,731 | |||||||||
3,343 | Perrigo Co. | 55,995 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,528 | Pharmaceutical Product Development, Inc. | $ | 143,040 | ||||||||
2,337 | Psychiatric Solutions, Inc.* | 85,043 | |||||||||
3,340 | Resmed, Inc.* | 167,000 | |||||||||
4,806 | Sepracor, Inc.* | 268,223 | |||||||||
2,852 | STERIS Corp. | 73,411 | |||||||||
1,732 | Techne Corp.* | 93,130 | |||||||||
3,865 | Triad Hospitals, Inc.* | 164,340 | |||||||||
2,505 | Universal Health Services, Inc., Class B | 138,301 | |||||||||
4,090 | Valeant Pharmaceuticals International | 68,671 | |||||||||
5,715 | Varian Medical Systems, Inc.* | 281,292 | |||||||||
1,361 | Varian, Inc.* | 59,993 | |||||||||
3,662 | VCA Antech, Inc.* | 118,063 | |||||||||
1,433 | Ventana Medical Systems, Inc.* | 60,315 | |||||||||
5,318 | Vertex Pharmaceuticals, Inc.* | 235,587 | |||||||||
5,352,407 | |||||||||||
Industrials — 13.9% | |||||||||||
3,954 | Adesa, Inc. | 104,465 | |||||||||
4,003 | AGCO Corp.* | 125,014 | |||||||||
3,997 | Airtran Holdings, Inc.* | 49,683 | |||||||||
1,754 | Alaska Air Group, Inc.* | 72,142 | |||||||||
1,894 | Alexander & Baldwin, Inc. | 83,620 | |||||||||
1,449 | Alliant Techsystems, Inc.* | 112,022 | |||||||||
4,656 | Ametek, Inc. | 151,832 | |||||||||
4,409 | Avis Budget Group, Inc. | 90,208 | |||||||||
1,060 | Banta Corp. | 38,393 | |||||||||
2,081 | Brink's Co. (The) | 116,827 | |||||||||
1,355 | Carlisle Cos., Inc. | 110,961 | |||||||||
7,627 | CH Robinson Worldwide, Inc. | 335,588 | |||||||||
3,509 | ChoicePoint, Inc.* | 129,061 | |||||||||
2,109 | Con-way, Inc. | 97,267 | |||||||||
3,101 | Copart, Inc.* | 93,681 | |||||||||
1,771 | Corporate Executive Board Co. | 167,572 | |||||||||
2,260 | Crane Co. | 86,106 | |||||||||
2,261 | Deluxe Corp. | 55,666 | |||||||||
3,130 | Donaldson Co., Inc. | 109,581 | |||||||||
1,767 | DRS Technologies, Inc. | 87,802 | |||||||||
2,763 | Dun & Bradstreet Corp.* | 227,174 | |||||||||
9,381 | Expeditors International Washington, Inc. | 424,396 | |||||||||
5,510 | Fastenal Co. | 198,305 | |||||||||
2,114 | Federal Signal Corp. | 34,289 | |||||||||
2,486 | Flowserve Corp.* | 133,846 |
See accompanying notes to the financial statements.
25
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra MidCap400 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,253 | GATX Corp. | $ | 104,044 | ||||||||
2,984 | Graco, Inc. | 124,642 | |||||||||
1,491 | Granite Construction, Inc. | 76,936 | |||||||||
1,848 | Harsco Corp. | 144,199 | |||||||||
2,903 | Herman Miller, Inc. | 101,924 | |||||||||
2,203 | HNI Corp. | 103,189 | |||||||||
2,673 | Hubbell, Inc., Class B | 140,199 | |||||||||
2,588 | Jacobs Engineering Group, Inc.* | 217,056 | |||||||||
4,667 | JB Hunt Transport Services, Inc. | 102,161 | |||||||||
7,718 | JetBlue Airways Corp.* | 105,428 | |||||||||
5,220 | Joy Global, Inc. | 229,158 | |||||||||
933 | Kelly Services, Inc., Class A | 27,188 | |||||||||
1,702 | Kennametal, Inc. | 103,958 | |||||||||
1,923 | Korn/Ferry International* | 44,825 | |||||||||
1,873 | Lincoln Electric Holdings, Inc. | 113,972 | |||||||||
3,811 | Manpower, Inc. | 270,581 | |||||||||
1,328 | Mine Safety Appliances Co. | 47,954 | |||||||||
2,407 | MSC Industrial Direct Co. | 93,656 | |||||||||
2,331 | Navigant Consulting, Inc.* | 44,406 | |||||||||
1,481 | Nordson Corp. | 71,518 | |||||||||
3,239 | Oshkosh Truck Corp. | 155,504 | |||||||||
4,448 | Pentair, Inc. | 141,713 | |||||||||
5,959 | Precision Castparts Corp. | 449,666 | |||||||||
5,213 | Quanta Services, Inc.* | 95,554 | |||||||||
5,046 | Republic Services, Inc. | 209,308 | |||||||||
1,314 | Rollins, Inc. | 28,790 | |||||||||
3,827 | Roper Industries, Inc. | 196,363 | |||||||||
302 | Sequa Corp., Class A* | 34,383 | |||||||||
2,545 | SPX Corp. | 155,525 | |||||||||
1,939 | Stericycle, Inc.* | 140,422 | |||||||||
2,371 | Swift Transportation Co., Inc.* | 67,265 | |||||||||
1,759 | Teleflex, Inc. | 113,684 | |||||||||
2,288 | Thomas & Betts Corp.* | 118,679 | |||||||||
4,135 | Timken Co. | 122,975 | |||||||||
3,504 | Trinity Industries, Inc. | 132,451 | |||||||||
2,907 | United Rentals, Inc.* | 72,849 | |||||||||
2,243 | Werner Enterprises, Inc. | 41,832 | |||||||||
2,530 | YRC Worldwide, Inc.* | 98,038 | |||||||||
7,877,496 | |||||||||||
Information Technology — 13.2% | |||||||||||
17,336 | 3Com Corp.* | 72,638 | |||||||||
10,976 | Activision, Inc.* | 187,141 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,979 | Acxiom Corp. | $ | 74,237 | ||||||||
2,848 | Adtran, Inc. | 62,058 | |||||||||
891 | Advent Software, Inc.* | 32,575 | |||||||||
2,925 | Alliance Data Systems Corp.* | 189,277 | |||||||||
3,931 | Amphenol Corp., Class A | 267,819 | |||||||||
7,023 | Andrew Corp.* | 70,019 | |||||||||
5,372 | Arrow Electronics, Inc.* | 170,615 | |||||||||
18,843 | Atmel Corp.* | 95,346 | |||||||||
5,612 | Avnet, Inc.* | 139,121 | |||||||||
2,250 | Avocent Corp.* | 78,255 | |||||||||
5,296 | BISYS Group, Inc. (The)* | 63,499 | |||||||||
12,341 | Cadence Design Systems, Inc.* | 226,828 | |||||||||
2,639 | CDW Corp. | 186,049 | |||||||||
6,114 | Ceridian Corp.* | 149,854 | |||||||||
3,913 | Checkfree Corp.* | 163,603 | |||||||||
2,595 | CommScope, Inc.* | 78,291 | |||||||||
3,397 | Cree, Inc.* | 67,227 | |||||||||
2,111 | CSG Systems International, Inc.* | 58,538 | |||||||||
6,208 | Cypress Semiconductor Corp.* | 107,957 | |||||||||
2,887 | Diebold, Inc. | 132,802 | |||||||||
2,568 | DST Systems, Inc.* | 160,243 | |||||||||
1,786 | Dycom Industries, Inc.* | 36,292 | |||||||||
1,784 | F5 Networks, Inc.* | 133,461 | |||||||||
2,766 | Fair Isaac Corp. | 115,121 | |||||||||
5,389 | Fairchild Semiconductor International, Inc.* | 87,948 | |||||||||
2,508 | Gartner, Inc.* | 48,354 | |||||||||
5,888 | Harris Corp. | 247,944 | |||||||||
1,530 | Imation Corp. | 70,854 | |||||||||
6,092 | Ingram Micro, Inc.* | 124,155 | |||||||||
8,780 | Integrated Device Technology, Inc.* | 144,870 | |||||||||
3,147 | International Rectifier Corp.* | 125,880 | |||||||||
6,176 | Intersil Corp., Class A | 152,979 | |||||||||
3,451 | Jack Henry & Associates, Inc. | 75,508 | |||||||||
3,827 | Kemet Corp.* | 28,128 | |||||||||
6,240 | Lam Research Corp.* | 328,224 | |||||||||
5,029 | Lattice Semiconductor Corp.* | 34,147 | |||||||||
2,326 | Macrovision Corp.* | 64,314 | |||||||||
7,017 | McAfee, Inc.* | 204,967 | |||||||||
7,005 | McData Corp., Class A* | 43,921 | |||||||||
7,324 | MEMC Electronic Materials, Inc.* | 291,495 | |||||||||
3,576 | Mentor Graphics Corp.* | 60,470 | |||||||||
2,605 | Micrel, Inc.* | 30,088 |
See accompanying notes to the financial statements.
26
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
9,454 | Microchip Technology, Inc. | $ | 322,476 | ||||||||
3,718 | MoneyGram International, Inc. | 113,399 | |||||||||
4,556 | MPS Group, Inc.* | 68,294 | |||||||||
2,491 | National Instruments Corp. | 72,438 | |||||||||
1,794 | Newport Corp.* | 38,984 | |||||||||
4,552 | Palm, Inc.* | 63,774 | |||||||||
2,086 | Plantronics, Inc. | 43,806 | |||||||||
2,032 | Plexus Corp.* | 49,073 | |||||||||
3,879 | Polycom, Inc.* | 111,870 | |||||||||
5,729 | Powerwave Technologies, Inc.* | 36,723 | |||||||||
8,427 | RF Micro Devices, Inc.* | 64,972 | |||||||||
3,204 | Semtech Corp.* | 42,036 | |||||||||
2,463 | Silicon Laboratories, Inc.* | 79,358 | |||||||||
1,798 | SRA International, Inc., Class A* | 52,466 | |||||||||
3,936 | Sybase, Inc.* | 94,228 | |||||||||
6,206 | Synopsys, Inc.* | 158,563 | |||||||||
2,418 | Tech Data Corp.* | 101,121 | |||||||||
1,650 | Transaction Systems Architects, Inc.* | 55,819 | |||||||||
6,118 | Triquint Semiconductor, Inc.* | 30,835 | |||||||||
4,677 | Utstarcom, Inc.* | 41,532 | |||||||||
4,302 | ValueClick, Inc.* | 106,991 | |||||||||
8,113 | Vishay Intertechnology, Inc.* | 106,280 | |||||||||
9,708 | Western Digital Corp.* | 199,208 | |||||||||
3,322 | Wind River Systems, Inc.* | 35,579 | |||||||||
3,115 | Zebra Technologies Corp.* | 108,807 | |||||||||
7,481,744 | |||||||||||
Materials — 4.9% | |||||||||||
3,422 | Airgas, Inc. | 145,606 | |||||||||
1,731 | Albemarle Corp. | 120,720 | |||||||||
2,460 | Bowater, Inc. | 53,628 | |||||||||
2,786 | Cabot Corp. | 114,588 | |||||||||
10,582 | Chemtura Corp. | 102,434 | |||||||||
5,271 | Commercial Metals Co. | 153,122 | |||||||||
1,827 | Cytec Industries, Inc. | 97,434 | |||||||||
1,870 | Ferro Corp. | 39,008 | |||||||||
2,171 | Florida Rock Industries, Inc. | 97,782 | |||||||||
1,718 | FMC Corp. | 121,772 | |||||||||
1,968 | Glatfelter | 29,166 | |||||||||
4,628 | Louisiana-Pacific Corp. | 97,651 | |||||||||
3,011 | Lubrizol Corp. | 142,541 | |||||||||
9,267 | Lyondell Chemical Co. | 228,895 | |||||||||
1,994 | Martin Marietta Materials, Inc. | 198,024 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
863 | Minerals Technologies, Inc. | $ | 49,053 | ||||||||
3,195 | Olin Corp. | 53,452 | |||||||||
3,572 | Packaging Corp. of America | 80,549 | |||||||||
2,821 | Reliance Steel & Aluminum Co. | 108,580 | |||||||||
5,227 | RPM International, Inc. | 105,429 | |||||||||
2,028 | Scotts Miracle-Gro Co., Class A (The) | 100,325 | |||||||||
2,039 | Sensient Technologies Corp. | 48,589 | |||||||||
4,360 | Sonoco Products Co. | 161,276 | |||||||||
4,005 | Steel Dynamics, Inc. | 130,243 | |||||||||
4,472 | Valspar Corp. | 125,127 | |||||||||
3,203 | Worthington Industries, Inc. | 59,255 | |||||||||
2,764,249 | |||||||||||
Telecommunication Services — 0.5% | |||||||||||
10,862 | Cincinnati Bell, Inc.* | 49,096 | |||||||||
4,579 | Telephone & Data Systems, Inc. | 236,551 | |||||||||
285,647 | |||||||||||
Utilities — 7.0% | |||||||||||
3,426 | AGL Resources, Inc. | 131,593 | |||||||||
5,180 | Alliant Energy Corp. | 201,502 | |||||||||
5,780 | Aqua America, Inc. | 138,200 | |||||||||
16,454 | Aquila, Inc.* | 75,359 | |||||||||
1,463 | Black Hills Corp. | 52,244 | |||||||||
5,021 | DPL, Inc. | 140,387 | |||||||||
3,854 | Duquesne Light Holdings, Inc. | 77,851 | |||||||||
6,497 | Energy East Corp. | 158,722 | |||||||||
5,308 | Equitable Resources, Inc. | 230,261 | |||||||||
3,529 | Great Plains Energy, Inc. | 111,552 | |||||||||
3,575 | Hawaiian Electric Industries, Inc. | 96,739 | |||||||||
1,883 | Idacorp, Inc. | 75,301 | |||||||||
7,923 | MDU Resources Group, Inc. | 208,692 | |||||||||
3,668 | National Fuel Gas Co. | 139,017 | |||||||||
6,765 | Northeast Utilities | 189,623 | |||||||||
4,698 | NSTAR | 165,276 | |||||||||
4,001 | OGE Energy Corp. | 156,919 | |||||||||
4,834 | Oneok, Inc. | 209,022 | |||||||||
8,388 | Pepco Holdings, Inc. | 214,984 | |||||||||
3,061 | PNM Resources, Inc. | 93,973 | |||||||||
5,113 | Puget Energy, Inc. | 127,007 | |||||||||
5,103 | SCANA Corp. | 210,550 | |||||||||
9,716 | Sierra Pacific Resources* | 159,537 | |||||||||
3,352 | Vectren Corp. | 95,699 |
See accompanying notes to the financial statements.
27
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Ultra MidCap400 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,837 | Westar Energy, Inc. | $ | 102,026 | ||||||||
2,145 | WGL Holdings, Inc. | 70,892 | |||||||||
5,145 | Wisconsin Energy Corp. | 240,683 | |||||||||
1,897 | WPS Resources Corp. | 99,194 | |||||||||
3,972,805 | |||||||||||
Total Common Stocks (Cost $45,627,145) | 49,353,016 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 11.1% | |||||||||||
$ | 2,142,457 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $2,142,771 ** | 2,142,457 | ||||||||
4,150,289 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $4,150,898 *** | 4,150,289 | |||||||||
Total Repurchase Agreements (Cost $6,292,746) | 6,292,746 | ||||||||||
Total Investments (Cost $51,919,891) — 98.1% | 55,645,762 | ||||||||||
Other assets less liabilities — 1.9% | 1,055,860 | ||||||||||
Net Assets — 100.0% | $ | 56,701,622 |
(a) A portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $2,185,306. The investment in the repurchase agreement is through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $4,233,302. The investment in the repurchase agreement is through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2006, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 4,160,730 | |||||
Aggregate gross unrealized depreciation | (545,585 | ) | |||||
Net unrealized appreciation | $ | 3,615,145 | |||||
Federal income tax cost of investments | $ | 52,030,617 |
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 42 | December - 06 | $ | 3,398,640 | $ | 165,028 |
Cash collateral in the amount of $138,704 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Ultra MidCap400 had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | $ | 6,918,368 | $ | 119,482 | |||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | 50,691,717 | 875,739 | |||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | 2,000,000 | 4,573 | |||||||||
$ | 999,794 |
See accompanying notes to the financial statements.
28
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Short S&P500®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 89.4% | |||||||||||
$ | 37,935,143 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $37,940,710 * | $ | 37,935,143 | |||||||
73,486,571 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $73,497,356 ** | 73,486,571 | |||||||||
Total Investments (Cost $111,421,714) † | 111,421,714 | ||||||||||
Other assets less liabilities — 10.6% | 13,175,635 | ||||||||||
Net Assets — 100.0% | $ | 124,597,349 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $38,693,846. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $74,956,435. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 117 | December - 06 | $ | 8,206,088 | $ | (78,555 | ) |
Cash collateral in the amount of $414,857 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Short S&P500® had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P 500 Index, expiring 12/27/06 | $ | (17,185,639 | ) | $ | (236,760 | ) | |||||
Equity Index Swap Agreement based on the S&P 500 Index, expiring 12/27/06 | (97,790,714 | ) | (1,218,313 | ) | |||||||
$ | (1,455,073 | ) |
See accompanying notes to the financial statements.
29
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Short QQQ®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 100.4% | |||||||||||
$ | 28,722,121 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $28,726,336 * | $ | 28,722,121 | |||||||
55,639,441 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $55,647,607 ** | 55,639,441 | |||||||||
Total Investments (Cost $84,361,562) † | 84,361,562 | ||||||||||
Liabilities in excess of other assets — (0.4%) | (321,856 | ) | |||||||||
Net Assets — 100.0% | $ | 84,039,706 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $29,296,563. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $56,752,330. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
Short QQQ® had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts | 145 | December - 06 | $ | 5,204,050 | $ | (80,494 | ) |
Cash collateral in the amount of $505,926 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Short QQQ® had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100 Index, expiring 12/27/06 | $ | (7,139,483 | ) | $ | (62,303 | ) | |||||
Equity Index Swap Agreement based on the NASDAQ-100 Index, expiring 12/27/06 | (71,002,668 | ) | (629,564 | ) | |||||||
$ | (691,867 | ) |
See accompanying notes to the financial statements.
30
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Short Dow30SM
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 100.7% | |||||||||||
$ | 24,827,326 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $24,830,970 * | $ | 24,827,326 | |||||||
48,094,588 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $48,101,647 ** | 48,094,588 | |||||||||
Total Investments (Cost $72,921,914) † | 72,921,914 | ||||||||||
Liabilities in excess of other assets — (0.7)% | (477,865 | ) | |||||||||
Net Assets — 100.0% | $ | 72,444,049 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $25,323,873. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $49,056,566. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 77 | December - 06 | $ | 4,713,940 | $ | (14,963 | ) |
Cash collateral in the amount of $188,181 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Short Dow30SM had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial Average Index, expiring 12/27/06 | $ | (10,039,441 | ) | $ | (83,407 | ) | |||||
Equity Index Swap Agreement based on Dow Jones Industrial Average Index, expiring 12/27/06 | (57,154,752 | ) | (483,901 | ) | |||||||
$ | (567,308 | ) |
See accompanying notes to the financial statements.
31
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
Short MidCap400
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 101.6% | |||||||||||
$ | 26,861,937 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $26,865,880 * | $ | 26,861,937 | |||||||
52,035,963 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $52,043,600 ** | 52,035,963 | |||||||||
Total Investments (Cost $78,897,900) † | 78,897,900 | ||||||||||
Liabilities in excess of other assets — (1.6)% | (1,269,588 | ) | |||||||||
Net Assets — 100.0% | $ | 77,628,312 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $27,399,176. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $53,076,776. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 47 | December - 06 | $ | 3,803,240 | $ | (33,424 | ) |
Cash collateral in the amount of $133,453 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
Short MidCap400 had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | $ | (67,578,752 | ) | $ | (1,185,023 | ) | |||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | (5,061,003 | ) | (87,595 | ) | |||||||
$ | (1,272,618 | ) |
See accompanying notes to the financial statements.
32
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
UltraShort S&P500®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 94.8% | |||||||||||
$ | 96,765,748 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $96,779,350 * | $ | 96,765,148 | |||||||
187,449,905 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $187,477,416 ** | 187,449,905 | |||||||||
Total Investments (Cost $284,215,053) † | 284,215,053 | ||||||||||
Other assets less liabilities — 5.2% | 15,700,341 | ||||||||||
Net Assets — 100.0% | $ | 299,915,394 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $98,700,451. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $191,199,240. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 335 | December - 06 | $ | 23,496,063 | $ | (96,967 | ) |
Cash collateral in the amount of $1,064,034 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
UltraShort S&P500® had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P 500 Index, expiring 12/27/06 | $ | (204,238,496 | ) | $ | (2,493,479 | ) | |||||
Equity Index Swap Agreement based on the S&P 500 Index, expiring 12/27/06 | (364,695,550 | ) | (5,046,673 | ) | |||||||
$ | (7,540,152 | ) |
See accompanying notes to the financial statements.
33
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
UltraShort QQQ®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 101.3% | |||||||||||
$ | 193,918,809 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $193,947,270 * | $ | 193,918,809 | |||||||
375,652,426 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $375,707,559 ** | 375,652,426 | |||||||||
Total Investments (Cost $569,571,235) † | 569,571,235 | ||||||||||
Liabilities in excess of other assets - (1.3%) | (7,068,784 | ) | |||||||||
Net Assets — 100.0% | $ | 562,502,451 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $197,797,185. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $383,166,150. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
UltraShort QQQ® had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini NASDAQ-100 Index Futures Contracts | 1,248 | December - 06 | $ | 44,790,720 | $ | (86,547 | ) |
Cash collateral in the amount of $2,963,843 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
UltraShort QQQ® had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100 Index, expiring 12/27/06 | $ | (565,216,076 | ) | $ | (4,967,635 | ) | |||||
Equity Index Swap Agreement based on the NASDAQ-100 Index, expiring 12/27/06 | (505,218,685 | ) | (4,678,723 | ) | |||||||
$ | (9,646,358 | ) |
See accompanying notes to the financial statements.
34
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
UltraShort Dow30SM
Principal Amount | Value |
Repurchase Agreements (a) — 101.5% | |||||||||||
$ | 47,909,866 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $47,916,898 * | $ | 47,909,866 | |||||||
92,809,241 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $92,822,862 ** | 92,809,241 | |||||||||
Total Investments (Cost $140,719,107) † | 140,719,107 | ||||||||||
Liabilities in excess of other assets — (1.5) % | (2,040,013 | ) | |||||||||
Net Assets — 100.0% | $ | 138,679,094 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $48,868,063. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $94,665,593. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 163 | December - 06 | $ | 9,978,860 | $ | 7,334 |
Cash collateral in the amount of $353,770 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
UltraShort Dow30SM had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial Average Index, expiring 12/27/06 | $ | (70,011,318 | ) | $ | (644,147 | ) | |||||
Equity Index Swap Agreement based on Dow Jones Industrial Average Index, expiring 12/27/06 | (195,052,773 | ) | (1,621,873 | ) | |||||||
$ | (2,266,020 | ) |
See accompanying notes to the financial statements.
35
Schedule of Portfolio Investments November 30, 2006 (Unaudited)
UltraShort MidCap 400
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 103.3% | |||||||||||
$ | 36,190,314 | Bank of America Corp., 5.36%, dated 11/30/06, due 12/01/06, total to be received $36,195,625 * | $ | 36,190,314 | |||||||
70,106,552 | UBS Warburg LLC, 5.36%, dated 11/30/06, due 12/01/06, total to be received $70,116,842 ** | 70,106,552 | |||||||||
Total Investments (Cost $106,296,866) † | 106,296,866 | ||||||||||
Liabilities in excess of other assets - (3.3%) | (3,445,244 | ) | |||||||||
Net Assets — 100.0% | $ | 102,851,622 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by a U.S. government agency security at the date of this Schedule of Portfolio Investments as follows: Federal National Mortgage Association, 5.00%, due 07/01/35; which had a total value of $36,914,120. The investment in the repurchase agreement is through participation in a pooled account.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank: 0.00% to 1,130.50%, due 01/15/18 to 10/15/36; Federal Home Loan Mortgage Corp. - Government National Mortgage Association, 2.625%, due 10/25/23; Federal National Mortgage Association: 0.00% to 13.062%, due 11/25/07 to 12/25/36, which had a total value $71,508,809. The investment in the repurchase agreement is through participation in a pooled account.
† Estimated tax basis approximates book cost.
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of November 30, 2006:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 94 | December - 06 | $ | 7,606,480 | $ | (12,230 | ) |
Cash collateral in the amount of $201,734 was pledged to cover margin requirements for open futures contracts as of November 30, 2006.
Swap Agreements
UltraShort MidCap400 had the following open swap agreements as of November 30, 2006:
Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | $ | (149,283,569 | ) | $ | (2,589,494 | ) | |||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/06 | (45,328,567 | ) | (944,934 | ) | |||||||
$ | (3,534,428 | ) |
See accompanying notes to the financial statements.
36
ProShares Trust Statements of Assets and Liabilities
November 30, 2006 (Unaudited)
Ultra S&P500® | Ultra QQQ® | Ultra Dow30SM | Ultra MidCap400 | Short S&P500® | Short QQQ® | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost | $ | 148,170,914 | $ | 257,935,872 | $ | 66,568,278 | $ | 51,919,891 | $ | 111,421,714 | $ | 84,361,562 | |||||||||||||||
Securities, at value | 135,910,099 | 245,813,420 | 62,246,005 | 49,353,016 | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 19,541,822 | 33,870,609 | 8,108,180 | 6,292,746 | 111,421,714 | 84,361,562 | |||||||||||||||||||||
Total Investment Securities | 155,451,921 | 279,684,029 | 70,354,185 | 55,645,762 | 111,421,714 | 84,361,562 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 664,543 | 1,934,507 | 185,744 | 138,704 | 414,857 | 505,926 | |||||||||||||||||||||
Dividends and interest receivable | 268,790 | 239,417 | 174,652 | 44,196 | 17,710 | 14,403 | |||||||||||||||||||||
Receivable for investments sold | 50,263 | — | — | 358,270 | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | 14,377,209 | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | 8,000 | — | — | 3,120 | — | 2,829 | |||||||||||||||||||||
Unrealized appreciation on swap agreements | 2,253,011 | 2,595,475 | 609,975 | 999,794 | — | — | |||||||||||||||||||||
Total Assets | 158,696,528 | 284,453,428 | 71,324,556 | 57,189,846 | 126,231,490 | 84,884,720 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 12,018 | 753 | 1,719 | 29,308 | 4,285 | 7,659 | |||||||||||||||||||||
Payable for investments purchased | 230,147 | — | — | 360,663 | — | — | |||||||||||||||||||||
Advisory and Management Services fees payable | 78,376 | 151,484 | 30,291 | 20,137 | 73,474 | 53,011 | |||||||||||||||||||||
Custodian fees payable | 18,089 | 17,654 | 6,088 | 14,001 | 9,210 | 9,766 | |||||||||||||||||||||
Offering costs payable | 9,200 | 17,415 | 7,831 | 4,215 | 5,973 | 7,888 | |||||||||||||||||||||
Administration fees payable | 6,563 | 7,541 | 6,168 | 6,080 | 6,635 | 6,859 | |||||||||||||||||||||
Trustee fees payable | 3,610 | 4,277 | 4,499 | 4,307 | 5,639 | 5,854 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | 8,441 | 1,525 | — | 7,025 | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | — | 3,893 | — | — | 1,455,073 | 691,867 | |||||||||||||||||||||
Other liabilities | 46,488 | 52,169 | 60,311 | 49,513 | 66,827 | 62,110 | |||||||||||||||||||||
Total Liabilities | 404,491 | 263,627 | 118,432 | 488,224 | 1,634,141 | 845,014 | |||||||||||||||||||||
NET ASSETS | $ | 158,292,037 | $ | 284,189,801 | $ | 71,206,124 | $ | 56,701,622 | $ | 124,597,349 | $ | 84,039,706 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 142,326,276 | $ | 237,485,930 | $ | 61,167,581 | $ | 48,677,242 | $ | 132,039,095 | $ | 97,545,103 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 551,058 | 183,966 | 446,989 | 181,492 | 1,498,356 | 1,622,281 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 5,514,953 | 21,041,779 | 5,026,805 | 2,952,195 | (7,406,474 | ) | (14,355,317 | ) | |||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | 7,281,007 | 21,748,157 | 3,785,907 | 3,725,871 | — | — | |||||||||||||||||||||
Futures contracts | 365,732 | 1,138,387 | 168,867 | 165,028 | (78,555 | ) | (80,494 | ) | |||||||||||||||||||
Swap agreements | 2,253,011 | 2,591,582 | 609,975 | 999,794 | (1,455,073 | ) | (691,867 | ) | |||||||||||||||||||
NET ASSETS | $ | 158,292,037 | $ | 284,189,801 | $ | 71,206,124 | $ | 56,701,622 | $ | 124,597,349 | $ | 84,039,706 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 1,800,001 | 3,150,001 | 825,001 | 675,001 | 1,951,429 | 1,350,001 | |||||||||||||||||||||
Net Asset Value | $ | 87.94 | $ | 90.22 | $ | 86.31 | $ | 84.00 | $ | 63.85 | $ | 62.25 |
See accompanying notes to the financial statements.
37
ProShares Trust Statements of Assets and Liabilities
November 30, 2006 (Unaudited)
Short Dow30SM | Short MidCap400 | UltraShort S&P500® | UltraShort QQQ® | UltraShort Dow30SM | UltraShort MidCap400 | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and Repurchase Agreements, at cost | $ | 72,921,914 | $ | 78,897,900 | $ | 284,215,053 | $ | 569,571,235 | $ | 140,719,107 | $ | 106,296,866 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 72,921,914 | 78,897,900 | 284,215,053 | 569,571,235 | 140,719,107 | 106,296,866 | |||||||||||||||||||||
Total Investment Securities | 72,921,914 | 78,897,900 | 284,215,053 | 569,571,235 | 140,719,107 | 106,296,866 | |||||||||||||||||||||
Cash | — | 8,272 | 13,198 | — | — | 12,724 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 188,181 | 133,453 | 1,064,034 | 2,963,843 | 353,770 | 201,734 | |||||||||||||||||||||
Dividends and interest receivable | 11,347 | 12,313 | 45,312 | 94,248 | 21,868 | 16,552 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | 22,404,120 | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | 1,899 | — | — | 20,813 | 3,543 | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Total Assets | 73,123,341 | 79,051,938 | 307,741,717 | 572,650,139 | 141,098,288 | 106,527,876 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 2,544 | — | — | 31,782 | 4,061 | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Advisory and Management Services fees payable | 34,852 | 46,370 | 174,739 | 341,327 | 77,244 | 65,290 | |||||||||||||||||||||
Custodian fees payable | 5,128 | 12,067 | 15,896 | 27,182 | 9,386 | 8,158 | |||||||||||||||||||||
Offering costs payable | 6,478 | 16,630 | 11,947 | 13,658 | 4,171 | 6,413 | |||||||||||||||||||||
Administration fees payable | 6,215 | 7,155 | 7,742 | 9,274 | 6,049 | 6,495 | |||||||||||||||||||||
Trustee fees payable | 3,457 | 4,403 | 3,590 | 4,004 | 3,075 | 3,789 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | 4,230 | 17,630 | — | — | 5,380 | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 567,308 | 1,272,618 | 7,540,152 | 9,646,358 | 2,266,020 | 3,534,428 | |||||||||||||||||||||
Other liabilities | 53,310 | 60,153 | 54,627 | 74,103 | 49,188 | 46,301 | |||||||||||||||||||||
Total Liabilities | 679,292 | 1,423,626 | 7,826,323 | 10,147,688 | 2,419,194 | 3,676,254 | |||||||||||||||||||||
NET ASSETS | $ | 72,444,049 | $ | 77,628,312 | $ | 299,915,394 | $ | 562,502,451 | $ | 138,679,094 | $ | 102,851,622 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 76,252,399 | $ | 84,534,933 | $ | 329,803,725 | $ | 658,514,526 | $ | 148,595,046 | $ | 118,973,019 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 813,950 | 1,998,433 | 2,650,600 | 4,660,053 | 1,023,056 | 1,302,490 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (4,040,029 | ) | (7,599,012 | ) | (24,901,812 | ) | (90,939,223 | ) | (8,680,322 | ) | (13,877,229 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (14,963 | ) | (33,424 | ) | (96,967 | ) | (86,547 | ) | 7,334 | (12,230 | ) | ||||||||||||||||
Swap agreements | (567,308 | ) | (1,272,618 | ) | (7,540,152 | ) | (9,646,358 | ) | (2,266,020 | ) | (3,534,428 | ) | |||||||||||||||
NET ASSETS | $ | 72,444,049 | $ | 77,628,312 | $ | 299,915,394 | $ | 562,502,451 | $ | 138,679,094 | $ | 102,851,622 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 1,125,001 | 1,200,001 | 5,025,001 | 10,725,001 | 2,325,001 | 1,650,001 | |||||||||||||||||||||
Net Asset Value | $ | 64.39 | $ | 64.69 | $ | 59.68 | $ | 52.45 | $ | 59.65 | $ | 62.33 |
See accompanying notes to the financial statements.
38
ProShares Trust Statements of Operations (Unaudited)
For the Periods Indicated
Ultra S&P500® | Ultra QQQ® | Ultra Dow30SM | Ultra MidCap400 | Short S&P500® | Short QQQ® | ||||||||||||||||||||||
June 19, 2006* through November 30, 2006 | June 19, 2006* through November 30, 2006 | June 19, 2006* through November 30, 2006 | June 19, 2006* through November 30, 2006 | June 19, 2006* through November 30, 2006 | June 19, 2006* through November 30, 2006 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 611,838 | $ | 334,617 | $ | 504,199 | $ | 223,032 | $ | — | $ | — | |||||||||||||||
Interest | 246,932 | 377,353 | 147,371 | 130,468 | 1,830,145 | 1,975,005 | |||||||||||||||||||||
Total Investment Income | 858,770 | 711,970 | 651,570 | 353,500 | 1,830,145 | 1,975,005 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory and Management Services fees (Note 4) | 274,954 | 471,323 | 182,810 | 153,721 | 297,034 | 315,911 | |||||||||||||||||||||
Organizational costs (Note 2) | 27,774 | 27,774 | 27,774 | 27,774 | 27,774 | 27,774 | |||||||||||||||||||||
Professional fees | 22,682 | 30,974 | 24,164 | 24,187 | 34,135 | 36,237 | |||||||||||||||||||||
Administration fees (Note 5) | 21,657 | 23,104 | 20,289 | 20,103 | 25,221 | 25,467 | |||||||||||||||||||||
Custodian fees (Note 6) | 19,390 | 18,955 | 7,389 | 15,302 | 10,511 | 11,067 | |||||||||||||||||||||
Offering costs (Note 2) | 12,415 | 20,579 | 12,589 | 12,606 | 20,904 | 22,886 | |||||||||||||||||||||
Printing and Shareholder reports | 8,383 | 12,947 | 9,786 | 9,802 | 15,959 | 17,156 | |||||||||||||||||||||
Licensing fees | 7,296 | 9,636 | 18,614 | 8,020 | 9,313 | 11,355 | |||||||||||||||||||||
Trustee fees | 6,321 | 7,392 | 7,034 | 7,152 | 9,272 | 9,620 | |||||||||||||||||||||
Other fees | 18,315 | 18,798 | 18,020 | 17,972 | 18,242 | 18,188 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 419,187 | 641,482 | 328,469 | 296,639 | 468,365 | 495,661 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived (Note 4) | (110,174 | ) | (112,177 | ) | (122,587 | ) | (123,330 | ) | (135,275 | ) | (141,636 | ) | |||||||||||||||
Custodian fees waived (Note 6) | (1,301 | ) | (1,301 | ) | (1,301 | ) | (1,301 | ) | (1,301 | ) | (1,301 | ) | |||||||||||||||
Total Net Expenses | 307,712 | 528,004 | 204,581 | 172,008 | 331,789 | 352,724 | |||||||||||||||||||||
Net Investment Income (Loss) | 551,058 | 183,966 | 446,989 | 181,492 | 1,498,356 | 1,622,281 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (66,505 | ) | (153,707 | ) | 64,835 | 59,221 | — | — | |||||||||||||||||||
Futures contracts | 127,723 | 146,819 | 121,446 | 77,932 | (507,854 | ) | (771,939 | ) | |||||||||||||||||||
Swap agreements | 5,453,735 | 21,048,667 | 4,204,563 | 2,815,042 | (6,898,620 | ) | (13,583,378 | ) | |||||||||||||||||||
In-kind redemptions | — | — | 635,961 | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 5,514,953 | 21,041,779 | 5,026,805 | 2,952,195 | (7,406,474 | ) | (14,355,317 | ) | |||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | 7,281,007 | 21,748,157 | 3,785,907 | 3,725,871 | — | — | |||||||||||||||||||||
Futures contracts | 365,732 | 1,138,387 | 168,867 | 165,028 | (78,555 | ) | (80,494 | ) | |||||||||||||||||||
Swap agreements | 2,253,011 | 2,591,582 | 609,975 | 999,794 | (1,455,073 | ) | (691,867 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,899,750 | 25,478,126 | 4,564,749 | 4,890,693 | (1,533,628 | ) | (772,361 | ) | |||||||||||||||||||
Net realized and unrealized gain (loss) | 15,414,703 | 46,519,905 | 9,591,554 | 7,842,888 | (8,940,102 | ) | (15,127,678 | ) | |||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 15,965,761 | $ | 46,703,871 | $ | 10,038,543 | $ | 8,024,380 | $ | (7,441,746 | ) | $ | (13,505,397 | ) |
*Commencement of investment operations.
See accompanying notes to the financial statements.
39
ProShares Trust Statements of Operations (Unaudited)
For the Periods Indicated
Short Dow30SM | Short MidCap400 | UltraShort S&P500® | UltraShort QQQ® | UltraShort Dow30SM | UltraShort MidCap400 | ||||||||||||||||||||||
June 19, 2006* through November 30, 2006 | June 19, 2006* through November 30, 2006 | July 11, 2006* through November 30, 2006 | July 11, 2006* through November 30, 2006 | July 11, 2006* through November 30, 2006 | July 11, 2006* through November 30, 2006 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 990,673 | 2,438,804 | 3,228,770 | 5,665,365 | 1,252,198 | 1,586,984 | |||||||||||||||||||||
Total Investment Income | 990,673 | 2,438,804 | 3,228,770 | 5,665,365 | 1,252,198 | 1,586,984 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory and Management Services fees (Note 4) | 158,210 | 394,172 | 517,617 | 901,750 | 205,256 | 254,910 | |||||||||||||||||||||
Organizational costs (Note 2) | 27,774 | 27,774 | — | — | — | — | |||||||||||||||||||||
Professional fees | 19,781 | 30,762 | 29,645 | 40,661 | 17,749 | 24,066 | |||||||||||||||||||||
Administration fees (Note 5) | 18,664 | 23,545 | 21,909 | 24,320 | 17,076 | 20,168 | |||||||||||||||||||||
Custodian fees (Note 6) | 6,429 | 13,368 | 16,582 | 27,868 | 10,072 | 8,844 | |||||||||||||||||||||
Offering costs (Note 2) | 9,497 | 19,557 | 21,047 | 32,492 | 8,707 | 14,264 | |||||||||||||||||||||
Printing and Shareholder reports | 6,816 | 13,201 | 12,073 | 17,860 | 5,815 | 9,593 | |||||||||||||||||||||
Licensing fees | 18,845 | 8,151 | 6,976 | 9,166 | 20,133 | 7,311 | |||||||||||||||||||||
Trustee fees | 5,931 | 7,871 | 6,549 | 7,817 | 5,158 | 6,256 | |||||||||||||||||||||
Other fees | 18,046 | 18,214 | 16,441 | 17,451 | 15,753 | 15,773 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 289,993 | 556,615 | 648,839 | 1,079,385 | 305,719 | 361,185 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived (Note 4) | (111,969 | ) | (114,943 | ) | (69,983 | ) | (73,387 | ) | (75,891 | ) | (76,005 | ) | |||||||||||||||
Custodian fees waived (Note 6) | (1,301 | ) | (1,301 | ) | (686 | ) | (686 | ) | (686 | ) | (686 | ) | |||||||||||||||
Total Net Expenses | 176,723 | 440,371 | 578,170 | 1,005,312 | 229,142 | 284,494 | |||||||||||||||||||||
Net Investment Income (Loss) | 813,950 | 1,998,433 | 2,650,600 | 4,660,053 | 1,023,056 | 1,302,490 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (267,385 | ) | (568,446 | ) | (826,132 | ) | (2,580,030 | ) | (297,545 | ) | (439,376 | ) | |||||||||||||||
Swap agreements | (3,772,644 | ) | (7,030,566 | ) | (24,075,680 | ) | (88,359,193 | ) | (8,382,777 | ) | (13,437,853 | ) | |||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | (4,040,029 | ) | (7,599,012 | ) | (24,901,812 | ) | (90,939,223 | ) | (8,680,322 | ) | (13,877,229 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (14,963 | ) | (33,424 | ) | (96,967 | ) | (86,547 | ) | 7,334 | (12,230 | ) | ||||||||||||||||
Swap agreements | (567,308 | ) | (1,272,618 | ) | (7,540,152 | ) | (9,646,358 | ) | (2,266,020 | ) | (3,534,428 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (582,271 | ) | (1,306,042 | ) | (7,637,119 | ) | (9,732,905 | ) | (2,258,686 | ) | (3,546,658 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (4,622,300 | ) | (8,905,054 | ) | (32,538,931 | ) | (100,672,128 | ) | (10,939,008 | ) | (17,423,887 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | $ | (3,808,350 | ) | $ | (6,906,621 | ) | $ | (29,888,331 | ) | $ | (96,012,075 | ) | $ | (9,915,952 | ) | $ | (16,121,397 | ) | |||||||||
*Commencement of investment operations. |
See accompanying notes to the financial statements.
40
ProShares Trust Statements of Changes in Net Assets
For the Periods Indicated
Ultra S&P500® | Ultra QQQ® | Ultra Dow30SM | Ultra MidCap400 | Short S&P500® | Short QQQ® | ||||||||||||||||||||||
June 19, 2006* through November 30, 2006 (Unaudited) | June 19, 2006* through November 30, 2006 (Unaudited) | June 19, 2006* through November 30, 2006 (Unaudited) | June 19, 2006* through November 30, 2006 (Unaudited) | June 19, 2006* through November 30, 2006 (Unaudited) | June 19, 2006* through November 30, 2006 (Unaudited) | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 551,058 | $ | 183,966 | $ | 446,989 | $ | 181,492 | $ | 1,498,356 | $ | 1,622,281 | |||||||||||||||
Net realized gain (loss) | 5,514,953 | 21,041,779 | 5,026,805 | 2,952,195 | (7,406,474 | ) | (14,355,317 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,899,750 | 25,478,126 | 4,564,749 | 4,890,693 | (1,533,628 | ) | (772,361 | ) | |||||||||||||||||||
Change in Net Assets Resulting from Operations | 15,965,761 | 46,703,871 | 10,038,543 | 8,024,380 | (7,441,746 | ) | (13,505,397 | ) | |||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 142,326,276 | 237,485,930 | 117,203,081 | 48,677,242 | 131,939,095 | 149,070,103 | |||||||||||||||||||||
Cost of shares redeemed | — | — | (56,035,500 | ) | — | — | (51,525,000 | ) | |||||||||||||||||||
Change in net assets resulting from capital transactions | 142,326,276 | 237,485,930 | 61,167,581 | 48,677,242 | 131,939,095 | 97,545,103 | |||||||||||||||||||||
Change in net assets | 158,292,037 | 284,189,801 | 71,206,124 | 56,701,622 | 124,497,349 | 84,039,706 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | — | $ | — | $ | — | $ | — | $ | 100,000 | $ | — | |||||||||||||||
End of period | $ | 158,292,037 | $ | 284,189,801 | $ | 71,206,124 | $ | 56,701,622 | $ | 124,597,349 | $ | 84,039,706 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 551,058 | $ | 183,966 | $ | 446,989 | $ | 181,492 | $ | 1,498,356 | $ | 1,622,281 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | — | — | — | — | 1,428 | — | |||||||||||||||||||||
Issued | 1,800,001 | 3,150,001 | 1,575,001 | 675,001 | 1,950,001 | 2,100,001 | |||||||||||||||||||||
Redeemed | — | — | (750,000 | ) | — | — | (750,000 | ) | |||||||||||||||||||
Shares outstanding, end of period | 1,800,001 | 3,150,001 | 825,001 | 675,001 | 1,951,429 | 1,350,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 8 to the Financial Statements.
See accompanying notes to the financial statements.
41
ProShares Trust Statements of Changes in Net Assets
For the Periods Indicated
Short Dow30SM | Short MidCap400 | UltraShort S&P500® | UltraShort QQQ® | UltraShort Dow30SM | UltraShort MidCap400 | ||||||||||||||||||||||
June 19, 2006* through November 30, 2006 (Unaudited) | June 19, 2006* through November 30, 2006 (Unaudited) | July 11, 2006* through November 30, 2006 (Unaudited) | July 11, 2006* through November 30, 2006 (Unaudited) | July 11, 2006* through November 30, 2006 (Unaudited) | July 11, 2006* through November 30, 2006 (Unaudited) | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 813,950 | $ | 1,998,433 | $ | 2,650,600 | $ | 4,660,053 | $ | 1,023,056 | $ | 1,302,490 | |||||||||||||||
Net realized gain (loss) | (4,040,029 | ) | (7,599,012 | ) | (24,901,812 | ) | (90,939,223 | ) | (8,680,322 | ) | (13,877,229 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (582,271 | ) | (1,306,042 | ) | (7,637,119 | ) | (9,732,905 | ) | (2,258,686 | ) | (3,546,658 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | (3,808,350 | ) | (6,906,621 | ) | (29,888,331 | ) | (96,012,075 | ) | (9,915,952 | ) | (16,121,397 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 76,252,399 | 164,733,183 | 329,803,725 | 658,514,526 | 148,595,046 | 118,973,019 | |||||||||||||||||||||
Cost of shares redeemed | — | (80,198,250 | ) | — | — | — | — | ||||||||||||||||||||
Change in net assets resulting from capital transactions | 76,252,399 | 84,534,933 | 329,803,725 | 658,514,526 | 148,595,046 | 118,973,019 | |||||||||||||||||||||
Change in net assets | 72,444,049 | 77,628,312 | 299,915,394 | 562,502,451 | 138,679,094 | 102,851,622 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
End of period | $ | 72,444,049 | $ | 77,628,312 | $ | 299,915,394 | $ | 562,502,451 | $ | 138,679,094 | $ | 102,851,622 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 813,950 | $ | 1,998,433 | $ | 2,650,600 | $ | 4,660,053 | $ | 1,023,056 | $ | 1,302,490 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | — | — | — | — | — | — | |||||||||||||||||||||
Issued | 1,125,001 | 2,400,001 | 5,025,001 | 10,725,001 | 2,325,001 | 1,650,001 | |||||||||||||||||||||
Redeemed | — | (1,200,000 | ) | — | — | — | — | ||||||||||||||||||||
Shares outstanding, end of period | 1,125,001 | 1,200,001 | 5,025,001 | 10,725,001 | 2,325,001 | 1,650,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 8 to the Financial Statements.
See accompanying notes to the financial statements.
42
ProShares Trust Financial Highlights
Selected data for a share outstanding throughout the periods indicated.
Ultra S&P500®
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 0.62 | ||||||
Net realized and unrealized gain (loss) on investments | 17.32 | ||||||
Total from investment operations | 17.94 | ||||||
Net asset value, end of period | $ | 87.94 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | 25.63 | % | |||||
Market Value (d) | 25.77 | % | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.29 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 1.36 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 1.70 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 158,292 | |||||
Portfolio turnover rate (b)(f) | 4 | % |
Ultra QQQ®
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 0.12 | ||||||
Net realized and unrealized gain (loss) on investments | 20.10 | ||||||
Total from investment operations | 20.22 | ||||||
Net asset value, end of period | $ | 90.22 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | 28.89 | % | |||||
Market Value (d) | 28.60 | % | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.15 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 0.13 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 0.33 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 284,190 | |||||
Portfolio turnover rate (b)(f) | 3 | % |
See accompanying notes to the financial statements.
43
ProShares Trust Financial Highlights (continued)
Ultra Dow30SM
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 0.73 | ||||||
Net realized and unrealized gain (loss) on investments | 15.58 | ||||||
Total from investment operations | 16.31 | ||||||
Net asset value, end of period | $ | 86.31 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | 23.30 | % | |||||
Market Value (d) | 23.74 | % | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.53 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 1.50 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 2.08 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 71,206 | |||||
Portfolio turnover rate (b)(f) | 99 | % |
Ultra MidCap400
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 0.34 | ||||||
Net realized and unrealized gain (loss) on investments | 13.66 | ||||||
Total from investment operations | 14.00 | ||||||
Net asset value, end of period | $ | 84.00 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | 20.00 | % | |||||
Market Value (d) | 20.31 | % | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.64 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 0.31 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 1.00 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 56,702 | |||||
Portfolio turnover rate (b)(f) | 13 | % |
See accompanying notes to the financial statements.
44
ProShares Trust Financial Highlights (continued)
Short S&P500®
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.28 | ||||||
Net realized and unrealized gain (loss) on investments | (7.43 | ) | |||||
Total from investment operations | (6.15 | ) | |||||
Net asset value, end of period | $ | 63.85 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (8.79 | )% | |||||
Market Value (d) | (9.04 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.34 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 3.90 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.29 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 124,597 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
Short QQQ®
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.32 | ||||||
Net realized and unrealized gain (loss) on investments | (9.07 | ) | |||||
Total from investment operations | (7.75 | ) | |||||
Net asset value, end of period | $ | 62.25 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (11.07 | )% | |||||
Market Value (d) | (11.00 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.33 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 3.98 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.36 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 84,040 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
See accompanying notes to the financial statements.
45
ProShares Trust Financial Highlights (continued)
Short Dow30SM
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.30 | ||||||
Net realized and unrealized gain (loss) on investments | (6.91 | ) | |||||
Total from investment operations | (5.61 | ) | |||||
Net asset value, end of period | $ | 64.39 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (8.01 | )% | |||||
Market Value (d) | (8.03 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.56 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 3.77 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.38 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 72,444 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
Short MidCap400
June 19, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.32 | ||||||
Net realized and unrealized gain (loss) on investments | (6.63 | ) | |||||
Total from investment operations | (5.31 | ) | |||||
Net asset value, end of period | $ | 64.69 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (7.59 | )% | |||||
Market Value (d) | (7.57 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.20 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 4.06 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.31 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 77,628 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
See accompanying notes to the financial statements.
46
ProShares Trust Financial Highlights (continued)
UltraShort S&P500®
July 11, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.07 | ||||||
Net realized and unrealized gain (loss) on investments | (11.39 | ) | |||||
Total from investment operations | (10.32 | ) | |||||
Net asset value, end of period | $ | 59.68 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (14.74 | )% | |||||
Market Value (d) | (14.64 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.07 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 4.24 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.36 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 299,915 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
UltraShort QQQ®
July 11, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 0.99 | ||||||
Net realized and unrealized gain (loss) on investments | (18.54 | ) | |||||
Total from investment operations | (17.55 | ) | |||||
Net asset value, end of period | $ | 52.45 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (25.07 | )% | |||||
Market Value (d) | (25.03 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.02 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 4.33 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.40 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 562,502 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
See accompanying notes to the financial statements.
47
ProShares Trust Financial Highlights (continued)
UltraShort Dow30SM
July 11, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.03 | ||||||
Net realized and unrealized gain (loss) on investments | (11.38 | ) | |||||
Total from investment operations | (10.35 | ) | |||||
Net asset value, end of period | $ | 59.65 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (14.79 | )% | |||||
Market Value (d) | (14.90 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.27 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 3.92 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.24 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 138,679 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
UltraShort MidCap400
July 11, 2006* through November 30, 2006 (Unaudited) | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE: | |||||||
PER SHARE OPERATING PERFORMANCE: | |||||||
Net asset value, beginning of period | $ | 70.00 | |||||
Net investment income (loss) (a) | 1.15 | ||||||
Net realized and unrealized gain (loss) on investments | (8.82 | ) | |||||
Total from investment operations | (7.67 | ) | |||||
Net asset value, end of period | $ | 62.33 | |||||
TOTAL RETURN (b) | |||||||
Net Asset Value (c) | (10.94 | )% | |||||
Market Value (d) | (10.84 | )% | |||||
RATIOS TO AVERAGE NET ASSETS: | |||||||
Expenses before expense reductions (e) | 1.21 | % | |||||
Expenses - net of waivers, if any (e) | 0.95 | % | |||||
Net investment income (loss) before expense reductions (e) | 4.09 | % | |||||
Net investment income (loss) - net of waivers, if any (e) | 4.35 | % | |||||
SUPPLEMENTAL DATA: | |||||||
Net assets, end of period (in thousands) | $ | 102,852 | |||||
Portfolio turnover rate (b)(f) | 0 | % |
See accompanying notes to the financial statements.
48
ProShares Trust Notes to Financial Highlights:
* Commencement of investment operations.
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the American Stock Exchange (AMEX). Market value may be greater or less than net asset value, depending on the Fund's closing price on the AMEX.
(e) Annualized for periods less than one year.
(f) Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period.
See accompanying notes to the financial statements.
49
ProShares Trust Notes to Financial Statements
November 30, 2006 (Unaudited)
1. Organization
ProShares Trust, a Delaware statutory trust, (the "Trust") was formed on May 29, 2002, and has authorized capital of unlimited shares at no par value. The Trust is comprised of 12 active Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is a "non-diversified" series of the Trust pursuant to the 1940 Act.
Pursuant to the creation of the Trust, the Short S&P500® ProShares was seeded with $100,000 of capital on June 12, 2006.
The investment objectives of each Fund are as follows:
Ultra S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P 500® Index.
Ultra QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the NASDAQ-100 Index®.
Ultra Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the DJIA.
Ultra MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P MidCap400 Index.
Short S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P 500® Index.
Short QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the NASDAQ-100 Index®.
Short Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the DJIA.
Short MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P MidCap 400 Index.
UltraShort S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P 500® Index.
UltraShort QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the NASDAQ-100 Index®.
UltraShort Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the DJIA.
UltraShort MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P MidCap 400 Index.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by each Fund in preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles. The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates.
Security Valuation
Security prices are generally provided by a third party pricing service. The securities in the portfolio of a Fund, except as otherwise noted, that are listed or traded on a stock exchange or the NASDAQ National Market System, are valued at the closing price, if available, or the last sale price, on the exchange or market where the security is principally traded. If there have been no sales for that day on the exchange or system where the security is principally traded, then the value may be determined with reference to the last sale price, or the closing price, if applicable, on any other exchange or system. If there have been no sales for that day on any exchange or system, a security may be valued at the mean between the closing bid and asked quotes on the exchange or system where
50
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
the security is principally traded, or at the most recent closing price, if applicable, or at such other price that ProShare Advisors LLC (the "Advisor") deems appropriate in accordance with procedures approved by the Trust's Board of Trustees.
Securities regularly traded in the over-the-counter ("OTC") markets, including securities listed on an exchange but that are primarily traded OTC other than those traded on the NASDAQ Stock Market, are valued on the basis of the mean between the bid and asked quotes based upon quotes furnished by primary market makers for those instruments. Short-term debt securities maturing in sixty days or less are generally valued at amortized cost, which approximates market value.
Debt securities, futures contracts and options on securities, indices and futures contracts are generally valued at their last sale price prior to the time at which the net asset value per share of a Fund is determined. If there was no sale on that day, fair valuation procedures as described below may be applied. Valuation of certain derivatives is performed using procedures approved by the Trust's Board of Trustees.
When the Advisor determines that the price of a security is not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially affects the furnished price), it may in good faith establish a fair value for that security in accordance with procedures established by and under the general supervision and responsibility of the Trust's Board of Trustees.
American Depositary Receipts
ADRs represent the right to receive securities of foreign issuers deposited in a bank or trust company. ADRs are an alternative to purchasing the underlying securities in their national markets and currencies. Investment in ADRs has certain advantages over direct investment in the underlying foreign securities since: (i) ADRs are U.S. dollar-denominated investments that are easily transferable and for which market quotations are readily available, and (ii) issuers whose securities are represented by ADRs are generally subject to auditing, accounting and financial reporting standards similar to those applied to domestic issuers.
Repurchase Agreements
A Fund will enter into repurchase agreements only with large, well-capitalized and well-established financial institutions. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. Repurchase agreement risk is the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because: it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may default or declare bankruptcy or the Fund may have difficulty exercising rights to the collateral.
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts ("REITS") which report information on the source of their distributions annually. Certain distributions received from REITS during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Futures Contracts
The Funds may purchase or sell stock index futures contracts as a substitute for a comparable market position in the underlying securities or to satisfy regulatory requirements.
Upon entering into a contract, the Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. A portion of the initial margin is segregated cash balances with brokers for futures contracts and is restricted as to its use. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing of a futures transaction.
Swap Agreements
The Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in securities (or shorting securities), or to hedge a position. Most swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a "net basis" with a
51
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
single payment. Consequently, a Fund's current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the "net amount"). A Fund's current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Fund) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by segregating cash or other assets deemed to be liquid.
The net amount of the excess, if any, of a Fund's obligations over its entitlements with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets, having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by a Fund's custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount plus dividends or interest on the underlying instruments less the interest paid by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swap agreements" and when cash is exchanged, the gain or loss realized is recorded as "realized gains or losses on swap agreements". Swap agreements are collateralized by cash and certain securities of each particular Fund.
Distributions
Distributions to shareholders from net investment income and net capital gain, if any, are declared and paid at least annually. The amount of distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles. These tax differences are due to differing treatments of income and gain on various investment securities held by the Funds, timing differences and differing characterizations of distributions made by the Funds.
Offering and Organizational Costs
Offering costs are capitalized and amortized over twelve months. Organizational costs had been fully expensed as of November 30, 2006.
Taxes
Each of the Funds intend to qualify as a regulated investment company under Subchapter M of the Code. If so qualified, the Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders.
As of October 31, 2006, the end of the Funds' tax years, the following funds had unused capital losses available for Federal income tax purposes through the indicated expiration date:
Fund | Expiring October 31, 2014 | ||||||
SHORT S&P500® | $ | 7,147,858 | |||||
SHORT QQQ® | 11,785,145 | ||||||
SHORT Dow30SM | 3,884,813 | ||||||
SHORT MidCap400 | 6,889,918 | ||||||
ULTRASHORT S&P500® | 24,105,023 | ||||||
ULTRASHORT QQQ® | 65,260,977 | ||||||
ULTRASHORT Dow30SM | 8,492,428 | ||||||
ULTRASHORT MidCap400 | 12,189,910 |
New Accounting Pronouncements
New Accounting Pronouncements — In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109" (the "Interpretation"). The Interpretation establishes for all entities, including pass-through entities such as the Funds, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Interpretation is effective for fiscal years beginning after December 15, 2006, and is to be applied to all open
52
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
tax years as of the date of effectiveness. On December 22, 2006, the Securities and Exchange Commission notified the industry that the implementation of the Interpretation must be incorporated no later than the last day on which a NAV is calculated preceding the Trust's 2007 semiannual report (November 30, 2007). Management is evaluating the application of the Interpretation and has not at this time determined the impact, if any, resulting from the adoption of the Fund's financial statements.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is evaluating the application of the SFAS 157 and has not at this time determined the impact, if any, resulting from the adoption of the Fund's financial statements.
3. Securities Transactions and Related Income
During the period, security transactions are accounted for no later than one business day following the trade date. However, for financial reporting purposes, security transactions are accounted for on trade date of the last business day of the reporting period. Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis.
4. Advisory and Management Services Fees
ProShare Advisors LLC serves as the Trust's investment adviser pursuant to an Investment Advisory Agreement and provides management and other administrative services to the Trust pursuant to a separate Management Services Agreement. The Advisor is responsible for developing, implementing and supervising each Fund's investment program. The Advisor manages the investment and the reinvestment of the assets of the Funds, in accordance with the investment objectives, policies, and limitations of the Fund, subject to the general supervision and control of the Trustees and officers of the Trust. For these and other services, the Funds pay the Advisor advisory and management services fees at an annualized rate based upon each Fund's average daily net assets of 0.75% and 0.10%, respectively.
The Advisor has contractually agreed to waive advisory and management services fees, and if necessary reimburse certain other expenses for the year ending May 31, 2007, in order to limit the annual operating expenses of each Fund to 0.95% of average daily net assets. For the period ended November 30, 2006, advisory and management services fees waivers were as follows:
Fund | Advisory Fees Waived | ||||||
ULTRA S&P500® | $ | 110,174 | |||||
ULTRA QQQ® | 112,177 | ||||||
ULTRA Dow30SM | 122,587 | ||||||
ULTRA MidCap400 | 123,330 | ||||||
SHORT S&P500® | 135,275 | ||||||
SHORT QQQ® | 141,636 | ||||||
SHORT Dow30SM | 111,969 | ||||||
SHORT MidCap400 | 114,943 | ||||||
ULTRASHORT S&P500® | 69,983 | ||||||
ULTRASHORT QQQ® | 73,387 | ||||||
ULTRASHORT Dow30SM | 75,891 | ||||||
ULTRASHORT MidCap400 | 76,005 |
53
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
Amounts waived or reimbursed by the Advisor in a particular fiscal year may be recouped by the Advisor within five years of the waiver or reimbursement to the extent that such recoupment will not cause the Fund's expenses to exceed any expense limitation in place at that time. As of November 30, 2006, the amounts that the Advisor may potentially be reimbursed are as follows:
Fund | Total Amount Eligible for Reimbursement | ||||||
ULTRA S&P500® | $ | 110,174 | |||||
ULTRA QQQ® | 112,177 | ||||||
ULTRA Dow30SM | 122,587 | ||||||
ULTRA MidCap400 | 123,330 | ||||||
SHORT S&P500® | 135,275 | ||||||
SHORT QQQ® | 141,636 | ||||||
SHORT Dow30SM | 111,969 | ||||||
SHORT MidCap400 | 114,943 | ||||||
ULTRASHORT S&P500® | 69,983 | ||||||
ULTRASHORT QQQ® | 73,387 | ||||||
ULTRASHORT Dow30SM | 75,891 | ||||||
ULTRASHORT MidCap400 | 76,005 |
5. Administration Fees
J.P. Morgan Investor Services Co. acts as Administrator to the Funds. The Administrator provides certain administrative services to the Funds. For these services, each Fund shall pay the Administrator a fee calculated monthly. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. Three employees of the Administrator are also officers of the Trust.
6. Custodian Fees
JPMorgan Chase Bank acts as custodian for the Funds in accordance with a custodian agreement. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. Custodian fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses. In addition, an agency services fee is billed quarterly at the end of each calendar quarter. For the period ended November 30, 2006, JPMorgan Chase Bank waived all agency services fees. These waivers are shown as "custodian fees waived" on the Statements of Operations. There is no provision stating such fees will continue to be waived.
7. Distribution and Service Plan
SEI Investments serves as the Funds' distributor. The Trust has adopted a Distribution and Service (12b-1) Plan pursuant to which each Fund may bear a 12b-1 fee not to exceed 0.25% per annum of the Fund's average daily net assets. No 12b-1 fees are currently paid by the Funds, and there are currently no plans to impose these fees.
8. Creation and Redemption of Creation Units
Each Fund issues and redeems Shares only in bundles of a specified number of Shares. These bundles are known as "Creation Units." To purchase or redeem a Creation Unit, you must be an Authorized Participant or you must do so through a broker that is an Authorized Participant. An Authorized Participant is a participant in the Depository Trust Company ("DTC"), a limited trust company and securities depository that serves as a national clearinghouse for the settlement of trades for its participating banks and broker-dealers, that has executed a Participant
54
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
Agreement with the Funds' distributor ("Distributor"). Because Creation Units likely will cost millions of dollars, it is expected that only institutional investors will purchase and redeem Shares directly with an issuing Fund.
Retail investors may acquire Shares on the secondary market (i.e., not from the issuing Fund) through a broker. Shares of each Fund are listed on the Exchange and are publicly traded. For information about acquiring Shares through a secondary market purchase, please contact your broker. If you want to sell Shares of a Fund on the secondary market, you must do so through your broker. When you buy or sell Shares on the secondary market, your broker may charge you a commission or other transaction charges and you may pay some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by your broker, there is no minimum dollar amount you must invest and no minimum number of Shares you must buy in the secondary market. In addition, because secondary market transactions occur at market prices, you may pay more than NAV when you buy Shares, and receive less than NAV when you sell those Shares.
The Funds impose no restrictions on the frequency of purchases and redemptions directly with the Funds. In establishing this policy, the Board of Trustees noted that the Funds are expected to be attractive to arbitrageurs (where trading activity is critical to ensuring that shares trade at or close to net asset value per share) as well as active institutional and retail investors interested in buying and selling equity market basket index securities on a short-term basis. In addition, the Board considered that, unlike traditional mutual funds, each Fund issues and redeems its shares at net asset value per share in Creation Units plus applicable transaction fees and each Fund's shares may be purchased and sold on the Exchange at prevailing market prices. Given this structure, the Board determined that the risks of frequent trading were less than in the case of a traditional mutual fund. Nevertheless, to the extent that purchases and redemptio ns directly with the Funds are effected in cash rather than through a contribution or redemption of portfolio securities, frequent purchases and redemptions could increase the rate of portfolio turnover. A high ratio of portfolio turnover may negatively impact a Fund's performance by increasing transaction costs. In addition, large movements of cash into or out of the Funds may negatively impact a Fund's ability to achieve its investment objective or maintain a consistent level of operating expenses.
Transaction Fees on Creation and Redemption Transactions
Each Fund will impose Transaction Fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total Transaction Fee on transactions in Creation Units. A fixed Transaction Fee is applicable to each creation and redemption transaction, regardless of the number of Creation Units transacted. A variable Transaction Fee based upon the value of each Creation Unit is applicable to each creation and redemption transaction. Purchasers and redeemers of Creation Units of Ultra Share Funds affected through the Manual Clearing Process are required to pay an additional charge to compensate for brokerage and other expenses. In addition, purchasers of Creation Units are responsible for payment of the costs of transferring the Deposit Securities to the Trust. Redeemers of Creation Units are responsible for the costs of transferring securities from the Trust to their accounts or on their order. Investors who use the services of a broker or other such intermediary may pay fees for such services.
In addition, the maximum additional variable transaction fee for in-kind and cash purchases and redemptions is 0.10% of the amount invested.
For the periods ended November 30, 2006, transaction fees were as follows:
Fund | Transaction Fees | ||||||
ULTRA S&P500® | $ | 5,766 | |||||
ULTRA QQQ® | 11,178 | ||||||
ULTRA Dow30SM | 8,626 | ||||||
ULTRA MidCap400 | 1,438 | ||||||
SHORT S&P500® | 8,474 | ||||||
SHORT QQQ® | 17,496 | ||||||
SHORT Dow30SM | 3,556 | ||||||
SHORT MidCap400 | 16,631 | ||||||
ULTRASHORT S&P500® | 12,954 | ||||||
ULTRASHORT QQQ® | 19,649 |
55
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
Fund | Transaction Fees | ||||||
ULTRASHORT Dow30SM | $ | 4,253 | |||||
ULTRASHORT MidCap400 | 7,088 |
9. Investment Transactions
For the periods ended November 30, 2006, the cost of securities purchased and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions, were as follows:
Fund | Purchases | Sales | |||||||||
ULTRA S&P500® | $ | 131,374,206 | $ | 2,678,609 | |||||||
ULTRA QQQ® | 227,609,367 | 3,390,284 | |||||||||
ULTRA Dow30SM | 106,067,214 | 37,182,412 | |||||||||
ULTRA MidCap400 | 49,974,282 | 4,406,358 |
10. In-Kind Transactions
During the period, the Ultra Dow30SM Fund delivered securities of the Fund in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at a fair value of $11,161,826 for the Ultra Dow30SM Fund. For financial reporting and federal income tax purposes, the Ultra Dow30 Fund recorded net realized gains of $635,961, in connection with the transactions.
11. Concentration Risk
Each Fund will concentrate its investments in issuers of one or more particular industries to the same extent that its Underlying Index is so concentrated and to the extent permitted by applicable regulatory guidance. There is a risk that those issuers (or industry sector) will perform poorly and negatively impact a Fund. Concentration risk results from maintaining exposure to issuers conducting business in a specific industry. The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a fund that does not concentrate its investments.
12. Leverage Risk
(Ultra ProShares and UltraShort ProShares) Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap agreements, borrowing, futures contracts, forward contracts, options on securities indexes, reverse repurchase agreements and short sales, all may be used to create leverage. While only the Ultra ProShares and certain Short ProShares employ leverage, each Fund employs leveraged investment techniques to achieve its investment objective. Over time, the use of leverage, combined with the effect of compounding, will have a more significant impact on a Fund's performance compared to the index underlying its benchmark than a fund that does not employ leverage. Therefore, the return of the index over a period of time greater than one day multiplied by a Fund's specified multiple or inverse multiple (e.g., 200% or -200%) will not ge nerally equal a Fund's performance over that same period. Consequently, the Funds that employ leverage will normally lose more money in adverse market environments than funds that do not employ leverage. (A falling market is considered an adverse market environment for the Ultra ProShares and a rising market is considered an adverse market environment for the Short ProShares.) The example previously provided under each Fund's "Principal Investment Strategy" illustrates this point.
56
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2006 (Unaudited)
13. Liquidity Risk
In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent true market value in the judgment of ProShare Advisors. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its Underlying Benchmark.
14. Market Price Variance Risk
(All Funds) Individual Shares of a Fund will be listed for trading on the Exchange and can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. ProShare Advisors cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by a Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, ProShare Advisors believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, ho wever, be times when the market price and the NAV vary significantly. Thus, you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchangetraded security, includes a "bid-ask spread" charged by the exchange specialist, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV, and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. A Fund's investment results are measured based upon the daily NAV of the Fund. Investors purchasing and selling shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with a Fund.
15. Indemnifications
In the normal course of business the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust's maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
57
ProShares Trust Board Approval of Investment Advisory Agreements
(Unaudited)
Under an investment advisory agreement between ProShare Advisors and the Trust, on behalf of each Fund, dated December 14, 2005 ("Agreement" or "Advisory Agreement"), each Fund pays ProShare Advisors a fee at an annualized rate, based on its average daily net assets, of 0.75%. ProShare Advisors manages the investment and the reinvestment of the assets of each of the Funds, in accordance with the investment objectives, policies, and limitations of the Fund, subject to the general supervision and control of the Trustees and the officers of the Funds. ProShare Advisors bears all costs associated with providing these advisory services. ProShare Advisors has contractually agreed to waive investment advisory and management services fees and to reimburse other expenses to the extent total annual operating expenses, as a percentage of average daily net assets, exceed 0.95% through May 31, 2007. After such date, the expense limitation may be terminat ed or revised. Amounts waived or reimbursed in a particular fiscal year may be recouped by ProShare Advisors within five years of waiver or reimbursement to the extent that recoupment will not cause a Fund's expenses to exceed any expense limitation in place at that time. ProShare Advisors, from its own resources, including profits from advisory fees received from the Funds, also may make payments to broker-dealers and other financial institutions for their expenses in connection with the distribution of the Funds' Shares. The address of ProShare Advisors is 7501 Wisconsin Avenue, Suite 1000, Bethesda, Maryland 20814.
The Board unanimously approved the Advisory Agreement with respect to each Fund at a meeting held on December 14, 2005. The Board considered all factors it believed relevant, none of which was considered dispositive by itself, including (i) the nature, extent, and quality of the services to be provided to each Fund and its shareholders by the Advisor; (ii) the costs of the services provided and the profits to be realized by the Advisor from the relationship with the Funds; (iii) the extent to which economies of scale would be realized as the Funds grow; and (iv) whether fee levels reflect these economies of scale, if any, for the benefit of Fund shareholders. As the Funds' were not yet operational at the time of the Board's review, the Board did not consider performance in their review of the Advisory Agreement.
These factors and the conclusions that formed the basis of the Board's determination that the terms of the Advisory Agreement were fair, reasonable and consistent with the Advisor's fiduciary duty under applicable law are discussed in more detail below. In reaching its determination to approve the Advisory Agreement, the Board considered that the Funds were unique in the ETF marketplace. In determining whether to approve the Advisory Agreement on behalf of the Funds, the Board reviewed substantial detailed information that it believed to be reasonably necessary to reach its conclusion, including the terms of the Advisory Agreement itself, the Advisor's Form ADV, the background and experience of the people primarily responsible for providing investment advisory services to the Funds, detailed comparative industry fee data, information regarding brokerage allocation and best execution and developments in the financial services industry. The Bo ard carefully evaluated this information, and was advised by legal counsel with respect to its deliberations. The Trustees who were not "interested persons" of the Funds were also advised by independent legal counsel.
Nature, Quality and Extent of Services
The Board reviewed the nature, quality and extent of the investment advisory services of the Advisor in light of the high quality services the Trust expects to be provided by the Advisor in its management of the Funds and the success of each Fund in achieving its stated investment objective. The Board focused on the overall high quality of the personnel and operations at the Advisor and the systems and processes required to effectively manage the Funds, which systems and processes may not be present at other investment advisory organizations. The Board noted the nature of, and the special advisory skills needed to manage, each Fund. Specifically, the Board considered the fact that to maintain exposure consistent with each Fund's daily investment objective, the Funds need to be re-balanced each day and that such activity is not typical of traditional ETFs or index funds. The Board also considered the Advisor's development of investment strate gies, including those involving the use of complex financial instruments, and processes that maximize the Funds' ability to meet their stated investment objectives. The Board considered the size and experience of the Advisor's portfolio staff and the Advisor's ability to recruit, train and retain personnel with relevant experience. The Board considered the structure of the portfolio staff compensation program and the Board considered whether it provided appropriate incentives. The Board also considered information regarding how Fund brokerage would be allocated. Finally, the Board reviewed the proposed compliance activities of the Advisor. Based upon its review, the Board concluded that the Advisor had sufficient resources and expertise to provide appropriately high quality services to the Funds consistent with the terms of the Advisory Agreement, and that the expected high quality of services will benefit Fund shareholders, particularly in light of the unique nature of the Funds and the services required to support them. The Board also concluded that the portfolio
58
ProShares Trust Board Approval of Investment Advisory Agreements
(Unaudited)
manager compensation structure was appropriate and did not provide any inappropriate incentives, and that the Advisor's brokerage practices were reasonable.
Cost of services
The Board considered the fairness and reasonableness of the investment advisory fee payable to the Advisor in light of the investment advisory services to be provided, the expected costs of these services and the comparability of the fees paid to fees paid by other investment companies, including investment companies offering services similar in nature and extent to the Trust. The Board considered the fact that obtaining useful industry fee comparisons for the Funds is complicated by the fact that there are no similar funds in the marketplace. Notwithstanding, the Board found such comparisons useful in that each comparison contained information for certain categories of ETFs and mutual funds that, when taken together, provided a comprehensive presentation for the Trustees' consideration. The Board noted that fees paid by traditional ETFs were not necessarily appropriate benchmarks for comparison, because traditional ETFs do not involve lever age or portfolio management in the usual sense. The Board also considered the significant drivers of cost (leverage, intellectual capital (trading, tax, regulatory) and daily rebalancing) and also examined the costs to investors to achieve the objectives of the Funds on their own accord, noting that it would be more expensive or impossible to do so. The Board also considered the Advisor's proposed performance of non-advisory services, including those performed under a Management Services Agreement. The Board discussed with management the indirect or "fall-out" benefits the Advisor may derive from its relationship to the Funds, noting in particular that while the Advisor may receive research provided by broker-dealers, it will only obtain generic or other research not ascribed significant value and therefore not requiring the commitment of trading. The Board also considered the financial condition of the Advisor, which they found to be sound. The Board, including the Non-Interested Trustees, concluded that th e investment advisory fees and other compensation payable by each Fund to the Advisor were reasonable in relation to the services provided, and also concluded that the proposed fees were reasonable in relation to the fees paid by other investment companies referenced by the Advisor, including funds offering services similar in nature and extent to those of the Funds.
Potential Economies of Scale
The Board discussed with representatives of the Advisor the potential economies of scale as well as the effect of the contractual expense limitations undertaken by the Advisor. The Board discussed the fact that economies of scale are best achieved when a fund grows to be very large and remains that way and that the Funds' expected asset volatility may offset such economies. In addition, the Advisor discussed with the Board that to maintain exposure consistent with each Fund's daily investment objective, the Funds need to be re-balanced each day and that such activity is not typical of traditional ETFs or index funds. As a consequence, regardless of asset growth, the Advisor's workload will depend more on volatility in markets and the challenges of trading larger portfolios, as the Funds grow, to meet the daily investment objectives of the Funds. The Board also considered the extended period associated with the start-up of the Funds and the a ssociated costs borne by the Advisor. Based on these considerations, the Board determined that it was not necessary for the Funds to impose advisory fee breakpoints at this time. The Board further concluded that it would assess asset levels of each of the Funds after commencement of operations and the Advisor's attendant workload to monitor whether breakpoints would become appropriate at some point in the future.
Conclusion
Based upon its evaluation, including their consideration of each of the factors noted above for each Fund, the Board and the Non-Interested Trustees acting separately, unanimously concluded that the Advisory Agreement is fair and reasonable to each Fund and its shareholders and that it should be approved.
59
Proxy Voting Information
You may obtain a description of ProShares Trust's (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how ProShares Trust voted any proxies related to portfolio securities from inception through June 30, 2006, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the EDGAR Database on the SEC's Website (http://www.sec.gov).
Quarterly Portfolio Holdings Information
ProShares Trust will file its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. ProShares Trust Form N-Q will be available on the SEC's Website at http://www.sec.gov. The Trust's Form N-Q may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
60
ProShares
ProShares Trust
7501 Wisconsin Avenue
Suite 1000
Bethesda, MD 20814
866.PRO.5125
www.proshares.com
"Standard & Poor's®," "S&P®," "S&P 500®," "Standard & Poor's 500," "500," "S&P MidCap 400," and "Standard & Poor's MidCap 400," are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by ProShares. "Dow Jones," "Dow 30," and "Dow Jones Industrial AverageTM," are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by ProShares. "NASDAQ-100® Index" is a trademark of The NASDAQ Stock Market, Inc. ProShares are not sponsored, endorsed, sold or promoted by these organizations and the organizations make no representations regarding the advisability of investing in ProShares.
Item 2. Code Of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not Applicable.
Item 6. Schedule Of Investments.
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9. Purchase Of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.
Not Applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant does not accept nominees to the board of directors from shareholders.
Item 11. Controls And Procedures.
(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) are effective, based on their evaluation of these disclosure control and procedures required by Rule 30a-3(b) as of a date within 90 days of the filing date of this report.
(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s first fiscal half year covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not Applicable – See Item 2 Above.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 to be filed with Form N-CSR are attached hereto.
(a)(3) Not applicable.
(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
ProShares Trust
By: | /s/ Louis M. Mayberg |
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| Louis M. Mayberg |
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Date: | February 7, 2007 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Louis M. Mayberg |
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| Louis M. Mayberg |
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Date: | February 7, 2007 |
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By: | /s/ Simon Collier |
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| Simon Collier |
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Date: | February 7, 2007 |
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